Search found 5975 matches

by siamond
Sun Mar 17, 2024 7:32 am
Forum: Investing - Theory, News & General
Topic: New insights on safe and perpetual withdrawal rates
Replies: 59
Views: 6011

Re: New insights on safe and perpetual withdrawal rates

I am having problems with this part, especially the bolded bit. Here’s how it works under the hood. For each portfolio I measure the longest inflation-adjusted CAGR we have data for. You can see that number for yourself by using the Heat Map and seeking the longest-term real CAGR at the top right when maximizing the black “years held” box. When there is at least 15 years of real-world sequence of returns data to use in the withdrawal rate calculations, that’s what is always prioritized. And when we reach a retirement endpoint with no more data, I assume that the portfolio will continue to grow at the same very long-term real CAGR . For the 1966 retiree, this method would forecast as of 1981 a very dismal safe withdrawal rate, likely well l...
by siamond
Sat Mar 16, 2024 5:10 pm
Forum: Investing - Theory, News & General
Topic: New insights on safe and perpetual withdrawal rates
Replies: 59
Views: 6011

Re: How to Harness the Flowing Nature of Withdrawal Rate Math

McQ wrote: Sat Mar 16, 2024 4:50 pmAnd a tip of the hat to Siamond for bringing it to my/our attention (although, for maximum readership on the forum, Siamond, I might tinker with the thread title, such as "New insights on safe and perpetual withdrawal rates."
Deploying your marketing wings, are you? :wink:

Ok, good idea, done!
by siamond
Sat Mar 16, 2024 4:58 pm
Forum: Investing - Theory, News & General
Topic: Investment policy for a future low federal funds rate
Replies: 1
Views: 511

Re: Investment policy for a future low federal funds rate

The last image doesn't load? I suspect the link is broken...
by siamond
Fri Mar 15, 2024 9:25 pm
Forum: Investing - Theory, News & General
Topic: New insights on safe and perpetual withdrawal rates
Replies: 59
Views: 6011

New insights on safe and perpetual withdrawal rates

Tyler (from Portfolio Charts) came up with a very astute new insight on Safe (and Perpetual) Withdrawal Rates. Call me impressed.

https://portfoliocharts.com/2024/03/15/ ... rate-math/
by siamond
Fri Mar 01, 2024 5:22 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Minor update (I meant to add the Franklin Utilities fund, 1948+, then forgot, then finally did it!). Same link:

Simba v23c DRAFT1b (experimental): https://bit.ly/4bPDfrD
by siamond
Fri Mar 01, 2024 5:18 pm
Forum: Investing - Theory, News & General
Topic: Is there a way to see a fund’s historical expense ratio?
Replies: 17
Views: 2182

Re: Is there a way to see a fund’s historical expense ratio?

Is it that rare for an active fund? [...] No, it's not that rare. Expense ratios have been trending down since index funds have been introduced, but from one year to the next, it is actually fairly common to have funds report an increased expense ratio (which is a simple formula, expenses / average net assets). It even occasionally happens to passive funds. I posted in the thread discussing the Simba backtesting spreadsheet an experimental version, with full ER history for all funds tracked by the spreadsheet (discussion starts here ). And yes, it goes up and down from one year to another, while trending down overall. I just checked VFINX, the oldest Vanguard index fund, and it went up 17% of the time over its history, surprise! Vanguard W...
by siamond
Wed Feb 28, 2024 10:31 pm
Forum: Investing - Theory, News & General
Topic: Variable Percentage Withdrawal (VPW) vs. Total Portfolio Allocation and Withdrawal (TPAW)
Replies: 14
Views: 2053

Re: Variable Percentage Withdrawal (VPW)

You must not be familiar with the probabilistic framework used to model risk in finance. Expected return as I've used it is standard usage in academic finance, including for example in Merton's formula. It's the mean of the probability distribution of the return distribution. Yes, of course, expected returns are at the epicenter of possible futures (and I guess this is why you call it 'mean'), or hypothetical pasts when playing with Monte-Carlo simulations, but... any expected return value is by nature a CAGR, hence a geometric quantity, and this is what PMT/NPV formulas need as input. Returns combine themselves geometrically over time. This is what I meant. It's all about context. Oh well, thanks for explaining your terminology. No worry,...
by siamond
Wed Feb 28, 2024 9:06 pm
Forum: Investing - Theory, News & General
Topic: Variable Percentage Withdrawal (VPW) vs. Total Portfolio Allocation and Withdrawal (TPAW)
Replies: 14
Views: 2053

Re: Variable Percentage Withdrawal (VPW)

[...] That is what I meant by the "median return"—the CAGR of the median outcome. i.e. the median CAGR. Ok... I would suggest you add clear qualifiers when using this terminology, then. One would typically understand a median return as the median of past returns. At least, this is what I thought you were referring to. I now get this point and we agree on what those 5% and 1.9% numbers mean, i.e. a geometrical average of past returns. Let expected_return be the arithmetic average of historical returns And let historical_cagr be the CAGR (geometric mean) of historical returns It sounds like another Monte-Carlo confusing thing, but expected returns in their common acceptance (and as input to any time-value-of-money formula like PMT ...
by siamond
Wed Feb 28, 2024 4:50 pm
Forum: Investing - Theory, News & General
Topic: Variable Percentage Withdrawal (VPW) vs. Total Portfolio Allocation and Withdrawal (TPAW)
Replies: 14
Views: 2053

Re: Variable Percentage Withdrawal (VPW)

For expected returns, enter 6.6% stocks and 2.2% bonds. (This keeps the median return consistent with Longinvest's view of the stock and bond return process. The WAG of 5.0% and 1.9% in VPW is Longinvest's estimate of the median returns for stocks and bonds based on historical data. The expected return will be higher than the median. Hey Ben. I might have asked you already, but I don't remember the answer. VPW's so-called WAG came straight from the historical average return (1900+) documented by Dimson and al, in the Credit Suisse Global Investment Returns Yearbooks. Here is a quick snapshot of the corresponding graph from the 2021 edition. Of course, those values vary a tad from one yearbook edition to another. http://i.imgur.com/hiCTmwFl...
by siamond
Tue Feb 27, 2024 11:49 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Here is a screen shot for the construction of the US analogue series and the Mid-Cap Value ER series. It should be reasonably intuitive when checking the spreadsheet (Raw_ER tab) and the explanations posted above. In columns G to J, you see how the US analogue series was assembled and the fixed value of choice for the very early days (0.30). Then in column AJ, you see how the US analogue was used, with an increment of 0.10. In columns AK to AM, you see the Vanguard Mid-Cap Value Index Fund known ER history and the splicing process. Note that for the very early days (e.g. 1871!), a fixed value is used for MCV, adding the 0.10 increment to the fixed value used for the US analogue (0.30). FEEDBACK WELCOME (on the general idea, the spreadsheet ...
by siamond
Tue Feb 27, 2024 10:58 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Those of you curious about this topic and/or eager to provide some early feedback on STEP 1 are welcome to download Simba v23c DRAFT1: https://bit.ly/4bPDfrD You will notice the addition of two new tabs: *) Raw_ER provides historical ER series and a corresponding splicing model (this tab will stay in the official release) *) TallyER allows to tally and visualize raw ER series (those tables and charts will be reworked before the official release) Raw_ER can be used for historical purposes and will be the foundation for adjusting synthetic/index returns in step 2. Raw ER numbers came from quite extensive research of the history of all funds tracked by Simba, plus various long-lived funds. Data sources for such research were: - Vanguard itself...
by siamond
Tue Feb 27, 2024 10:02 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Now that v23b is officially released, let's focus on the bigger project: improve the spreadsheet's ER (expense ratio) processing. Since the creation of the Simba spreadsheet (around 2012), the model was fairly simple. Spliced series were created by combining ER-adjusted index returns (or ER-adjusted synthetic returns) with known past returns of the funds of interest. - For example, the US large-cap-blend spliced series combined past synthetic returns from Prof. Shiller (simulating the S&P 500 since 1871), past index returns (factual S&P 500 since 1936) and the Vanguard 500 Index Fund past returns since its inception in 1977. The fund's past returns are themselves a combination of investor class (VFINX) and the more recent admiral cl...
by siamond
Mon Feb 26, 2024 11:53 pm
Forum: Investing - Theory, News & General
Topic: Can you do better than BND?
Replies: 278
Views: 35081

Re: Can you do better than BND?

Kevin, it will enormously advance my understanding if you can spell out a similar formula for calculating the standard deviation of 30-year returns for BND, S&P 500, long Treasuries, T-bills, etc. I am not Kevin (obviously!), but let me suggest a simple answer. For every starting year with enough known history ahead of it, compute the average return (CAGR) of the next 30 years. Iterate for each suitable starting year and you'll get an array of 30-years [average] returns. Then just proceed with the same steps that you described to compute the standard deviation. Or simplify a bit your life and use the STDEV() function! :wink: You could also start with an initial value, say $10k. Then compute the terminal value after 30 years of investme...
by siamond
Mon Feb 26, 2024 3:27 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

We need to re-open the discussion for the Global Bonds Unhedged data series (the ACTIVE one), see details here:
viewtopic.php?p=7733977#p7733977
by siamond
Mon Feb 26, 2024 3:05 pm
Forum: Investing - Theory, News & General
Topic: World Bond funds (hedged vs. unhedged)
Replies: 15
Views: 2243

Re: World Bond funds (hedged vs. unhedged)

Logged for further investigation:

BrandywineGLOBAL - Global Opportunities Bond Fund Class A (GOBAX)
=> Its trajectory isn't that different from PIMCO Global Bond. Started late 2006.

Templeton Global Bond Fund Class A (TPINX)
=> Long history (1986+), need to check that scope didn't change along the way.
by siamond
Sun Feb 25, 2024 12:03 pm
Forum: Investing - Theory, News & General
Topic: World Bond funds (hedged vs. unhedged)
Replies: 15
Views: 2243

Re: World Bond funds (hedged vs. unhedged)

Re-opening an old thread... See context in above posts. Recent events: - PAGPX - PIMCO Global Bond Opportunities Fund (Unhedged) - closed in Jun 2022 - PIGLX (same fund, institutional) closed as well - AUBAX - Invesco World Bond Fund - closed in Dec 2023 In addition, it turns out that AUBAX Global scope is actually fairly recent. Until Dec 2016, it used to have an International ex-US scope (it was named Invesco International Total Return fund by then; previous name was AIM International Bond Fund) before it shifted to a Global scope. Dig deep in this SEC annual report to find confirmation. I am starting to question if we should keep this active series in Simba next year's edition. At the very minimum, we should remove AUBAX and only keep PI...
by siamond
Sat Feb 24, 2024 5:53 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Wiki page updated, linking to the previous post, plus a few overdue updates to the main text.
by siamond
Tue Feb 20, 2024 10:24 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Well, I was waiting for Prof. Shiller's latest update, but it doesn't seem to be coming. Also I hesitated to tackle a new form of ER adjustment to synthetic/index returns in this release, then I felt that it might be better to do it in v23c, keeping it experimental for a while. Here is the latest version, with all 2023 annual returns and inflation numbers finalized (except for Prof. Shiller series). The corresponding wiki update will come in a few days, to allow for feedback in case I messed up something... You can download the spreadsheet here: https://bit.ly/49mNIsS (copy the link to a separate browser tab/window if it doesn't download from here; send me a PM if this doesn't work for you) Rev23b 1. Simba 2023 update completed with followi...
by siamond
Sat Feb 17, 2024 8:21 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

firetrax wrote: Sat Feb 17, 2024 11:18 am Hi this link doesn't appear to be working - is it down? Is there another way to download the v23 version?
I double-checked, the link works well for me, and 300+ folks used it since I posted it. This being said, I don't know why, but some folks had problems in the past with those shortened URLs. Maybe copy and paste in a separate browser tab and try again? If you keep having problems, please send me a private message and I'll give you a more direct link.

Or... you can wait for a couple of days, as I am going to upload a new version (with final 2023 inflation numbers) very soon!
by siamond
Fri Feb 16, 2024 1:06 pm
Forum: Investing - Theory, News & General
Topic: Can you do better than BND?
Replies: 278
Views: 35081

Re: Can you do better than BND?

The correlation values indicate that either choice is uncorrelated with stocks. They don't seem significant enough to say more than that. I very much agree with that. It is tempting to think of 'no correlation' (when the value is close to zero, positive or negative) as 'when one asset zigs, the other zags', but THIS IS WRONG. All it means is "when one asset zigs, the other does whatever the hell it wants, which could very well be zigging too!". No correlation is not (significant and sustained) negative correlation. We have seen it very recently, the recent stock market drop came with the bond returns dropping a good deal too, shocking a bunch of people on this forum. As a keen student of extensive market history, I must admit thi...
by siamond
Thu Feb 15, 2024 5:45 pm
Forum: Investing - Theory, News & General
Topic: Can you do better than BND?
Replies: 278
Views: 35081

Re: Can you do better than BND?

Just to note that duration may also play a part in the difference between BND and VGIT since, for example, the maturity profile of UK gilts (i.e., government bonds) is quite different to that of US treasuries (the weighted maturity/duration is currently somewhat higher in the UK). With generally decreasing yields over most of the period under discussion, longer duration will tend to beat shorter duration (until it doesn't). Are historical values of duration (or weighted maturity as a reasonable proxy) for BND and VGIT available? [...] Thanks for posting those links, StillGoing. I tend to doubt that historical duration data are available, since it is a joint result of coupon and maturity. But possibly buried in Morningstar or EDGAR reports,...
by siamond
Tue Feb 13, 2024 5:22 pm
Forum: Investing - Theory, News & General
Topic: Can you do better than BND?
Replies: 278
Views: 35081

Re: Can you do better than BND?

I, too, followed Jack's advice of getting more corporate exposure. I use Vanguard Intermediate-Term Bond Index Fund (VBILX). It's another 60/40 holy grail. :D

A historical comparison of VBILX vs. VBTLX (total-bonds) looks attractive. So does a comparison of their respective indices (allowing to start in 1976). I'm sure McQ will go through all the details...

For sure, the equity part of my portfolio totally dwarves any bond subtlety. But then, the VBILX choice does make me feel better, hence stay the course, so... I'm happy with that and this is what counts.
by siamond
Fri Feb 09, 2024 6:35 am
Forum: Investing - Theory, News & General
Topic: Is there a way to see a fund’s historical expense ratio?
Replies: 17
Views: 2182

Re: Is there a way to see a fund’s historical expense ratio?

And while I am at it, here is a useful link to a Mutual Fund Observer forum, where McQ was looking for similar ER information on Edgar...

https://mutualfundobserver.com/discuss/ ... rts-at-mfo
by siamond
Thu Feb 08, 2024 9:46 pm
Forum: Investing - Theory, News & General
Topic: Is there a way to see a fund’s historical expense ratio?
Replies: 17
Views: 2182

Re: Is there a way to see a fund’s historical expense ratio?

I was often struggling with the various ill-designed search engines on EDGAR... And then I found this page: https://www.sec.gov/open/datasets-investment_company Which allows for a giant download (a spreadsheet with 40k entries!), a dataset providing all CIKs vs. names vs. tickers... So much easier to search into this spreadsheet! Find the CIK series ID (starting by an 'S'), and construct a link like the following, then you should find relevant filings (e.g. click on Shareholder Reports): https://www.sec.gov/cgi-bin/browse-edgar?CIK=S000007112 . In this case, this is Fidelity Magellan's CIK. Here is a direct search for N-CSR: https://www.sec.gov/cgi-bin/browse-edgar?action=getcompany&CIK=S000007112&type=N-CSR&dateb=&count=100...
by siamond
Mon Feb 05, 2024 1:50 pm
Forum: Personal Finance (Not Investing)
Topic: Intuit's Mint App Shutting Down...Replacement Recommendations?
Replies: 754
Views: 141305

Re: Intuit's Mint App Shutting Down...Replacement Recommendations?

I got some concerning performance issues with Empower Personal Dashboard [Personal Capital] yesterday, notably for the couple of accounts requiring two-factors-authentication. It worked better today, but I suspect the hordes of people moving from Mint to those other tools must be giving quite some scaling headaches to corresponding operators... It might be better for retirees to do their monthly math on week days, at least for a while!! [...] EDIT. Darn it, more issues. The Venmo import seems rather unreliable, I have four similar transactions in January, it found a way to miss two... A few E*Trade transactions from my checking account are missing too. In both cases, 2FC performance issues might have some bearing with the issue. Now I am w...
by siamond
Sun Feb 04, 2024 4:17 pm
Forum: Personal Finance (Not Investing)
Topic: Intuit's Mint App Shutting Down...Replacement Recommendations?
Replies: 754
Views: 141305

Re: Intuit's Mint App Shutting Down...Replacement Recommendations?

I got some concerning performance issues with Empower Personal Dashboard [Personal Capital] yesterday, notably for the couple of accounts requiring two-factors-authentication. It worked better today, but I suspect the hordes of people moving from Mint to those other tools must be giving quite some scaling headaches to corresponding operators... It might be better for retirees to do their monthly math on week days, at least for a while!! One annoying thing is that transaction splits do not appear in the CSV download, only the original transaction. Now that's dumb. I mean, I only have one or two splits a month, and I can split at the Excel level after the download, but this is frustrating. On a more positive perspective, I definitely like Emp...
by siamond
Sun Feb 04, 2024 4:01 pm
Forum: Investing - Theory, News & General
Topic: Now that long TIPS yields are 60 bp off their highs I will…
Replies: 2937
Views: 611864

Re: Now that long TIPS yields are 60 bp off their highs I will…

CraigTester wrote: Sun Feb 04, 2024 3:26 pmSiamond - I am not yet familiar with using the Simba-backtesting spreadsheet, and it sounds like you are the expert....

Would you mind running another iteration....?

I'd love to see a US-stocks-only vs World vs Int'l-stocks-only....
Let me private message you. Ladygeek is right, we're sidetracking a tad too much from the original intent of this thread.
by siamond
Sun Feb 04, 2024 1:37 pm
Forum: Investing - Theory, News & General
Topic: Now that long TIPS yields are 60 bp off their highs I will…
Replies: 2937
Views: 611864

Re: Now that long TIPS yields are 60 bp off their highs I will…

https://imgur.com/uwuZkWDh.jpg http://i.imgur.com/uwuZkWDh.jpg Yes, we know what happened in the past. We don't know the odds of future returns. You're showing fewer than three independent 20 year periods. In addition to the basic problem, even if we were in a context to which normal statistics apply, that's nowhere near enough data for drawing any sort of useful conclusion. Well, the data series from Dimson and al. actually starts in 1900, so that's 120+ years of data (stocks and bonds). More than enough for this "3 independent data points" narrow perspective. I only illustrated the data from 1970 in my little graph because the Dimson data series are not public and only available for a steep fee. I hope that the efforts of Jorda...
by siamond
Fri Feb 02, 2024 7:33 am
Forum: Investing - Theory, News & General
Topic: Now that long TIPS yields are 60 bp off their highs I will…
Replies: 2937
Views: 611864

Re: Now that long TIPS yields are 60 bp off their highs I will…

But to make this more actionable for a forum that loves its indexes, can you group this data into bundles reflecting what a typical BH might actually buy, like VEA, VXUS or VT....? As discussed with your earlier table, end dates for problem periods of particular countries vary dramatically.... Hence the whole point of indexing, etc, etc.... Siamond provided some great charts above in this manner, but his data only traces back to 1970. P.S. There's probably a best selling book hiding in here somewhere if you can make it actionable to the masses.... :happy Indeed. Most of this data came from worldwide data series which were originally collated for this fascinating book: Triumph of the Optimists: 101 Years of Global Investment Returns Dimson,...
by siamond
Wed Jan 31, 2024 5:03 pm
Forum: Investing - Theory, News & General
Topic: Now that long TIPS yields are 60 bp off their highs I will…
Replies: 2937
Views: 611864

Re: Now that long TIPS yields are 60 bp off their highs I will…

For the "World Dev'd" data, does that include US...? Or more to the point, if you wanted to use a "world" index as your 21 year rung of your ladder, which ETF to use...? Yes, indeed, World Developed includes US. And the World does extend beyond the US. :wink: My 3 sons (mid 20s to early 30s) invest 100% of their savings in the Vanguard VTWAX fund. The ETF equivalent is VT. This follows the FTSE Global All Cap Index, so it includes emerging countries too. I'm sure you'll easily find a Developed-only ETF on iShares if you do a quick search. I picked developed-only in my backtest because this allows to easily go back to 1970+. Hence not ignore a good chunk of history, like some folks appear willing to do at their own risk....
by siamond
Wed Jan 31, 2024 2:18 pm
Forum: Investing - Theory, News & General
Topic: Now that long TIPS yields are 60 bp off their highs I will…
Replies: 2937
Views: 611864

Re: Now that long TIPS yields are 60 bp off their highs I will…

That table is a great Argument for not limiting your investments to a single country. Noting that the ending date of negative return periods is different for each country (or grouping), do you have any way to reflect these results when bundled into an index, like say VEA, VXUS or VT….? Probably a big ask but it would be a very interesting reference point to not only better inform the decision of this thread, but others as well. Not a big ask, thanks to the Simba backtesting spreadsheet . Here is what I generated in a few simple clicks. Those are INDEX returns (i.e. no expense ratio or other cost accounted for). First chart is the distribution of real returns for 20 years rolling periods. On the left, International vs. World (developed coun...
by siamond
Wed Jan 31, 2024 1:34 am
Forum: Investing - Theory, News & General
Topic: Now that long TIPS yields are 60 bp off their highs I will…
Replies: 2937
Views: 611864

Re: Now that long TIPS yields are 60 bp off their highs I will…

1. Stay the course and engage in no market timing. I bought TIPS in 2021 to match future liabilities and have all I need according to my investment policy statement. 2. Wait to see how high that real yield might go. 3. Jump on it and convert a substantial percentage of my fixed income portfolio to long TIPS 4. Convert *all* my bond holdings to long TIPS, including those embedded in Wellesley, Wellington or other balanced funds. 5. Continue to ignore TIPS because the real return potentially on offer in stocks is so much greater than 2.0% over the long term. 6. Already converted all my bonds to the 20-year TIPS as soon as it yielded 1.0% real…just some weeks ago. Positive real returns, government guaranteed, are … positive real returns. My a...
by siamond
Tue Jan 30, 2024 10:09 pm
Forum: Investing - Theory, News & General
Topic: Is there a way to see a fund’s historical expense ratio?
Replies: 17
Views: 2182

Re: Is there a way to see a fund’s historical expense ratio?

This is beyond my technical expertise, but EDGAR has all of the mutual fund annual reports with expense ratios in marked up in XML. Yes, I am aware (well at least starting from 1994). I know there is some open source software allowing to analyze such formats (e.g. openEDGAR), but yes, this goes beyond my expertise too. If anybody knows a nice front-end UI to such extraction tools, this would be appreciated. I did it 'by hand' for the Vanguard Canada funds we track in Simba, and this wasn't entirely fun. As to the years before 1994, I think I figured out the answer today (thanks to McQ). At the New York Public Library (and other public/university libraries), they have copies of all editions of the Wiesenberger Investment Companies yearbooks...
by siamond
Sun Jan 28, 2024 3:46 pm
Forum: Investing - Theory, News & General
Topic: Is there a way to see a fund’s historical expense ratio?
Replies: 17
Views: 2182

Re: Is there a way to see a fund’s historical expense ratio?

TheContrarian wrote: Sat Jun 03, 2023 3:17 pm Is there a way to see a fund’s historical expense ratio? I know that some funds raise and lower expenses to attract new investors and/or make more money, so I’m curious if there’s a way to see historical expense ratios for a fund/ETF.

THANKS! - @isaachemingway
I am in the process of extending the Simba backtesting spreadsheet to document historical expense ratios for all funds being tracked. This is NOT an easy process... I'm done with the Vanguard funds, but the other ones will take more time.

Work in progress... Help welcome if anybody found a magic bullet!
by siamond
Thu Jan 25, 2024 3:39 pm
Forum: Investing - Theory, News & General
Topic: Do Bond Funds Really Make Sense for the Long Run?
Replies: 399
Views: 38708

Re: Do Bond Funds Really Make Sense for the Long Run?

The strategies/methods provide a stream of real income, but since the environment changes between and within test periods, independent metrics are necessary. Metrics must measure how well each method performed in each period in a manner that can be summarized for all of the periods. The normal way to compare different income streams would be to use Net Present Value (NPV). This requires a discount rate – also known as a hurdle rate. I guess you're focusing on the decumulation side of things. Using NPV() would be highly dependent of how much is withdrawn and when. Unless those withdrawal outflows are identical, I'm afraid we would compare apples and oranges. Or am I missing something? I don't see how a comparison between ladders and bond fu...
by siamond
Thu Jan 25, 2024 12:10 pm
Forum: Investing - Theory, News & General
Topic: Do Bond Funds Really Make Sense for the Long Run?
Replies: 399
Views: 38708

Re: Do Bond Funds Really Make Sense for the Long Run?

In accumulation, we should expect very similar results between using a bond fund vs a rolling ladder if we choose our ladder rules to roughly correspond to the bond fund's construction rules. I'm not saying that this should not be done, but I think we all have a pretty good idea what this will look like. After that, the difference is going to be the e/r of a fund vs none with bonds. In decumulation the number of permutations can explode because you can't look at this without involving a discussion of withdrawal methods. And unless we want to also start a discussion regarding whether a portfolio with bonds or a bond fund is friendlier to one withdrawal method than to another, I suggest that we stick with one method. And it isn't SWR. [...] ...
by siamond
Tue Jan 23, 2024 11:36 pm
Forum: Investing - Theory, News & General
Topic: Historic Mutual Fund Fee Data
Replies: 6
Views: 985

Re: Historic Mutual Fund Fee Data

I have a slightly lengthier history for Wellington (Investor). Still quite a few years missing, as the fund was created in 1929!

Ticker VWELX
Name Vanguard Wellington™ Inv

1976 0.49
1977 0.48
1978 0.56
1979 0.54
1980 0.54
1981 0.62
1982 0.69
1983 0.64
1984 0.59
1985 0.64
1986 0.53
1987 0.43
1988 0.47
1989 0.42
1990 0.43
1991 0.35
1992 0.33
1993 0.34
1994 0.35
1995 0.33
1996 0.31
1997 0.29
1998 0.31
1999 0.30
2000 0.31
2001 0.36
2002 0.36
2003 0.36
2004 0.31
2005 0.29
2006 0.30
2007 0.27
2008 0.29
2009 0.34
2010 0.30
2011 0.27
2012 0.25
2013 0.26
2014 0.26
2015 0.26
2016 0.26
2017 0.25
2018 0.25
... still at 0.25 in 2022
by siamond
Tue Jan 23, 2024 7:46 pm
Forum: Investing - Theory, News & General
Topic: Do Bond Funds Really Make Sense for the Long Run?
Replies: 399
Views: 38708

Re: Do Bond Funds Really Make Sense for the Long Run?

Siamond, great suggestion (translated: that's academese for "I hadn't thought of that, and might not get around to it for a while"). As with all good suggestions, the penalty is further probing: which Treasury fund might be the best, most useful for this test? I wouldn't expect an equivalent ladder to beat a short-term fund like VGSH. More liminal might be VGIT holding Treasuries from 10 years down to 5, versus a ladder holding 7 year bonds down to zero (or 10 years, to match the average maturity better). A fund like GOVT becomes interesting (total Treasury), matched to that same 10- or 7-year ladder. Then again, I'm really not very interested in nominal bonds, fund or ladder, so any test would be with TIPS. Ideas on how to follo...
by siamond
Tue Jan 23, 2024 10:18 am
Forum: Investing - Theory, News & General
Topic: Do Bond Funds Really Make Sense for the Long Run?
Replies: 399
Views: 38708

Re: Do Bond Funds Really Make Sense for the Long Run?

Bond funds are a mistake, a bad product, a wrong turn taken in the continually evolving financial marketplace and the democratization of same. Let me clarify: Bond fund: a never-maturing, continually rolled assembly of nominal bonds with a duration typically about that of the 10-year Treasury. A bond fund is designed to be part of a portfolio, a long-term holding purchased with the expectation of accumulating wealth. Accordingly, interest payments from the bond fund are typically re-invested. The addition of bonds to a stock portfolio is guided by Modern Portfolio Theory: that this very different asset will diversify stock holdings, reducing volatility and improving risk-adjusted returns. Don’t get me wrong: bonds have their place. A LADDE...
by siamond
Sun Jan 21, 2024 11:06 am
Forum: Investing - Theory, News & General
Topic: Do Bond Funds Really Make Sense for the Long Run?
Replies: 399
Views: 38708

Re: Do Bond Funds Really Make Sense for the Long Run?

For somebody who settled on fairly high stock exposure (hence low bonds exposure), I have to say that the simplicity of bond funds remains very compelling... I would tend to think that the same would be true for a young accumulator (e.g. my 3 sons!).

Now for the folks who settled on fairly high bonds exposure, then yeah, I see the point of this discussion. I don't have anything to add, but this is an interesting discussion...
by siamond
Sat Jan 20, 2024 11:26 am
Forum: Investing - Theory, News & General
Topic: Morningstar article: Do Stocks Really Make Sense for the Long Run?
Replies: 180
Views: 26835

Re: Morningstar article: Do Stocks Really Make Sense for the Long Run?

retiringwhen wrote: Mon Jan 15, 2024 5:56 pm The ghost of @vineviz hangs over this thread like a spectre.
That's funny. And yes, you're absolutely right. Personally, this is the main conclusion I draw from this historical research. For young-ish investors, it might be worth diversifying a stock-heavy portfolio with some long-term treasuries. Can't say I am entirely convinced though.
by siamond
Sat Jan 20, 2024 11:21 am
Forum: Investing - Theory, News & General
Topic: Morningstar article: Do Stocks Really Make Sense for the Long Run?
Replies: 180
Views: 26835

Re: Morningstar article: Do Stocks Really Make Sense for the Long Run?

pascalwager wrote: Sat Jan 20, 2024 9:28 amVineviz had most of his bonds in funds, but mentioned he might change to a ladder in retirement. Bill Bernstein didn't think it made sense to pay a fund ER for Treasury bonds.

So far, I haven't seen McQ's particular reasoning for disliking bond funds. Sharpe seemed to approve of them in RISMAT.
I don't really follow McQ's reasoning either. In any case, it seems to me this theme belongs to its own thread? McQ, maybe you could open a separate thread for this, starting by explaining your thinking?
by siamond
Thu Jan 18, 2024 2:13 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

I have been adapting the excel file each year based on my personal preferences. [....] Link to edited Excel (based on rev22b). //edit - Link deleted: the file host service seems to cause issues GraySwan e-mailed me his custom spreadsheet and we agreed that I should make it available for other people to opine on his various ideas. https://docs.google.com/spreadsheets/d/16NROWVeTvovUVRISw1MwCcLeEWelNrrP/edit?usp=drive_link&ouid=107307678959178735635&rtpof=true&sd=true After discussing with my wife (who is more savvy about colors than me), we agreed that most of the color changes might be a little too aggressive for regular users, but there are nevertheless several interesting ideas which could become mainstream after some tweakin...
by siamond
Wed Jan 17, 2024 10:22 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Also, I am pondering some changes to the regular TIPS and short-term TIPS series. Again triggered by dcabler. Those series used to track Fidelity FIPDX and Vanguard VTAPX (both starting annual returns in 2013) and to be complemented by the relevant Barclays index. The question is to possibly make good use of iShares TIP and iShares STIP. TIP has solid history (2004+) while STIP has a little more than VTAPX (2011+). I see three options, plus a variation: 1) not bother because the index returns are already good enough (and the Fidelity and Vanguard funds are popular and provide very low ERs) 2) replace FPIDX by TIP and VTAPX by STIP (there is no question that iShares is an excellent provider of passive index funds) 3) assemble more complex s...
by siamond
Tue Jan 16, 2024 2:51 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

GAAP wrote: Tue Jan 16, 2024 1:38 pm As long as you're adding features, you could add a choice to select a color pallet. More fun in your spare time. :wink:
After spending 2 hours getting rid of white snow on my (stupid large) driveway, I am a little tired and I like Ladygeek's comment better... :D

Feel free to implement it though! :beer
by siamond
Tue Jan 16, 2024 10:42 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

The December US Bureau of Labor Statistics (BLS) numbers are now available, CPI is 306.746, which means the official inflation number for 2023 is 3.35%.

I'll wait for more pending 2023 stats to issue a new update, but power users can update the US inflation number in Raw_Data, if so inclined.
by siamond
Tue Jan 16, 2024 8:54 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Here is some feedback / inspiration which may or may not be helpful 😉: I have been adapting the excel file each year based on my personal preferences. [...] Hi there! It seems that that you're a true 'power user' of this spreadsheet, this is cool. Let me download your custom version and ponder about it. The use of brighter and consistent colors seems like an idea which could become mainstream. The rest seems more like your own custom work, but let me take a good look and think a bit more. There are some cool features in Analyze_Portfolio, I would notably encourage you to take a good look at the Portfolio Cycles charts if you didn't do so already. Some people put simple formulas in the portfolio definition part of Analyze_Portfolio, formula...
by siamond
Mon Jan 15, 2024 5:34 pm
Forum: Investing - Theory, News & General
Topic: Morningstar article: Do Stocks Really Make Sense for the Long Run?
Replies: 180
Views: 26835

Re: Morningstar article: Do Stocks Really Make Sense for the Long Run?

McQ was kind enough to share his spreadsheet with me, so I played a bit with the numbers, using a custom version of the Simba backtesting spreadsheet . First, I used the dataset from 1871 till now, and assembled a Telltale chart, comparing 100% stocks, 100% long bonds, and a 60/40 portfolio as the telltale benchmark. If you're not familiar with such charts, please check this wiki page . Did you notice I said LONG BONDS ? McQ's research is NOT using regular intermediate bonds (or some total-bond construct), it is based on long (10+ years maturity) bonds. I understand why, there is a clear lack of historical data for intermediate bonds, but this could be quite misleading as typical Boglehead investors rarely use long bonds which display a som...
by siamond
Mon Jan 15, 2024 12:11 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821393

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Also, I am pondering some changes to the regular TIPS and short-term TIPS series. Again triggered by dcabler. Those series used to track Fidelity FIPDX and Vanguard VTAPX (both starting annual returns in 2013) and to be complemented by the relevant Barclays index. The question is to possibly make good use of iShares TIP and iShares STIP. TIP has solid history (2004+) while STIP has a little more than VTAPX (2011+). I see three options, plus a variation: 1) not bother because the index returns are already good enough (and the Fidelity and Vanguard funds are popular and provide very low ERs) 2) replace FPIDX by TIP and VTAPX by STIP (there is no question that iShares is an excellent provider of passive index funds) 3) assemble more complex se...