PDSF - for good risk adjusted performance with Asia ex-Japan exposure

PRSF - for purely local exposure to FBMEMAS index.

When is a good time?

Now as P/E of Asia Ex-Japan is low due to the current sell-down. KLSE is slightly lower than the 10 y/a avr P/E. (i.e., 10 year avr P/E is 16.7, current P/E as of 1-9-2011 is 16
0)

Xuzen

This post has been edited by xuzen: Sep 11 2011, 05:10 PM

I have an administrative question for PM-UTC/AM/GAM here:

My DDI is linked to a PB Current a/c and if I do not put enough fund in it, what will happen?

My Upline said nothing will happen and the DDI will continue as normal next month when there is sufficient fund.

The PM branch customer service receptionist told me DDI acts like a cheque and if there is insufficient fund, it is considered as dishonoured cheque and will be penalized.

Same question, two different answers. Can I get a third or fourth opinion?

Xuzen

What is the rationale for switching? Do you need to use the money when it hit 0.28?

PDSF is one of the better performing funds among the PM staple.

Xuzen

i) PDSF
ii) PRSF
iii) PSF

The above are the funds that is ranked 1st, 2nd and 3rd in terms of risk adjusted performance based on last 3 years historical data.

The above is not based on my opinion, but calculated using analytical tools such as Jessen-Alpha ratio, Modigliani ratio.

If you do not know the above ratio, never mind, just buy The Edge paper and you will also see that they have 4 to 5 star rating using the Morning-Star™ scale.

Xuzen

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Added on September 25, 2011, 5:59 pmFD is always better if your objective is to obtain 2.5% p.a, capital protected to RM 200K per account.

But if your objective is to get a IRR that is above inflation, then FD suxs big time.

In investment, there is bound to be up and down. To wish for none of the peak and trough is like complaining that the sea has tide and current.

So when chosing an investement vehicle it is wise to go for those that gives high risk adjusted performance. Again, to know what I am talking about, buy The Edge paper, look at the 5 year historical Sharpe Ratio of the fund. Buy the fund which has the highest Sharpe Ratio.

Xuzen


This post has been edited by xuzen: Sep 25 2011, 05:59 PM

You are losing money because you your avr NAV is higher than the current NAV. Market has been beaten down, and since the beta of PDSF is 0.80 of KLSE100 benchmark, it's NAV will surely be low at this moment in time.

You cannot compare PDSF with RHB I-Bond. You must compare apple with apple and orange with orange.

Xuzen

I have a question:

I intend to use the Bond portion like FD as a emergency fund. My question is, does the low load funds have the 90 days stay period or can I take out if emergency dictates? without inccuring the 0.75% penalty charges?

Xuzen

Ni la, bila mkt turun takut/ bola kecut.
Sekrang dah naik, cakap miss da boat.

That is why, lain hari buat Regular saving plan for Dollar Cost Averaging.

Xuzen

From their Quarterly Review Newletter you can get a summary i.e., the fund top five holdings.

For detail holding, download the respective annual report in pdf format from the Public Mutual website.

Xuzen

Number crunching time:

PCIF's 3 years Jessen-Alpha ratio is negative.

PCIF's 3 years Modigliani^2 ratio is also negative.

Don't DDI, you should punish the fund manager by stopping your DDI (meaning they can't get their 1.5% annual MER from you if you do not buy into their funds) while putting it into funds that perform. If the funds do not perform above the benchmark, they will not get my 1.5% MER. If they perform exceeding benchmark, then I will gladly pay them the 1.5% MER.

Financial ratio such as those I mentioned above help me to make informed decisions.

Fund managers need to be punished if they do not perform. Remember folks, we are the boss, not the fund manager. Get educated on these ratios. Get the EMO out of your decision making processes.

Xuzen

This post has been edited by xuzen: Jan 8 2012, 05:16 PM

Yes, you should.

PCSF also have negative ratio.

Xuzen

Yes, I totally agree with you. If you take a look at the 4th Qtrly Review Y2011, many Pub-Mut funds are below benchmark. Hellooooooooo, what the f#ck! We pay you 5.5% + 1.5% to under-perform the benchmark kah? We sor-chai ar?

Good-bye Pub-Mut, hello FSM.

Xuzen

Pub-Mut is only a jaguh kampung type fund manager. Only a handful of LOCAL funds perform above benchmark, while ALL their foreign fund perform worse than benchmark.

Pub-Mut = 3rd rate Jaguh Kampung fund manager.

Xuzen

In my opinion, PRSF is a fund that is worth going in as all the performance ratio are showing good fund management.

However, the I usually enter the equity at the support level, and unfortunately currently, PRSF underlying benchmark is at its resistance level. In simple English... it is a no-go at the moment. Wait for pull-back.

Xuzen

Just some bragging post:

I just did a whole lot of analysis on my portfolio and the results are such:

My expected return is 12%p.a. with a Downside Standard Deviation of 2% (aka semi-deviation).

The Risk adjusted performance is 2.5 times better than KLCI's .

The Value at Risk at 95% confidence level is 8.5%

To put it in plain english, my portfolio of assets will give me a rtn of 12% p.a. with a downside risk of 2% standard deviation, and in the worst case scenario, the maximum lost I will be exposed is 8.5% and the chance of that happening is like once in every twenty years.

And yes, I out-perform KLCI in a risk-adjusted environment.

Xuzen

Mr WongMK,

Let me start by quoting a fellow forumer here (Dreamer): "Average people are not rich, and rich people are not average"

I desire not to be just an average when it comes to personal investment and I desire to have my future cash in-flow mainly from the I-quadrant as defined by Robert Kiyosaki.

Next, let me indulge in some personal backstory:

I started to be serious about investing beginning 2008 (about 4 years ago). What started the ball rolling was my enrolment into the CFP class and from there I started to acquire investment related knowledge rapidly.

I read widely on investment related topics, I bought books, I attended seminars, workshops, hell, I spend a lot of time and money to acquire these skills.

A little bit about attending seminars: I did not attend those like Mariam McWilliams et al, where all they do is to teach you trading skill. I attended seminars that are more academic, given by lecturers who work in the fund management setting as well Investment banking sector.

I also attend workshops given by Private bankers and Licensed Financial Planner where they share their knowledge on Personal Investment.

The above calculation I did are actually not too difficult once you know the mechanism of it. These informations are usually taught at CFA Lvl 1. I attended some CFA class (Lvl 1) although I have no desire to go all the way to Lvl 3. CFA is too much for personal investor like me, unless you desire to have a career in Corporate Investment, and that is a different cup of tea.

There you are Mr WongMK, a little background about my personal investment journey so far. I have to stop here, got to go back to my day to day job.

In my next posting (maybe later tonight after work) I'll share with you my calculations.

Xuzen

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Added on April 24, 2012, 9:55 amYes, PCSF suxs big time.

Its fund evaluation parameters (jessen-alpha, treynor, sharpe, modigliani, sortino ratio) shows that this fund is bullocks.

I have zero exposure in it, thank god.

Xuzen

This post has been edited by xuzen: Apr 24 2012, 09:55 AM

Now lets get down and dirty to the mathematics section: I will not explain all the terms here as I assume you can google them.

1) Look through your assets. Look at their past return, lets take 3 years, now, annualized their return. You may take 5 years or whatever years, but my data is 3 years only. So I'll stick with three years. Remember to take the annualized return and not the absolute return.

2) Now, do a standard deviation calculation of your assets return. Formula = [(Sum of [individual rtn - mean rtn]^2)/n]^1/2. If you want to use Semi-deviation instead of standard deviation, then count only the assets which have a rtn below the mean instead of all points. But the n remains the same.

3) Now you would have a return and her corresponding standard/semi deviation.

4) To calculate risk adjusted performance (aka Modigliani^2 ratio) = [(Rtn of your portfolio - Risk free rate)/Stan-Dev of portfolio] X Stan-Dev of benchmark + Risk Free Rate. NB: I used KLCI as my bench mark and One year FD in local bank as my risk free rate.

5) Value at Risk is given by the formula = Mean Portfolio Rtn + (zeta x Stan-Dev of portfolio) where zeta is taken as -1.64. The assumption is that zeta is -1.64 for a normal distribution curve at 95% confidence level.

Don't ask me more about this zeta value, I just take it as gospel truth from my lecturer, I am a pragmatic person, therefore I am not so concern for its theory and how zeta is derived.

WongMK, wrt you belanja me makan, not necessary, as long you think what I say is useful and is not bullocks and as long as other who are interested about personal investing find my post useful for them, that is reward in it self. Beside, I am not living in Klang Valley. Very far from it.

Xuzen

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Added on April 24, 2012, 7:04 pmIf you do not do any financial analysis of your fund, how could you confidently answer this. As usual, we can never predict how it will perform in the future.

That is why there are so many ratios and theory made by the financial gurus to measure and mitigate the risk but not the return.

Please note that in most of this theories/ratio, the risk is more important than rtn.

As one famous investor puts it (can't remember who): Take care of the risk, and the profits will take care of itself.

But as a start, buy The Edge weekend newspaper, look at the Normandy Fund Table and choose the fund that has high Sharpe Ratio... that can be a good start.

Happy investing, Malformed.

Xuzen



This post has been edited by xuzen: Apr 24 2012, 07:04 PM

My rebuttals are as follows:

1) LTCM is a hedge fund. Hedge funds tend to be illiquid. Why Sharpe ratio failed in those scenarios are already explained in the links you provided, so I need not elaborate.

2) Sharpe ratio when used to evaluate plain vanilla unit trust is still ok, because the unit trusts' assets are equities and they are highly liquid. Furthermore, the funds move in tandem with their respective benchmark. Hedge funds usually have no benchmark to compare with.

3) Another point I want to highlight wrt Sharpe ratio is that it can only be used to compare within assets of similar class. For example, bond funds tend to have very high Sharpe ratios, do that mean we put all our money into a bond fund? No, because a Sharpe ratio is only meaningful when compared with assets of similar class.

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Added on April 24, 2012, 9:37 pmGive me the name of the fund and let me run some numbers before I comment further.

Unfortunately, the Normandy Table is only available in the Print format (The weekend version, not the daily one).

Xuzen

This post has been edited by xuzen: Apr 24 2012, 09:37 PM

Sorry, this is probably a new fund. I don't have the proper data to calculate it.

The one which I have data, I can tell you that PBAREIF (PB Asia Real Estate Income Fund) is a winner.

For PBAREIF, its 3 year annualized rtn is 20.39% p.a where the 12.00% rtn is due to the effort of the Fund manager (Jessen-alpha rtn or excess rtn over the benchmark) and the Risk Adjusted Performance is 15.64 as compared to its benchmark of 7.43%. In another word, PBAREIF is a winner.

A word of caution, do not put all your eggs into one fund. Spread it out across a few asset class. Example, money market, bond, Asia Equities, Real Estate etc.

Xuzen

This post has been edited by xuzen: Apr 25 2012, 09:49 AM

I learnt the most from CFP class Module 4: Investment Planning.

The best fornula to answer your second question is to calculate the correlation coefficient.

To calculate that you need to know the standard deviation of the funds and the average return.

I could easily calculate the above for you using Excel, but unfortunately, your PBADBF is a new fund and without the relevant parameters, I can't calculate i.e. it does not have historical data to back it up.

Therefore in the absence of statistical information, if PBADBF is giving you a positive return above your own expectation, just keep it first, since you've already paid the upfront sales charge.

You should not make buy low sell high as your priority as it is a very difficult thing to do in real life. In investment planning, the professional financial planners are all advocating asset allocation.

Xuzen

Pls consider to omit PSF from the list, it suxs these days.

Xuzen