| Index | 1 Yr. ROI |
5 Yr. ROI |
10 Yr. ROI |
5 Yr St.Dev |
10 Yr St.Dev |
|---|---|---|---|---|---|
| Consumer Price Index | 0.88 | 1.34 | 2.66 | 0.73 | 1.18 |
| 91 Day T-Bill (Cdn.) | 3.20 | 5.29 | 7.82 | 0.49 | 0.89 | U.S. 91 Day T-Bill | 5.25 | 4.76 | 5.68 | 0.33 | 0.51 |
| Canada Savings Bond Rates | 2.84 | 5.01 | 7.27 | 0.40 | 0.73 |
| 5 Year Avg. GIC Rate | 4.82 | 6.44 | 8.28 | 0.35 | 0.61 | Scotia McLeod Univ. Bond Total Ret. | 9.63 | 10.92 | 11.61 | 5.99 | 6.15 | Lehman Bros. Gov't/Corp. - Cdn. | 14.56 | 10.18 | 10.2 | 5.61 | 5.87 |
| TSE Total Returns | 14.98 | 17.46 | 10.99 | 12.37 | 11.96 | Nesbitt Burns Sm-Cap | 6.97 | 16.26 | 10.0 | 13.36 | 12.36 |
| DFA Small Cap - Cdn. | 24.13 | 21.39 | 17.27 | 12.56 | 15.05 |
| Dow Jones Industrial ($US) | 24.94 | 21.99 | 18.53 | 11.70 | 12.59 |
| S & P 500 Composite ($US) | 33.36 | 20.21 | 17.99 | 10.63 | 12.08 | S & P 500 Composite - Cdn. | 39.19 | 23.08 | 19.13 | 10.39 | 12.10 |
| NYSE Composite ($US) | 33.12 | 19.19 | 17.33 | 9.97 | 11.45 | MSCI World - Cdn | 21.31 | 18.66 | 12.21 | 10.72 | 13.40 | MSCI Emerging Markets - Cdn | (7.69) | 10.17 | 19.31 | 18.80 | 21.75 | MSCI Europe - Cdn | 29.67 | 22.60 | 15.61 | 11.46 | 14.92 | MSCI Japan - Cdn | (20.18) | 2.37 | (1.83) | 22.98 | 26.06 |
| Gold: London PM $US) | (21.41 | (2.50) | (4.99) | 10.36 | 11.67 |
| Blend: 60% TSE300, 40% Scotia Universe | 5.84 | 13.45 | 10.65 | 9.03 | 8.63 | Blend: 60% MSCI World, 40% Lehman Bros | 16.10 | 14.81 | 11.35 | 7.47 | 9.08 |
Key
1 Yr. ROI = Percent annual return for 1 Year.
5 Yr. ROI = Average annual compounded return percentage for 5 years.
10 Yr. ROI = Average annual compounded return percentage for 10 years.
5 Yr. St.Dev. = 5 year standard deviation.
10 Yr. St.Dev. = 10 year standard deviation.
| Type of Fund | 1 Yr. ROI |
5 Yr. ROI |
10 Yr. ROI |
5 Yr. St.Dev |
10 Yr. St.Dev |
Beta Avg. |
Risk Adj. ROI |
|---|---|---|---|---|---|---|---|
| Canadian Equity | 13.29 | 15.30 | 10.28 | 10.58 | 10.02 | 0.86 | (0.15) |
| Small-Mid Cap Equity | 11.11 | 19.40 | 12.35 | 12.94 | 11.58 | 0.98 | 3.40 |
| Dividend | 19.58 | 14.55 | 10.61 | 6.62 | 6.20 | 0.50 | 3.23 |
| U.S. Equity | 27.43 | 15.93 | 13.97 | 9.61 | 11.32 | 0.82 | (4.01) |
| International Equity | 11.77 | 13.09 | 9.85 | 9.03 | 9.75 | 0.76 | (2.31) | Balanced | 11.19 | 12.19 | 10.14 | 7.12 | 6.46 | 0.79 | (0.48) |
| U.S. & International Balanced | 10.20 | 10.47 | 8.53 | 6.5 | 6.58 | 0.79 | (2.32) |
| Canadian Bond | 7.33 | 8.68 | 9.70 | 5.49 | 5.34 | 0.94 | (0.79) |
| International Bond | 4.26 | 7.02 | 6.94 | 3.99 | 5.45 | 0.59 | (1.17) |
| Mortgage | 3.62 | 6.61 | 8.63 | 2.64 | 2.56 | N.A. | N.A. |
| Cdn. Money Market | 2.39 | 4.27 | 6.77 | 0.39 | 0.87 | N.A. | N.A. |
| International Money Market | 3.50 | 3.71 | 5.06 | 0.60 | 0.79 | 0.96 | N.A. |
| Precious Metals/Nat. Resources | -25.51 | 13.73 | 7.03 | 21.21 | 17.01 | 1.05 | -4.37 |
| Sector Equity | 20.01 | 8.91 | 8.02 | 8.63 | 6.63 | 0.08 | 2.68 |
| Labour - Sponsored | 4.32 | 1.79 | N.A. | 2.27 | N.A. | 0.02 | N.A. |
| European Equity | 22.09 | 16.65 | 7.99 | 9.93 | 11.98 | 0.88 | (3.95) |
| Asian & Pacific Rim | (24.14) | 2.95 | 3.07 | 16.42 | 15.94 | 0.44 | N.A. |
| Latin Amer. & Emerging Mkts. | 3.86 | 10.93 | N.A. | 17.67 | N.A. | 0.88 | 1.37 |
Key
Globe Average = Average of funds found on the Globe & Mail Hysales. To obtain details of how to purchase Hysales reports, visit the Globe & Mail's web site, (see link on our links page in the publications section). You may have to email them a request for information.
1 Yr. ROI = Percent annual return for 1 Year.
5 Yr. ROI = Average annual compounded return percentage for 5 years.
10 Yr. ROI = Average annual compounded return percentage for 10 years.
5 Yr. St.Dev. = 5 year standard deviation.
10 Yr. St.Dev. = 10 year standard deviation.
Beta = In this case, based on 5 years. A measure of market risk. It normally measures the volatility of a stock as compared to the volatility of a market index. A fund's beta is usually the weighted average of the Beta's of the shares in the fund. A Beta of 1 would mean that the fund is expected to match the market. A Beta of 2 would mean that funds returns should be 2 times that of the market (e.g. twice as good or twice as bad). A Beta of 0.5 would mean that the funds performance should be one half that of the market (e.g. one half as good or one half as bad). Therefore the higher the Beta, the more risky the portfolio.
Risk Adj. ROI = Risk Adjusted Return on Investment. A return relative to the market after adjusting for it's risk, as measured by its Beta. A positive number indicates that the return is better than that of the market, after adjusting for risk. A negative return indicates that the fund did not perform as well as the market, after adjusting for its level of risk. A zero return means that it matched the market, after allowing for its level of risk.
Risk Adj. ROI Formula: We have used the Jenson formula.
Risk Adj. ROI = F-[T + B (I - T)].
Where F is the funds 5 year ROI (from above), T is the 5 year ROI of Canadian Treasury Bills(from above), B is Beta(simple average calculaed from funds in globe Hysales), and I is the 5 year ROI of the appropriate index (from above).
Indexes used for Beta's and Risk Adj. ROI:
Canadian Equity - TSE 300 Total Returns Index
Small - Mid Cap Equity - Nesbitt Burns Cdn Small-Cap Index
Dividend - TSE 300 Total Returns Index
U.S. Equity - S & P 500 Composite - Cdn.
International Equity - MSCI World - Cdn.
Balanced - Blend: 60% TSE 300, 40% Scotia Mcleod Univ. Bond
U.S. & International Balanced - Blend: 60% MSCI World-Cdn, 40% Leaman Bros. Gov/corp-Cdn
Canadian Bond - Scotia Mcleod Universe Bond Total Return
International Bond - Lehman Brothers Gov't/Corp. - Cdn.
Mortgage - Globe Mortgage Average
Cdn. Money Market - 91 Day Treasury Bills
International Money Market - U.S. 91 day Treasury Bills
Precious Metals/Nat. Resources - TSE 300 Total Returns Index
Sector Equity - TSE 300 Total Returns Index
Labour - Sponsored - TSE 300 Total Returns Index
European Equity - MSCI Europe - Cdn.
Asian & Pacific Rim - MSCI Japan - Cdn.
Latin Amer. & Emerging Mkts. - MSCI Emerging Markets - Cdn.
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