The LifeComps Aggregate Portfolio returns for the Quarter ending June 30, 2006, are:

  Quarter Rolling Four Quarters
Total Return: 0.22200% 0.56700%
Income Return: 1.66800% 7.02200%
Price Return: -1.44600% -6.45500%
Cash Yield: 1.69200% 7.26400%
     
Principal Balance ($B): $77.1  
Ending No. Loans: 6,673  
Wtd. Avg. Duration: 4.57000  


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 2nd quarter 2006, the upward and flattening inverted yield curve from 1st quarter levels resulted in a negative price return of -1.446% 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