Boglehead Data

motivated by email to & from Simba
Recently, Simba (posting on the diehards.org forum) has collected a bunch of historical returns from contributions
by various people on that forum and ...
>And you want it made available to others, right?
Right!
The spreadsheet looks like this:
>What's all that ? and ?? in column A?
The first few calculations are, for each asset, Average Return, Standard Deviation, Sharpe Ratio, Down Standard Deviation, Up Standard Deviation, Sortino Ratio, Correlation with "the U.S. Market" ...
>Huh? Up Standard Deviation? Down Standard Deviation?
Yes. Remember that the SD measures the deviations of ALL returns from the Mean (or Average) of ALL returns.
The Up SD measures the deviations of returns which are greater than the Mean. The Down SD measures ...
>It measures the deviations of returns which are less than the Mean, right?
Yes ... and by "Mean" I mean the Mean of ALL returns as per row 3 in the spreadsheet.
In particular, the Sortino Ratio uses Down SD.
Anybuddy who likes to play can stick in their own calculations, using the data collected by Simba and ...
>Hence the question marks. Okay, I get it, but it's confusing, no?
No. There's an explain sheet like so:
Note:
There are two sheets with a collection of returns from 1972 to 2006 ... and (for more recent assets) from 1985 to 2006.
There's also a spreadsheet described here which uses this data.
>So, you think that's useful?
Useful? It's Fun!
Just click on the picture to download the spreadsheet.
Note:
The spreadsheet keeps changing as various people make suggestions and do their own thing, using these data.
For example, FundTalker, posting on Morningstar, gets this.
Then, too, we can extract some neat parameters like Skew and Kurtosis as we've done here.
