Portfolio Performance Comparisons: 23 November 2023

Christmas decorations are up in Fat City – restaurant in Multnomah Village.

How are the different portfolios performing when compared with each other?  All portfolios have been reviewed at least once in November.  While the Annual IRR data is current, the various risk measurements are only accurate as of the last review date (5th column from the right).

Performance Data Table

There is a lot of material to digest in the following table.  For starters, check the 6th column from the right where we see only the Carson and Copernicus are outperforming the Schrodinger based on IRR data.  Remember that the Schrodinger is the Robo Advisor portfolio managed by computer at Schwab.  We see more portfolios are outperforming the SPY and AOR benchmarks.

The Sortino Ratio, Jensen Performance Index, Jensen Slope, and Treynor Ratio all go into making up the Relative Weight value.  The different risk metrics are given different weights to form the Relative Weight value.

When it comes to IRR Rank, the Pauling is the worst performer with the Newton a close second.  The Copernicus is the top performer.  Recall that the Copernicus only holding U.S. Equities.  Shares are purchased with cash becomes available and we don’t sell shares unless there is an emergency.

In the Jensen Risk Rank, cells with the dark green background are those portfolios that rank higher than the Schrodinger.  Since the Schrodinger is managed by computer I use it as another performance reference.

In the Total R W Rank column I am comparing how well the different Relative Weight of the portfolios compare with the Relative Weight of the Schrodinger.  Six of the portfolios are “less risky” than the Schrodinger.

This table gives ITA readers an overview of how well the different portfolios are performing with respect to each other as well as absolute performance values.

If you have questions or comments, post them in the Comment section provided below.