Appendix A
Note on Tables: These tables represent the results for the
end of year 2005. The first table
contains 53 broad asset classes and the second contains 30 national or regional
asset classes. Some classes are
represented by specific funds since they were the only way to invest in the
class (through Schwab) at the time the trend tracking was started. Most regions are represented by ETF index
funds. There are duplications between the tables to allow comparisons within
each table.
Explanation of Columns
All of the data in the columns from “Total Return Year to Date” to “Sharpe Ratio” comes from Morningstar with the exception that I have to calculate the 6-month return from their successive reports. Total Return means all of the gains from price increases, interests, dividends, etc, and after expenses such as management fees. (It does not include any fees you pay to buy or sell a fund.) R squared, Standard Deviation, Beta, and Sharp ratio are used to judge the volatility and diversity, but are of limited use. The “annualized period returns” to the right, labeled 1, 3, 6 and 12 (months) are the same as the central columns just multiplied by 12, 4, 2 and 1 respectively, to make the rate of return comparable on an annualized basis.
I have invented three asset classes from Morningstar data. These are Micro-Cap Growth, Micro-Cap Value and Hedged Not Bear Market. The latter was because Morningstar provides Bear Market and then also includes them in the Hedged class. Morningstar has since segregated “long-short” funds as a class and no longer reports “hedged”.
The term Period Avg. is the simple average of the 1, 3, 6 and 12 month returns. This was my initial attempt to come up with a number representing the short term performance momentum of an asset class based on those periods that my studies had shown to have some predictive value. The No-Load Fund-X “Fund*X Score” turned out to be similar but with bonus points. The APA score is a newer momentum calculation. I tend to sort on the APA.
The 5 columns labeled dx/dt are
the monthly “first derivatives” of the respective performance columns. They tell you the “rate of change” of the
performance columns. For example, look at
The first “Category Score” S-Shrp is the APA divided by the Standard Deviation to provide a higher score for classes that have a lower volatility – a simple Sharp Ratio. The second, or Lo-Corr, is the S-Shrp divided by R-squared to provide a higher score for those asset classes that are more diversified from their tracking index. For US equities the index is the S&P500. This measurement is of no value for other assets because Morningstar changes to other indexes for those.
Some zeros appear in some columns because the asset has not been tracked by Morningstar for at least three years.
NOTICE
Appendices A, B, and C contain some data from Morningstar Principia.
©Morningstar 2005. All rights reserved.