Saturday, March 2, 2013

Newbie's bond portfolio performance - Feb 2013

Presentation Style 1

Initial Capital = USD150k+SGD430k+EUR14k = USD516,075.14 equivalent (at month-end FX rates)
End 2013 January Net Portfolio Value = USD506,264.29
End 2013 February Net Portfolio Value = USD508,659.81

Year to Date Portfolio performance = -1.44%

Presentation Style 2

Initial Capital = USD521,393.82  / SGD635,773.20
End 2013 January Net Portfolio Value = USD506,264.29 / SGD626,449.03
End 2013 February Net Portfolio Value = USD508,659.81 / SGD628,810.34

Year to Date Portfolio performance = -2.44% (USD terms) / -1.10% (SGD terms)


Gross coupons received in the month = NIL
Gross coupons received YTD 2013 = USD5,062.50

Projected net leveraged coupon yield = 15.94% p.a.*

Comments for the month
Bond prices, particularly longer dated bonds and perpetuals have recovered from January 2013's lows as the 10 year UST yields retraced below 2% (price of UST rose). My big bet on Unicredit 5.5% SGD continues to drag on my portfolio performance with its price in the 98 region.

Known portfolio measurement weaknesses
1. I had converted SGD500k of loans into USD @ 1.239 in order to save on loan interest costs in this new portfolio. Simultaneously, in my main portfolio, I had switched USD loans into SGD (loan interest rate arbitrage across my main and new portfolio). Although there is no Net FX exposure when I look across my main and new portfolios, I have created Net Short USD exposure in my new portfolio. Based on my estimations, every 0.01 upward movement in the USD/SGD rate will result in an artificial SGD5k loss in my new portfolio, and vice versa.
2. Bank pricing valuations for bonds, particularly SGD, may not be accurate. For instance, GLP is priced at 102.25 as at End February when traders are quoting 103.5/104.
*. I am aware that the projected net leveraged coupon yield does not factor in the losses I would suffer in the event my premium bonds are called or redeemed (conversely, gains on discount bonds are not included as well). This is just a projection of my Net Coupons received annually.

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