Engineered_Portfolio_Data_rev16
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Start Year1972
most start in 1972, US equities (large/mid/small & blend/value) start in 1927, overall US and bonds back to 1900
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End Year2017
Final year to include in analysis, returns will go to the end of this year
Real
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Inflation?Real
Real returns is after inflation, nominal includes the returns generated from inflation (less net gain to the investor though)
Nominal
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Tax %
100% for full taxes in top tax bracket, 0 for a tax advantaged account (like 401k or IRA)
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Returns can either be presented as nominal (with inflation) or real (after inflation)
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A tax cost can also be applied to funds (based upon the Morningstar tax cost ratio) if you are designing a taxable account
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All returns assume annual rebalancing
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The portfolios tab allows you to edit your portfolio and try and design your own. We created several portfolios using MATLAB to "engineer" the best return for a given level of risk (used Vanguard target date funds as the benchmark for risk). This tab also includes the portfolios of several robo-investors, Vanguard, and known "lazy portfolios" of investment experts. You'll see that the engineered portfolios always exceed or match these other portfolios for virtually every 10+ year period. Use these as a base and tweak as you see fit to meet your needs and expectations!
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Shaded cells indicate formulas, unfilled represent where inputs are needed
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Big thanks to the bogleheads group
for compiling most of this data
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https://www.portfoliovisualizer.com/
also contributed some (and uses boglehead data) and is a great resource
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Fidelity's sector performance data
led us to look into sectors and overweight health care and consumer staples for their superior risk adjusted returns
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Credit Suisse Global Investment Returns Yearbook
led us to look into individual countries after their superior returns over such a long time period
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Asset Class NameTax SourceSource 1Source 2Source 3Source 4
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Total USVTSMX
Vanguard Total Stock Market Index Fund (VTSMX) - 1993+
CRSP Market Decile 1-10 1972-1992
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US LargeVFINXVanguard 500 Index Fund (VFINX) - 1977+S&P 500: Standard & Poors 1972-1976
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USL ValueVIVAXVanguard Value Index Fund (VIVAX) - 1993+Russell 1000 Value Index 1979-1992Stock Index Calculator (Tyler) 1972-1978
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US MidVIMSX
Vanguard Mid Cap Index Fund (VIMSX) - 1999+
Russell Mid Cap Index 1979-1998Stock Index Calculator (Tyler) 1972-1978
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USM ValueVMVIX
Vanguard Mid Cap Index Value Fund (VMVIX) - 2007+
MSCI Mid Cap Value Index 1996-2006Russell Mid Cap Value Index 1986-1995Stock Index Calculator (Tyler) 1972-1985
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US SmallNAESX
Vanguard Small Cap Index Fund (NAESX) - 1992+
Russell 2000 Index 1979-1991Stock Index Calculator (Tyler) 1972-1978
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USS ValueVISVX
Vanguard Small Cap Value Index Fund (VISVX) - 1999+
Russell 2000 Value Index 1979-1998Stock Index Calculator (Tyler) 1972-1978
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US Select DividendVDAIXVanguard Dividend Appreciation (VIG) 2007+iShares Select Dividend ETF (DVY) 2004-2006US Large Value 1972-2003
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US REITVGSIXVanguard REIT Index Fund (VGSIX) - 1997+
Nat. Assn. of Real Estate Inv Trusts 1972-1996
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US Consumer StaplesVCSAXVanguard Consumer Staples (VCSAX) 2004+
http://www.businessinsider.com/goldmanannual-sector-returns-vs-sp-500-2013-1
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US Health CareVHT
Vanguard Health Care Index ETF (VHT) 2005+
http://www.businessinsider.com/goldmanannual-sector-returns-vs-sp-500-2013-1
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US EnergyVDEVanguard Energy (VGENX) - 1985+
http://www.businessinsider.com/goldmanannual-sector-returns-vs-sp-500-2013-1
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Total InternationalVGTSX
Vanguard Total International Index Fund (VGTSX) - 1997+
85% EAFE Index, 15% EMMSCI EAFE Index 1972-1987 (Developed Only)
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Int'l LargeVTMGXVanguard Developed Mkts (VTMGX) - 2000+MSCI EAFE Index 1972-2000 (Developed Only)
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Int'l ValueVTRIXVanguard Intl Value (VTRIX) 1997+MSCI EAFE Value 1975-1996
IFA website (IFA IV, added back expenses): 1972-1974
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Int'l SmallVFSVX
FTSE All-World ex-US Small Cap Idx (VFSVX) 2010+
VG Intl Explorer - 1997 - 2009
IFA website (IFA IS, added back expenses): 1972-1996
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Emerging MarketsVEIEXVanguard Emerging Mkts Idx (VEIEX) - 1995+MSCI Emerging Mkts Index 1988-1994
(IFA allocated 50% IFA Intl Value Index and 50% IFA Intl Small)
IFA website (IFA EM, added back expenses): 1972-1987
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Emerging Small CapEWX
SPDR S&P Emerging Markets Small Cap ETF (EWX) 2009+
MSCI Emerging Small Cap Index - 0.65% Expense 2002-2008
Emerging Markets 1972-2001
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Fronteir MarketsFMiShares MSCI Frontier 100 ETF (FM) 2013+
Guggenheim Frontier Markets ETF (FRN) 2009-2012
Emerging Markets 1972-2008
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Global REITVNQI
Vanguard Global ex-US REIT ETF (VNQI) 2011+
iShares International Dev Rel Est (IFGL) 2008-2010
75% US REIT / 25% Total Int'l Stock 1972-2007
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SwedenEWDiShares MSCI Sweden 1997+
Data from Edvinsson, Jacobson, and Waldenstrom minus 0.48 expenses
http://www.riksbank.se/Documents/Forskning/%C3%96vrigt/2014/foa_historical_statistics_%20volume2_140613.pdf
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AustraliaEWAiShares MSCI Australia 1997+
Data from Brailsford, Handley and Maheswaran minus 0.48 expenses
http://epublications.bond.edu.au/cgi/viewcontent.cgi?article=1594&context=business_pubs
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South AfricaEZAiShares MSCI South Africa 2004+Data from Allan Gray minus 0.63 expenses
http://topforeignstocks.com/2014/01/08/south-africas-ftsejse-all-share-index-returns-by-year/
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GoldGLDGLD ETF 2005+ (Morningstar)Kitco returns 1972-2004
http://onlygold.com/Info/Historical-Gold-Prices.asp
http://www.finfacts.ie/Private/curency/goldmarketprice.htm
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CommoditiesPCRIXPimco PCRIX 2003+DJ-AIJ plus VIPSX - 2001-2002
DJ-AIG plus Yahoo's IPS 'category' returns 1997-2001 (prior to VIPSX)
DJ-AIJ plus T-Bills 1991-1996
Collaterallized Chase Index 1972-1990
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Emerging Market BondsEMB
iShares JPMorgan USD Emerg Markets Bond (EMB) 2008+
JPM EMBI+ minus 0.4 expenses 1994-2007 (https://www.bogleheads.org/wiki/Emerging_market_bonds)
90% Total Int'l Bond / 10% Emerging Market 1972-2007
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International BondsPIGLXPimco Global Bond PIGLX Instl - 1997+JP Morgan Global Gov Bond - 1987-1996
90% US Total Bond / 10% Total Int'l Stock 1972-1986
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Corporate BondsVICSX
Vanguard Intermediate Corporate Bond Fund (VICSX) 2011-2015
Barclays U.S. Corporate Bond Index (see barcap.com) 1973-2010
US Total Bond 1972
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US BondsVBMFX
Vanguard Total Bond Index Fund (VBMFX) - 1987+
Lehman Brothers 1973-1986Ibbotson 1972
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TIPSVIPSX
Vanguard Inflation-Protected Security Fund (VIPSX) 2001+
http://www.cfapubs.org/doi/pdf/10.2469/faj.v60.n1.2592
http://www.diehards.org/forum/viewtopic.php?t=281
Synthetic TIPS data provided by Cb (Data from Kothari's paper)
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Intermediate MunicipalVWITX
Vanguard Interm-Term Tx-Ex Inv (VWITX) 1978+
US Total Bond 1972-1977
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Short Term Total US BondVFSTX
Vanguard ST Investment Grade (VFSTX) 1983+
75% Short Term Treasury / 25% Corporate Bond 1972-1981
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Short Term TreasuryVFISX
Vanguard Short Term Treasury (VFISX) 1992+
Longinvest's bonds fund spreadsheet (4-2 model) 1972-1991
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Treasury BillsVUSXXVanguard Admiral Treasury (VUSXX) 2009+
Vanguard Treasury Money Market Fund (VMPXX) 1984-2008
T-Bills 1972-1983
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Credit to Trevh/Cb/Alec/Siamond from Vanguard Diehards / Bogleheads forum for compiling this data from various sources.
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http://www.bogleheads.org
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For comments/feedback/updates visit:
https://www.bogleheads.org/forum/viewtopic.php?p=2753812#p2753812
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Annual Return Data Sources:
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https://investor.vanguard.com/mutual-funds/vanguard-mutual-funds-list
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https://www.msci.com/end-of-day-data-search
(pick a recent date for DM or EM, search, then click on appropriate MCSI broad index, tune chart display, download Excel spreadsheet)
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http://www.fpanet.org/journal/articles/2006_Issues/jfp2006-art7.cfm
(no longer available)
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IFA historical data was derived from various indexes, see descriptions and calculator:
http://www.ifa.com/library/support/data/IFAindexdata.asp
https://www.ifa.com/calculator
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CPI-U data was collected from http://www.bls.gov/cpi and the actual data was obtained from:
ftp://ftp.bls.gov/pub/special.requests/cpi/cpiai.txt
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Credit to Cb/Gnobility/Jeff for calculating the synthetic returns of CCF data (XLS lost)
http://gnobility.com/Syn_Comm/CCF_1972-2007_san.xls
https://www.bogleheads.org/forum/viewtopic.php?t=144355
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Credit to Stratton for the Global Bond Funds Data
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Credit to CraigR for the Permanent Portfolio information and the Gold returns
http://crawlingroad.com/blog/2008/12/22/permanent-portfolio-historical-returns/#more-299
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Credit to Longinvest for the synthetic historical bond returns (pre-1972 and more)
https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425
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Credit to Tyler9000 for the CRSP-like synthetic series for 3x3 factors
https://portfoliocharts.com/stock-index-calculator/
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Historical Returns (pre-1972):
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========================
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S&P500(h): courtesy of Pr Shiller - no Expense Ratio applied
http://www.econ.yale.edu/~shiller/data/ie_data.xls
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IT Bonds(h): simulated bond fund 10-4, derived from interest rates (Shiller and FRED) - no ER
https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425
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TBills(h): simulated returns based on 1-yr interest rates (Shiller and FRED) - no ER
http://www.econ.yale.edu/~shiller/data/chapt26.xls
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Stock Index Calculator (Tyler): LCV, LCG, MCB, MCV, MCG, SCB, SCV, SCG (note: LCB == S&P 500)
https://portfoliocharts.com/stock-index-calculator/
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LT Bonds: simulated bond fund 30-11, derived from interest rates (Shiller and FRED)
https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425
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IT Bonds: simulated bond fund 10-4, derived from interest rates (Shiller and FRED)
https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425
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ST Bonds: simulated bond fund 4-2, derived from interest rates (Shiller and FRED)
https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425
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Following is the list of the Abbreviations and a summary of the data sources by year range.
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