Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

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LadyGeek
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Source

Post by LadyGeek »

Norbert Schlenker wrote:...I think it's a mistake to use the Ibbitson T-bond data and you should use the Barclays (formerly Lehman) Aggregate Index. Returns (in USD) were:
I was using US Treasury data, I don't know where the Ibbitson data is referenced. In any case, the Barclays Aggregate Index is now incorporated - thanks.

See: User:LadyGeek/Periodic table of annual returns, the MS Excel file is under "External links"

I'll start a new topic to discuss the page when it's ready. BTW, this is a collaborative effort. finiki editors are welcome to edit the page directly.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Source

Post by longinvest »

Thanks, LadyGeek. It looks nice.

There are minor differences between your table and http://www.ndir.com/cgi-bin/PeriodicTab ... eturns.cgi . Maybe it's due to rounding?
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Source

Post by LadyGeek »

Except for the US bonds (I don't know what NormR is using), I don't see the differences. The spreadsheet is available for download, look under "External links".
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Source

Post by longinvest »

LadyGeek wrote:Except for the US bonds (I don't know what NormR is using), I don't see the differences. The spreadsheet is available for download, look under "External links".
I was effectively looking at US bonds.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Source

Post by LadyGeek »

I took a look at the "other" periodic tables. Callan uses the Barclays Aggregate Bond Index, which agrees with Norbert's choice.

The finiki article is now live, I posted here: Re: Periodic Tables and Charts of Annual Investment Returns
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Source

Post by Norbert Schlenker »

LadyGeek wrote:
Norbert Schlenker wrote:...I think it's a mistake to use the Ibbitson T-bond data and you should use the Barclays (formerly Lehman) Aggregate Index. Returns (in USD) were:
I was using US Treasury data, I don't know where the Ibbitson data is referenced. In any case, the Barclays Aggregate Index is now incorporated - thanks.
For future reference, any US time series of annual returns that begins in the 1920s is almost certainly based on data collected and massaged by Roger Ibbitson (I don't recall when he first published - likely late 60s or early 70s).

The Libra total returns spreadsheet has now been updated with 2014 CPI figures, including real returns.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Source

Post by NormR »

Norbert Schlenker wrote: The Libra total returns spreadsheet has now been updated with 2014 CPI figures, including real returns.

My Asset Mixer and Periodic Table have been updated to reflect Norbert's new real return data for 2014. 8)
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by Norbert Schlenker »

2015 nominal total returns have been added to my spreadsheet(s) at http://libra-investments.com/re01.htm. Real returns will be updated once StatsCan publishes the Dec 2015 CPI level.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by NormR »

Norbert Schlenker wrote:2015 nominal total returns have been added to my spreadsheet(s) at http://libra-investments.com/re01.htm. Real returns will be updated once StatsCan publishes the Dec 2015 CPI level.
My Asset Mixer and Periodic Table have been updated to reflect Norbert's new nominal return data for 2015. 8)
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by NormR »

NormR wrote:
Norbert Schlenker wrote:2015 nominal total returns have been added to my spreadsheet(s) at http://libra-investments.com/re01.htm. Real returns will be updated once StatsCan publishes the Dec 2015 CPI level.
My Asset Mixer and Periodic Table have been updated to reflect Norbert's new nominal return data for 2015. 8)
Thanks to Norbert for adding inflation-adjusted data for 2015 to his spreadsheet. I've also added the new figures to my Asset Mixer and Periodic Table. :thumbsup:
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by like_to_retire »

NormR wrote: I've also added the new figures to my Asset Mixer
NormR, have you ever considered adding preferred shares to the Asset Mixer? I've substituted long bonds as a proxy, but it would be nice to see preferreds there. Perhaps the data isn't available.

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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by NormR »

Thanks to a sneak preview by Norbert, my Asset Mixer and Periodic Table have been updated to reflect nominal return data for 2016. 8)
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by Norbert Schlenker »

After resolving a technical issue at the host, all of the Libra return spreadsheets including 2016 return data in Canadian dollars have been updated. You can find them all hanging off http://libra-investments.com/re01.htm.

Nominal data only at the moment. Real returns will have to wait until December CPI is released.

Update: Real returns are now in the spreadsheet.
Last edited by Norbert Schlenker on 03 Feb 2017 11:33, edited 1 time in total.
Reason: Added note re real returns being added
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by Peculiar_Investor »

Thanks to both Norbert and NormR for this annual effort. :thumbsup: :thumbsup:
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by NormR »

NormR wrote:Thanks to a sneak preview by Norbert, my Asset Mixer and Periodic Table have been updated to reflect nominal return data for 2016. 8)
Thanks to Norbert, I've just added real return data for 2016.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by always_learning »

Peculiar_Investor wrote:Thanks to both Norbert and NormR for this annual effort. :thumbsup: :thumbsup:
+1 I find it very useful to have all this data in one place.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by Norbert Schlenker »

2017 Canadian dollar total returns for an array of asset classes have been added to my Libra spreadsheets, which hang off this page. Nominal returns only at the moment; once December 2016 inflation figures are published, I will update with real returns.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by NormR »

Thanks to Norbert, my Asset Mixer and Periodic Table have been updated to reflect nominal return data for 2017. 8)
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by Peculiar_Investor »

Thanks for both Norbert and NormR for making this important information available to the FWF (and wider) community. :thumbsup: :thumbsup:
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by Norbert Schlenker »

StatsCan has published Dec 2017 CPI so the Libra tables have been updated to reflect that information.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by NormR »

NormR wrote: 04 Jan 2018 08:49 Thanks to Norbert, my Asset Mixer and Periodic Table have been updated to reflect nominal return data for 2017. 8)
Now with real return data. 8)
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by LadyGeek »

NormR - In your Periodic Table, is the 2017 US Bonds return of -3.5% correct?

I have updated finiki's Periodic table of annual returns.

The spreadsheet used for this table is on Google drive: Canadian Periodic Table of Total-returns.xls

US Bond return is calculated in the "Periodic Table - Nominal" tab directly from Bloomberg Barclays US Agg Total Return Value Unhedged USD Index

Code: Select all

Bloomberg Barclays US Agg Total Return Value Unhedged USD
LBUSTRUU	
12/30/16	1976.37
12/29/17	2046.37
The 2017 gain of this index was +3.5%. Your table shows a US Bond return of -3.5%. Did you flip the sign? I'm not sure how you're factoring in the currency conversion. If I'm incorrect, please let me know what I'm doing wrong.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by NormR »

LadyGeek wrote: 28 Mar 2018 23:42 The 2017 gain of this index was +3.5%. Your table shows a US Bond return of -3.5%. Did you flip the sign? I'm not sure how you're factoring in the currency conversion. If I'm incorrect, please let me know what I'm doing wrong.
I'm a little tired at this moment, but the Canadian dollar strengthened vs the US dollar by about 7% in 2017. I think that should explain it. But I'd be happy to have someone check the math.

I'm having a hard time quickly getting the end of year fx rates. (The above uses early 2017 to end of 2017.) Does the bank of Canada still have a daily FX converter on their website that goes back a few years?
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by Peculiar_Investor »

The Daily Exchange Rates Lookup - Bank of Canada indicates "Only data since 2017 is available".

They also offer Historical Noon and Closing Rates - Bank of Canada
Bank of Canada wrote:Download our legacy noon and closing rates data. These rates were last updated 28 April 2017 using the Bank’s old calculation methodology, and will not be updated in future. For up to date exchange rates data, view our new exchange rates.
An alternative is PACIFIC Exchange Rate Service | UBC's Sauder School of Business which does offer an archive of historical rates.
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Re: Stock/Bond/Index/Fundamental/Asset Class/Quotes - Sources

Post by LadyGeek »

NormR wrote: 29 Mar 2018 00:29
LadyGeek wrote: 28 Mar 2018 23:42 The 2017 gain of this index was +3.5%. Your table shows a US Bond return of -3.5%. Did you flip the sign? I'm not sure how you're factoring in the currency conversion. If I'm incorrect, please let me know what I'm doing wrong.
I'm a little tired at this moment, but the Canadian dollar strengthened vs the US dollar by about 7% in 2017. I think that should explain it. But I'd be happy to have someone check the math.

I'm having a hard time quickly getting the end of year fx rates. (The above uses early 2017 to end of 2017.) Does the bank of Canada still have a daily FX converter on their website that goes back a few years?
I used the Annual Exchange Rates - Bank of Canada which listed an exchange rate of 1.2986 at 12:30 ET on the last business day of 2017.

The spreadsheet, Canadian Periodic Table of Total-returns.xls, was developed a few years ago with Norbert's help. I simply extended the formulas to work for subsequent years.

The latest Barclays US aggregate index fact sheets only go through January 2017. For 2017, I went directly to the Bloomberg source and calculated the index performance directly. Details are in the spreadsheet.

I always get crossed up on currency conversion (and my spreadsheet is calculating a different performance than you are), but the similarity to 3.5% caused me to stop and ask if this data should be reviewed.
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