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The LifeComps Index™ for 2013 Q3

The LifeComps Aggregate Portfolio returns for the quarter ending 9/30/2013 are:

 QuarterRolling Four Quarters
Total Return:0.994%2.901%
Income Return:1.317%5.396%
Price Return:-0.323%-2.495%
Cash Yield:1.391%5.861%
 
Principal Balance ($B):$95.71 
Ending No. Loans:4,806 
Wtd. Avg. Duration:4.765 

Yield curve
As is true for all fixed income instruments, mortgage loan market values move inversely with interest rates, affecting both the price (appreciation) return and the total return.

For 3rd quarter 2013, the slight twist in the yield curve from 2nd quarter 2013 – a bit lower at 5 years and below, a bit higher above 5 years - along with market issues resulted in an overall negative price return of -.323% for the portfolio.
 
Formulas
LifeComps calculates total return using the Modified Dietz methodology. Rolling four quarters figures are the compounded latest four quarters returns.


LifeComps - Quarterly Report Set Available to Participants

  • LifeComps Index Reports
    • Aggregate Portfolio Index  
    • Participant Portfolio Index
    • Quarter Returns Graph
    • Rolling Four Quarters Returns Graphs
    • Cash Yield Graphs
  • LifeComps Comparative Returns Graphs Participant vs. Aggregate
    • Property Type  
    • Region
    • Loan Size
    • Duration Bucket
  • LifeComps Attribution Reports
    • Nominal Quarter Returns  
    • Nominal Rolling Four Quarters Returns
    • Duration Adjusted Net Price Quarter Returns
    • Duration Adjusted Net Price Annual Returns
  • LifeComps Detail Quarterly Reports
    • Index  
 

 


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