Tracking Risk

[Rydogg]

Hey everyone,
This question might have already been addressed in another thread and if so I appologize. I have been looking at a few of the weekly trackers and was wondering:
Would anyone else besides me be interested in seeing "risk" tracked as well as returns? Maybe tracking the "beta" of each fund.

I thought it would be interesting to see the top performers level of risk compared to the market risk (in addition to their returns). Something like a weighted average beta might give some good insight to compare your risk to say, just the I fund or G fund.

This might not be useful but I thought I'd at least ask. Any thoughts??

 

[rokid]

I'm tracking risk using monthly standard deviation.

However, for 2006, some of the accounts with high returns, have a low monthly standard deviation. If theory holds, that relationship should change over a longer period - high returns require high risk.

I'll post the results tonite.-----Rokid

 

[rokid]

The attached shows that, generally, higher returns require the assumption of higher risk as measured by volatility.

Using the passive Total Global Market (TGM) as a benchmark for returns and volatility, three TSPers, Griffin, Show-me, and GeorgiaGal assumed more risk and were rewarded with higher returns. Two other TSPers, FunderSurfer and S&S, received higher returns than the TGM with lower risk - nice job!

Finally, as expected, the G, the L-Income, the F, and the L-2010 funds had the lowest risk, but also the lowest returns.

 

[rokid]

The attached shows that, generally, higher returns require the assumption of higher risk as measured by volatility.

Using the passive Total Global Market (TGM) as a benchmark for returns and volatility, three TSPers, Griffin, Show-me, and GeorgiaGal assumed more risk and were rewarded with higher returns. Two other TSPers, FunderSurfer and S&S, received higher returns than the TGM with lower risk - nice job!

Finally, as expected, the G, the L-Income, the F, and the L-2010 funds had the lowest risk, but also the lowest returns.

Correction - the L-Income and L-2010 had very low risk. However, they didn't have the lowest returns.

 

[Spaf]

..... high returns require high risk.....

When I retired my stock trading went through a period of panic and being paralyzed. I had Capitalpreservationitis..... Hopefully, I'm over it.....

So keep up the good work of analyzing risk vs reward.....

 

[rokid]

The attached shows (again) that, generally, higher returns require the assumption of higher risk as measured by volatility (standard deviation).

Using the passive Total Global Market (TGM) as a benchmark for returns and volatility, five TSPers, Griffin, Show-me, Aslan, Mayday, and GeorgiaGal assumed more risk and were rewarded with higher returns. Three other TSPers, FunderSurfer, FiveTears, and S&S, received higher returns than the TGM with lower risk - nice job!

Finally, as expected, the G, the L-Income, and the F funds had some of the lowest risk, but also some of the lowest returns.

 

[rokid]

Re: Portfolio Efficency

Here's another way of looking at how well TSPers did. The Sharpe Ratio measures portfolio efficiency, i.e. how much return was received for each unit of risk taken. Using this measure, FiveTears managed to assemble the most efficient portfolio. Congratulations.

Rokid, as usual, is in the middle.:cheesy:

 

[GGal]

Now show us how to do that in a Bbbbbeeeeaaaaaa (you know) market.

GA

 

[Birchtree]

The I fund could be at risk for a cyclical bear move. A 15% correction would not be out of the question - put in a bottoms over bottoms at 15,000.