Asset Allocation Models - Return and Standard Deviation

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gtam
Posts: 2
Joined: Sun Sep 06, 2020 9:55 am

Asset Allocation Models - Return and Standard Deviation

Post by gtam »

Does anyone have a source (i.e. Morningstar, Vanguard etc.) that they utilize for "Custom Modeling" that provides the Returns and Standard Deviation of Equity to Fixed Income of:

70 / 30 Allocation
60 / 40 Allocation
50 / 50 Allocation

Thanks,

jimr
Posts: 596
Joined: Thu Feb 28, 2008 6:48 pm

Re: Asset Allocation Models - Return and Standard Deviation

Post by jimr »

Anyone with an answer should feel free to respond, but since this forum is viewed mostly by people looking for answers to questions about the planner, the traffic is relatively light.

You might get a better response to your question by posting at a site like bogleheads.org at https://www.bogleheads.org/forum/index.php or on reddit at https://www.reddit.com/r/personalfinance/

Jim

target2019
Posts: 8
Joined: Fri Dec 20, 2019 8:41 am

Re: Asset Allocation Models - Return and Standard Deviation

Post by target2019 »

Below is URL for a thread and link to historical backtesting spreadsheet.
https://www.bogleheads.org/forum/viewto ... =10&t=2520

The tab named Analyze_Portfolio will give you CAGR and STDEV for a custom portfolio you specify.

Just realized the download link at top of the linked thread is not current. If you go to the last page of discussion, you can find the latest version.

jimr
Posts: 596
Joined: Thu Feb 28, 2008 6:48 pm

Re: Asset Allocation Models - Return and Standard Deviation

Post by jimr »

Thanks for doing the digging over at bogleheads.org and for following up with this info.

Simba's spreadsheet looks like it'd be a great tool for this sort of analysis. I hadn't looked at it in a while. They've really beefed it up over the years and it's great that they seem to be keeping the data current.

target2019
Posts: 8
Joined: Fri Dec 20, 2019 8:41 am

Re: Asset Allocation Models - Return and Standard Deviation

Post by target2019 »

You're welcome, Jim and others.

I downloaded version 19d of the spreadsheet and set it to 35/15/45/5 (US/Intl/TBM/Cash) -- my version of 50/50 allocation.

Nominal growth 1970-2019 was 8.72%. Real growth (after inflation) was 4.63%. Being a pessimist I am using Real growth *and* inflation of 3% in FRP. In effect inflation is applied twice in my example (I think). Historical results seem too rosy for me at this time.

jimr
Posts: 596
Joined: Thu Feb 28, 2008 6:48 pm

Re: Asset Allocation Models - Return and Standard Deviation

Post by jimr »

Target2019 - I mistakenly thought you were the OP. I just realized you're something of a regular around here.

Double thanks for jumping into this thread with such a great answer. - Jim

gtam
Posts: 2
Joined: Sun Sep 06, 2020 9:55 am

Re: Asset Allocation Models - Return and Standard Deviation

Post by gtam »

Thanks so much...the spreadsheet is awesome and can be used to run multiple scenarios in FRP.

BTW, new to FRP and the forum...great tool and great site.

Here is a link to an inflation tool I have used for analysis.

https://www.in2013dollars.com/us/inflat ... amount=100

target2019
Posts: 8
Joined: Fri Dec 20, 2019 8:41 am

Re: Asset Allocation Models - Return and Standard Deviation

Post by target2019 »

jimr wrote:
Mon Sep 07, 2020 8:38 pm
Target2019 - I mistakenly thought you were the OP. I just realized you're something of a regular around here.

Double thanks for jumping into this thread with such a great answer. - Jim
I may be an OP, but I am not the OP!

The Simba Backtesting sheet has always seemed useful since one can farm the data and do what you want with it.

BTW there is inflation data series in the workbook too.

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