Simba's backtesting spreadsheet [a Bogleheads community project]

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Rom1b
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Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Post by Rom1b » Wed Feb 28, 2018 8:00 am

siamond wrote:
Fri Feb 23, 2018 7:29 pm
LadyGeek wrote:
Fri Feb 23, 2018 7:18 pm
All credits to Simba (whoever he/she is) for starting this terrific project.
Not to all, you're too humble, you've been doing this for years already; but yet and yes of course 'Kudos' (is that still trendy Im a foreigner ? or was it ever?) - to Simba and all the best to him.

Once again great version, it would be nice to get rid of the old link where possible. I'll get in touch or am there if you need, only slightly busy at the moment (cant swear it will change or aren't we all - even you early retirees).
Dr Bernstein - If You Can / free PDF, google it | 3Fund Portfolio www.bogleheads.org/forum/viewtopic.php?f=10&t=88005 | CollectiveThought www.bogleheads.org/forum/viewtopic.php?f=10&t=7353

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

Post by siamond » Wed Mar 14, 2018 4:54 pm

siamond wrote:
Fri Feb 23, 2018 9:19 am
I was wondering how many people download this spreadsheet. Sometimes, I have doubts, due to the fairly limited amount of feedback about it (e.g. just a few posters). So I set up a counter associated with the short URL which allows people to download it.

In the past 2 weeks, v17b has been downloaded more than 150 times. Call me impressed. :beer
300+ downloads, and counting. Cool! :happy

jlhod1
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Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Post by jlhod1 » Tue Apr 10, 2018 9:52 pm

Awesome work!

Unfortunately, I cannot download the excel spreadsheet because I get a "too many redirects" error when clicking on the 17b link. Any way to link more directly to the document?

Thanks!

John

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

Post by LadyGeek » Tue Apr 10, 2018 9:59 pm

A quick google search suggests the problem is a bug in the Chrome browser. I'm using Firefox and the link worked for me.
Wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.

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

Post by siamond » Tue Apr 10, 2018 10:01 pm

Hm, actually, I use Chrome on MacOS and I have no problem. I see more than 400 clicks on the stats, seems to work pretty well overall.

jlhod1, if you continue to have an issue, please contact me via private message, and I'll try to help you.

jlhod1
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Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Post by jlhod1 » Tue Apr 10, 2018 10:30 pm

Had same problem when trying again with Safari, but worked fine with Firefox thanks!

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

Post by siamond » Fri Apr 13, 2018 6:32 pm

For reference, here is a new discussion on how to extend the Emerging Markets data series back in time:
viewtopic.php?f=10&t=246941

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

Post by siamond » Sat Apr 28, 2018 2:39 pm

For reference, the discussion about International Small was re-opened in light of a new data source (Independence International Associates, aka IIA):
viewtopic.php?f=10&t=206489&p=3902671#p3902228

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

Post by Kelgroup » Sun May 13, 2018 1:35 pm

Regarding Backtest-Portfolio-returns-rev17b - I noticed that the annual returns from 1985 are no longer listed year by year on the lazy portfolio tab. Am I missing something - is there an easy way to display it? What I found valuable about this page was that even though annual data - it at least gives me a better idea on things perform year to year.

Thx

Ed

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

Post by siamond » Sun May 13, 2018 3:52 pm

Kelgroup wrote:
Sun May 13, 2018 1:35 pm
Regarding Backtest-Portfolio-returns-rev17b - I noticed that the annual returns from 1985 are no longer listed year by year on the lazy portfolio tab. Am I missing something - is there an easy way to display it? What I found valuable about this page was that even though annual data - it at least gives me a better idea on things perform year to year.
Most of the portfolio-level math has been moved to the Portfolio_Math tab. The 'lazy' portfolios start around column AV. If you scroll down, you can find nominal portfolio returns starting row 97, and real (inflation-adjusted) portfolio returns starting row 255, per year. I would suggest to freeze (or split) the window display around cell D5 for convenience.

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

Post by gips » Fri May 25, 2018 11:39 am

thank you for this fine work! I was reading a thread about merriman that included this link to published returns of his portfolio:
https://paulmerriman.com/wp-content/upl ... Update.pdf

when I change the starting year to 1970 in the lazy portfolio tab, his portfolio doesn't perform as well. Could it be different data sources/selection of funds/indexes? The pdf also notes yearly vs. monthly rebalancing, does the backtesting spreadsheet perform rebalancing?

thanks again for this wonderful tool!

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

Post by siamond » Fri May 25, 2018 8:59 pm

gips wrote:
Fri May 25, 2018 11:39 am
thank you for this fine work! I was reading a thread about merriman that included this link to published returns of his portfolio:
https://paulmerriman.com/wp-content/upl ... Update.pdf

when I change the starting year to 1970 in the lazy portfolio tab, his portfolio doesn't perform as well. Could it be different data sources/selection of funds/indexes? The pdf also notes yearly vs. monthly rebalancing, does the backtesting spreadsheet perform rebalancing?

thanks again for this wonderful tool!
Hi there. Thanks for your interest and for the nice words. As to your questions:
- the spreadsheet computations assume annual rebalancing (and I can tell you from another experiment that monthly rebalancing doesn't improve performance)
- in the lazy tab, if you change the start date to 1970, you should see quite a few cells in column D being displayed in red. This is a warning that the spreadsheet doesn't have data coming back that far for a given asset class (e.g. Emerging, Int'l Small, TIPS: all of them apply to the Merriman portfolio). The spreadsheet still does the math, but then returns for the missing years are empty cells, hence zeroes, hence a negatively skewed impact on the stats.
- I do not know how Merriman computed his own stats back to 1970, but this probably involved some approximations. Note that the PDF file you provided only documents the equity part of the portfolio.
- Note that in the next update of the spreadsheet, we'll fill the gaps for EM and Int'l Small, as we recently identified a new data source for those.

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

Post by gips » Sat May 26, 2018 11:59 am

thank you for the information and, again, thank you for the great work.

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