PMT Forum
How do you want to make money today?

Survey: Portfolio Performance :)

boy_kolokoy · 7 · 4115

Poll

What is your portfolio performance for 2010?

Above the market
6 (60%)
Below the market
3 (30%)
Equal the market
1 (10%)

Total Members Voted: 10

boy_kolokoy

  • Junior Member
  • **
    • Posts: 27
    • Likes Received: +0/-0
on: Jan 30, 2011, 12:13 PM
Honesty is the best policy.  :welcome:


thriftyPinoy

  • Forum Master 300
  • ***
    • Posts: 326
    • Likes Received: +0/-0
Reply #1 on: Jan 30, 2011, 02:50 PM
Nice thread :)

Here are the results of my personal portfolio...

FOR 2010
Money-weighted (MW) return = 56.93%
Time-weighted (TW) return = 56.52%

versus

PSEi (i.e. the market) = 37.62%

Outperformed the market by:
19.31% (MW)
18.9% (TW)

FOR 2008 TO 2010 (3 YEARS)
Money-weighted = 42.79%
Time-weighted = 17.15%

versus

PSEi = 4.14%

Outperformed the market by:
38.65% (MW)
13.01% (TW)

NOTES:
I started deploying capital at the beginning of 2008 and assumed a conservative value discipline with a long-term view in my investing approach.

There is often a big discrepancy between the money-weighted (MW) and time-weighted (TW) metrics because of the timing of cash infusions/withdrawals from the fund. Essentially, TW captures this scenario: had I started the fund in 2008 and did not make any deposits to and withdrawals from my fund, I should be earning around 17.15% compounded annually. In reality, however, this is not the case: we make additions or withdrawals (these can dramatically magnify our profits or losses depending on how the fund performed after the additions/withdrawals)--this is the essence of the MW approach; it captures and weighs the timing and money amounts committed for any given period and pinpoints the real absolute returns per actual fund results. For my case, my total invested cash (which were infused in varying amounts at different time periods) yielded an actual net, money-weighted 42.79% internal rate of return. TW would be more useful in a scenario where the fund manager cannot control his investors' deposits or withdrawals (e.g. a mutual fund--being the preferred measure in a public mutual fund, it's usually dubbed the "industry standard"). MW would be more appropriate in the case of a private individual or a private organization wherein deposits/withdrawals are controlled or are subject to the manager's consent/decision.

There maybe times wherein MW is negative and TW is positive (and vice versa). Consider the following:

EXAMPLE

Year 0
Deposits (withdrawals) = Php1.00
Ending equity value = 1.00

Year 1
Beginning equity value = Php1.00
Gain (loss) = 2.00
Ending equity value = 3.00
Rate of return = 200%

Year 2
Deposits (withdrawals) = Php20.00
Beginning equity value = 23.00
Gain (loss) = (15.00)
Ending equity value = 8.00
Rate of return = -65.22%

Year 3
Deposits (withdrawals) = Php0.00
Beginning equity value = 8.00
Gain (loss) = 10.00
Ending equity value = 18.00
Rate of return = 125%

The time-weighted return for this example should be 32.91% computed by first getting the effective simple percentage gain for the whole 3-year period:
(1+200%) x (1-65.22%) x (1+125%) - 1 = 134.78%

The 134.78% simple return is annualized as follows:
1 x (1+134.78%) = 2.35
(2.35/1)^(1/3)-1 = 32.91%

Thus, the portfolio yielded a 32.91% time-weighted return. Caution though, since this may somewhat be deceiving. Commonsense dictates that the fund manager's total investment of Php21.00 (a peso in year 0 and 20 pesos in year 2) ended up as Php18.00 in year 3, resulting to a net loss of Php 3.00. In absolute terms, the fund lost money.

The money-weighted approach does a better job to capture this reality, albeit harder to compute manually. Nonetheless, it can be arrived at by organizing the deposits and withdrawals into tabulated cash flows then by running an IRR iteration:

Year 0 = (1.00)
Year 1 = 0.00
Year 2 = (20.00)
Year 3 = 18.00

IRR = -13.26%

In Excel, this formula should appear like this...

IRR(B1:B4)

Hence, we can say that although the fund yielded a time-weighted 32.91% return (i.e. had I invested a certain peso amount in it since the beginning and did not make and additions or withdrawals, I should be happy with the 32.91% compound interest), in real, absolute hard cash returns, however, the fund actually lost Php3.00 with a money-weighted return (i.e. IRR) of -13.26% :D

PS: You can check http://www.investopedia.com/exam-guide/cfa-level-1/quantitative-methods/discounted-cash-flow-time-weighted-return.asp for a more detailed discussion on this matter.
« Last Edit: Jan 31, 2011, 02:12 PM by thriftyPinoy »


chinito77

  • Forum Master 400
  • ***
    • Posts: 415
    • Likes Received: +0/-0
Reply #2 on: Sep 19, 2013, 04:35 PM
I can't vote.. As I don't keep a detailed track on every transaction...

Na monitor niyo ba talaga lahat yan ng maige? Pag nag range trade ako.. Buy this week sell next week.. di ko naman naliista lahat eh... Haha


FFreedom3

  • Forum Master 300
  • ***
    • Posts: 324
    • Likes Received: +0/-0
Reply #3 on: Sep 19, 2013, 05:50 PM
Hindi din ako maka vote since LOTTO palang alam ko na pwedeng taya-an 2010!  :hihi:


vicces

  • VIP Member
  • *****
    • Posts: 3,451
    • Likes Received: +0/-0
Reply #4 on: Sep 19, 2013, 05:56 PM

money-weighted... time-weighted portfolio performance.. that, that's the answer I have long been looking for! thanks thriftypimoy, san ka man naroroon! :-*


INDO

  • PMT Jedi 2000
  • ****
    • Posts: 2,283
    • Likes Received: +5/-0
Reply #5 on: Sep 19, 2013, 08:47 PM
I can't vote.. As I don't keep a detailed track on every transaction...

Na monitor niyo ba talaga lahat yan ng maige? Pag nag range trade ako.. Buy this week sell next week.. di ko naman naliista lahat eh... Haha

every buy/sell transaction meron akong record... kaso lang yung reason bakit ako bumili o kaya nag SELL wala akong record, kaya di ko pa rin alam ano dapat bantayan  :hihi: :help:


wilch23

  • VIP 6500
  • *****
    • Posts: 6,544
    • Likes Received: +8/-0
Reply #6 on: Dec 17, 2014, 03:34 PM

There maybe times wherein MW is negative and TW is positive (and vice versa). Consider the following:

EXAMPLE

Year 0
Deposits (withdrawals) = Php1.00
Ending equity value = 1.00

Year 1
Beginning equity value = Php1.00
Gain (loss) = 2.00
Ending equity value = 3.00
Rate of return = 200%

Year 2
Deposits (withdrawals) = Php20.00
Beginning equity value = 23.00
Gain (loss) = (15.00)
Ending equity value = 8.00
Rate of return = -65.22%

Year 3
Deposits (withdrawals) = Php0.00
Beginning equity value = 8.00
Gain (loss) = 10.00
Ending equity value = 18.00
Rate of return = 125%

The time-weighted return for this example should be 32.91% computed by first getting the effective simple percentage gain for the whole 3-year period:
(1+200%) x (1-65.22%) x (1+125%) - 1 = 134.78%

The 134.78% simple return is annualized as follows:
1 x (1+134.78%) = 2.35
(2.35/1)^(1/3)-1 = 32.91%

Thus, the portfolio yielded a 32.91% time-weighted return. Caution though, since this may somewhat be deceiving. Commonsense dictates that the fund manager's total investment of Php21.00 (a peso in year 0 and 20 pesos in year 2) ended up as Php18.00 in year 3, resulting to a net loss of Php 3.00. In absolute terms, the fund lost money.

In short, time weighted return is senseless. Where did you get this formula?

The money-weighted approach does a better job to capture this reality, albeit harder to compute manually. Nonetheless, it can be arrived at by organizing the deposits and withdrawals into tabulated cash flows then by running an IRR iteration:

Year 0 = (1.00)
Year 1 = 0.00
Year 2 = (20.00)
Year 3 = 18.00

IRR = -13.26%

In Excel, this formula should appear like this...

IRR(B1:B4)

Hence, we can say that although the fund yielded a time-weighted 32.91% return (i.e. had I invested a certain peso amount in it since the beginning and did not make and additions or withdrawals, I should be happy with the 32.91% compound interest), in real, absolute hard cash returns, however, the fund actually lost Php3.00 with a money-weighted return (i.e. IRR) of -13.26% :D

PS: You can check http://www.investopedia.com/exam-guide/cfa-level-1/quantitative-methods/discounted-cash-flow-time-weighted-return.asp for a more detailed discussion on this matter.


 


PMT Shoutbox

Refresh History
  • Post only questions or comments here. Advertisements NOT ALLOWED.
  • oragon: :applause:
    May 20, 2019, 03:53 PM
  • FutureGizmo: Thank you for reporting those spam posts, oragon! Spam posts now deleted.
    May 20, 2019, 01:59 PM
  • oragon: Admin kindly monitor some peps! posting and sharing inappropriate nude photos and website links
    May 20, 2019, 01:52 PM
  • @culinary10: Hello I am new here! Regarding sa bdo life insurance for 8 years, pwede pa kaya ma refund yung binayad ko na 50k last year? Gusto ko sana icancel kasi lack of financial na, last may 15 2018 po un nag start ako ng life insurance, pinili ko annually kaso etong may 15 2019 wala nako ma ipay so gusto ko sana icash out, may alam ba kayo kung pano marerefund?
    May 17, 2019, 07:56 PM
  • FutureGizmo: Hi Sonny, the posting issue is now resolved. Thanks for informing us! We're currently testing a new, mobile-ready theme so let us us know kung may problema pa sa Forum. :)
    Apr 04, 2019, 10:40 AM
  • sonny.wapak: Nakaka receive din ba kayo nito pag gawa ng new post? "Please try again. If you come back to this error screen, report the error to an administrator."
    Apr 03, 2019, 10:56 PM
  • leonine_zafiro: what product nun?
    Apr 01, 2019, 10:25 PM
  • dhondiex27: hi
    Mar 30, 2019, 10:55 PM
  • lusart: jayrob i agree 200%. hulog ng langit organico. legit na legit
    Mar 29, 2019, 09:08 AM
  • palemelch: Hi
    Mar 28, 2019, 04:08 PM
  • O.C.W._AK: Magandang Araw sa Lahat! Blessings! (",)
    Mar 28, 2019, 08:42 AM
  • thor15: hello everyone, newbie here
    Mar 25, 2019, 01:47 AM
  • captjaylo: present newbie here
    Mar 22, 2019, 10:06 AM
  • balboagilbert26: hello Guys .. Newbie here
    Mar 21, 2019, 10:55 PM
  • businesswoman2019: @jefsanity nag inquire na po ako pero di sila nagdidisclose. Yung branch po kasi na target ko, currently building pa.
    Mar 21, 2019, 04:27 PM
  • jefsanity: @businesswoman2019, much better inquire ka na lang sa admin nila.
    Mar 21, 2019, 01:51 PM
  • businesswoman2019: Hello! Any idea how much ang stall sa waltermart. 2m x 2m
    Mar 21, 2019, 08:28 AM
  • John Neil: Looking for an accredited iron foundry
    Mar 17, 2019, 03:19 PM
  • jayrob: Mark_Lee ung organico legit po yan..  Member din AQ..
    Mar 17, 2019, 12:57 AM
  • perlymelad: Hello po! Need advice, why my new MLM leaders failing?
    Mar 14, 2019, 08:51 PM
  • perlymelad: Present
    Mar 12, 2019, 07:53 PM
  • kennethmauricio: Hi saan po dito pwede mag post ng for sale properties?
    Mar 11, 2019, 07:58 PM
  • jefsanity: @mark_lee isipin mo anu passion mo at skills mo...
    Mar 11, 2019, 06:52 PM
  • sniperaj09: BAGO LANG
    Mar 10, 2019, 11:16 AM
  • mark_Lee: magandang investnent ngayon sa 30k suggest naman keo mga boss
    Mar 10, 2019, 03:07 AM
  • perlymelad: E-BOOK PO SIR @JEFSANITY
    Mar 09, 2019, 05:40 PM
  • perlymelad: @jefsanity Good Morning Po
    Mar 09, 2019, 05:39 PM
  • perlymelad: Good Day everyone
    Mar 04, 2019, 06:24 PM
  • jefsanity: anu ang small business na yan?
    Feb 28, 2019, 07:40 PM
  • perlymelad: Good Day Everyone
    Feb 28, 2019, 03:31 PM
  • perlymelad: Hello everyone, CAN ANYONE HELP ME SUGGEST ANY SIDE TOPIC  / PROBLEM OF  STARTING SMALL BUSINESS?
    Feb 28, 2019, 06:58 AM
  • perlymelad: Present, 1st time po
    Feb 25, 2019, 06:17 PM
  • jd2281: newbie po
    Feb 25, 2019, 12:26 PM
  • ejllantino: present... 1st time
    Feb 24, 2019, 07:14 PM
  • rheiel: present. first time
    Feb 24, 2019, 11:04 AM
  • MELVIE: thanks po
    Feb 24, 2019, 12:50 AM
  • steph123: hello po, ask lang po, ilang months po ba ang hihintayin after mo ma process ang mga documents para maitama ang mali sa NSO?
    Feb 11, 2019, 03:13 PM
  • Deborah: newbie here.thanks
    Feb 08, 2019, 02:17 PM
  • marj0503: hello im newbie here
    Jan 31, 2019, 10:53 AM
  • yan24: any one here planning to start a tesda skill training center
    Jan 26, 2019, 12:07 PM
  • manzjon: Forex trading forum
    Jan 25, 2019, 02:16 PM
  • Lizette Ramos: Pwede po bang patulong... Maganda po ba ang gasul retailing business?
    Jan 24, 2019, 09:14 PM
  • Imnobody: Hi sino naghahanap ng casino financer dito?
    Jan 16, 2019, 09:59 PM
  • Odlanyer22: Good day!
    Jan 16, 2019, 09:55 PM
  • maryen: at kung sakaling may somobra sa food na nailuto.. dapat po bang bayaran ng client un .. or ipapa take mo na sakanila?...
    Jan 16, 2019, 03:52 PM
  • maryen: HI! GOOD DAY! newbiz lang po... question lang po regarding sa catering.. if may 50pax po ako dapat lang po ba na sakto ang serving ng food?
    Jan 16, 2019, 03:50 PM
  • mark_Lee: cno na nag organico dito scam po ba yun or legit
    Jan 09, 2019, 03:04 AM
  • kuray08: Have a Prosperous New Year to all..
    Jan 06, 2019, 09:27 PM
  • ethan: Sino po may auto supply business dito? How profitable po ba ito in terms of monthly income? Lalo na kung meron na one or two na competition.
    Jan 04, 2019, 11:34 AM
  • Niel Jhacoubs: HAPPY NEW YEAR!
    Jan 02, 2019, 04:37 PM