You can find links to the varios tabs below.

The grouped collapsed sections include links to important places on the respective sheets and some explanations.

Scroll to the end for explanations and abbreviations – If you have any questions, please ask in the RR community (use one of the links on this page)

a brief explanation for this tab

→ choose the factors used in the FF6 regression
→ decide whether you want to include the intercept/alpha in the expected return calculation
→ choose a custom start date for the regression, e.g. to look at the same periods for indices/funds with different inception dates

→ calculated automatically according to the other allocations; if negative, cost of leverage is considered

→ allocation to DM funds/indices (green area)
→ information given: fund costs, correlation to portfolio, links to relevant RR community discussions, brief comment about methodology and what to expect going forward

→ allocation to EM funds/indices (green area)

→ for the whole portfolio
→ extra info: excess costs over MCW, premium over MCW, ....

→ based on historical index/fund data
→ based on backtested factor exposure since ~1990

→ regression results of the chosen DM portfolio scaled to 100% equity
→ FF6 with custom choice and FF3
→ expected premium and volatility estimates

→ regression results of the chosen EM portfolio scaled to 100% equity
→ FF6 with custom choice and FF3
→ expected premium and volatility estimates

Porfolio characteristics can be saved to three slots in the main tab.

→ based on the historical index/fund returns
→ includes statistics such as max. drawdown
→ overview over correlations between funds, DM/EM, and portfolio

Factor Loading Backtest Backtest for Custom Factor Loadings

→ the analyzed (DM) portfolio

→ FF6 and FF3 loadings

→ based on factor return data in the respective tabs

Factor Premia Estimate

DM portfolio construction

→ the analyzed (EM) portfolio

→ FF6 and FF3 loadings

→ based on factor return data in the respective tabs

Factor Premia Estimate

EM portfolio construction

→ analysis of 'volatility decay', i.e., negative effects of leverage on the geometric return

brief explanation of our 'methodology'

→ overview over the fund costs in the past years based on annual report data
→ costs include TER/OCF/management fee, dividend and capital gains WHT drag, transaction costs (only comissions), security lending income
→ OCF reductions are considered for the cost estimate going forward
→ WIP: include fund vs. index regressions for another cost estimate

Net Index vs. NAV regressions

MCW: market-cap weighted

This figure is the estimated fund costs, in two flavors.

1) For years with available annual reports, we have averaged (relative to AUM) transaction costs, withholding tax drag, capital gains tax drag and security lending income. Then, this historical cost is added to the current OCF.

2) The live fund returns (NAV) are regressed against the net index. Difference to 1): This includes spreads, but not WHT (since it's contained in the net index approximately).

ERP: equity risk premium

Expected premium

This figure is the expected return over the risk-free rate. Comes also in two flavors, arithmetic and geometric return: https://www.investopedia.com/ask/answers/06/geometricmean.asp

- geometric return is what you should care about

for many more, see RR community

- arithmetic return is more of a computational variable (is higher, but a 'theoretical' value without volatility decay)

https://community.rationalreminder.ca/t/abbreviations-abbreviations/9124

https://community.rationalreminder.ca/t/abbreviations-used-on-this-forum/12113

The concept is adapted from these PWL WPs.

https://www.pwlcapital.com/resources/financial-planning-assumptions/

https://www.pwlcapital.com/resources/financial-planning-assumptions-factor-tilt-portfolio/

https://www.pwlcapital.com/resources/financial-planning-assumptions-market-capitalization-weighted-portfolio/