Reversion to the mean: Charts please?

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hungrywave
Posts: 225
Joined: Tue Apr 09, 2019 7:48 pm

Reversion to the mean: Charts please?

Post by hungrywave » Thu May 30, 2019 4:11 am

Dear BogleAnalytics,

This talk of Bogle's on reversion to the mean (RTM) is one of the best pieces on long-term sector analysis I have seen (thank you, Taylor Larimore!): https://www.vanguard.com/bogle_site/sp20020626.html

He mentioned that he tried to get Morningstar to provide similar cumulative return ratio charts but had no luck.

I'd love to see how those small cap and value "slides" have progressed since 2002. Heck, I'd even settle for a good, rolling-10-year stock market (US and ex-US, ideally) chart up through now.

Does anyone know where I can find some? I would be very appreciative. :sharebeer
The world is largely random so don't sweat the small stuff.

AlohaJoe
Posts: 4918
Joined: Mon Nov 26, 2007 2:00 pm
Location: Saigon, Vietnam

Re: Reversion to the mean: Charts please?

Post by AlohaJoe » Thu May 30, 2019 4:36 am

The Simba backtesting spreadsheet offers this chart: https://www.bogleheads.org/wiki/Simba%2 ... tale_chart

Topic Author
hungrywave
Posts: 225
Joined: Tue Apr 09, 2019 7:48 pm

Re: Reversion to the mean: Charts please?

Post by hungrywave » Thu May 30, 2019 11:57 am

AlohaJoe wrote:
Thu May 30, 2019 4:36 am
The Simba backtesting spreadsheet offers this chart: https://www.bogleheads.org/wiki/Simba%2 ... tale_chart
Wow! Thank you, AlohaJoe! This is JUST what I was looking for. The Bogleheads community is amazing. :P
The world is largely random so don't sweat the small stuff.

asif408
Posts: 1820
Joined: Sun Mar 02, 2014 8:34 am
Location: Florida

Re: Reversion to the mean: Charts please?

Post by asif408 » Thu May 30, 2019 12:08 pm

You can literally just plug the funds in on Morningstar's charts and compare. Here are few examples:

Precious Metals equities dramatically outperformed the Vanguard 500 index from 1976-1994: http://quotes.morningstar.com/chart/fun ... A%5B%5D%7D. Of course, start the chart in 1980 and it tells a different story: http://quotes.morningstar.com/chart/fun ... A%5B%5D%7D. But since 1999 the performance has been nearly the same, though taking dramatically different paths to get there: http://quotes.morningstar.com/chart/fun ... A%5B%5D%7D

US vs. International, 2002-2014: http://quotes.morningstar.com/chart/fun ... A%5B%5D%7D. But start since inception and international looks terrible: http://quotes.morningstar.com/chart/fun ... A%5B%5D%7D

Lots of other examples just play with as you like.

Topic Author
hungrywave
Posts: 225
Joined: Tue Apr 09, 2019 7:48 pm

Re: Reversion to the mean: Charts please?

Post by hungrywave » Thu May 30, 2019 12:22 pm

asif408 wrote:
Thu May 30, 2019 12:08 pm
You can literally just plug the funds in on Morningstar's charts and compare.
Great idea! Thank you, asif408!
The world is largely random so don't sweat the small stuff.

CommitmentDevice
Posts: 68
Joined: Tue Apr 02, 2019 3:25 am

Re: Reversion to the mean: Charts please?

Post by CommitmentDevice » Thu May 30, 2019 12:44 pm

AlohaJoe wrote:
Thu May 30, 2019 4:36 am
The Simba backtesting spreadsheet offers this chart: https://www.bogleheads.org/wiki/Simba%2 ... tale_chart
From your link I went to a post analyzing Telltale charts from 1927 through 2017 https://finpage.blog/2018/02/15/telling ... 17-update/. Really interesting!

I'm curious why small cap value stocks have done so well over the past 90 years. What are some of the theories?
(I'd also love to know whether or not those factors will continue to out perform, but *crystal ball emoji* and *shrug emoji*)

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siamond
Posts: 5013
Joined: Mon May 28, 2012 5:50 am

Re: Reversion to the mean: Charts please?

Post by siamond » Tue Jun 11, 2019 9:31 pm

hungrywave wrote:
Thu May 30, 2019 11:57 am
AlohaJoe wrote:
Thu May 30, 2019 4:36 am
The Simba backtesting spreadsheet offers this chart: https://www.bogleheads.org/wiki/Simba%2 ... tale_chart
Wow! Thank you, AlohaJoe! This is JUST what I was looking for. The Bogleheads community is amazing. :P
That's good to hear! :sharebeer

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