Author Topic: What does your "Understanding Your Returns" page look like? Here's mine  (Read 195486 times)

lascott

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #135 on: November 22, 2015, 08:48:02 PM »
I can't find it right now but Lending Club had hired a consulting company to identify proper measure for loan performance who proposed NAR in a published LC sponsored white paper.
I looked for a while but couldn't find it.  I thought they may have referenced it [white paper] on this page:

How We Calculate Net Annualized Return
& How We Calculate Adjusted Net Annualized Return
& How we Calculate Traded Note NAR
https://www.lendingclub.com/public/lendersPerformanceHelpPop.action
« Last Edit: November 22, 2015, 08:58:41 PM by lascott »
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AnilG

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #136 on: November 22, 2015, 08:55:13 PM »
White Paper was a PDF file. Another one in understanding intricacies of NAR behavior
https://www.lendingclub.com/public/about-nar.action

I looked for a while but couldn't find it.  I thought they may have referenced it on this page:

How We Calculate Net Annualized Return / How We Calculate Adjusted Net Annualized Return / How we Calculate Traded Note NAR
https://www.lendingclub.com/public/lendersPerformanceHelpPop.action
---
Anil Gupta
PeerCube Thoughts blog https://www.peercube.com/blog
PeerCube https://www.peercube.com

RaymondG

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #137 on: November 22, 2015, 11:53:08 PM »
Again, I think we are using the values we are for the spreadsheet because it is the one source that everyone easily has access to without other gyrations.  Everything is reasonably relative to the other entries.  I give more credence to the "seasoned" 12 month+ "Weighted Average Age of Portfolio" entries.
I agree. My Combined ANAR from LC 10.4% is very close to my XIRR 10.6% (of past two years, includes adjustment for late notes).

Here is the update of my Novemeber data:

*Combined* ANAR : 10.4%
Weighted Average Interest Rate:   17.53%
Weighted Average Age of Portfolio:   24.6 mos
Number of Notes:   2,593

A(0.2%) B (0.6%) C(9.4%) D(54.4%) E(30.3%) F(4.6%) G(0.7%)

36(15.9%) 60(84.1%)

vs All Accounts: 89.14
vs Similar Age Accounts: 96.60
vs Similar Age and WAIR Accounts: 92.47
(Reported by http://lc.geekminute.com/Home/ANARCompare)

« Last Edit: November 23, 2015, 12:05:01 AM by RaymondG »

NSR

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #138 on: November 23, 2015, 05:25:45 PM »
Anil,

1.)

Please see: http://blog.nsrplatform.com/2014/01/nickel-steamroller-2-0/ in response to not giving credit where credit is due.  This is just one example of the many.  I am also not familiar with the argument I had with Ken, if you have any references, please feel free to cite them.

2.)

Lending Club had a negative return in 2007. The total loss exceeded the the interest paid. You are reporting +1.18%
Even Lending Club confirms it was a down year: https://www.lendingclub.com/info/demand-and-credit-profile.action

Please be mindful before attacking others and calling their methodology a "POS"

Michael

If you knew the history, you wouldn't quote NSR ROI. It is POS that they copied from Lendstat. There was actually arguments between Lendstat and NSR as NSR had lifted the equation without giving credit to Lendstat. During the early age of p2p lending, the lendstat guy was trying to come up with an equation that approximated p2p lending portfolio IRR. IMO, he came up with that equation by trial and error noticing that it gave the closest number to IRR of his and few other people's portfolios. There is no theoretical basis to that equation. In retrospect, it looks like net return divided by portfolio duration where portfolio duration is approximated by interest received divided by interest rate.

I can't find it right now but Lending Club had hired a consulting company to identify proper measure for loan performance who proposed NAR in a published LC sponsored white paper.

For comparing actual portfolio performance, I suggest using any money-weighted or time-weighted return measures such as IRR. For backtesting, I suggest using NAR. If you want, you can take computing-intensive approach: create sample portfolios, account for payment timing and amount, reinvest that amount in loans available during payment events, and so on ... but return on effort is not worth it.

Did you realize that "Nickel Steamroller" (NSR) uses 0% as well?  They've been around a while and probably have analyzed this pretty well just like LC has.

NSR back testing allows you to easily see loss rates by year.  One could, for example, look at the avg of 2011-2015 loss rates, for 36A's, 36B's, ... 60F's, 60G's to try to adjust a personal portfolio.

rubicon

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #139 on: November 25, 2015, 09:30:47 PM »
updated numbers:


Weighted Average Interest Rate: 16.31%
Weighted Average Age of Portfolio: 4.6 months
Number of Notes: 7337
Issued & Current: 6632
Adjusted Net Annualized Return: 13.05%

36 Month = 91.7%
60 Month = 8.3%

A = 1.1%
B = 4.4%
C = 44.1%
D = 35.5%
E = 10.7%
F = 3.8%
G =0.4%

rubicon

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #140 on: November 25, 2015, 09:38:12 PM »
there are many ways of calculating returns. It's up to the individual to pick one and stick with it while realizing the strength and weaknesses.

Couple of issues to be considered:
(1) Fair value on secondary market. Arguably loans that are on "down trend", have been missing payments, etc. should really be marked below par even if they are still current because that's where they would trade at.

(2) Cash vs accrual basis.
Do you only count cash interest paid OR accrue the interest over the month? For people who don't trade much, it probably doesn't matter that much over the long term. But for people who trade a lot it gets complicated because the amount you pay for the loan includes the accrued interest so you are not really "over-paying".

lascott

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #141 on: November 30, 2015, 01:11:40 PM »
Updated rubicon and RaymondG and scottf200's
Added thinleywangchuk

NOVEMBER UPDATES
Image: http://i.imgur.com/JoAVWe9.png
<snip>

OCTOBER UPDATES
Image: http://i.imgur.com/4O1LVOT.png
<snip>
« Last Edit: December 03, 2015, 08:20:14 PM by lascott »
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ThinleyWangchuk

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #142 on: November 30, 2015, 01:28:02 PM »
Got a few LC accounts.  This one has the most notes.  Hope this helps!
-Thinley
« Last Edit: November 30, 2015, 01:58:10 PM by thinleywangchuk »

ThinleyWangchuk

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #143 on: November 30, 2015, 01:37:41 PM »
"Focused" portfolio.
« Last Edit: November 30, 2015, 01:58:30 PM by thinleywangchuk »

lascott

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #144 on: November 30, 2015, 04:49:15 PM »
Got a few LC accounts.  This one has the most notes.  Hope this helps!
-Thinley
Good stuff. Added. Thanks for the screen shots for verification.
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dbailey75

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #145 on: December 03, 2015, 03:27:34 PM »
Update for Nov,  I'm guessing we are longer tracking P2PQuant data.

Adjusted Net Annualized Return:             6.52%
Weighted Average Interest Rate:    12.20%
Weighted Average Age of Portfolio:    32.5 mos
Number of Notes:                  747

A 13.9%
B 32.3%
C 31.3%
D 10.9%
E 8.7%
F 2.3%
G 0.5%

Payment Term 
36 43.6%
60 56.4%

jheizer

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #146 on: December 03, 2015, 03:33:31 PM »
Update for Nov,  I'm guessing we are longer tracking P2PQuant data.


I've replicated it here minus the pretty graphs http://lc.geekminute.com/
Replacement to P2P Quant's Percentile Tool http://lc.geekminute.com

lascott

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #147 on: December 03, 2015, 08:19:38 PM »
Update for Nov,  I'm guessing we are longer tracking P2PQuant data.
Thx. I'm counting this for a Dec update.

DECEMBER UPDATES
Image: http://i.imgur.com/e1X90oT.png
Image: http://i.imgur.com/6zsbDuR.png
<snip>
« Last Edit: December 05, 2015, 05:49:12 PM by lascott »
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megamx26

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #148 on: December 05, 2015, 05:26:26 PM »
Finally hit the 3 month mark weighted which tool a while to load in my $100k test.  Here are the results so far







lascott

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Re: What does your "Understanding Your Returns" page look like? Here's mine
« Reply #149 on: December 05, 2015, 05:48:33 PM »
Finally hit the 3 month mark weighted which tool a while to load in my $100k test.  Here are the results so far
Congrats and thanks for the data. (Please provide the ANAR Compare data in the future: http://lc.geekminute.com/Home/ANARCompare )

DECEMBER UPDATES
Image: http://i.imgur.com/rNFIu5X.png
Image: http://i.imgur.com/Ws3nBoD.png
<snip>
« Last Edit: December 09, 2015, 08:33:36 PM by lascott »
Tools I use: (main) BlueVestment: https://www.bluevestment.com/app/pricing + https://www.interestradar.com/ , (others) Lending Robot referral link: https://www.lendingrobot.com/ref/scott473/  & Peercube referral code: DFVA9Y