Financial Page: major revision to the Simba backtesting spreadsheet

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siamond
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Financial Page: major revision to the Simba backtesting spreadsheet

Post by siamond » Tue Dec 20, 2016 5:16 pm

As an attempt to gain more exposure so that I can get more feedback before finalizing the updates, let me open a separate thread about this blog entry that I wrote a few days ago on the Bogleheads fledgling blog.

As many Bogleheads know, we maintain a backtesting spreadsheet dubbed ‘Simba’ (after the original author of the work), allowing us to compare one or several portfolios against historical data.

This spreadsheet provides data series representing major asset classes, using historical returns from various funds (e.g. Vanguard, etc.) and corresponding indices. It also provides various aggregate statistics and charts allowing us to analyze such data. A description (including how to download the spreadsheet) can be found on this wiki page.
[…]
This initiative remains a work in progress, and the outcome will be officially published early 2017, in conjunction with the addition of 2016 historical returns to the various data series.

In the mean time, access to the work in progress is possible, and feedback about the recent updates as well as the spreadsheet in general would be very welcome. [...]

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Dulocracy
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Re: Financial Page: major revision to the Simba backtesting spreadsheet

Post by Dulocracy » Tue Dec 20, 2016 5:32 pm

siamond wrote:As an attempt to gain more exposure so that I can get more feedback before finalizing the updates, let me open a separate thread about this blog entry that I wrote a few days ago on the Bogleheads fledgling blog.


I did not know that the bogleheads website had a blog, fledgling or not!
I'm not a financial professional. Post is info only & not legal advice. No attorney-client relationship exists with reader. Scrutinize my ideas as if you spoke with a guy at a bar. I may be wrong.

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siamond
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Re: Financial Page: major revision to the Simba backtesting spreadsheet

Post by siamond » Tue Dec 20, 2016 5:48 pm

Dulocracy wrote:I did not know that the bogleheads website had a blog, fledgling or not!
In addition to my primary goal (feedback on the Simba update), this thread is a barely disguised attempt at publicizing the blog! :wink:

Finding the Bogleheads blog is easy, go to any wiki page, and you'll find a 'Blog' link on the left side of the display. Then you can subscribe. Or reach out to Barry Barnitz if you wish to contribute yourself.

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Portfolio7
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Re: Financial Page: major revision to the Simba backtesting spreadsheet

Post by Portfolio7 » Wed Dec 21, 2016 3:23 am

Thank you for this worksheet! I have used Portfolio Visualizer in the past (though they recently backed out some data it seems) and Portfoliocharts.com, and now this wonderful tool, the 'Simba' spreadsheet is part of my toolset. I have not had time to compare all three tools for similar asset allocations and time periods, but I will say that the Simba approach is elegant and useful. I really like the SD up and SD down, for us non-statistics experts it gives us something to realize and think about. The 5 portfolio compares are fantastic, and really help me understand relative risk and return.
"An investment in knowledge pays the best interest" - Benjamin Franklin

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Re: Financial Page: major revision to the Simba backtesting spreadsheet

Post by siamond » Wed Dec 21, 2016 9:11 am

Portfolio7 wrote:Thank you for this worksheet! I have used Portfolio Visualizer in the past (though they recently backed out some data it seems) and Portfoliocharts.com, and now this wonderful tool, the 'Simba' spreadsheet is part of my toolset. I have not had time to compare all three tools for similar asset allocations and time periods, but I will say that the Simba approach is elegant and useful.
Thank you for the nice words. One outcome of the ongoing project is that I started to work more closely with the authors of PortfolioVisualizer and PortfolioCharts. I find both Web sites to be extremely useful, and nicely complementing the more basic tools from the spreadsheet. This is a very fruitful collaboration.

In the past, both tools actually relied on the raw numbers from the Simba spreadsheet. Yes, PortfolioVisualizer is somewhat in flux right now as the author is moving to monthly returns to improve std-deviation and correlation math (and pondering about some new data series).

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Re: Financial Page: major revision to the Simba backtesting spreadsheet

Post by pkcrafter » Wed Dec 21, 2016 9:33 am

Dulocracy wrote:
siamond wrote:As an attempt to gain more exposure so that I can get more feedback before finalizing the updates, let me open a separate thread about this blog entry that I wrote a few days ago on the Bogleheads fledgling blog.


I did not know that the bogleheads website had a blog, fledgling or not!


The referenced blog is, or was, Barry Barnitz's Finacial Page. Barry has had this blog running for at least 2 years.

Paul
When times are good, investors tend to forget about risk and focus on opportunity. When times are bad, investors tend to forget about opportunity and focus on risk.

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Re: Financial Page: major revision to the Simba backtesting spreadsheet

Post by siamond » Wed Dec 21, 2016 10:07 am

pkcrafter wrote:The referenced blog is, or was, Barry Barnitz's Financial Page. Barry has had this blog running for at least 2 years.
Yup, correct, and thank you for being a contributor on this blog, and kudos to Barry (and Ladygeek) for initiating it. This still remains very much under the radar with relatively few posts though, hence my attempt at publicizing it a tad more.

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Re: Financial Page: major revision to the Simba backtesting spreadsheet

Post by pkcrafter » Wed Dec 21, 2016 11:24 am

saimond wrote:
This still remains very much under the radar with relatively few posts though, hence my attempt at publicizing it a tad more.
Thanks, the recognition for Barry's work is well deserved. :thumbsup


Paul
When times are good, investors tend to forget about risk and focus on opportunity. When times are bad, investors tend to forget about opportunity and focus on risk.

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Re: Financial Page: major revision to the Simba backtesting spreadsheet

Post by Barry Barnitz » Wed Dec 21, 2016 1:17 pm

Hi:

Note that I can use the help of contributors (this is one of the key goals of the project). From May to September my work week expands to 75 to 80 hours a week :!: , and during this time my limited available bogleheads.org time is split between wiki administration, blog administration, and occasional site experimentation for bogleheads.org and affiliates.
Additional administrative tasks: Financial Page affiliate blog; finiki the Canadian wiki; The Bogle Center for Financial Literacy site; Wiki Bogleheads® España.

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