Thread: Tracking Risk

I'm tracking risk using monthly standard deviation.

However, for 2006, some of the accounts with high returns, have a low monthly standard deviation. If theory holds, that relationship should change over a longer period - high returns require high risk.

I'll post the results tonite.-----Rokid

The attached shows that, generally, higher returns require the assumption of higher risk as measured by volatility.

Using the passive Total Global Market (TGM) as a benchmark for returns and volatility, three TSPers, Griffin, Show-me, and GeorgiaGal assumed more risk and were rewarded with higher returns. Two other TSPers, FunderSurfer and S&S, received higher returns than the TGM with lower risk - nice job!

Finally, as expected, the G, the L-Income, the F, and the L-2010 funds had the lowest risk, but also the lowest returns.

Originally Posted by rokid

The attached shows that, generally, higher returns require the assumption of higher risk as measured by volatility.

Using the passive Total Global Market (TGM) as a benchmark for returns and volatility, three TSPers, Griffin, Show-me, and GeorgiaGal assumed more risk and were rewarded with higher returns. Two other TSPers, FunderSurfer and S&S, received higher returns than the TGM with lower risk - nice job!

Finally, as expected, the G, the L-Income, the F, and the L-2010 funds had the lowest risk, but also the lowest returns.

Correction - the L-Income and L-2010 had very low risk. However, they didn't have the lowest returns.

Originally Posted by rokid

..... high returns require high risk.....

When I retired my stock trading went through a period of panic and being paralyzed. I had Capitalpreservationitis..... Hopefully, I'm over it.....

So keep up the good work of analyzing risk vs reward.....

The attached shows (again) that, generally, higher returns require the assumption of higher risk as measured by volatility (standard deviation).

Using the passive Total Global Market (TGM) as a benchmark for returns and volatility, five TSPers, Griffin, Show-me, Aslan, Mayday, and GeorgiaGal assumed more risk and were rewarded with higher returns. Three other TSPers, FunderSurfer, FiveTears, and S&S, received higher returns than the TGM with lower risk - nice job!

Finally, as expected, the G, the L-Income, and the F funds had some of the lowest risk, but also some of the lowest returns.

Here's another way of looking at how well TSPers did. The Sharpe Ratio measures portfolio efficiency, i.e. how much return was received for each unit of risk taken. Using this measure, FiveTears managed to assemble the most efficient portfolio. Congratulations.

Rokid, as usual, is in the middle.

Now show us how to do that in a Bbbbbeeeeaaaaaa (you know) market.

GA

The I fund could be at risk for a cyclical bear move. A 15% correction would not be out of the question - put in a bottoms over bottoms at 15,000.