Executive summary: just exploring, clicking around, a learning exercise for me... if
I found the right numbers and the right funds...
...in 2011 the MSCI Emerging Markets Index and the MSCI Emerging Markets Value Index had returns of -18.17 and -17.57, respectively; that is to say, the value index had an 0.6% higher return.
The DFA funds with corresponding names had returns of -17.42% and -25.61%, respectively, i.e. the value fund had an 8.19% lower return.
There is no explanation I could find in the 4/30/2012 semiannual report, in which the chairman's letter says nothing specific about any funds.
The long story:
By the way, is it appropriate to use the phrase "tracking error" for something that is not an index fund?dnaumov, maybe you could be a little bit more specific... exactly what numbers are you talking about, what index, and links to where you got them?
This is a learning exercise for me, I'm just going clickety-click and reporting what I find as I find it... but the Prospectus shows me this:
But, it's an Emerging Markets Value fund and it's being compared with a just-plain Emerging Markets index. The Emerging Markets fund shows this:
In both cases, the benchmark is the just-plain MSCI Emerging Market Index, and the Emerging Markets fund was a) pretty close and b) beat it by a full percentage point.
It's not surprising that an Emerging Markets Value fund would depart from a total Emerging Markets index. What's puzzling, of course, is why they used that index as the comparison, rather than the MSCI Emerging Markets Value Index
, assuming of course that there is one.
Yes, there is. OK, what about that
index? Google finds me this:MSCI Emerging Markets Value Index Fact Sheet
, with this table:
It says that in 2011, the MSCI Emerging Markets index had a return of -18.17% (which, oddly enough, doesn't jibe with the number in the DFA annual report, which says -18.42%), and that the MSCI Emerging Markets Value Index had a return of -17.57%.
, MSCI is saying Emerging Markets Value Index had 0.6% higher
returns than Emerging Markets, yet the DFA Emerging Markets Value Portfolio got 8.19% lower
return than DFA Emerging Markets Portfolio.
seem like something that needs an explanation.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.