Author Topic: Personal Portfolio Returns  (Read 52076 times)

brycemason

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Re: Personal Portfolio Returns
« Reply #15 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.

Joe6Luck

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Personal Portfolio Returns
« Reply #16 on: August 09, 2013, 03:10:59 AM »
Zigrtd

rawraw

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Re: Personal Portfolio Returns
« Reply #17 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.

brycemason

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Re: Personal Portfolio Returns
« Reply #18 on: August 09, 2013, 10:25:34 AM »
Point taken. In future updates I'll try to provide the portfolio mix characteristics.

brycemason

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Re: Personal Portfolio Returns
« Reply #19 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]
« Last Edit: September 06, 2013, 12:48:04 PM by brycemason »

brycemason

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Re: Personal Portfolio Returns
« Reply #20 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]

brycemason

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Re: Personal Portfolio Returns
« Reply #21 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
  • Buy and hold 36-month LendingClub securities - no secondary market activity.
  • Initial deployment Top 10% P2P-Picks graded notes.
  • ~70% of portfolio is invested under P2P-Picks Profit Maximizer Model v1 (Prior to May 2013).
  • Reinvestments using Top 5% and P-Max Model v2 (May 2013 onward - more aggressive).



[attachment deleted by admin]
« Last Edit: December 05, 2013, 09:25:10 AM by brycemason »

rlv99

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Re: Personal Portfolio Returns
« Reply #22 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.
















« Last Edit: December 05, 2013, 11:15:19 AM by rlv99 »

rawraw

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Re: Personal Portfolio Returns
« Reply #23 on: December 05, 2013, 11:27:46 AM »
I'm surprised that the weighted average interest rate is twice the NAR

brycemason

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Re: Personal Portfolio Returns
« Reply #24 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.

rawraw

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Re: Personal Portfolio Returns
« Reply #25 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.

brycemason

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Re: Personal Portfolio Returns
« Reply #26 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
  • Buy and hold 36-month LendingClub securities - no secondary market activity.
  • Initial deployment Top 10% P2P-Picks graded notes.
  • ~60% 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).
« Last Edit: July 11, 2014, 01:22:05 AM by brycemason »

brycemason

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Re: Personal Portfolio Returns
« Reply #27 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.
« Last Edit: April 05, 2014, 02:59:30 PM by brycemason »

Fred

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Re: Personal Portfolio Returns
« Reply #28 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.

Rob L

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Re: Personal Portfolio Returns
« Reply #29 on: April 05, 2014, 02:07:05 PM »
Very nice job Bryce. Thanks for the update.