Non-investment income and retirement contributions were very high as this was a 3 pay month (we are paid every 2 weeks). Expenditure was $7,114 but a large part of that was the ticket to Cloud Cuckoo Land. Without that expense, core expenditure was a reasonable $4,061.
Investment return was $4,770 but taking out the effect of exchange rate movements was a loss of $2,722. The rate of return was 0.91% in USD terms, -0.52% in currency neutral terms, and -0.89% in AUD terms.
Net worth rose in USD terms by $16k (rose by $A7k in AUD terms) to $542k ($A524k) another all time high in USD terms.
Investment allocation saw a reduction in hedge funds and Australian stocks and a rise in other asset classes due to market movements, the return of capital from EAIT, and the investment in GTAA.
As a follow up to yesterday's post I've added our own rates of return to the table:
(well I dropped some of the timeframes as I couldn't be bothered to compute them). Moominmama's more conservative portfolio performed better over the 3 year period that included the global financial crisis but underperformed us across the other horizons. Over a 5 year horizon we have matched the MSCI World Index and over ten years beaten it. Over the ten year period our beta to the index has been 1.22 with an alpha of 2.11% p.a. Over 5 years, 1.22 with an alpha of 0.88% p.a. Over 3 years beta was 1.27 and alpha -2.29% and over 2 1.24 and 0.40%. So we have taken on more risk than the index but added more return than just the risk alone would provide except over the period around the global financial crisis.
The following graph shows the rolling estimates of alpha and beta using a 36 month window:
Alpha is much more volatile than beta. The high values of alpha achieved around the middle of the decade inspired over confidence and subsequent fall in alpha to negative values. Assuming no major setbacks in the next few months, I forecast the 36 month alpha will again rise to 6% by the end of this year.
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