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Passive Investments

Report includes: 1 month(s) 49 day(s), from 05.04.2008 to 24.05.2008

  Name Start value End value Dynamic Contains
Root Passive Investments 44,89 % 37,2 % -7,69 %
Allocation Metrics(25,5%, -13,31%Down)
Asset Classes Return within the Portfolio(19%, -24,76%Down)
Portfolio Return metrics(71%, 16,88%Up)

Graph for Passive Investments

Graph for Passive Investments

Data for Passive Investments

DatesValue
05.04.200844,89
12.04.200865,76
19.04.200855
26.04.200848,83
03.05.200864,64
10.05.200861,83
17.05.200853,81
24.05.200837,2

Allocation Metrics

  Name Start value End value Dynamic Parent Contains
Root Allocation Metrics 38,85 % 25,54 % -13,31% Passive Investments
Indicators
Equity (Index Funds)
Fixed Income
Money Market
Description Allocation metrics defines the portfolio composition taking into account the Investor's risk aversion and desired level of expected return through the splitting the portfolio into Equity, Fixed Income, and Money Market shares. The classic allocation structure under passive management is 60% Equity, 30% Fixed Income, and 10% Money Market. It is important to note that more than 90% of the investment return is defined by the asset allocation within the portfolio.

Graph for Allocation Metrics

Graph for Allocation Metrics

Data for Allocation Metrics

DatesValueWeight
05.04.200838,854
12.04.200849,054
19.04.200842,824
26.04.200830,144
03.05.200860,744
10.05.200882,694
17.05.200854,174
24.05.200825,544

Equity (Index Funds)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Equity (Index Funds) 62,64 58,14 -4,5 % Minimize Allocation Metrics
Description Equity part of the portfolio under the classic passive management approach consists of the Index Funds or Exchange Traded Funds replicating the movement of corresponding stock Indexes. It is the most risky part of the portfolio.
Measured as a % of the total portfolio.
Target description Depends on the target allocation

Graph for Equity (Index Funds)

Graph for Equity (Index Funds)

Data for Equity (Index Funds)

DatesWeightMinMaxValue
05.04.20085456562,64
12.04.20085456551,56
19.04.20085456563,22
26.04.20085456564,58
03.05.20085456549,54
10.05.20085456545,4
17.05.20085456545,2
24.05.20085456558,14

Fixed Income

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Fixed Income 17,695 16,835 -0,86 % Maximize Allocation Metrics
Description Fixed Income part of the portfolio under the passive management is usually filled with risk free fixed income securities (e.g. US Treasuries) and represents the risk-free portion of the portfolio.
Measured as a % of the total portfolio.
Target description Depends on the target allocation

Graph for Fixed Income

Graph for Fixed Income

Data for Fixed Income

DatesWeightMinMaxValue
05.04.20082152017,695
12.04.20082152015,81
19.04.20082152017,505
26.04.20082152017,135
03.05.20082152019,495
10.05.20082152016,305
17.05.20082152015,95
24.05.20082152016,835

Money Market

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Money Market 13,695 10,175 -3,52 Score Maximize Allocation Metrics
Description Money Market share of the portfolio usually consists of the short term (less then 1 year to maturity) debt instruments and is the most liquid part of the portfolio. Money market fracture is relatively risk-free depending on the actual composition.
Measured as a % of the total portfolio.
Target description Depends on the target allocation

Graph for Money Market

Graph for Money Market

Data for Money Market

DatesWeightMinMaxValue
05.04.20083101513,695
12.04.20083101512,035
19.04.20083101514,725
26.04.20083101513,425
03.05.20083101510,685
10.05.20083101514,745
17.05.20083101510,145
24.05.20083101510,175

Asset Classes Return within the Portfolio

  Name Start value End value Dynamic Parent Contains
Root Asset Classes Return within the Portfolio 43,73 % 18,97 % -24,76% Passive Investments
Indicators
Historic Return on Equity
Historic Return on Fixed Income
Historic Return on Money Market

Graph for Asset Classes Return within the Portfolio

Graph for Asset Classes Return within the Portfolio

Data for Asset Classes Return within the Portfolio

DatesValueWeight
05.04.200843,733
12.04.200875,43
19.04.200870,873
26.04.2008703
03.05.200864,973
10.05.200838,873
17.05.200857,823
24.05.200818,973

Historic Return on Equity

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Historic Return on Equity 8,578 1,981 -6,597 % Maximize Asset Classes Return within the Portfolio
Description Historic return on Equity can be obtain using arithmetic or geometric averaging of the returns of the individual assets in the equity portion of the portfolio within the specified holding period of the investment.
Measured as a % of the investment in equities.

Graph for Historic Return on Equity

Graph for Historic Return on Equity

Data for Historic Return on Equity

DatesWeightMinMaxValue
05.04.200841108,578
12.04.200841108,11
19.04.200841105,599
26.04.200841103,574
03.05.200841106,067
10.05.200841101,315
17.05.200841105,032
24.05.200841101,981

Historic Return on Fixed Income

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Historic Return on Fixed Income 3,997 5,356 + 1,359 % Maximize Asset Classes Return within the Portfolio
Description Historic return on Fixed Income can be obtained using arithmetic or geometric averaging of the returns of the individual assets in the equity portion of the portfolio within the specified holding period of the investment.
Measured as a % of the investment in fixed income securities.

Graph for Historic Return on Fixed Income

Graph for Historic Return on Fixed Income

Data for Historic Return on Fixed Income

DatesWeightMinMaxValue
05.04.200831103,997
12.04.200831109,82
19.04.200831107,741
26.04.200831109,847
03.05.200831109,793
10.05.200831106,967
17.05.200831109,037
24.05.200831105,356

Historic Return on Money Market

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Historic Return on Money Market 1,018 1,027 + 0,009 % Maximize Asset Classes Return within the Portfolio
Description Historic return on Money Market can be obtained using arithmetic or geometric averaging of the returns of the individual assets in the equity portion of the portfolio within the specified holding period of the investment.
Measured as a % of the investment in money market.

Graph for Historic Return on Money Market

Graph for Historic Return on Money Market

Data for Historic Return on Money Market

DatesWeightMinMaxValue
05.04.200831101,018
12.04.200831105,32
19.04.200831109,388
26.04.200831109,721
03.05.200831104,942
10.05.200831106,274
17.05.200831104,933
24.05.200831101,027

Portfolio Return metrics

  Name Start value End value Dynamic Parent Contains
Root Portfolio Return metrics 54,1 % 70,98 % + 16,88% Passive Investments
Indicators
Standard Deviation of the Portfolio
Utility Value (Risk Aversion metrics)
Portfolio Beta
Holding Period Return (HPR) *
Return on the Invested Capital (ROIC) *
Average Return on the Portfolio *
* - Information for this metric is limited in sample report

Graph for Portfolio Return metrics

Graph for Portfolio Return metrics

Data for Portfolio Return metrics

DatesValueWeight
05.04.200854,13
12.04.200878,43
19.04.200855,363
26.04.200852,573
03.05.200869,513
10.05.200856,973
17.05.200849,313
24.05.200870,983

Standard Deviation of the Portfolio

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Standard Deviation of the Portfolio 6,61 4,09 -2,52 % Minimize Portfolio Return metrics
Description Standard Deviation of the rate of return of the portfolio is a measure of risk for the entire portfolio. It represents the fracture of the portfolio that may be lost under certain unfavorable circumstances. The actual calculation of the portfolio standard deviation for more than 3 risky assets in it requires extensive software usage.

Graph for Standard Deviation of the Portfolio

Graph for Standard Deviation of the Portfolio

Data for Standard Deviation of the Portfolio

DatesWeightMinMaxValue
05.04.200824106,61
12.04.200824104,45
19.04.200824105,914
26.04.200824104,942
03.05.200824107,972
10.05.200824104,948
17.05.200824108,158
24.05.200824104,09

Utility Value (Risk Aversion metrics)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Utility Value (Risk Aversion metrics) 9,055 9,995 + 0,94 % Maximize Portfolio Return metrics
Description Utility Value allows gauging the rate of return that would suite an investor taking into consideration a risk aversion value given. It may be interpreted as a certainty equivalent rate that is offered by the portfolio of assets. It can be calculated as follows:
U=E(r) - 1/2 A x Standard Deviation,
where E(r) is an expected return and A equals to the risk aversion value ranged from 1 (for the least risk averse investor) to 5 (for the more conservative investors)
Target description investor will prefer the portfolio the UV bigger than other portfolios' with the same degree of risk

Graph for Utility Value (Risk Aversion metrics)

Graph for Utility Value (Risk Aversion metrics)

Data for Utility Value (Risk Aversion metrics)

DatesWeightMinMaxValue
05.04.200825109,055
12.04.200825109,245
19.04.200825106,07
26.04.200825107,6
03.05.200825108,655
10.05.200825109,34
17.05.200825107,685
24.05.200825109,995

Portfolio Beta

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Portfolio Beta 1,048 1,498 + 0,45 Score Maximize Portfolio Return metrics
Description Portfolio Beta captures the relative volatility of the whole securities portfolio under question against some benchmark. It can be derived by multiplying the individual asset beta by its weight in the portfolio. The higher the portfolio beta the higher is the volatility of the portfolio against the specified benchmark. The Beta of 1 shows that the volatility of the portfolio is equal to the market volatility.
Target description depends on the investors' goals

Graph for Portfolio Beta

Graph for Portfolio Beta

Data for Portfolio Beta

DatesWeightMinMaxValue
05.04.20081131,048
12.04.20081132,518
19.04.20081132,708
26.04.20081131,99
03.05.20081131,226
10.05.20081131,91
17.05.20081132,292
24.05.20081131,498
Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 28.04.2008 23:55:35

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