Portfolio Performance Data: 22 July 2011

How did your portfolio perform this last week?  Did you gain in absolute terms but lose the relative race?  Well, that is what happened to most of the portfolios tracked using the TLH Spreadsheet.  We lost most of the ground gained last week when examining the VTSMX and ITA Index benchmarks.  Nearly all the portfolios showed a decline in both the Sortinio and Retirement ratios.

It is a useful exercise to look over the various portfolios and see if you can pick out the one that is performing best.  Which of the two difference columns would you select?  Is it the difference between the portfolio IRR and the ITA Index (column 7) or column 9?  Or do you pay more attention to one of the two ratios, SR or RR?

Why is the SR so high for the Schrodinger?  Consider the time (over ten years) this portfolio has been operating.  While the Kepler has the highest IRR, the SR and RR are nearly zero.  Note that this portfolio is not outperforming the VTSMX benchmark by much and that is the reason the two uncertainty ratios are so low.  There is a lot to interpret inside this data table.

While we prefer to pick up additional percentage points when measured against the benchmarks, this week only demonstrates how difficult it is to outperform the broad market when it has a good week.

Portfolio Performance - 07/22/2011

Portfolio Last Update Launch Date Tracking Tool Port. IRR ITA Index Diff Port. vs. ITA Index VTSMX IRR Diff. Port. vs. VTSMX Index IR SR RR
AA-Mosaic 06/30/2011 07/21/1999 Captool 2.86% NA NA 1.61% 1.25% 0.05 NA NA
Curie 07/22/2011 12/26/2007 TLH SS 6.1% 2.7% 3.4% 2.4% 3.7% NA 11.5 1.9
Mosaic2 06/30/2011 07/19/1999 Captool 5.05% NA NA 1.43% 3.62% 0.16 NA NA
Newton 07/22/2011 06/02/2008 TLH SS 9.8% 8.0% 1.8% 8.7% 1.4% NA 0.8 0.8
Passive Port. 06/30/2011 12/01/2000 Captool 5.35% NA NA 3.1% 2.25% 0.70 NA NA
Schrodinger 07/22/2011 12/01/2000 TLH SS 5.5% 5.1% 0.4% 3.5% 2.0% NA 15.8 7.3
Jane 06/30/2011 02/14/1997 Captool 9.23% NA NA 4.91% 4.32% 0.54 NA NA
Einstein 7/22//2011 06/30/2008 TLH SS 14.9% 12.6% 2.3% 11.6% 3.3% NA 5.1 5.1
Gauss 06/30/2011 02/19/1997 Captool 9.4% NA NA 4.88% 4.52% 0.23 NA NA
Kepler 07/22/2011 11/01/2008 TLH SS 19.5% 19.9% -0.4% 19.4% 0.1% NA 0.04 0.04
Scrappy 06/30/2011 08/14/2008 Captool 12.88% NA NA 6.0% 6.88% NA NA NA
Bohr 07/22/2011 08/14/2008 TLH SS 13.2% 13.1% 0.1% 6.8% 6.4% NA 8.7 7.7
Kenilworth 07/22/2011 08/18/2010 TLH SS 17.0% 20.3% -3.3% 23.0% -6.0% NA -0.04 -0.04
Franklin 07/22/2011 05/6/2011 TLH SS -2.0% 4.4% -2.4% 4.3% -2.3% NA -0.01* -0.03*
Projects 06/30/2011 12/01/2000 Captool 5.67% NA NA 2.02% 3.65% 1.33 NA NA
Washington 06/30/2011 06/18/1999 Captool 3.28% NA NA 1.72% 1.56% 0.28 NA NA
Maxwell 07/22/2011 12/25/2000 TLH SS 1.3% 9.8% -8.5% 4.9% -3.7% NA -0.13 -0.19
Adams 06/30/2011 06/18/1999 Captool 3.64% NA NA 4.2% -0.56% 0.72 NA NA
Euclid 07/22/2011 06/30/1999 TLH SS 2.1% 10.2% -8.1% 5.1% -2.9% NA -0.13 -0.15
Jefferson 06/30/2011 06/13/2006 Captool 6.05% NA NA -0.82% 6.87% NA NA NA
Madison 07/22/2011 03/13/2008 TLH SS 6.1% 11.1% -5.0% 10.4% -4.3% NA -0.17 -0.17

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