Friday, February 22, 2008

Weekly Portfolio Volatility

In an earlier post, I have highlighted downward volatility exist, even in value investing.

Over the past two years from 2006-2007, I have tried to value my portfolio on a weekly basis based on unit value method.

Based on the 104 weeks (or datapoints) from 2006-2007, my portfolio returns has a standard deviation of 5.2%. More meaningfully, if I have 0% returns, my weekly returns will range from -10.4% to 10.4% in 99 out of 104 weeks.

Thankfully, my portfolio has more positive weeks than negative weeks (or slight negative skewed in statistical terms). Hence, I would suffer less frequent (though still considerable) stress or worries over negative returns and I would have more frequent joy over positive returns.

Going forward into 2008, due to the unfavorable environment, I expect that my portfolio will see probably more negative weeks and more volatile weekly returns.

Distribution of My Weekly Returns

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