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looking for Small Cap Value total return historical data back to 1977
Old 08-21-2015, 01:47 PM   #1
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looking for Small Cap Value total return historical data back to 1977

I was going over some old articles and found this one:

A Simple Way To Outperform The Market With Beta Power | Seeking Alpha
It reminded me that the market is known to track the inverse of the long treasury bond.

Wellington is my current yardstick. Its AA is roughly 60/40 equities/bonds. Just for grins, I went back to Yahoo Finance for historical data for VTI (total market) and TLT (20+ year treasuries) for total return. The data was only available for 13 years back. I made a 60/40 portfolio and rebalanced at the beginning of each year. I was surprised that this mix gave a 9.46% total return compared to VWELX at 8.62%.

Remembering that Small Cap Value outperforms the total market over time, I replaced VTI with VISVX and TLT with VUSTX. This mix gave a total return of 8.97% over 17+ years while VWELX only gave 7.4%. Very interesting! I may want to reconsider VWELX as my yardstick.

Now, I want to go back to 1977, which is the furthest back I can get total return data for ^TYX, long-term treasuries, because that includes that last time interest rates went up (and strongly, to boot!). This could be a very interesting period. My problem is that I can't find results for SCV total return that far back. The first S&P500 index fund was created in 1975, so it may be possible there is a SCV fund as old as 1977, but if not, maybe the desired data is somewhere.

I have gone to the Kenneth R French (of Fama and French) data library, but I am lost in the tall grass there. Kenneth R. French - Data Library

Can someone point me in the right direction? Or maybe explain how to dig that info out of Prof. French's web site?

Much obliged.
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Old 08-21-2015, 08:25 PM   #2
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Search on Google for Simba's spreadsheet. That will lead you to a bogleheads website where you can download a very cool spreadsheet that includes what you're looking for back to 1972. Some of its cobbled together but they do show the source of their return sequences on the spreadsheet.


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Old 08-21-2015, 09:16 PM   #3
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A big Thank You, big-papa! There is a lot of meat there!

That covers a big rising interest rate period. Of great interest. I may post anything of interest.

Cheers,

el Gitano
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Old 08-22-2015, 06:30 AM   #4
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No Problem - just know a few things about the data/spreadsheet.
1. The TIPs returns include the actual returns from VIPSX for the years in which it has existed. Before that, the series is a synthetic series that came from a PhD paper. After contacting the professor who no longer had the data, somebody eyeballed calculated returns off of a chart from the paper. I found the paper once and attempted to do the same thing and got very different results. The big research houses also have their own researched synthetic data series, but us mere mortals don't have access to it. Bridgewater data does exist in published form and can be found on a Bogleheads site at: https://www.bogleheads.org/forum/viewtopic.php?t=52390 I have another series as well. Anyway because of the way tips work and regular govt bonds work, one can calculate what TIPs funds might have returned in the past before they actually existed.
2. Their short term bond fund data is incorrect. If I recall correctly it comes from DFA's data and they chose the wrong column - they chose international instead of US govt returns. Ive pointed this out to them but nobody has responded.


The guy who originally put this together (Simba) no longer maintains it. Other bogleheads do and everybody seems to have day jobs. :-) Replacing data with your data is fairly straightforward, but the rest of the Excel coding is definitely for advanced users, should you wish to modify it.
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Old 08-22-2015, 01:00 PM   #5
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More data here:
Kenneth R. French - Data Library

I am pretty sure historical is in one or more of the files in the download section.
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Old 08-22-2015, 01:36 PM   #6
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Yep the Fama-French data is useful - just realize that there data doesn't map directly into morningstar's 3x3 box of large,mid,small and value,blend,growth. They instead have a 2x3 and a 5x5. Also Simba's spreadsheet does use this data in some places - just realize that Fama/French updates their historical data from time to time and the Simba spreadsheet might not have the updates


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Old 08-22-2015, 02:36 PM   #7
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Good points. The Web page mentions updates to the data which were just made, so I think this data set is the best source.
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Old 08-22-2015, 11:21 PM   #8
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I am having a little trouble sorting the referenced data out.

Stand by.
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Old 08-23-2015, 06:51 AM   #9
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I am having a little trouble sorting the referenced data out.

Stand by.
No problem - I've been using this spreadsheet for a number of years, I might be able to answer some of the questions about the data sources.
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Old 08-25-2015, 11:31 AM   #10
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I have managed to sort out the data (maybe) back to 1970 and played with it a little. At first glimpse, it looks like a 60/40 SCV/LTB (20+ yr fed) rebalanced once a year produces consistently better total returns than VWELX since 1970, a period that includes increasing interest rates.

Does this look right?

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Old 08-25-2015, 12:19 PM   #11
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Originally Posted by Ed_The_Gypsy View Post
I have managed to sort out the data (maybe) back to 1970 and played with it a little. At first glimpse, it looks like a 60/40 SCV/LTB (20+ yr fed) rebalanced once a year produces consistently better total returns than VWELX since 1970, a period that includes increasing interest rates.

Does this look right?

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I think you are correct - in my earlier studies of different AA's, I also came to the same conclusion for the same time period. The question is whether LTB is the way to go going forward. They're a great counterbalance when stocks go south (2008, 2011 and if you chart the last couple of weeks), but they can also move strongly the other way when stocks are doing well. In the very long term, the two are almost uncorrelated, but can become anti-correlated in the short term. And I'm not sure that the anticorrelation is as strong when inflation is high and a bear market is entered (early 1970's).

Anyway, a number of years ago, I was in LTB's for the bond portion, but backed off to ITB funds (and a little short term) today. Bogleheads has some interesting sample portfolios and you can see that some use LTB's and some use ITB and some use a mix of ITB/STB. And don't forget TIPs. You can also see that on the Simba Spreadsheet on the Lazy Portfolio tabs.


Good luck!
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Old 08-25-2015, 03:16 PM   #12
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Thanks again, Big-Papa! You have obviously gone over this material before, in great detail.

The version of Simba's spreadsheet that I downloaded does not seem to have a Lazy Portfolios tab. That would be interesting. There may be another version out there.
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Old 08-25-2015, 03:17 PM   #13
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Oh yeah, forgot to ask: what is CHP?
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Old 08-25-2015, 03:20 PM   #14
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Old 08-25-2015, 04:06 PM   #15
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Too early.
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Old 08-25-2015, 04:12 PM   #16
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Thanks again, Big-Papa! You have obviously gone over this material before, in great detail.

The version of Simba's spreadsheet that I downloaded does not seem to have a Lazy Portfolios tab. That would be interesting. There may be another version out there.
Do you have version 14b? Here's the link:
https://drive.google.com/file/d/0B6r...bWc/view?pli=1

Click the down-arrow at the top of the page in the center and that'll download it for Excel.

There is a tab called "Lazy_portfolios_85". Now as the name implies, it's for returns starting in 1985 to 2014.

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Old 08-25-2015, 04:16 PM   #17
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Oh yeah, forgot to ask: what is CHP?
I think it refers to the Lazy Portfolio called "Coffee House Portfolio". (Speaking of Lazy Portfolios). I think the author of the spreadsheet liked it so he used it as a yardstick. CHP is 40% total bond and then 10% slices each of LCV, LCB, SCV, SCB, REIT, Total International

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Old 08-25-2015, 07:26 PM   #18
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Thank you again, Big-Papa.

I did not have version 14b.

And Coffee House Portfolio makes sense as well.

Cheers,

Ed
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Old 08-25-2015, 08:01 PM   #19
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Just for grins, I went back to Yahoo Finance for historical data for VTI (total market) and TLT (20+ year treasuries) for total return. The data was only available for 13 years back.


Only on this board would the above sentences appear. For grins you dug thru esoteric financial history and was bummed to only find 13 years of data.

Man, I love it here. It's nice to be among kindred spirits!

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Old 08-25-2015, 09:31 PM   #20
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Otoole, l bow to the masters like Big-Papa.

I am thinking that the Misty Mountains are in bogleheads.

This was my first visit there.

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