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P2P Analysis/Investment Sites => P2P-Picks => Topic started by: brycemason on July 10, 2013, 01:36:36 AM

Title: Personal Portfolio Returns
Post by: brycemason on July 10, 2013, 01:36:36 AM
Sharing my portfolio returns is something that I intended to do for quite some time, but I wanted to wait to season it for a good while. Now that I'm over the "hump" of 10 months on average, I thought it time to share.

Setup

The following statistics are based a portfolio that I created in January 2012 exclusively using the P2P-Picks Profit Maximizer. The following schedule describes my deposits:

8 Jan 2012 - $5,000
22 Mar 2012 - $5,000
1 Jun 2012 - $5,000
13 Jun 2012 - $20,000

This portfolio is not traded on the secondary market. It attempts to be the optimal buy and hold strategy from newly issued LendingClub loans. All payments have been reinvested into the portfolio.

Seasoning

The attached graphic summarizes the age of Issued, Current, and Late notes in my portfolio. The unweighted average age of the loans in the portfolio is 295 days. The average age weighted by remaining principal is 278 days. The months with the most notes are now well past months 6-10, which have the highest percentage of charge-offs.

Performance

Currently LendingClub reports my NAR at 12.0%.

An XIRR calculation on my current balance and the cash deposit dates is 11.1%. This, however, also measures my somewhat slow deployment of that $20,000 deposit, and is biased below the true performance of the strategy. Spreading out that $20,000 deposit into 4 x $5,000 deposits each a couple weeks apart bumps up the XIRR to 11.5%.

Looking toward the future, I expect the NAR to bounce between 11.7% and 12.3% as the portfolio continues to push over the 10-month hump and experiences relatively fewer charge offs (compared to the last 3 months). The XIRR should also push closer and closer to the NAR as (a) the effects of cash drag decrease through automated investing and (b) the $20,000 deposit cash drag effect is diluted over time. This is precisely where I expected to be given my backtesting. You can see the backtesting in Peter's article (look where the curve meets the imaginary vertical line at the Top 10% policy). http://www.lendacademy.com/p2p-picks-hedge-fund-style-p2p-investing/

My active portfolio has 959 Issued and Current notes, 4 Late 16-30s, and 12 Late 31-120s, and 0 In Default. There are also 101 Fully Paid loans and 25 Charged Off loans that are no longer part of the active portfolio. I feel this is a solid distressed note performance given the portfolio size.




[attachment deleted by admin]
Title: Re: Personal Portfolio Returns
Post by: Rob L on July 10, 2013, 02:34:17 AM
Thanks for the info. Very impressive performance. It does beg the question of the precise definition of the Bryce Mason buy and hold strategy. All are PMAX, so how many were Top 1's, 5's and 10's? Were all notes the same size, or did you vary note size by Top (if you used varied Tops)?

Finally, if I read correctly, your portfolio was auto-invested beginning at some point in time. If so, do you have a way to measure the improvement in the quality and availability of loans purchased, if any, due to this perceived advantage over slower manual browser based purchasing? If you do, what did you find? If not would you care to speculate? As you know, and for the record, I personally do not think auto-invest is currently significant so long as LC continues to release at pre-announced times. Otherwise it is obviously mandatory.

Cheers,
Rob
Title: Re: Personal Portfolio Returns
Post by: brycemason on July 10, 2013, 02:42:48 AM
Hi Rob, thanks for your attention and feedback, as always.

Everything was $50 per note. I just ran down the list from the top loan to the bottom (until cash available was exhausted). Sometimes I'd reject a loan for personal reasons, but not too often even in the beginning and certain more rarely today. I'd say this is a good reflection of the Top 10% strategy (buying a good mix of 1%, 5%, and 10%). These days I only infrequently make it out of the Top 5% because I'm only buying 4-5 notes at a time, so maybe a few years from now my portfolio will look more like a Top 5%. There were some weeks in July-August 2012 where I bought 120+ notes at a time. There was huge--HUGE availability while LC was helping a major fund ramp up.

Auto-invest has not yet been turned on. I've always done it manually. But, it's coming! Frankly, I do not expect the performance to differ once it's turned on. Nobody has been able to tell me a factor yet that creates any evidence of differential performance across picks within the product. I used to look at every loan I bought. These days I just "Go" and "Place Order." The lust is gone and it's just another chore. If I don't just trust the model, why bother at all?

Title: Re: Personal Portfolio Returns
Post by: Rob L on July 10, 2013, 11:17:21 AM
Hi Bryce,

Thanks for the clarifications. Glad to know your portfolio contains notes  from all the PMAX Top rankings. I think that's an important point, and a question  that surely would have been asked by others had I not.  I'm surprised you" looked" at any of the loans early on since that was contrary to the fundamental premise of your work. However, I suppose there was a period of reasonableness cross checking just to be sure nothing screwy was going on, and hey real money was involved.

My reinvestment strategy is looking like yours. I'm going wiith PMAX 1% and 5% only but waffling between a constant $50 per note, or $75, $50. Since I have more than 300 of each now I can view them as a separate investments with sufficient diversification within themselves. I think I remember 400 notes to be the point at which further diversification doesn't mean much.

I see we agree about auto-invest and its lack of any meaningful difference (other than convenience) in the past and for now. If continuous release is in LC's future though it's a game changer, but for my investments over the past month I'm confident I haven't missed a thing.

So, the building of the machine was more fun than turning the crank. Makes sense, but the sausage is tasty.

Cheers!
Rob
Title: Re: Personal Portfolio Returns
Post by: pplinvestor on July 10, 2013, 02:23:14 PM
Hi Bruce,
Thanks for sharing your data.  It's good long term data.  However, how do you see going forward when so many investors competing so few quality loan.   At 10:05am PT today, your max. profit model only had 1 top 10% note available.   By 10:09 am, there is none.  I assume all those top ones are taken.   So investors will have to take lower and lower quality loans and lower and lower returns.   Don't you have to readjust your model and lower return rates?
Title: Re: Personal Portfolio Returns
Post by: brycemason on July 10, 2013, 02:30:03 PM
10 a.m. this morning was filled exceptionally quickly. Between the 6 a.m. and 10 a.m. loads, however, I was able to purchase 7 loans today. I don't have any expectations for change due to loan availability.

Auto-invest will help alleviate this, too, when it's implemented.
Title: Re: Personal Portfolio Returns
Post by: SBryantMS on July 10, 2013, 03:11:11 PM
Auto-invest will help alleviate this, too, when it's implemented.

+1
Title: Re: Personal Portfolio Returns
Post by: rawraw on July 10, 2013, 05:01:55 PM
Bryce, have you ever compared how the BCDEF notes picked by LM compare with the Top 1, 5, 10 on PM?
Title: Re: Personal Portfolio Returns
Post by: Rob L on July 11, 2013, 10:27:40 AM
Maybe I'm getting slow on the trigger, but it was really difficult to buy PMAX loans yesterday, and even the 6am upload this morning was blitzed. I wonder if this is a brief abnormality or a paradigm shift. I've never seen such heavy buying at the top of the morning; 147 new loans listed, 0 fully funded in the first two minutes, 16 in the first 3(actually first 2 minutes and 5 seconds), still 16 in the first 4 and finally 19 in the first 5 minutes. All but 2 were 36 month loans.

Probably should have posted this in the unashamed griping thread.
Title: Re: Personal Portfolio Returns
Post by: brycemason on August 07, 2013, 09:55:02 PM
August 2013 Update

Balances
Account: $39,996.50
Impairments*: $981.00 (2.5% of Balance)

Transfers
Deposits: None
Withdrawals: None

Active Portfolio Description
Loans: 1007
Average Age (unweighted): 310 days
Average Age (weighted by principal remaining): 290 days

Returns
LendingClub Net Annualized Return: 12.1%
Excel XIRR (inc. cash drag): 11.3%

Strategy

* - Impaired loans are all Late and In Default loans.

[attachment deleted by admin]
Title: Re: Personal Portfolio Returns
Post by: rawraw on August 08, 2013, 04:53:05 AM
Is that only PMAX notes?
Title: Re: Personal Portfolio Returns
Post by: brycemason on August 08, 2013, 08:49:57 AM
Yes, per the original post.
Title: Re: Personal Portfolio Returns
Post by: Rob L on August 08, 2013, 09:49:53 AM
Thanks for the update. We should all hope to do so well! Are you surprised at your "Fully Paid" amount or has it been as expected? So far I've had 13 of my 1700+ loans paid in full in their first month, and only 3 that are 15-30 late. That "Fully Paid" number seems odd to me but I have no data to back it up. Those borrowers are getting killed by origination fees.
Title: Re: Re: Personal Portfolio Returns
Post by: rawraw on August 08, 2013, 01:10:56 PM
Yes, per the original post.
do you track the frequency of different grades?  Like how many 1s, 5s, 10s, you have?

Sent from my SAMSUNG-SGH-I747 using Tapatalk 2

Title: Re: Personal Portfolio Returns
Post by: Fred on August 09, 2013, 01:04:58 AM
August 2013 Update

Account: $39,996.50
LendingClub Net Annualized Return: 12.1%
Excel XIRR (inc. cash drag): 11.3%

Congrats!  Your NAR/XIRR are better than those of many hedge funds:

http://www.zerohedge.com/news/2013-07-11/complete-2013-year-date-hedge-fund-performance

Now, if only we could increase our AUM to be in 7-digit dollars, we can retire soon.  ;)
Title: Re: Personal Portfolio Returns
Post by: brycemason on August 09, 2013, 01:12:32 AM
I haven't done such a tally, Rawraw. I suppose I could do such a thing, but it might be difficult because very early on in 2012 I was not keeping the scores around. My feeling is that I am heavily weighted in 10% notes, but that will shift to 5% over the next year.
Title: Personal Portfolio Returns
Post by: Joe6Luck on August 09, 2013, 03:10:59 AM
Zigrtd
Title: Re: Personal Portfolio Returns
Post by: rawraw on August 09, 2013, 10:11:00 AM
I haven't done such a tally, Rawraw. I suppose I could do such a thing, but it might be difficult because very early on in 2012 I was not keeping the scores around. My feeling is that I am heavily weighted in 10% notes, but that will shift to 5% over the next year.
Just curious.  A paranoid person may think you are "front running" the model and getting all 1% notes and advertising those returns for all grades.  I'm just more curious for an expectation piece -- as your 1's don't stay around very long.
Title: Re: Personal Portfolio Returns
Post by: brycemason on August 09, 2013, 10:25:34 AM
Point taken. In future updates I'll try to provide the portfolio mix characteristics.
Title: Re: Personal Portfolio Returns
Post by: brycemason on September 06, 2013, 10:19:49 AM
September 2013 Update

Balances
Account: $40,310
Cash/In Funding: $524
Impairments*: $1222 (3.0% of Balance)

Transfers
Deposits: None
Withdrawals: None

Active Portfolio Description
Loans: 1030
Average Age (unweighted): 326 days
Average Age (weighted by principal remaining): 303 days

Returns
LendingClub Net Annualized Return: 12.0%
Excel XIRR (inc. cash drag): 11.2%

Strategy
Buy and hold LendingClub securities - no secondary market activity
Initial deployment Top 10% graded notes. Reinvestments Top 5%.

* - Impaired loans are all Late and In Default loans.

[attachment deleted by admin]
Title: Re: Personal Portfolio Returns
Post by: brycemason on November 01, 2013, 12:09:56 PM
October 2013 Update

Note that LendingClub made a change to its reporting and that accrued interest is no longer a part of the account balance. This may be a fair exchange, as previously I wasn't writing down the impaired portion of my portfolio. This has the effect of dropping the XIRR measure of return on investment.

Balances
Account: $40,335
Cash/In Funding: $788

Defaults
Impairments*: $1343 (3.3% of Account)
PY Defaults: $1564 (3.9% of Account)

Transfers
Deposits: None
Withdrawals: None

Active Portfolio Description
Loans: 1070
Average Interest Rate: 16.8%
Average Age (unweighted): 354 days
Average Age (weighted by principal remaining): 318 days

Returns
LendingClub Net Annualized Return: 11.5%
Excel XIRR (inc. cash drag): 10.0%

Strategy
Buy and hold 36-month LendingClub securities - no secondary market activity
Initial deployment Top 10% graded notes. Reinvestments Top 5%.

* - Impaired loans are all Late and In Default loans.

[attachment deleted by admin]
Title: Re: Personal Portfolio Returns
Post by: brycemason on December 05, 2013, 01:01:21 AM
November 2013

In November, LendingClub again made changes to the way it presents returns, and thus P2P-Picks had to reconsider how best to present its performance. We mostly mirrored their method, but have one fundamental difference in the account balance that influences the alternative returns (XIRR) calculation. In particular, we took a write-down for impaired loans (according to the default LendingClub parameters), but we also included accrued interest in our estimated account value. We felt that most accountants would consider accrued interest payable within a month to be a current asset (we discounted accruals by distress level just like the principal amounts).

Another fantastic change is that LendingClub now allows users to compare their returns against all buy-and-hold strategies. P2P-Picks Profit Maximizer appears to be achieving its goal of being in the top decile of performance compared to all buy-and-hold accounts (while at the same time recommending ~10% of the population of loans). You can see this visualization in the attachment. Importantly, we believe that LendingClub may not be calculating portfolio characteristics correctly--erroneously including fully-paid and charged-off loans that should be scuttled from the portfolio--as the portfolio age reported by LC is 13.1 months (whereas even the most generous age we calculate on active notes is just under 12 months--and the average weighted by principal remaining is 11 months). An average weighted interest rate of 16.67% doesn't jibe with our calculations, either. In any case, such miscalculations do not detract from the comparison value of the chart, as such biases would be shared equally among all accounts.



Balances
LC Reported Account Value
$40,685
Accrued Interest
$440
Impaired Loan Write-downs
$1,191
Estimated Account Value
$39,934

Balances by Distress Level
Category
N
$
%
Current
1,045
37,961
95.0
In Grace Period
13
447
1.1
Late 16+
6
212
0.5
Late 31+
33
1188
3.0
In Default
4
150
0.4

Charge Offs
Category
N
$
%
Prior Year
40
$1,731
4.2

Transfers
Deposits
None
Withdrawals
None

Average Portfolio Description
Interest Rate
17.0%
Age (unweighted)
371 days
Age (weighted)
329 days

Returns
LendingClub Net Annualized Return
8.92%
Excel XIRR (inc. cash drag)
8.73%

Strategy



[attachment deleted by admin]
Title: Re: Personal Portfolio Returns
Post by: rlv99 on December 05, 2013, 11:07:47 AM
Have you been able to analyze your late notes to identify any common contributing  factor?  4% of the total number of notes,  higher if you look at dollars,  seems high imho.
















Title: Re: Personal Portfolio Returns
Post by: rawraw on December 05, 2013, 11:27:46 AM
I'm surprised that the weighted average interest rate is twice the NAR
Title: Re: Personal Portfolio Returns
Post by: brycemason on December 05, 2013, 05:00:17 PM
(1) I'm in the bottom-most part of the default curve--I suspect the 12-month trailing defaults will smooth out as the portfolio ages.

(2) Recall that the purpose of P2P-Picks is to make the best portfolio possible with the expected top 10% of all notes. One can certainly design a very tight filter that can outperform, but good luck investing tens of millions with it. I'm trying to design a solid-performing product for what I hope to be thousands of users.

Have you been able to analyze your late notes to identify any common contributing  factor?  4% of the total number of notes,  higher if you look at dollars,  seems high imho.
Title: Re: Personal Portfolio Returns
Post by: rawraw on December 05, 2013, 07:25:12 PM
(1) I'm in the bottom-most part of the default curve--I suspect the 12-month trailing defaults will smooth out as the portfolio ages.

(2) Recall that the purpose of P2P-Picks is to make the best portfolio possible with the expected top 10% of all notes. One can certainly design a very tight filter that can outperform, but good luck investing tens of millions with it. I'm trying to design a solid-performing product for what I hope to be thousands of users.

Have you been able to analyze your late notes to identify any common contributing  factor?  4% of the total number of notes,  higher if you look at dollars,  seems high imho.
Yea, I think people forget about #2.
Title: Re: Personal Portfolio Returns
Post by: brycemason on April 05, 2014, 12:57:28 PM
Q1 2014

It's time to update the public on our performance. It's been a bit over a quarter since our last update, and I thought that quarterly updates are probably a better use of my time while still providing decent information. This data is as of April 4th, 2014. Our methodology for reporting hasn't changed since the November post. Basically we're calculating Estimated Account Value to be the total Principal + Interest outstanding for all loans still in the portfolio, less LC's discounted amount for impaired loans. We feel accrued interest payable within a month is a current asset.

The key takeaways for this review are (1) our average interest rate has been creeping up as our older B loans (identified by P-Max v1) are repaid and the principal reinvested into D & E loans, (2) as seen in our lower impaired loan counts we have emerged from the most distressing part of the charge off curve for the huge $20,000 deposit that we made in June 2012, and (3) NAR and XIRR have creeped up to the mid 9% range.

Barring external events, we anticipate this level of performance should continue. We are particularly proud of where we show on the "Understanding Your Returns" chart, given that the strategy selects such a large volume of 36 month notes (~5% of the platform).

Balances
LC Reported Account Value
$41,569
Accrued Interest
$440
Impaired Loan Write-downs
$540
Estimated Account Value
$41,469

Balances by Distress Level
Category
N
$
%
Current
1,155
39,381
97.6
In Grace Period
8
220
0.5
Late 16+
6
188
0.5
Late 31+
16
551
1.4
In Default
0
0
0.0

Charge Offs
Category
N
$
%
Prior Year
70
$2,760
6.8

Transfers
Deposits
None
Withdrawals
None

Average Portfolio Description
Interest Rate
17.7% (this was mistakenly reported as 19.7% (edit 10-Jul-14)
Age (unweighted)
417 days
Age (weighted)
348 days

Returns
LendingClub Net Annualized Return
9.59%
Excel XIRR (inc. cash drag)
9.30%

Strategy
Title: Re: Personal Portfolio Returns
Post by: brycemason on April 05, 2014, 01:18:30 PM
With respect to the "Understanding Your Returns" chart, I still find it funny that LC appears to be taking into consideration all repaid & charged off loans in their calculation of age & average interest rate. Once loans are repaid or charged off, they are no longer part of the active portfolio.

I tried to overcome this by making a separate portfolio for charged off and repaid loans but you can't ask LC to do one of these charts for a specific portfolio. They do it for the whole account. LC should call it the "active portfolio" and remove those types of loans (possibly even "in review").

Thankfully my whole account is dedicated to P-Max so the NAR is accurate, but the reader should trust my average portfolio characteristics rather than looking at LC's average interest rates, age, and number of loans.
Title: Re: Personal Portfolio Returns
Post by: Fred on April 05, 2014, 01:28:30 PM
We feel accrued interest payable within a month is a current asset.

Agreed. 

In the accrual basis of accounting, we should accrue both revenues and losses. 

LC's Adjusted NAR seems to accrue only the losses, making it artificially depressed.
Title: Re: Personal Portfolio Returns
Post by: Rob L on April 05, 2014, 02:07:05 PM
Very nice job Bryce. Thanks for the update.
Title: Re: Personal Portfolio Returns
Post by: rawraw on April 06, 2014, 07:53:26 AM
We feel accrued interest payable within a month is a current asset.

Agreed. 

In the accrual basis of accounting, we should accrue both revenues and losses. 

LC's Adjusted NAR seems to accrue only the losses, making it artificially depressed.
Do you guys know if they back out the accrued interest on the expected losses?  Say you have a bunch of loans 110 days past due, does it still include 100% of their accrued interest?

Title: Re: Personal Portfolio Returns
Post by: brycemason on April 06, 2014, 09:08:45 AM
My guess is they discount the interest in the same way as the principal. That's what I did,
Title: Re: Personal Portfolio Returns
Post by: Fred on April 06, 2014, 02:54:29 PM
Per https://www.lendingclub.com/public/lendersPerformanceHelpPop.action:

Here is the formula for NAR:
(https://www.lendingclub.com/public/images/a2a0efe/obsolete/NAR.png)


And Adjusted NAR:
(https://www.lendingclub.com/public/images/a2a0efe/obsolete/Adjusted_NAR.png)

No Accrued Interest in either one.   The Interesti is for paid interests from month 1 to now (month N).
Title: Re: Personal Portfolio Returns
Post by: AnilG on April 07, 2014, 01:42:02 AM
Do you guys know if they back out the accrued interest on the expected losses?  Say you have a bunch of loans 110 days past due, does it still include 100% of their accrued interest?

Lending Club doesn't consider accrued interest in NAR calculations and applies loss factors to outstanding principal only. And this is the way it should be. Accrued interest is never realized until paid.
Title: Re: Personal Portfolio Returns
Post by: PeerSocialLending on April 07, 2014, 02:25:18 PM
Hey Bryce, really enjoy seeing your updates as a majority of my account is filled with your pmax strategy.  Can you give any insight to why you are reinvesting into D & E and not C loans? 
Title: Re: Personal Portfolio Returns
Post by: rawraw on April 07, 2014, 04:57:21 PM
Do you guys know if they back out the accrued interest on the expected losses?  Say you have a bunch of loans 110 days past due, does it still include 100% of their accrued interest?

Lending Club doesn't consider accrued interest in NAR calculations and applies loss factors to outstanding principal only. And this is the way it should be. Accrued interest is never realized until paid.
I forgot they didn't include interest in account balances anymore.
Title: Re: Personal Portfolio Returns
Post by: brycemason on April 07, 2014, 09:20:54 PM
Can you give any insight to why you are reinvesting into D & E and not C loans?

I just wanted a more aggressive strategy for myself.
Title: Re: Personal Portfolio Returns
Post by: brycemason on July 11, 2014, 01:18:09 AM
Q2 2014

The key takeaways for this review are (1) our average interest rate has been creeping up as our older B loans (identified by P-Max v1) are repaid and the principal reinvested into D & E loans (from 17.7% in Q1 to 18.1% today) and (2) NAR and XIRR continue to creep upwards.

Barring external events, we anticipate this level of performance should continue. We are particularly proud of where we show on the "Understanding Your Returns" chart, given that the strategy selects such a large volume of 36 month notes (~5% of the platform).

LendingClub's snafu with loan application data caused an outage in our strategy for almost three weeks, thus the stymied originations in "Month 0" in the age chart. We expect originations to be similarly low in months 3 and 4 in next quarter's update. This may have a modest negative impact on our returns due to increased cash drag, but probably nothing major.

Balances
LC Reported Account Value
$42,905
Discounted Accrued Interest
$423
Impaired Loan Write-downs
$813
Estimated Account Value
$42,515

Balances by Distress Level (Not discounted)
Category
N
$
%
Current
1,211
39,099
96.4
In Grace Period
15
410
1.0
Late 16+
6
220
0.5
Late 31+
24
766
1.9
In Default
2
69
0.2

Charge Offs
Category
N
$
%
Prior Year
84
$3,266
8.1

Transfers
Deposits
None
Withdrawals
None

Average Portfolio Description (weighted by remaining principal where noted)
Interest Rate (weighted)
18.1%
Age (unweighted)
456 days
Age (weighted)
359 days

Returns
LendingClub Net Annualized Return
9.70%
Excel XIRR (inc. cash drag)
9.36%

Strategy
Title: Re: Personal Portfolio Returns
Post by: rawraw on July 11, 2014, 09:36:13 AM
Are you interested in user returns?  I have a few separate P2P-Picks portfolios that I'm tracking the returns, but I do engage in Folio Sales of risk indications (such as crashing FICO)
Title: Re: Personal Portfolio Returns
Post by: brycemason on July 11, 2014, 12:14:24 PM
It might be fun to have a separate thread of user returns, but I would need to make some guidelines for participation such as knowing whether there were sales, targeting of specific grades, etc. Then we might get a confidence interval of the strategy. However, I suspect my personal portfolio is close to the mean, as it's a random subset of the picks.
Title: Re: Personal Portfolio Returns
Post by: rawraw on July 11, 2014, 05:33:56 PM
Quote from: brycemason linkhttp://www.lendacademy.com/forum/Smileys/default/tongue.gif=topic=1299.msg20975#msg20975 date=1405095264
It might be fun to have a separate thread of user returns, but I would need to make some guidelines for participation such as knowing whether there were sales, targeting of specific grades, etc. Then we might get a confidence interval of the strategy. However, I suspect my personal portfolio is close to the mean, as it's a random subset of the picks.
Have you, either for personal or institutional side, focused any on the management of holdings?  Seems your technical expertise could be useful in that arena as well. 

And I agree about the mean portfolio.  Just curious your thoughts
Title: Re: Personal Portfolio Returns
Post by: brycemason on July 11, 2014, 05:56:39 PM
Define management of holdings.
Title: Re: Re: Personal Portfolio Returns
Post by: rawraw on July 12, 2014, 09:32:28 AM
Define management of holdings.
We get two variables updated monthly and that's the FICO and payment history. Anil has done research to show how these can be used to identify loans with an increased POD. But  those risk indicators may be mitigated or amplified by certain traits we know from the original listing. You could also infer at what price would selling while current would be breakeven.

I sell at discounts, but still make positive returns while avoiding those huge subtraction from interest earned.
Title: Re: Personal Portfolio Returns
Post by: Deming on July 17, 2014, 05:06:11 PM
Average Portfolio Description (weighted by remaining principal where noted)
Interest Rate (weighted)
18.1%
Age (unweighted)
456 days
Age (weighted)
359 days

I'm trying to see how quickly the "Average Age of Portfolio" changes relative to actual time when someone reinvests all cash principal and interest in a timely manner and does NOT use FolioFN.

How long would you estimate you have been reinvesting the cash in your portfolio to achieve a 456 day unweighted avg age?

Title: Re: Personal Portfolio Returns
Post by: brycemason on July 18, 2014, 01:37:34 AM
Please refer to the first post on this thread, which details the timing of my cash outlay. It's been reinvested since those dates.
Title: Re: Personal Portfolio Returns
Post by: Deming on November 04, 2014, 11:00:05 AM
Bryce, I look forward to your Q3 2014 posting. It is very interesting to follow. Thank you for sharing.
Title: Re: Personal Portfolio Returns
Post by: rockinray on November 05, 2014, 09:03:00 AM
+1 -

Thanks Bryce. I always look forward to your updates.

Ray
Title: Re: Personal Portfolio Returns
Post by: brycemason on November 05, 2014, 09:16:32 AM
Of course. I usually wait until LC comes out with their full stats download for the quarter. That's when I do all my updates, including model revisions, client reports, and my account sharing. It's going to be fairly boring, with a NAR continuing to be around 9.7%. The only crazy thing was cash drag last quarter due to the LC asychronous timing, which thankfully has gone away. Now we are fighting lower interest rates, but I'm still finding enough loans at Top 10% to stay invested.
Title: Re: Personal Portfolio Returns
Post by: rawraw on November 05, 2014, 11:18:46 AM
Of course. I usually wait until LC comes out with their full stats download for the quarter. That's when I do all my updates, including model revisions, client reports, and my account sharing. It's going to be fairly boring, with a NAR continuing to be around 9.7%. The only crazy thing was cash drag last quarter due to the LC asychronous timing, which thankfully has gone away. Now we are fighting lower interest rates, but I'm still finding enough loans at Top 10% to stay invested.
You should consider using Folio strategies.  My NAR for an old portfolio is roughly equal to that using LM picks  - makes me wonder about your view of the risk/return relationship.  I think you may be giving away returns by foregoing Folio activity, but it also makes tracking more burdensome.
Title: Re: Personal Portfolio Returns
Post by: brycemason on November 05, 2014, 01:13:27 PM
I'm certain there are opportunities in Folio, but my time is better spent building my business and working with paying clients right now. I like the ROI just fine for the effort I put in. But, I'm glad you've found something attractive with LMin!
Title: Re: Personal Portfolio Returns
Post by: brycemason on January 11, 2015, 03:09:10 PM
Q4 2014

The big change since last update is that LC has dropped interest rates substantially across all note grades, so even though many of our older (lower interest rate) notes have been repaid and we've invested in higher risk notes, the average interest rate of the portfolio has only increased about 20 bps.

P2P-Picks maintains a hard-coded threshold for the expected returns, so when interest rates drop we naturally pick fewer loans that meet our expected return criteria. Because of this, we had to go from a Top 5% strategy back to a Top 10% strategy in order to stay invested. If rates continue to drop, I will have to evaluate whether I wish to change the definition of what constitutes Top 5% and Top 10%.
 
Barring external events, we anticipate this level of performance should continue. We are particularly proud of where we show on the "Understanding Your Returns" chart, given that the strategy selects such a large volume of 36 month notes (~5-10% of the platform). In fact, we have maintained our returns in spite of the average age of the portfolio increasing somewhere between 2-3 months on that chart. Thus, we are moving up the ladder in terms of how our strategy compares to other investors.


Balances
LC Reported Account Value
$45,187
Discounted Accrued Interest
$394
Impaired Loan Write-downs
$1,143
Estimated Account Value
$44,438

Balances by Distress Level (Not discounted)
Category
N
$
%
Current
1,360
41482
95.6
In Grace Period
23
608
1.4
Late 16+
4
116
0.3
Late 31+
35
1061
2.4
In Default
5
118
0.3

Charge Offs
Category
N
$
%
Prior Year
75
$2,543
5.9

Transfers
Deposits
None
Withdrawals
None

Average Portfolio Description
Interest Rate
18.3%
Age (unweighted)
493 days
Age (weighted)
332 days

Returns
LendingClub Net Annualized Return
9.77%
Excel XIRR (inc. cash drag)
9.32%

Strategy
Title: Re: Personal Portfolio Returns
Post by: rawraw on January 12, 2015, 06:30:08 AM
Hey Bryce

Have you ever discussed why you do the D&E only?  I thought I remember you saying before that it shouldn't matter the grade, if it meets the model's hurdle rate.  I guess I never noticed you were filtering based on grade before.
Title: Re: Personal Portfolio Returns
Post by: brycemason on January 12, 2015, 09:51:02 AM
Higher grades tend to have a higher vertical leap over the hurdle level.
Title: Re: Personal Portfolio Returns
Post by: Half Right on January 12, 2015, 07:55:36 PM
why not increase the investment per note now that rates are coming down?
Nice return. Unfortunately it is not scalable to a much bigger portfolio. I have doubled the investment per note as rates have declined and am still unable to find enough notes to satisfy my needs.
Title: Re: Personal Portfolio Returns
Post by: hoggy1 on January 13, 2015, 04:28:10 PM
Q4 2014

The big change since last update is that LC has dropped interest rates substantially across all note grades, so even though many of our older (lower interest rate) notes have been repaid and we've invested in higher risk notes, the average interest rate of the portfolio has only increased about 20 bps.

P2P-Picks maintains a hard-coded threshold for the expected returns, so when interest rates drop we naturally pick fewer loans that meet our expected return criteria. Because of this, we had to go from a Top 5% strategy back to a Top 10% strategy in order to stay invested. If rates continue to drop, I will have to evaluate whether I wish to change the definition of what constitutes Top 5% and Top 10%.
 
Barring external events, we anticipate this level of performance should continue. We are particularly proud of where we show on the "Understanding Your Returns" chart, given that the strategy selects such a large volume of 36 month notes (~5-10% of the platform). In fact, we have maintained our returns in spite of the average age of the portfolio increasing somewhere between 2-3 months on that chart. Thus, we are moving up the ladder in terms of how our strategy compares to other investors.


Balances
LC Reported Account Value
$45,187
Discounted Accrued Interest
$394
Impaired Loan Write-downs
$1,143
Estimated Account Value
$44,438

Balances by Distress Level (Not discounted)
Category
N
$
%
Current
1,360
41482
95.6
In Grace Period
23
608
1.4
Late 16+
4
116
0.3
Late 31+
35
1061
2.4
In Default
5
118
0.3

Charge Offs
Category
N
$
%
Prior Year
75
$2,543
5.9

Transfers
Deposits
None
Withdrawals
None

Average Portfolio Description
Interest Rate
18.3%
Age (unweighted)
493 days
Age (weighted)
332 days

Returns
LendingClub Net Annualized Return
9.77%
Excel XIRR (inc. cash drag)
9.32%

Strategy
  • Buy and hold 36-month LendingClub securities - no secondary market activity.
  • Initial deployment Top 10% P2P-Picks graded notes.
  • ~30% of portfolio is invested under P2P-Picks Profit Maximizer Model v1 (Prior to May 2013).
  • Reinvestments using Top 5% P-Max Model v2 (May 2013 onward - more aggressive).
  • Reinvestments using D & E graded notes only (March 2014 onward - more aggressive).
  • Reinvestments using D & E graded Top 10% notes only (Sept. 2014 onward - less aggressive due to note availability and interest rate cuts).

I can't find on LC's site the page (comparison.png) you showed in this post. Is that because I trade on Folio?
Title: Re: Personal Portfolio Returns
Post by: lascott on January 13, 2015, 04:41:51 PM
I can't find on LC's site the page (comparison.png) you showed in this post. Is that because I trade on Folio?
I may have misunderstood your questions. I get there from here:
(https://forum.lendacademy.com/proxy.php?request=http%3A%2F%2Fi.imgur.com%2FQq6VMz2.png&hash=d3bbc5bf1e72b18480464a2400118932)
to get to this:
(https://forum.lendacademy.com/proxy.php?request=http%3A%2F%2Fi.imgur.com%2FjZd8aoM.png&hash=0d2cff15d0d3a1b272cc545a25b701d9)
Title: Re: Personal Portfolio Returns
Post by: hoggy1 on January 13, 2015, 04:47:54 PM
Thanks Scott,

I see it now. I always have "combined returns" selected and that link says "understanding your combined returns" which takes you to a page with no chart. When I selected Primary Notes I get taken to the correct place.

Thanks again.
Title: Re: Personal Portfolio Returns
Post by: brycemason on April 24, 2015, 09:48:59 AM
Q1 2015

The effect of lower interest rates is beginning to be felt in the portfolio, with the blended rate having dropped 10bps since last update. However, the portfolio's performance continues to strengthen with NAR almost hitting the vaunted 10% level (9.6% XIRR). This is now a very mature portfolio.

P2P-Picks maintains a hard-coded threshold for the expected returns, so when interest rates drop we naturally pick fewer loans that meet our expected return criteria. Because of this, we had to go from a Top 5% strategy back to a Top 10% strategy in order to stay invested. If rates continue to drop, I will have to evaluate whether I wish to change the definition of what constitutes Top 5% and Top 10%. However, with adjustments to our scripts to query the API, I am not having any trouble staying reinvested at this time and am considering increasing my exposure.
 
Barring external events, we anticipate this level of performance should continue. We are particularly proud of where we show on the "Understanding Your Returns" chart, given that the strategy selects such a large volume of 36 month notes (~5-10% of the platform). In fact, we have maintained our returns in spite of the average age of the portfolio increasing another month on that chart. The active notes in the portfolio, however, are slightly younger. Thus, we are moving up the ladder in terms of how our strategy compares to other investors.

If you use P2P-Picks to maintain your LC portfolio, I'd love it if you shared your results (especially if that's all you've ever used).


Balances
LC Reported Account Value
$46,437
Discounted Accrued Interest
$412
Impaired Loan Write-downs
$982
Estimated Account Value
$45,867

Balances by Distress Level (Not discounted)
Category
N
$
%
Current
1,379
42511
96.4
In Grace Period
14
398
0.9
Late 16+
7
173
0.4
Late 31+
32
964
2.1
In Default
2
61
0.1

Charge Offs
Category
N
$
%
Prior Year
81
$2,665
6.0

Transfers
Deposits
None
Withdrawals
None

Average Portfolio Description
Interest Rate
18.2%
Age (unweighted)
480 days
Age (weighted)
313 days

Returns
LendingClub Net Annualized Return
9.99%
Excel XIRR (inc. cash drag)
9.56%

Strategy
Title: Re: Personal Portfolio Returns
Post by: rawraw on April 25, 2015, 10:48:41 AM
I have separate portfolios in LC for my P2P-Picks stuff, although I haven't had a chance to reactive Bluevestment yet so they've been decreasing in size.  Would you just want the data dump?  (Caveat being I actively manage it based on FICO, so there is a selection/survivor bias).  Pretty sure I could replicate these tables in Excel using formulas, just not sure what the end goal is for you wanting user returns.
Title: Re: Personal Portfolio Returns
Post by: brycemason on April 25, 2015, 02:51:47 PM
I'm only interested in users who have used a buy and hold strategy using only P2P-Picks, preferably for 18+ months. It's a little silly, as I could just draw random samples of 1000 loan portfolios from my master list of picks and see how they did, but it's fun to hear stories.
Title: Re: Personal Portfolio Returns
Post by: brycemason on September 24, 2015, 01:55:56 AM
After three and a half years of maximizing returns, I've decided to reduce the risk of the portfolio and invest in A/B grade paper. This is mostly due to my account being taxable. Each year I wind up roughly with enough capital losses to max out my $3k deduction. I do not want to be in a situation where the economy stutters, defaults double, I have to pay taxes on all the interest, I'm stuck with a tax asset I might not use for some time, and the after-tax growth on the portfolio is 0 or negative. The A/B portfolio should have roughly 1% defaults per year in steady state, allowing me to add capital to the account. It will be a long haul to turn over the whole portfolio!

Here's the final resting place of the returns: 9.7%. The blue dot's in a good place. Pretty satisfied with that for a buy-and-hold strategy.
Title: Re: Personal Portfolio Returns
Post by: Fred on September 24, 2015, 02:17:39 AM
It will be a long haul to turn over the whole portfolio!

Sad to see you leave the high-risk high-reward field.

If you want a quicker turnover, sell your notes on Folio.  If they are attractive enough, I will buy them quickly (within minutes).
Title: Re: Personal Portfolio Returns
Post by: lascott on September 24, 2015, 10:14:02 AM
After three and a half years of maximizing returns, I've decided to reduce the risk of the portfolio and invest in A/B grade paper. This is mostly due to my account being taxable. Each year I wind up roughly with enough capital losses to max out my $3k deduction. I do not want to be in a situation where the economy stutters, defaults double, I have to pay taxes on all the interest, I'm stuck with a tax asset I might not use for some time, and the after-tax growth on the portfolio is 0 or negative. The A/B portfolio should have roughly 1% defaults per year in steady state, allowing me to add capital to the account. It will be a long haul to turn over the whole portfolio! Here's the final resting place of the returns: 9.7%. The blue dot's in a good place. Pretty satisfied with that for a buy-and-hold strategy.
Bryce, you are so competitive. Now you want to beat me in the conservative realm :)  Hope you contribute regularly to the thread below so we can see the transition.

Here's the A/B notes that I bought using P2P-Picks via BlueVestment. Yes, I realize my average age is still pretty young for them but I like how it is shaping up.
(https://forum.lendacademy.com/proxy.php?request=http%3A%2F%2Fi.imgur.com%2FbnKHZZD.png&hash=b53453e3c0339e71b43ec57f07ef5627)
Account 1:
(https://forum.lendacademy.com/proxy.php?request=http%3A%2F%2Fi.imgur.com%2FfzQcv5C.png&hash=8b8d1cde53d96450454ce755ea43dc26)
Account 2:
(https://forum.lendacademy.com/proxy.php?request=http%3A%2F%2Fi.imgur.com%2FCxGojW3.png&hash=a865ba59486cbe8144e42e37e9057037)

Thread: What does your "Understanding Your Returns" page look like? Here's mine
http://www.lendacademy.com/forum/index.php?topic=3365.msg30403#msg30403

Image: http://i.imgur.com/pyOchkw.png
(https://forum.lendacademy.com/proxy.php?request=http%3A%2F%2Fi.imgur.com%2FpyOchkw.png&hash=84e426be062c7cd7ac6a846e02398902)
Title: Re: Personal Portfolio Returns
Post by: lascott on December 03, 2015, 08:53:17 PM
After three and a half years of maximizing returns, I've decided to reduce the risk of the portfolio and invest in A/B grade paper. This is mostly due to my account being taxable. Each year I wind up roughly with enough capital losses to max out my $3k deduction. I do not want to be in a situation where the economy stutters, defaults double, I have to pay taxes on all the interest, I'm stuck with a tax asset I might not use for some time, and the after-tax growth on the portfolio is 0 or negative. The A/B portfolio should have roughly 1% defaults per year in steady state, allowing me to add capital to the account. It will be a long haul to turn over the whole portfolio!

Here's the final resting place of the returns: 9.7%. The blue dot's in a good place. Pretty satisfied with that for a buy-and-hold strategy.
Want to consider updating numbers for?
Thread: What does your "Understanding Your Returns" page look like? Here's mine
http://www.lendacademy.com/forum/index.php?topic=3365.msg31411#msg31411
Title: Re: Personal Portfolio Returns
Post by: brycemason on December 08, 2015, 08:48:11 PM
Not really, as I've changed strategies.
Title: Re: Personal Portfolio Returns
Post by: lascott on December 09, 2015, 12:43:56 AM
Not really, as I've changed strategies.
OK.  I realized you changed strategies and thought it would be interesting to see your account during the transition. We could market it "transitioning" your very old portfolio. I suspect others would be as well. I'm pretty careful/conservative with my taxable account as well. I'm at $3,031.55 in losses from Jan-Nov.