Simba's backtesting spreadsheet

 describes a spreadsheet originally developed by forum member Simba for the purpose of comparing a portfolio against historical data. The spreadsheet is no longer maintained by Simba, but other Bogleheads forum members are continuing to support it.

Backtesting
Backtesting refers to testing a model using historical data to predict future performance.

Backtesting seeks to estimate the performance of a strategy if it had been employed during a past period. This requires simulating past conditions with sufficient detail, making one limitation of backtesting the need for detailed historical data.

A second limitation is the inability to model strategies that would affect historic prices.

Finally, backtesting, like other modeling, is limited by potential overfitting. That is, it is often possible to find a strategy that would have worked well in the past, but will not work well in the future.

Despite these limitations, backtesting provides valuable information not available when models and strategies are tested on synthetic data.

Simba's spreadsheet
The spreadsheet is discussed in this forum thread: [ Spreadsheet for backtesting (includes TrevH's data)]

The latest version and download instructions are in [ this post], which links to Google Drive. To download:
 * Hover your mouse near the top of the page and click on the Arrow-Download-4-icon.png icon to download the file.
 * Ignore the "Whoops! There was a problem loading more pages." message if it appears.

Detailed instructions and revision history are in the "README" tab. Here is a brief overview of the individual worksheets:


 * Portfolio is a simple way to change the allocations of various funds. It provides the CAGR (Compound Annual Growth Rate)/ total return / Sharpe ratio, Sortino ratio, etc. It also compares your portfolio to sample portfolios like the Coffeehouse and draws charts to compare the growth.
 * Compare_Portfolios allows you to compare up to 5 different portfolios for 1970+, 1985+ and 1871+ time periods with the ability to change the starting and ending years.
 * Lazy_Portfolios_85 compares more than 20 lazy portfolios and shows corresponding charts and statistics.
 * Returns_70, Returns_85 and Returns_All calculate portfolio returns (Total / CAGR / Sharpe ratio / Correlation, etc.) for 1970+, 1985+ and 1871+ time periods respectively.
 * Data_TR_USD includes the returns of ALL the funds being tracked, as well as some historical data series (e.g. from Prof. Shiller)
 * Data_Misc provides some additional data series, including long-lived funds, Canadian funds, etc.
 * Data_Sources documents the sources used for the various fund returns.

The spreadsheet also includes the total return / CAGR, etc. for a portfolio that is rebalanced annually (default) and one that is not rebalanced (un-rebalanced) and the charts reflect both the returns.