I do appreciate the problem and thanks for the great chart. There is no question that the current total-bonds mapping is very coarse. I do believe we need to keep such series for high-level portfolio tests spanning a long period of time, e.g. X% total-stocks, 1-X% total-bonds, where frankly, it doesn't matter much what type of (approximately IT) bonds you're using. But for sure, there is nothing terribly accurate in running such 1871+ tests, whether it's on the stocks side or the bonds side. We have similar issues with LT bonds, by the way, by lack of historical yields for long maturities. It's a never-ending quest to get better historical data, we made great progress thanks to this thread and others, but for sure, there is plenty left to improve.AlohaJoe wrote: ↑Mon Sep 23, 2019 6:24 pmI agree with longinvest and I'm not sure that including it in Simba does more good than harm. A long time ago I looked (briefly) into simulating total bond market returns and came away dubious of the prospect. The main problem I had was the changing composition of the "total market" and the reality that the only comparison available (1976-onwards) coincided with the biggest change in index history: the rise of mortgage backed securities. They didn't exist at all before 1976. Today they make up something like 1/4th of the market.siamond wrote: ↑Fri Aug 30, 2019 4:28 pmThis is a crude mapping for sure, it has been (and will remain) marked as such in the Simba spreadsheet.
So I had little confidence that something that was fudged to track post-1976 returns would actually map to pre-1976 returns without some way to at least check the composition of the total market. In 1970 were corporate bonds 25% of the total market, like they are today? Or were they 50%? [...]
Overall, I think the discussion should focus on how to do something better to emulate Total-Bonds. Ideas welcome.