Here is the latest version, with 2024 annual returns. The corresponding wiki page will be updated in a couple of days, to allow for feedback in case I messed up something!
You can download the spreadsheet here: https://bit.ly/3Ps2jLB
(copy the link to a separate browser tab/window if it doesn't download from here; send me a PM if this doesn't work for you)
This is a MAJOR release, with the Expense Ratio (ER) processing being completely revamped. Long story short, we now use much more credible historical ERs (extended back in time) to adjust the models/indices historical returns. This makes historical returns slightly lower than in previous releases, notably as you go back in time. A better understanding of the whole thing can be gained by checking these posts and a few following posts:
viewtopic.php?p=7738521#p7738521
viewtopic.php?p=8176951#p8176951
===========================================
Rev24a
1a. Added a NEW worksheet for historical expense ratios (ERs): Raw_ER provides historical ER series and a corresponding splicing model
1b. Updated all historical ERs with the latest from annual reports (SEC and SEDAR) - Beware, due to fiscal year boundaries, this may not exactly match prospectus ER which are used by Morningstar and the likes.
1c. Modified Raw_Data to fully take in account historical ERs through two primary models, adjusting models/indices returns via the last fund's ER or by the fund's extended ER history (new default)
1d. Added corresponding instructions for advanced users in the README section
2a. Restored PIMCO Global Bond Fund Unhedged (PIGLX/PAGPX) as primary fund for Global Bonds series. It turns out that Invesco AUBAX changed strategy in 2016, making its history irrelevant.
2b. Added a new long-lived data series in Raw_Data: Franklin Utilities Fund (FKUTX), one of the oldest sector funds still in existence (1948+)
3a. Improved portfolio definition validity tests to ignore 0% allocations
3b. Finished normalizing all values in Raw_Data to not exceed 5 decimals (formatting displays no more than two decimals)
3c. Adjusted Drawdown charts background for consistency with the other charts (in Analyze_Portfolio)
4. Fixed 'Second Grader' lazy portfolio definition (10% total bonds instead of TIPS; authored by Allan Roth)
5a. Added new data series for Int'l Bonds (unhedged; passive series based on iShares IGOV, its corresponding S&P index and an older FTSE WGBI index)
5b. Decided to keep the existing Global Bonds (unhedged) spliced series although PIMCO PAGPX ceased to exist in 2022.
5c. Added new data series for LT Investment Grade Bonds (active series based on Vanguard VWETX and its corresponding Barclays index; this fund started in 1973 as the Westminster fund)
5d. Replaced Barclays US Treasury by Barclays US Government/Credit for Total Bonds series (better match overall, hence improved 1973-1975 splicing)
6. In Data_Series worksheet, moved Int'l Small Value close to Int'l Small; added LT Invest. Grade close to ST Invest. Grade; adjusted Lazy_Portfolios definitions accordingly
7a. Added 2024 annual returns: funds and index returns updated
7b. Inflation is a rough estimate for now (Nov to Nov); updates for a few synthetic models and indices are pending
You can download the spreadsheet here: https://bit.ly/3Ps2jLB
(copy the link to a separate browser tab/window if it doesn't download from here; send me a PM if this doesn't work for you)
This is a MAJOR release, with the Expense Ratio (ER) processing being completely revamped. Long story short, we now use much more credible historical ERs (extended back in time) to adjust the models/indices historical returns. This makes historical returns slightly lower than in previous releases, notably as you go back in time. A better understanding of the whole thing can be gained by checking these posts and a few following posts:
viewtopic.php?p=7738521#p7738521
viewtopic.php?p=8176951#p8176951
===========================================
Rev24a
1a. Added a NEW worksheet for historical expense ratios (ERs): Raw_ER provides historical ER series and a corresponding splicing model
1b. Updated all historical ERs with the latest from annual reports (SEC and SEDAR) - Beware, due to fiscal year boundaries, this may not exactly match prospectus ER which are used by Morningstar and the likes.
1c. Modified Raw_Data to fully take in account historical ERs through two primary models, adjusting models/indices returns via the last fund's ER or by the fund's extended ER history (new default)
1d. Added corresponding instructions for advanced users in the README section
2a. Restored PIMCO Global Bond Fund Unhedged (PIGLX/PAGPX) as primary fund for Global Bonds series. It turns out that Invesco AUBAX changed strategy in 2016, making its history irrelevant.
2b. Added a new long-lived data series in Raw_Data: Franklin Utilities Fund (FKUTX), one of the oldest sector funds still in existence (1948+)
3a. Improved portfolio definition validity tests to ignore 0% allocations
3b. Finished normalizing all values in Raw_Data to not exceed 5 decimals (formatting displays no more than two decimals)
3c. Adjusted Drawdown charts background for consistency with the other charts (in Analyze_Portfolio)
4. Fixed 'Second Grader' lazy portfolio definition (10% total bonds instead of TIPS; authored by Allan Roth)
5a. Added new data series for Int'l Bonds (unhedged; passive series based on iShares IGOV, its corresponding S&P index and an older FTSE WGBI index)
5b. Decided to keep the existing Global Bonds (unhedged) spliced series although PIMCO PAGPX ceased to exist in 2022.
5c. Added new data series for LT Investment Grade Bonds (active series based on Vanguard VWETX and its corresponding Barclays index; this fund started in 1973 as the Westminster fund)
5d. Replaced Barclays US Treasury by Barclays US Government/Credit for Total Bonds series (better match overall, hence improved 1973-1975 splicing)
6. In Data_Series worksheet, moved Int'l Small Value close to Int'l Small; added LT Invest. Grade close to ST Invest. Grade; adjusted Lazy_Portfolios definitions accordingly
7a. Added 2024 annual returns: funds and index returns updated
7b. Inflation is a rough estimate for now (Nov to Nov); updates for a few synthetic models and indices are pending
Statistics: Posted by siamond — Thu Jan 09, 2025 4:27 pm