Boxplot Performance Analysis… Now Available In Weekly Doses

Starting with the next issue of the newsletter, The ETF Asset Class Performance Review will feature boxplots that summarize performance data for the 14 categories of asset classes that are sliced and diced each week. I briefly discussed boxplots earlier this month as a tool for “cutting through the market noise.” The main attraction is the ability to quickly summarize rolling performance data across a range of asset classes (or markets within an asset class) in search of insight on portfolio rebalancing decisions.


With that in mind, here’s a preview. The boxplots below reflect the rolling 250-trading-day performance data (the equivalent of 1-year returns) through Nov. 21 for the major asset classes via a set of proxy ETFs. The red dots represent the current 250-day return; the blue dots show the 250-day return from 30 days earlier. (If you can’t see a blue dot, it’s behind the red dot—an indication that the two returns are virtually identical.)
gmi.22nov2013.gif
US Stocks (VTI)
Foreign Stocks Devlp’d Mkts (VEA)
Emg Mkt Stocks (VWO)
US REITs (VNQ)
US Bonds (BND)
US TIPS (TIP)
US Junk Bonds (JNK)
Foreign Devlp’d Mkt Gov’t Bonds (BWX)
Emg Mkt Gov’t Bonds (EMLC)
Commodities (DJP)
Foreign Gov’t Inflation-Linked Bonds (WIP)
Foreign Invest-Grade Corp Bonds (PICB)
Foreign Junk Bonds (HYXU)
Foreign REITs (VNQI)
The gray rectangles show the core range of historical 250-day returns, from the first to the third quartiles (a.k.a. the 25th to 75th percentiles). The horizontal line inside the gray rectangles is the median 250-day return for the historical reference period. The vertical lines that extend from the top and bottom of the rectangles, up to the “whiskers” (the horizontal lines), reflect the returns above and beyond the interquartile range (IQR), i.e., returns that fall between the first and third performance quartiles, as shown by the gray rectangles. To be precise, the vertical lines above and below the rectangles, up to the whiskers, are the returns that are calculated as beyond the IQR up to 1.5 times the outer edges of the IQR returns. The black dots at the outer reaches, beyond the whiskers, are the so-called outliers. (Note that some ETFs don’t have outliers, depending on the sample data.)
For more information about The ETF Asset Class Performance Review, see CapitalSpectator.com/premium.