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.
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.
finiki, the Canadian financial wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
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".
finiki, the Canadian financial wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
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.
Variable Percentage Withdrawal (finiki.org/wiki/VPW) | One-Fund Portfolio (VBAL in all accounts)
finiki, the Canadian financial wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
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).
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.
Nothing can protect people who want to buy the Brooklyn Bridge.
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.
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.
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.
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.
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
Nothing can protect people who want to buy the Brooklyn Bridge.
Normal people… believe that if it ain’t broke, don’t fix it. Engineers believe that if it ain’t broke, it doesn’t have enough features yet. – Scott Adams
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.
Nothing can protect people who want to buy the Brooklyn Bridge.
Normal people… believe that if it ain’t broke, don’t fix it. Engineers believe that if it ain’t broke, it doesn’t have enough features yet. – Scott Adams
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.
finiki, the Canadian financial wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
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?
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.
Normal people… believe that if it ain’t broke, don’t fix it. Engineers believe that if it ain’t broke, it doesn’t have enough features yet. – Scott Adams
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?
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.
finiki, the Canadian financial wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.