One Year In......

(Apologies to all the people who're seeing this post again.  I was trying to spruce up the blog while watching Monday Night Football, and somehow managed to delete the original post from the weekend.  As such, here it is again with some bonus statistics thrown in!)

It’s strange to believe it, but this week saw the one year anniversary for the portfolio, which started on 7th September 2009, with this blog following with its first posts in October.  As such, what better time for a small array of tit-bits related to the portfolio’s first year.

As you know the portfolio exactly reflects Our Man & Mrs OM's investments, and here's what the NAV (base = 100) looks like:

 

And for those who’re a little more mathematically orientated, here’s the key statistics (based on Yahoo’s S&P daily data):
Ptf’s Annualized Return: 11.1%
Ptf’s Standard Deviation (based on daily data): 7.4%

(a bonus statistic, for those reading this again; 54.1% of days have been positive.   A second bonus statistic is that on those positive days the portfolio has an average return of +0.36%, which is a little better than the corresponding loss of -0.34% it's suffered on the average negative day).

Alpha (vs. S&P 500): 11.7%
Beta (vs. S&P 500):  -0.10
Correlation (vs. S&P 500):  -0.27

None of the S&P-related statistics above should be entirely surprising, given that the Long position in Treasury Bonds has been both the largest and the only one held since inception. The original thoughts behind it are still largely valid today, though Our Man was unquestionably early (and too large!).