August Investment Performance

As my performance statistics over the last 5 years are looking good again, I thought I would start posting them again :)

The first two rows give the average annual rate of return and the Sharpe statistic in the two currencies. These are the kind of numbers I would aim for... Until recently, I was performing better in Australian Dollar terms. Now it depends on which statistic you look at. 

The remaining four lines compare performance to the MSCI (global stocks), ASX200 (Australian stocks), and HFRI (Hedge fund) indices. The first two have all dividends and tax credits included. My portfolio has a subdued reaction to the first two indices (beta < 1) but is more volatile than HFRI. Alpha is the annual return after deducting the part explained by the index. It helps increase the upside and reduce the downside moves.

The final two rows show the same thing in a different way. Down capture divides the average return of the portfolio by the average return of the index in the months that the index went down. Up capture does the same in the months that the index rose. I have a positive asymmetry against all three indices.