siamond wrote: ↑
Sun Jan 13, 2019 12:00 pm
An interesting question which was asked on the bond fund model thread (click on the tiny arrows to check the context). Here is my thinking. More opinions welcome.
siamond wrote: ↑
Sun Jan 13, 2019 11:00 am
dcabler wrote: ↑
Sun Jan 13, 2019 10:45 am
Second, but related question, is whether Simba should switch over to the pure index funds instead of the managed ones
Yes, this is a legitimate question. I am not too hot about making a spliced series with years of active fund (e.g. VUSTX) followed by more recent years of passive fund (e.g. VLGSX). What we could do is to switch to a series splicing the bond model of relevance, then the index until 2009, then the corresponding passive fund. Such series would undoubtedly be more consistent. We would lose more than 20 years of real-life history though. Plus, I wonder how many Bogleheads actually use those truly passive bond funds as opposed to the more well-known active funds. Feedback welcome, it is clearly a valid question, but I am not too sure such a change would be worth it.
PS. there is another consideration. Vanguard Intermediate Term Treasury funds (passive and active) follow the Barclays US Treasury 3-10 Yr index. Unfortunately, this 10-3 index has limited history, its history only goes back to Jan-2002. If we give up on using VFITX (the active Vanguard fund, 1992+), we would have to rely on the bond fund simulator until 2001. This doesn't seem desirable.
Here's a place where there are only opinions and no facts. Not like that ever happens on this forum, though, eh?
So, if Barclays 3-10 index only goes back to 2002, what did VFITX do before that? If it wasn't the Barclays 3-10 index, then I'd argue that there's already a splice. Yeah, it's a splice with real data instead of derived data, but a splice nonetheless.
Similar thing happens with other Simba Series. For example consider SCV
1927-78: Tyler's Pseudo-CRSP Series
1979-92: Russell 2000 Value TR (USD)
1993-98: MSCI US Small Cap Value GR
But VISVX itself is spliced due to changing indices several times.
1999--May 2003 it's S&P Small Cap Value600
May 2003-April 2013 it's MSCI US Small Cap Value Index
April 2013- Present, it's CRSP US Small Cap Value Index
I didn't intend this post to ask questions about SCV until I looked at it, but why isn't everything from 1927 to 1998 using the Pseudo-CRSP series? Why the trip through Russell and MSCI?
Anyway, as somebody who uses VISVX (VSIAX Admiral shares actually), I prefer to look as far back as possible using the closest thing to the actual index currently used by Vanguard for this fund. So I usually manually edit Simba to replace the entire series with VSIAX (post switchover to CRSP), and before switchover, I use the Pseudo-CRSP series, adjusted for E/R, all the way back to 1927 - even if it means losing actual VISVX/VSIAX returns as they actually occurred. If some day Vanguard change their index again, I'll switch over - though I doubt there is any decent way to create a pseudo-index for any other series besides CRSP as Tyler did.
For me, it goes to the question of what I'm looking for. I'm looking for something that most closely matches what I hold today
, looking as far back as I can. And of course there's a reality check here: past performance not guaranteeing future performance, the difference between indices might be in the noise over such a long time period anyway. And, no, I'm not trying to get tenth of a degree accuracy in my backtests. I just have my own view of consistency.