Every couple of months I update the performance statistics on the JIC Portfolio from StatPro Revolution (Courtesy of StatPro plc)
The table above shows various performance statistics for the JIC Portfolio and the FTSE All Share Index since inception of the JIC Portfolio on 1st January 2012.
Although I do not manage the portfolio against any particular benchmark, (after all I am just trying to make money to pay the bills) it is nevertheless interesting to compare the volatility and Sharpe Ratio of the portfolio against the FTSE-All Share Index.
Volatility is a measure of the variation in price of a financial instrument over time; simply, the larger the swings up and down, the higher the volatilityand the greater the risk is deemed to be. In the table you can see the annualised volatility of JIC at 11.587% has been slightly higher than that of the FTSE All Share Index at 10.945%.
The Sharpe Ratio is a measure of the excess return, (the return over and above the risk free rate) that has been achieved taking volatility into account. A high Sharpe Ratio signals that a good return is being achieved relative to the volatility,(risk), being taken. The higher the better!
Although the annualised volatility of JIC has been slightly higher than the FTSE All Share Index the returns achieved has been far higher, (71.5% v 31.1%) leading to a good Sharpe Ratio of 2.785 compared to 1.260 for the benchmark.
I am pleased with the results so far, which have been further helped by the two good months since I last updated this posting at the end of September. Of course, 23 months is still a relatively short period of time and maintaing a Sharp Ratio up at current levels will be a tall order, especially if/when we enter a prolonged "bear" period. Nevertheless I will strive to do so!
Filed Under: Risk Return,
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