As many Bogleheads know, we maintain a backtesting spreadsheet dubbed ‘Simba’ (after the original author of the work), allowing us to compare one or several portfolios against historical data.
This spreadsheet provides data series representing major asset classes, using historical returns from various funds (e.g. Vanguard, etc.) and corresponding indices. It also provides various aggregate statistics and charts allowing us to analyze such data. A description (including how to download the spreadsheet) can be found on this wiki page.
Please note that the spreadsheet and the information it contains is intended for personal, non-commercial, use only (e.g. for educational purposes). This is essentially a learning, researching and teaching tool.
Here is an example of what can be achieved. Five portfolios were defined.
And here are some charts comparing the five portfolios.
A major revision in the works
In the past couple of months, a major effort was initiated to ‘refresh’ the spreadsheet. The goals were the following:
- Validate all historical numbers related to Vanguard funds with Vanguard itself
- Validate all other historical numbers (non-Vanguard funds, indices, synthetic models) and make sure all information can be rebuilt from external sources
- Add some ‘miscellaneous’ data series including long-lived US funds as well as some international data (e.g. Nikkei, Canadian funds) in local currency.
- Streamline the spreadsheet, so that we have a single tab holding all primary historical returns.
As it turned out, such research led to various questions and investigations, and more objectives were attained:
- Extend all 1972+ data series to 1970+ (or earlier), and replace the 1972-present statistics and tools by a 1970-present equivalent.
- Extend all data series as far as possible in the past, irrespective of 1972/1970/1985 boundaries.
- Eliminate dependencies on somewhat dubious sources (e.g. coarse rules and data from IFA, a somewhat contorted model for commodities, an eyeballed chart for synthetic TIPS, etc.).
- Eliminate dependencies on PIMCO institutional funds.
- Add the ability to generate growth charts in either nominal or real terms, as a simple tweak on existing telltale charts.
- Add new series (e.g. momentum, international bonds, corporate bonds).
- And many small fixes and improvements to existing series.
In addition, fruitful collaborative relationships were established, notably with the authors of excellent portfolio analysis tools like Portfolio Visualizer and Portfolio Charts, which leverage the raw data provided by the Simba spreadsheet.
This initiative remains a work in progress, and the outcome will be officially published early 2017, in conjunction with the addition of 2016 historical returns to the various data series.
In the mean time, access to the work in progress is possible, and feedback about the recent updates as well as the spreadsheet in general would be very welcome. Here is a post providing a link to the draft worksheet (temporary document!). Feel free to post any questions or comments on the same thread.