Mar 13
Portfolio Performance Update
In the data table below, nine of the 19 portfolios are updated. These are the portfolios I track using the TLH spreadsheet. While all nine portfolios showed a gain in the Internal Rate of Return (IRR) since the last update, only the Euclid Portfolio made a gain in the Information Ratio (IR) metric. The Schrodinger, a long standing passive portfolio maintained the same IR value.
While most investors focus on portfolio return, I prefer to place more emphasis on the IR value. I want the value to be positive as that indicates the portfolio is outperforming the index. For my IR calculation, I use the VTSMX benchmark instead of the ITA Index benchmark as I do not have as much history with the customized IRA Index benchmark. The IR value is basically a measurement of portfolio alpha divided by sigma. Alpha is a measurement of how well the portfolio is performing with respect to a benchmark and sigma is the standard deviation or a portfolio risk measurement. As I’ve been discussing over on the Premium Content side of the blog, a number of these portfolios carry too high a risk. Too high means the risk is over 15%. Therefore some Tactical Asset Allocation is in order. In a few cases, I plan to make Strategic Asset Allocation moves. This means the portfolios will undergo major changes over the next few months.
Portfolio Performance: 12 March 2010
| Portfolio | Last Updated | Launch Date | Tracking Tool | Port. IRR | ITA Index | Diff Port. vs. ITA Index | VTSMX IRR | Diff Port. vs. VTSMX IRR | IR |
|---|---|---|---|---|---|---|---|---|---|
| AA-Mosaic | 02/26/2010 | 07/21/1999 | Captool | 1.10% | NA | NA | -0.98% | 2.08% | 0.05 |
| Curie | 03/12/2010 | 12/26/2007 | TLH SS | 0.4% | -9.4% | 9.8% | -5.6% | 6.0% | 2.45* |
| Mosaic2 | 02/26/2010 | 07/19/1999 | Captool | 3.46% | NA | NA | -1.50% | 4.96% | 0.15 |
| Newton | 03/12/2010 | 06/02/2008 | TLH SS | 6.6% | -0.4% | 7.0% | 3.4% | 3.2% | 2.56* |
| Passive Port. | 02/26/2010 | 12/01/2000 | Captool | 3.97% | NA | NA | -0.59% | 4.56% | 0.68 |
| Schrodinger | 03/12/2010 | 12/01/2000 | TLH SS | 4.4% | 1.7% | 2.7% | 1.6% | 2.8% | 2.72 |
| Jane | 02/26/2010 | 02/14/1997 | Captool | 8.3% | NA | NA | 2.76% | 5.54% | 0.53 |
| Einstein | 03/12/2010 | 06/30/2008 | TLH SS | 12.9% | 21.5% | -8.6% | 10.0% | 2.9% | 1.90* |
| Gauss | 02/26/2010 | 02/19/1997 | Captool | 8.52% | NA | NA | 2.73% | 5.79% | 0.22 |
| Kepler | 03/12/2010 | 11/01/2008 | TLH SS | 26.4% | 27.5% | -1.1% | 24.9% | 1.5% | 1.40* |
| Scrappy | 02/26/2010 | 08/14/2008 | Captool | 8.43% | NA | NA | -9.1% | 17.53% | NA |
| Bohr | 03/12/2010 | 08/14/2008 | TLH SS | 11.5% | 12.9% | -1.4% | -0.4% | 11.9% | 1.58* |
| Projects | 02/26/2010 | 12/01/2000 | Captool | 4.84% | NA | NA | -0.59% | 5.43% | 1.39 |
| Washington | 02/26/2010 | 06/18/1999 | Captool | 2.58% | NA | NA | -1.04% | 3.62% | 0.27 |
| Maxwell | 03/12/2010 | 12/25/2000 | TLH SS | -0.2% | -0.6% | 0.8% | 2.6% | -2.4% | -1.04 |
| Adams | 02/26/2010 | 06/18/1999 | Captool | 2.33% | NA | NA | -0.73% | 3.06% | 0.69 |
| Euclid | 03/12/2010 | 06/30/1999 | TLH SS | -0.7% | -1.1% | 0.4% | 2.6% | -3.3% | -1.08 |
| Jefferson | 02/26/2010 | 03/13/2008 | Captool | 4.32% | NA | NA | -7.44% | 11.76% | NA |
| Madison | 03/12/2010 | 03/13/2008 | TLH SS | 6.2% | -0.9% | 7.1% | 6.0% | 0.2% | 0.04* |
To follow the TAA or SAA portfolio moves over the next few months, sign up for a Premium Content subscription. Through today, a trial 30-day subscription is available for $4.00 per month. Then the rate returns to $6.99 per month.