Wednesday, September 09, 2020

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.

1 comment:

Dazza said...

Hi mOOm,
I haven't read your blog for a while and have always enjoyed the work you put into it. I have always been intruiged as to the relative risk of my own portfolio, and I see you report some of this here:

I wonder can you share how you calculate this? do you track your investments by hand eg in Excel and then calculate this? What period and frequency do you track your measures against?

Finally, have you considered Sortino Ratio for isolating the capture of the positive volatility?