bo_knows
Recycles dryer sheets
One thing I observed with historical simulations is that they all use annualized data, with portfolio rebalancing on Jan 1st. While that may be fine for an understanding of longer-term market conditions, the yearly sampling rate is just too coarse, and a real portfolio performance may differ significantly from the model.
For example, we all know how the market crashed hard in Mar 2009, then rebounded strongly by Dec 2009. If we only take sample points at Jan 2009, then Jan 2010, we would not know about that severe dip. Yet, in real life, many people, myself included, did some buy/sell or rebalancing throughout the year. One could end up very well, or left holding the bag depending on his execution. I am very sure the managers of Wellesley or Wellington do not rebalance only once a year on Jan 1st.
I have also wondered this... especially the "Sell in May, go away" phenomenon. There is monthly historical data out there. I'll have to work on that...