Highlights

1. The SIF portfolio value as of June 2015 is $419,979.

2. SPY returns include dividend reinvestment. SIF returns include reinvestment also, but (1) with delay, (2) not automatic, and (3) not in value-weighted proportion.

3. The SIF expense ratio is 1.0%. That is 11.1 times larger than SPY’s 0.09%.

4. We outperformed SPY the last two months (March and April 2015) :)

Portfolio Value Over Time

Data are obtained from month end financial statements.

SIF Portfolio Cumulative Return Over Time

SIF vs. SPY cumulative returns

SPY returns are obtained from Yahoo finance and include reinvestment of dividends.

SIF returns include reinvestment also, but (1) with delay, (2) not automatic, and (3) not in value-weighted proportion.

Also, our expense ratio at 1.0% is 11.1 times larger than SPY’s at 0.09%.

SIF vs. SPY Relative Performance

Sharpe and CAPM

Sharpe ratio comparisons

##                                   R.SIF     R.SPY
## StdDev Sharpe (Rf=0%, p=95%): 0.2964494 0.3906017
## VaR Sharpe (Rf=0%, p=95%):    0.2291284 0.3104932
## ES Sharpe (Rf=0%, p=95%):     0.1512340 0.2135068

CAPM measures

  • Alpha = -0.0020964
  • Beta = 0.9810325
  • Beta in bull market = 0.9410537
  • Beta in bear market = 1.0722338

Beta < 1 indicates less risk than the market.

Capture ratios

The benchmark return (SPY) is plotted at (1,1). The diagonal line has slope 1. Therefore, when the test asset (in our case the SIF returns) coordinates are above the line we have more upside capture than downside capture. Unfortunately, in our case, we have more downside capture than upside capture.

##   Up Capture Down Capture
## 1     0.9204       1.0953

Rolling 3-month cumulative returns