STI ETF Benchmark comparison

SGXCafe is a great portfolio management website for me (although I do my own excel spreadsheets to track as well). However, there was always something that bugged me.

There is a time weighted return benchmark of my portfolio vs the STI ETF, however, for XIRR there was none.


So I was bored and all and decided to create 3 separate portfolios of STI ETF,

1. Bought on the closing price on 10Nov14 (the day I started).
2. Buying 100 shares each time on the 18th of the month (this was a mistake in entry, but since I generated it already, might as well)
3. Using DCA on the 18th of the month (simulating if I would go through POEMS Share Builder program for the ETF with $1000/mth)

Some things to note:

• If 18th of the month is not a trading day, the next working day will be used
• There's a bit of rounding errors per month of the share builder simulation (~$1)
• Closing Price data based on Yahoo Finance
• "STI ETF" portfolio is exclusive of fees, just to look at how the STI ETF has performed since the day I started
• "STI 100s" portfolio is exclusive of fees
• "STI ETF DCA" portfolio is inclusive of the monthly handling fees but excluded dividend charges

So here are the results:

Time Weighted Returns
Year	My Portfolio	STI 100s	STI ETF DCA	STI ETF
2014	-5.31%	1.48%	0.50%	2.10%
2015	-3.22%	-10.91%	-11.90%	-10.95%
2016	3.76%	2.81%	2.36%	3.08%
2017	6.60%	10.08%	10.00%	10.04%
Overall	1.37%	2.32%	-0.31%	3.13%

XIRR
Year	My Portfolio	STI 100s	STI ETF DCA	STI ETF
2014	-33.28%	43.14%	31.66%	16.00%
2015	-6.62%	-14.37%	-15.03%	-10.91%
2016	4.01%	5.65%	5.36%	4.74%
2017	33.53%	51.91%	51.40%	52.58%
Overall	4.59%	6.48%	6.53%	1.50%

 

Seems like my portfolio underperforms the STI ETF in Time Weighted Returns ("STI ETF") and XIRR (both "STI 100s" and "STI ETF DCA").


Considering I managed to turn around the portfolio only last year, perhaps monitoring another 4 years will help to show a more representive picture of how am I performing. The losses and mistakes I made in the first 2 years are certainly painful >__<


Other observations:

• Interestingly, the STI ETF is the best performing time weighted wise, could be due to comms and fees? However, XIRR wise it is poorer
• Seems like XIRR of buying in 100 shares and DCA is similar (but perhaps buying in fixed number of shares would be actually lower because it exclude fees)
• The XIRR could be kinda skewed as well as 2017 have not ended, as seen from the ridiculously high numbers
• I wonder why is the "STI ETF DCA" so much higher than the "STI ETF"? Could it be a timing issue, or due to the dates of entry, which is then annualised, it skews the numbers? Or could it be both?

What do you guys think?

---

UPDATE (29 Mar 2017):


I added a portfolio using 50% Nikko AM STI ETF + 50% ABF Singapore Bond Index Fund ETF (got the idea from the permanent portfolio), sorta stimulating POSB Invest Saver but without fees to see how 50% equities and 50% Bonds works out.

Here are the results:

Time Weighted Returns
Year	My Portfolio	STI ETF	STI ETF + ABF Bond ETF
2014	-5.31%	2.10%	1.09%
2015	-3.22%	-10.95%	-7.52%
2016	3.76%	3.08%	2.63%
2017	7.52%	10.73%	8.02%
Overall	2.25%	3.78%	3.64%

XIRR
Year	My Portfolio	STI ETF	STI ETF + ABF Bond ETF
2014	-33.28%	16.00%	8.10%
2015	-6.62%	-10.91%	-6.92%
2016	4.01%	4.74%	5.66%
2017	34.81%	50.65%	50.06%
Overall	5.16%	1.74%	3.45%

Wow, it is interesting that a 50:50 mix of bonds + equities gives a more better result.

But naturally, perhaps this could be due to the period chosen (I picked the date I started until now) and might not be representative in the long run, as well it exclude fees.

Just for reference:

My portfolio

• Beta: 0.63
• Value at Risk: 7.49%
• Expected Shortfall: 10.00%

STI ETF

• Beta: 0.90
• Value at Risk: 8.97%
• Expected Shortfall: 12.55%

STI ETF (Nikko AM) + ABF Singapore Bond Index Fund

• Beta: 0.67
• Value at Risk: 7.07%
• Expected Shortfall: 9.05%

FYI:

• "Beta" is a "measure of volatility of a portfolio/security in comparison to the market as a whole, the tendency of a security's returns to respond to swings in the market".
• "Value at Risk" refers to "How bad stuff can get in normal situations (i.e. 99%) of the time". Of course, lower is better
• "Expected Shortfall" refers to "In stressed situations (i.e. 1%), what is the expected loss".

Let's see how they go in years to come :)