PBGC_RFP_16PBGC25R0052_Attachment_2b_-_Phase_1_Rolling_IR_Mandatory_Supporting_Documentation.xlsx

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PBGC Active EME Investment Management Services
Solicitation number
16PBGC25R0052
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This Excel file contains a Rolling 36-Month Information Ratio Calculation Portfolio spreadsheet for the Pension Benefit Guaranty Corporation (PBGC) Active Emerging Market Equity Investment Services solicitation. The detailed table provides monthly financial performance metrics including excess returns, geometric excess returns, annualized excess returns, and standard deviation calculations from January 2015 through June 2024. The data appears to be part of the mandatory supporting documentation for the investment management services procurement, specifically tracking investment performance ratios across a 36-month rolling period. Key statistical measures include monthly excess returns, geometric excess returns, and an information ratio calculation that evaluates investment performance relative to a benchmark, with values ranging between -1.0 and 0.5 across the tracked timeframe.

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Rolling IR Mandatory Worksheet

Table 11 - Rolling 36 Month Information Ratio Calculation
Portfolio (in %)Benchmark (in %)Monthly Excess Return (C) (in %)Monthly Geometric Excess (D)36 Month Annualized Excess (E) (in %)36 Month T.E. (Std Dev of Excess REturn) (F) (in %)Information Ratio
Period Ending(A)(B)((1+A/100) / (1+B/100)) - 1(1+C/100)((1+D5/100)*(1+D6/100)*

*(1+D39/100)*(1+D40/100)) ^ (1/3)-1 STDEV(C5:C40)

SQRT(12)(E/F)
AVERAGE-4.1017.33-0.26
6/30/243.94-3.790.96215.3417.660.30
5/31/240.56-0.560.99446.6417.480.38
4/30/240.45-0.450.99556.0317.550.34
3/31/242.48-2.420.97585.3217.620.30
2/29/244.76-4.540.95466.7217.540.38
1/31/24-4.644.871.04878.1117.290.47
12/31/233.91-3.760.96245.3517.250.31
11/30/238.00-7.410.92594.2117.600.24
10/31/23-3.894.041.04043.8117.770.21
9/30/23-2.622.691.02691.7617.700.10
8/31/23-6.166.561.06561.4117.660.08
7/31/236.23-5.860.9414-1.4417.30-0.08
6/30/233.80-3.660.9634-2.2717.62-0.13
5/31/23-1.681.711.0171-3.3617.94-0.19
4/30/23-1.131.151.0115-4.1517.91-0.23
3/31/233.03-2.940.9706-7.2618.49-0.39
2/28/23-6.486.931.0693-0.9621.34-0.04
1/31/237.90-7.320.9268-1.3821.21-0.07
12/31/22-1.411.431.01432.7720.920.13
11/30/2214.83-12.920.8708-0.1421.33-0.01
10/31/22-3.103.201.03204.6219.870.23
9/30/22-11.7213.281.13282.1119.980.11
8/31/220.42-0.420.9958-2.6618.47-0.14
7/31/22-0.250.251.0025-0.8918.71-0.05
6/30/22-6.647.121.0712-0.5618.72-0.03
5/31/220.44-0.440.9956-4.7618.55-0.26
4/30/22-5.565.891.0589-2.1919.13-0.11
3/31/22-2.262.311.0231-4.7118.83-0.25
2/28/22-2.993.081.0308-5.6918.77-0.30
1/31/22-1.891.931.0193-6.7118.66-0.36
12/31/211.88-1.840.9816-9.8619.11-0.52
11/30/21-4.084.251.0425-8.4919.20-0.44
10/31/210.99-0.980.9902-10.9519.08-0.57
9/30/21-3.974.141.0414-7.9119.99-0.40
8/31/212.62-2.550.9745-8.9819.81-0.45
7/31/21-6.737.221.0722-7.3519.87-0.37
6/30/210.17-0.170.9983-10.1319.36-0.52
5/31/212.32-2.270.9773-8.8019.58-0.45
4/30/212.49-2.430.9757-6.9919.70-0.35
3/31/21-1.511.531.0153-6.0819.67-0.31
2/28/210.76-0.760.9924-5.9719.69-0.30
1/31/213.07-2.970.9703-4.2419.91-0.21
12/31/207.35-6.850.9315-5.8220.32-0.29
11/30/209.25-8.470.9153-4.6920.04-0.23
10/31/202.06-2.020.9798-1.9019.44-0.10
9/30/20-1.601.631.0163-2.3619.50-0.12
8/31/202.21-2.160.9784-2.7619.48-0.14
7/31/208.94-8.200.9180-2.7619.48-0.14
6/30/207.35-6.850.9315-1.8619.16-0.10
5/31/200.77-0.760.99240.1518.740.01
4/30/209.16-8.390.9161-0.5618.82-0.03
3/31/20-15.4018.211.18211.6518.180.09
2/29/20-5.275.571.0557-4.6614.79-0.32
1/31/20-4.664.891.0489-7.3014.45-0.51
12/31/197.46-6.940.9306-10.3714.32-0.72
11/30/19-0.140.141.0014-8.2613.85-0.60
10/31/194.22-4.050.9595-6.8514.20-0.48
9/30/191.91-1.870.9813-5.6414.05-0.40
8/31/19-4.885.131.0513-5.4414.03-0.39
7/31/19-1.221.241.0124-7.7613.68-0.57
6/30/196.24-5.870.9413-9.6313.85-0.70
5/31/19-7.267.821.0782-8.9913.64-0.66
4/30/192.11-2.060.9794-10.1112.97-0.78
3/31/190.84-0.830.9917-9.6512.95-0.75
2/28/190.22-0.220.9978-13.0714.40-0.91
1/31/198.76-8.050.9195-12.9614.41-0.90
12/31/18-2.652.721.0272-8.4714.52-0.58
11/30/184.12-3.960.9604-8.6014.48-0.59
10/31/18-8.719.541.0954-6.1214.60-0.42
9/30/18-0.530.531.0053-11.0013.77-0.80
8/31/18-2.702.781.0278-10.2513.94-0.74
7/31/182.20-2.150.9785-8.2115.14-0.54
6/30/18-4.154.331.0433-5.3015.80-0.34
5/31/18-3.543.671.0367-5.8115.66-0.37
4/30/18-0.440.441.0044-5.6615.71-0.36
3/31/18-1.861.891.0189-8.1016.18-0.50
2/28/18-4.614.831.0483-8.2316.16-0.51
1/31/188.33-7.690.9231-10.5815.88-0.67
12/31/173.59-3.470.9653-8.3415.35-0.54
11/30/170.20-0.200.9980-5.7915.57-0.37
10/31/173.51-3.390.9661-5.3915.59-0.35
9/30/17-0.400.401.0040-4.6715.50-0.30
8/31/172.23-2.180.9782-2.3216.22-0.14
7/31/175.96-5.630.9437-2.3316.22-0.14
6/30/171.01-1.000.9900-1.0615.92-0.07
5/31/172.96-2.870.9713
4/30/172.19-2.140.9786
3/31/172.52-2.460.9754
2/28/173.06-2.970.9703
1/31/175.47-5.190.9481
12/31/160.22-0.220.9978
11/30/16-4.604.831.0483
10/31/160.24-0.240.9976
9/30/161.29-1.270.9873
8/31/162.49-2.420.9758
7/31/165.03-4.790.9521
6/30/164.00-3.840.9616
5/31/16-3.733.871.0387
4/30/160.54-0.540.9946
3/31/1613.23-11.690.8831
2/29/16-0.160.161.0016
1/31/16-6.496.941.0694
12/31/15-2.232.281.0228
11/30/15-3.904.061.0406
10/31/157.13-6.660.9334
9/30/15-3.013.101.0310
8/31/15-9.049.941.0994
7/31/15-6.937.451.0745
6/30/15-2.602.671.0267
5/31/15-4.004.171.0417
4/30/157.69-7.140.9286
3/31/15-1.421.441.0144
2/28/153.10-3.000.9700
1/31/150.60-0.600.9940
12/31/14-4.614.831.0483
11/30/14-1.061.071.0107
10/31/141.18-1.170.9883
9/30/14-7.418.011.0801
8/31/142.25-2.200.9780
7/31/141.93-1.900.9810

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