gummy wrote:Mamma mia!
Simba, you is so fast!
I wuz still workin' on rev5j when you done finished rev5k with the probability stuff included.
About Ito, the lognormal distribution of prices at time T (starting with price Po) is:
I just stuck in the parameters r, s and Po, using your data.
simba wrote:jms - I updated the spreadsheet with gummy's changes.
Latest version rev5k can be downloaded here
Honestly I can't say I understand everything he did there. I am still reading about Ito's calculus and sortino ratio.
Thanks for the link to all them thar spreadsheets.
I reckon I gotta steal some things to add to this collection:**
** Thievery is my favourite hobby ...
edge wrote:I think the past few exchanges illustrate the need for a collaborative tool to help streamline updates and availability - google spreadsheets could work here. If any more assistance is required to understand how to set this up I could volunteer to help.
In any case, the changes are pretty cool.
Agreed! Now if we can only reduce the pressure (and sweat) on Simba.But one person, Simba, (or small committee) still needs ultimate say over what is and is not accepted for the release version...
gummy wrote:Agreed! Now if we can only reduce the pressure (and sweat) on Simba.But one person, Simba, (or small committee) still needs ultimate say over what is and is not accepted for the release version...
The google spreadsheets can't handle all of Excel's functionality ... but it's cheeep, eh?
If Simba agrees, I can collect revisions, stick them on my website then PM Simba so he can check them out and decide it they're acceptable.
Could either of you explain what the graph showing the "Probability of achieving less than 1000$P in 15 years" means?
After I entered the % of my allocations nothing appeared on the graphs. Am I missing a step? My total allocation comes to 100%
the sharpe ratio calculations don't take compounding into effect ... they use Average(portfolio returns)-Average(tbill returns) to get the excess returns. it should be
Eric White wrote:Do fellow Diehards feel it would be useful to add costs for each investment choice (absolute return - cost - inflation = real investor return) and include them in calculations? Sorry if it's already in there...
edge wrote:I think the data source for EM has a developed market index listed - this does not seem correct.
I think it will be interesting to add the results for the un-rebalanced portfolio as well.
I did some testing on my own and in most cases for an all stock portfolio the returns as well as stdev go up.
I think some of the "real" returns are wrong, looks like one of the columns used in the equation are wrong.
It would be better if the inflation column was $'ed so the equation could just be copied/pasted.
A minor issue, one of the graph legend has "rebalanced" portfolio when it should be "unrebalanced"
P2 P3 P4 P5 in the portfolio comparision section
Real returns are the same as nominal returns.
sterjs wrote:Interesting Result: Commodities don't improve Sharpe Ratios much for diversified portfolios, but they improve Sortino Ratios substantially.
I also messed around with the allocations and produced a portfolio that never had a losing year:
65% ST Treasuries
10% U.S. Small Value
05% EAFE Value
05% Emerging Markets
Std. Dev. 4.62%
P.S. The Intl Value looks strange to me... was there really only a .27% Value premium in EAFE from 72-2006?
Peppe wrote:Can you add VG extended market or other S&P completion type index? My 401k doesn't have total stock market, but has S&P 500 and the Russell small cap completion index. I used mid cap blend in place of it, but the completion index is more volatile than the VG mid cap.
Thanks for all your hard work this spreadsheet is fun to tinker with and is very helpful.