Bob wrote:This spreadsheet is a terrific tool!
Would anyone have national muni fund returns for the 1972-2006 timeframe that could be added to this fantastic tool -- for those who do have not room for taxable bonds in their tax-advantaged accounts and so use tax-exempt bond funds in taxable accounts?
For instance, Vanguard Short-Term Tax-Exempt Fund Investor Shares (VWSTX), Intermediate-Term Tax-Exempt Fund Investor Shares (VWITX) and Long-Term Tax-Exempt Fund Investor Shares (VWLTX).
I can only find 1992 - 2006 data at the Vanguard site, otherwise I'd try to supply the data.
mikenz wrote:Great work.
One thing I found so far - worksheet SP-85-06 : the formula for CAGR uses Portfolio!$B$38 (which is 35 years) when it should use $J$38 (22 years). The CAGR should be 11-12% but calculates to only 7%. The total also has a VLOOKUP with an argument $B$40 which probably should be $J$40
Eric White wrote:GBS,
That's really good to hear. I need to work on the problem area that was called out last night, but I don't know if that was introduced by my changes or was part of the original Rev5G.
Are you as surprised with some of the results as I am?
Your spreadsheet is fantastic. I found it personally useful to incorporate inflationary data into the spreadsheet so that I could look at returns in terms of real losses and gains.
Here is a link to rev5f with inflation data. I hope you or someone else can benefit from it.
edge wrote:I wonder if there is a better way to host the spreadsheet. Does anyone else think it would be a better idea to use the google online spreadsheet for this sort of thing?
CyberBob wrote:edge wrote:I wonder if there is a better way to host the spreadsheet. Does anyone else think it would be a better idea to use the google online spreadsheet for this sort of thing?
That's a heck of a good idea!
That way, it wouldn't require people to have extra software other than a browser and they could always be sure of viewing the latest up-to-date numbers.
And, collaboration would certainly be easier.
simba wrote:johnb wrote:Thanks very much for posting this. I've found it highly useful.
I added Short-Term Treasuries data to my copy of the spreadsheet, because I've found it to be a fantastic diversifier.
The Treasury Bill returns are already included in the spreadsheet. The corresponding Vanguard Fund VMPXX was started in 1983 hence its returns were included since 1984. Spreadsheet includes Tbills from 1972-1983 & VMPXX from 1984-2006.
what is your source?
johnb wrote:I guess I'm a little confused by backtesting now. A portfolio of 50% EM, 38% SV, and 12% REITs (and no bonds) has an average annual growth rate of 17.65% with a Sharpe ratio of .66 when backtested 1972-2006.
When you look at growth rate and Sharpe ratio together, there's nothing that can beat that. However, that's a ridiculous portfolio. Right?
edge wrote:Is anyone surprised that extremely risky and strange portfolios are the best performing?
gbs wrote:P.S. Are there errors in the VEURX and VPACX returns?
The spreadsheet is Great!
? Is it okay to put a copy here ?
http://www.gummy-stuff.org/Excel/Backte ... eturns.xls
If you object, I can remove it.
It's rev5i, but I can put later versions at the above location (if they become available).
I've noticed that the performance of the Coffee House "reference" portfolio from 1972-2006 is different from that shown by TrevH in Conversation 58280 on Morningstar's Diehard Forum where he shows he shows:
If I understand correctly, you are using the same data as he. I did some random spot checking which seemed to confirm that premise. So...why do you think there is there a difference?
johnb wrote:edge wrote:Is anyone surprised that extremely risky and strange portfolios are the best performing?
Well, I was a bit surprised.
Something I've found interesting through backtesting is that combining the *riskiest* stocks with the *safest* bonds produces some really neat results. For example:
- 60% Short-Term Treasurys (the VFISX info I posted on page 1)
- 20% EM
- 10% SV
- 10% REITs
...yields 12.10% average growth, an 8.15 standard deviation, and a Sharpe ratio of .78. (The worst year that portfolio would have had was in 1974, with a loss of only 3.56%!)
By comparison, the Coffeehouse portfolio had an 11.71% return, a 10.45 standard deviation and a .59 Sharpe ratio.
Something I've found interesting through backtesting is that combining the *riskiest* stocks with the *safest* bonds produces some really neat results
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