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.