SMSF Returns

[Trendnomics]

It's a little confusing. It's supposedly a trend following system but it did nothing for 3 years then suddenly exploded. I would have expected a smoother equity curve. Did anything change in the methodlogy in August?

Or put another way, at the start of August you were underperforming the index over three years, a month later you've blitzed it.

Things to note about the equity curve:

• The index return data-points coincide with closed trade dates (before 18/08/2016);
• The flat part (at right side) of the index, is the region of current open trades (18/08/2016 on wards).

This might explain the massive deviation at the end - but this doesn't negate the fact that the portfolio has significantly outperformed.

No change in methodology, the first 2 years were really bad for trend-following - the last 8 months or so have been great -trend-following returns can be extremely lumpy.

 

[Trendnomics]

Its not an equity curve as most of the world would understand it.

I probed this in his thread when the chart didn't match his table. Once he got his excel errors sorted out I think I understand what he is presenting.


Look at the X axis - its a date axis but its not evenly spaced. The sequencing is actually numbers of trades but he's labelled it with dates.

So closed trades are listed then open trades and this is then charted. For each trade closed date he has recorded his bench mark. when it comes to plotting open positions (todays benchmark value) - you will see the bench mark flatten but the equity line incrementally climb for each open trade marked to market. On closed trades he's below his bench mark (you can see from where the equity line is when the bench mark flattens) but the open trades have a fair bit of open profit. It would be interesting to know if he has in the money stops on these or if they will eventually close below index return like the past three year history.

Any rate that's the best I could ever sort out what he was presenting.

Thanks for helping out.

I'm not sure what other method you can use to present an equity curve with closed and current open trades + a comparative curve of an index.

I'll update my equity curves as I close out the big open profits - will be closing a +160%'er in the next 2 weeks.

 

[craft]

I'll update my equity curves as I close out the big open profits - will be closing a +160%'er in the next 2 weeks.

Well done - but how do you know in the next two weeks? do you know when the trend will finish? or are you using something other than trailing stops to exit trends or is there a two week delay from an already activated trigger?

 

[Trendnomics]

Well done - but how do you know in the next two weeks? do you know when the trend will finish? or are you using something other than trailing stops to exit trends or is there a two week delay from an already activated trigger?

I have a method for measuring when exit signals are likely to be triggered - this is handy for portfolio planning (in particular capital allocation and re-balancing).

 

[skc]

Thanks for helping out.

I'm not sure what other method you can use to present an equity curve with closed and current open trades + a comparative curve of an index.

I'll update my equity curves as I close out the big open profits - will be closing a +160%'er in the next 2 weeks.

May be just do a periodic (monthly or weekly) marked-to-market of account balance vs benchmark?

Everyone has closed and open positions at any one time...

 

[Trendnomics]

May be just do a periodic (monthly or weekly) marked-to-market of account balance vs benchmark?

Everyone has closed and open positions at any one time...

I might contradict myself here, but I prefer a closed only equity curve.

My current method can easily be converted to closed only (chop off the open trades side) - but my curves aren't impressive at the moment without open trades. :

To each his own, i guess...

 

[McLovin]

Its not an equity curve as most of the world would understand it.

I probed this in his thread when the chart didn't match his table. Once he got his excel errors sorted out I think I understand what he is presenting.


Look at the X axis - its a date axis but its not evenly spaced. The sequencing is actually numbers of trades but he's labelled it with dates.

So closed trades are listed then open trades and this is then charted. For each trade closed date he has recorded his bench mark. when it comes to plotting open positions (todays benchmark value) - you will see the bench mark flatten but the equity line incrementally climb for each open trade marked to market. On closed trades he's below his bench mark (you can see from where the equity line is when the bench mark flattens) but the open trades have a fair bit of open profit. It would be interesting to know if he has in the money stops on these or if they will eventually close below index return like the past three year history.

Any rate that's the best I could ever sort out what he was presenting.

Thanks for clearing that up. So where it goes parabolic, it's not actually measuring total portfolio return just open return?

 

[Trendnomics]

Thanks for clearing that up. So where it goes parabolic, it's not actually measuring total portfolio return just open return?

It's total return (closed + open profits). As at today's close my SMSF portfolio is sitting at +84% return (closed + open profits).

 

[McLovin]

It's total return (closed + open profits). As at today's close my SMSF portfolio is sitting at +84% return (closed + open profits).

Got it. Thanks. I understand now.

I'd suggest doing what skc suggested might give a more real representation of when returns were achieved.

 

[Trendnomics]

Got it. Thanks. I understand now.

I'd suggest doing what skc suggested might give a more real representation of when returns were achieved.

My back-testing software (and most), plot closed trade equity curves only - hence my gravitation towards.

 

[craft]

It's total return (closed + open profits). As at today's close my SMSF portfolio is sitting at +84% return (closed + open profits).

To make that 84% relevant to most it would make sense to express it with a time function. the usual convention is per year. In your case you have been running the fund for 3 years and 3 months so the annual return that would give you 84% over that period is approx. 20-21% (aka Compound Annual Growth Rate - CAGR )

 

[craft]

I'll update my equity curves as I close out the big open profits - will be closing a +160%'er in the next 2 weeks.

From your tables in your thread I'm guessing you are talking about SAR. Trend determination is in the eye of the beholder but I suspect many trend followers may have already called it quits on this trend.

You hold 16 positions in your SMSF, correct? 1/16th x 160% should lock in approx. 10% overall portfolio gain. Still leaves a lot of that open profit exposed does it not? what is the overall heat in the portfolio?

If you multiply out the last position reported in your thread with their win/loss% and multiply by 1/16 you get around 40% open profit and the closed profit by the graph you posted here looks to be about 15% so the numbers look a little strange to me again - perhaps its the referring your % gain back to your starting capital 3+ years ago that's making it seem weird.

Anyrate big picture - doesn't matter, if your happy with how you overview your performance that's what counts. (and gives me something to do - working out how others see the world) If you want to go a bit more mainstream (daily mark to market & CAGR)- Google's your friend, I'm sure you could find cheap portfolio management software that could do the job for you in seconds.

 

[Trendnomics]

An update after recent volatility:

 

[kid hustlr]

Just wanted to bump this thread. There was another thread where the TA/FA debate started recently which reminded me of this gem.

Anyone interested in the FA (or general wealth creation path) should be reading this.

 

[rb250660]

Is anyone having issues with AustralianSuper Member Direct platform? I'm getting this error and can't trade. Trust it to break today, I only trade once a month.

We are obtaining your investment option balances; this page will refresh shortly

It never refreshes and I can't trade. Very annoying.

 

[leyy]

How is everyone tracking for FY18 SMSF returns?

Does anyone have any suggestions on best way to calculate CAGR SMSF returns? Should this be after all SMSF expenses? Insurances, audit/accountant fees and taxes?


How do we accurately calculate CAGR when when I still have employer contributions for the three members of the SMSF?

Cheers
leyy

 

[sptrawler]

How is everyone tracking for FY18 SMSF returns?

Does anyone have any suggestions on best way to calculate CAGR SMSF returns? Should this be after all SMSF expenses? Insurances, audit/accountant fees and taxes?


How do we accurately calculate CAGR when when I still have employer contributions for the three members of the SMSF?

Cheers
leyy

Forgive my ignorance, what is CAGR, I'm lost when it moves from a TLA.

 

[PZ99]

Compound Annual Growth Rate.

 

[Junior]

How is everyone tracking for FY18 SMSF returns?

Does anyone have any suggestions on best way to calculate CAGR SMSF returns? Should this be after all SMSF expenses? Insurances, audit/accountant fees and taxes?


How do we accurately calculate CAGR when when I still have employer contributions for the three members of the SMSF?

Cheers
leyy

I suggest calculating performance on both a before and after cost basis. I would include the following in your fees/costs:
* Accounting and audit
* ATO Levy & ASIC Fee
* Any other administration fees
* MER/ICRs if using ETFs or managed funds

Including the above costs allows you to assess performance compared with investing through an industry or retail fund, which I think is important as there are pros and cons of using an SMSF. A major 'con' being running costs.

I would exclude insurance premiums, as this is a separate product which can be funded through super or personally, and is not related to investment performance.

 

[leyy]

I suggest calculating performance on both a before and after cost basis. I would include the following in your fees/costs:
* Accounting and audit
* ATO Levy & ASIC Fee
* Any other administration fees
* MER/ICRs if using ETFs or managed funds

Including the above costs allows you to assess performance compared with investing through an industry or retail fund, which I think is important as there are pros and cons of using an SMSF. A major 'con' being running costs.

I would exclude insurance premiums, as this is a separate product which can be funded through super or personally, and is not related to investment performance.

Thanks Junior.

And what about taxes? And what about if you are still in accumulation phase and you still have employer contributions.


Cheers