Long Term Tally

[tom1tom1]

Attached is my long-term portfolio back tester. In addition to supporting the input of various portfolio allocations, it provides estimated 2007 portfolio values for all of the TSP Funds, the Total Global Market, and Rokid's portfolio.

Incidentally, the I Fund really sucked in the 1990s. :cheesy:-------Jim

I-fund wasn't around in the 1990"s

 

[rokid]

Yes, but the MS EAFE index was. The I Fund tracks the MS EAFE. -----Jim

 

[rokid]

More Long Term Tallies.-----Jim

 

[rokid]

I updated the 2 Year Comparison to include Poolman.------Jim

 

[Boxholder]

Rokid, a question and probably a dumb one at that. What is the Sharpe Ratio?

 

[rokid]

Boxholder,

Certainly not a dumb question!

The Sharpe Ratio is a measure of reward to risk. Basically, how much reward do you get for unit of risk? The higher the Sharpe ratio, the better. In addition, if two portfolios achieve the same return, e.g. 15%, the portfolio with the higher Sharpe ratio is considered superior.

http://en.wikipedia.org/wiki/Sharpe_ratio

 

[Boxholder]

Boxholder,

Certainly not a dumb question!

The Sharpe Ratio is a measure of reward to risk. Basically, how much reward do you get for unit of risk? The higher the Sharpe ratio, the better. In addition, if two portfolios achieve the same return, e.g. 15%, the portfolio with the higher Sharpe ratio is considered superior.

http://en.wikipedia.org/wiki/Sharpe_ratio

So, in effect, a portfolio that was in only the G fund the whole year would have a Sharpe Ratio of 100? Is that correct?

 

[rokid]

Since 1988, I've calculated the G Fund Sharpe Ratio as 1.59 using 4% as the risk free rate. In other words, you got a 1.59% excess return over the risk free rate for each additional unit of risk.

In comparison, the following are the Sharpe ratios for the other TSP funds:

F Fund .73
C Fund .51
S Fund .50
I Fund .43

What this tells me is that your first unit of risk should go to the G Fund, followed, by the F Fund and so on. Of course, allocation-wise, the G Fund starts to drop out of your portfolio as your need for return increases.

The I fund was hurt by its large Japan holdings in the 1980s. You would expect the I Fund to track closer to the U.S. market in the future.

The comparison chart's Sharpe Ratio is a little misleading because the 2008 return used in the calculation is, of course, only a partial year's return. However, I want to see how its value converges to the true value as the year progresses.

On the other hand, maybe I should limit the Sharpe Ratio calculations to whole years because the current values, as displayed, are misleading.----Jim

 

[Boxholder]

Thanks, Jim, for your answers. I did a little studying and understand it now. I had never really understood risk/reward until now. After checking the risk/reward in my personal stocks I realize I have some very good ones and 1 or 2 not so good, but happy that I now understand what I am looking at. Thanks again.

 

[rokid]

The Long Term Tallies for 7 Mar 2008.-----Jim

 

[EW_ret]

Rokid,

FYI the RevShark's return for YTD 2008 was in error due to unknown problem with the Automated Tracker. Tom has corrected it. It should be +1.33% YTD for 2008, as of 3-07-2008. This would raise the two-year return, but his ranking would remain at 17th. The Weekly Tally has corrected returns for RevShark, Trader_Fred, and 20%_Each.

 

[rokid]

All,

Attached is the corrected Two Year Tally. The corrections moved Trader-Fred up two positions. The Two Year Tally positions of RevShark and 20%_Each did not change.------Jim

 

[rokid]

The Long Term Tallies for 14 Mar 2008.------Jim

 

[rokid]

The Long-term Tallies for 21 March 2008.

Sorry, I just realized I posted these to the wrong thread.:embarrest:------Jim

 

[rokid]

The Long Term Tallies for 28 March 2008.------Jim

 

[rokid]

The Long Term Tallies for 4 April 2008.------Jim

 

[Miss_Piggy]

Jim, my genius long term analyst,
Could you take a listen to this very short audio clip and comment on the conclusion this guy reaches; is this possibly true? :nuts: TIA
http://www.marketwatch.com/tvradio/...D38CC-8BA1-4EB0-80A5-2B772A0C0907}&siteid=nbk

 

[rokid]

Miss Piggy,

Mark Hulbert is a highly respected analyst. If he assumes the market is the S&P 500, i.e. C Fund, then he's correct. If you broaden the market to include the total stock market (C, S, and I Funds), then he's not correct.

By my calculations 1999-2007:

100% G Fund - 4.99% annualized
100% F Fund - 5.64% annualized
100% C Fund - 3.34% annualized
100% S Fund - 6.87% annualized
100% I Fund - 6.67% annualized
Typical 60/40 portfolio (40% F, 25% C, 5% S, and 30% I) - 6.00% annualized

The above, once again, shows the value of diversifying across multiple asset classes. In addition, assuming inflation averaged 3.5%, neither the savings account or 100% C Fund made any money.

For the 1988-2007 period:

100% G Fund - 6.31% annualized
100% F Fund - 7.21% annualized
100% C Fund - 11.64% annualized
100% S Fund - 11.59% annualized
100% I Fund - 7.09% annualized
the 60/40 portfolio above - 8.98% annualized

If the G Fund represents an optimistic savings account rate, all of the stock funds and the diversified portfolio beat it. I guess 1988-2007 represents Jeremy Siegel's 20 years.:toung:-----Jim

 

[Miss_Piggy]

Does this guy (rokid) know his stuff or not!

 

[rokid]

The Long Term Tallies for 11 April 2008.---Jim