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Financial Happenings Blog
Tuesday, October 21 2008

Users of our website, through our User Voice feedback forum, have requested that we regularly update the graphs outlining the performance of the Dimensional trusts that we use in building portfolios for clients.  In response to this feedback we have updated these graphs to reflect performance up to the end of September 2008.

Commentary:

Unsurprisingly, the graphs show negative monthly returns over September for all sections of Australian and international markets. In particular, the Australian Small Company, Australian ASX200 index and the glogal Emerging Markets trusts have seen the strongest falls.  It should be noted that the performance of the other international investments, Small Company, Value and MSCI World Index have had moderated falls due to the fall of the Australian dollar - down 7.4% against the US dollar, 5.0% against the EURO, 11.4% against the Japanese Yen and 6.4% against the Trade Weighted Index over September.  The fall in the Aussie dollar exchange rate over August and September has been 15.2% against the US dollar, 8.0% against the EURO, 18.1% against the Japanese Yen and 12.1% against the Trade Weighted Index

Over the long run, the graphs continue to clearly show the existence of the risk premiums (small, value and emerging markets) that the research tells us should exist:

Australian Share Trusts - 7 Year returns

 

7 Yr Return

to Sept 2008

Premium over ASX 200

Accumulation Index

ASX 200 Accumulation Index

12.41%

-

Dimensional Australian Value Trust

16.25%

3.84%

Dimensional Australian Small Company Trust

17.27%

4.86%

International Share Trusts - 8 Year returns

 

8 Yr Return

to Sept 2008

Premium over MSCI World (ex Australia) Index

MSCI World (ex Australia) Index

-2.67%

-

Dimensional Global Value Trust

3.12%

5.79%

Dimensional Global Small Company Trust

3.36%

6.03%

Dimensional Emerging Markets Trust

9.09%

11.76%

NB - These premiums are higher than what we would expect going forward.

Please click on the following link to be taken to the graphs - Dimensional Fund Performance Graphs.

For anyone new to our website, it is important to point out that we build investment portfolios for clients based on the best available academic research.  Take a look at our Building Portfolios and Our Research Based Approach pages for more details.  In our view, this research compels us to use the three factor model developed by Fama and French.  In Australia, the most effective method of investing using this model is through trusts implemented by Dimensional Fund Advisors (www.dimensional.com.au).  We do not receive any form of commission or payment from Dimensional for using their trusts.  We use them because they provide the returns clients are entitled to from share markets.

However, academic theory is nothing if it can not be implemented and provide the returns that are promised by the research.  Therefore, we like to provide the historical returns of the funds that we use to build investment portfolios.

Please let us know if you have any feedback regarding these graphs by using the Request for More Information form to the right or via our User Voice feedback forum.

Regards,
Scott Keefer

Posted by: Scott Keefer AT 08:00 pm   |  Permalink   |  Email
 
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