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The LifeComps Index™ for 2016 Q4

The LifeComps Aggregate Portfolio returns for the quarter ending 12/31/2016 are:

 QuarterRolling Four Quarters
Total Return:-2.72454%3.93867%
Income Return:1.11064%4.73372%
Price Return:-3.83519%-0.79505%
Cash Yield:1.182%4.968%
 
Principal Balance ($B):$114.261 
Ending No. Loans:4,395 
Wtd. Avg. Duration:5.466 

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 4th quarter 2016, the upwards shift in the yield curve - along with market issues - resulted in a negative price return of -3.83519% for the portfolio.
 
Formulas
LifeComps calculates total return using the Modified Dietz methodology. Rolling four quarters figures are the compounded latest four quarters returns.


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