Data Sources and Performance Tracking Information

Data Sources and Performance Tracking Information

These are the data sources that Portfolio Einstein uses.

The U.S.

TSM = Total Stock Market – US Cap Weighted (P)

Approximated to S&P 500 1871-1926
Stock Index Calculator (Tyler) 1927-1969
CRSP Decile 1-10 (NYSE/AMEX/NASDAQ) 1970-1992
Vanguard Total Stock Market Index Fund (VTSMX) 1993+

S&P 500 (LCB) = US Large Blend (P)

S&P 500 (Prof. Shiller) 1871-1936
S&P 500 (Standard & Poor’s) 1937-1970
S&P 500 (Standard & Poor’s) 1971-1976
Vanguard 500 Index Fund (VFINX) 1977+

LCV = US Large Value (P)

Stock Index Calculator (Tyler) 1927-1978
Russell 1000 Value TR USD 1979-1992
Vanguard Value Index Fund (VIVAX) 1993+

LCG = US Large Growth (P)

Stock Index Calculator (Tyler) 1927-1978
Russell 1000 Growth TR USD 1979-1992
Vanguard Growth Index Fund (VIGRX) 1993+

MCB = US Mid Blend (P)

Stock Index Calculator (Tyler) 1927-1978
Russell Mid Cap TR USD 1979-1992
MSCI US Mid Cap 450 GR USD 1993-1998
Vanguard Mid-Cap Index Fund (VIMSX) 1999+

MCV = US Mid Value (P)

Stock Index Calculator (Tyler) 1927-1985
Russell Mid Cap Value TR USD 1986-1992
MSCI US Mid Cap Value GR USD 1993-2006
Vanguard Mid-Cap Value Index Fund (VMVIX) 2007+

MCG = US Mid Growth (P)

Stock Index Calculator (Tyler) 1927-1985
Russell Mid Cap Growth TR USD 1986-1992
MSCI US Mid Cap Growth GR USD 1993-2006
Vanguard Mid-Cap Growth Index Fund (VMGIX) 2007+

SCB = US Small Blend (P)

Stock Index Calculator (Tyler) 1927-1978
Russell 2000 TR USD 1979-1989
Vanguard Small Cap Index Fund (NAESX) 1990+
(note that NAESX was NOT an index fund until Aug-1989)

SCV = US Small Value (P)

Stock Index Calculator (Tyler) 1927-1978
Russell 2000 Value TR USD 1979-1992
MSCI US Small Cap Value GR USD 1993-1998
Vanguard Small Cap Value Index Fund (VISVX) 1999+

SCG = US Small Growth (P)

Stock Index Calculator (Tyler) 1927-1978
Russell 2000 Growth TR USD 1979-1992
MSCI US Small Cap Growth GR USD 1993-1998
Vanguard Small Cap Growth Index Fund (VISGX) 1999+

Micro Cap = US Micro Cap Blend (A)

CRSP Decile 10 (NYSE/AMEX/NASDAQ) 1970-1997
Bridgeway Ultra-Small Company Market Fund (BRSIX) 1998+

Extended Market Index (P)

Dow Jones Wilshire 4500 1984-1987
Vanguard Extended Market Index Fund (VEXMX) 1988+

REIT = Real Estate (P)

Crude mapping: TSM 1970-71
FTSE NAREIT All Equity REITs 1972-1996
Vanguard REIT Index Fund (VGSIX) 1997+

Momentum Factor (P)

MSCI USA Momentum GR USD 1982-2013
iShares Edge MSCI USA Momentum Factor (MTUM) 2014+

Quality Factor (P)

MSCI USA Quality GR USD 1976-2013
iShares Edge MSCI USA Quality Factor (QUAL) 2014+

Minimum Volatility Factor (P)

MSCI USA GR USD 1985-1988
MSCI USA Minimum Volatility GR USD 1989-2011
iShares Edge MSCI Min Vol USA (USMV) 2012+

Value Factor (P)

MSCI USA Value Weighted GR USD 1975-2013
iShares Edge MSCI USA Value Factor (VLUE) 2014+

Energy (A)

Vanguard Energy Fund (VGENX) 1985+

Health Care (A)

Vanguard Health Care Fund (VGHCX) 1985+

Precious Metals (A)

Vanguard Precious Metals and Mining Fund (VGPMX) 1985+

COMM – Commodities/Natural Resources (P)

S&P GSCI TR USD 1970-2006
iShares S&P GSCI Commodity-Indexed Trust (GSG) 2007+

Gold (P)

LBMA Gold Price PM USD (Dec 31st to Dec 31st) 1970-2005
iShares Gold Trust (IAU) 2006+

Dividend Growth (P)

MSCI USA Quality 1985-1989
S&P 500 Dividend Aristocrats 1990-2006
Vanguard Dividend Appreciation Index Fund (VDAIX) 2007+

Dividend High Yield (P)

MSCI USA High Dividend Yield GR USD 1976-2006
Vanguard High Dividend Yield Index Fund (VHDYX) 2007+

Bonds

STT = Short-Term Treasury (A)

Longinvest’s bonds fund spreadsheet (4-2 model) 1871-1975
Bloomberg Barclays 1-5 Yr Treasury TR USD 1976-1991
Vanguard Short-Term Treasury Fund (VFISX) 1992+

ITT = Inter. Term Treasury (A)

Longinvest’s bonds fund spreadsheet (10-4 model) 1871-1991
Vanguard Intermediate-Term Treasury Fund (VFITX) 1992+

LTT = Long Term Treasury (A)

Longinvest’s bonds fund spreadsheet (30-11 model) 1871-1941
(crude mapping, by lack of LT interest rates history in this time period)
Longinvest’s bonds fund spreadsheet (30-11 model) 1942-1972
Bloomberg Barclays US Treasury Long TR USD 1973-1986
Vanguard Long-Term Treasury Fund (VUSTX) 1987+

TBM = Total Bond Market (P)

Longinvest’s bonds fund spreadsheet (10-2 model) 1871-1975
(crude mapping, as it only models treasuries)
Bloomberg Barclays US Aggregate Bond TR USD 1976-1986
Vanguard Total Bond Index Fund (VBMFX) 1987+

STB = Short Term Bonds (P)

Longinvest’s bonds fund spreadsheet (4-2 model) 1871-1975
(crude mapping, as it only models treasuries)
Bloomberg Barclays US Government/Credit 1-5 Yr TR USD 1976-1994
Vanguard Short-Term Bond Index Fund Investor Shares (VBISX) 1995+

TIPS = Treasury Inflation Protected Securities (A)

Longinvest’s bonds fund spreadsheet (10-4 model) 1985-1991
Bloomberg Barclays 5-10 Yr Treasury TR USD 1992-1996
Bloomberg Barclays US TIPS index (Series L) TR USD 1997-2000
Vanguard Inflation-Protected Security Fund (VIPSX) 2001+

Short-Term Investment Grade (A)

Bloomberg Barclays Credit 1-5 Yr TR USD 1976-1982
Vanguard Short-Term Investment-Grade Fund (VFSTX) 1983+

Intermediate-Term Corporate Bonds (P)

Crude mapping: TBM 1970-72
Barclays US Corporate Invest Grade TR USD 1973-1998
Bloomberg Barclays US Credit Corporate 5-10 Year TR USD 1999-2009
Vanguard Intermediate-Term Corporate Bond Index Fund (VCIT) 2010+

High Yield Corporate Bonds (A)

Vanguard High-Yield Corporate Fund (VWEHX) 1979+

Global Bonds (Unhedged) (A)

Citigroup WGBI USD (unhedged) 1985-1989
Bloomberg Barclays Global Aggregate TR USD (unhedged) 1990-1993
Global Bond Fund (unhedged) Class D (PGBDX) 1994+

International Bonds (USD-hedged) (P)

Citigroup WGBI NonUSD Hedged USD 1985-1989
Bloomberg Barclays Global Aggregate Ex USD TR Hdg USD 1990-2013
Vanguard Total International Bond Index Fund (VTIBX) 2014+

Short-Term Munis (A)

Vanguard Short-Term Tax-Exempt Fund (VWSTX) 1978+

Inter. Term Munis (A)

Vanguard Intermediate-Term Tax-Exempt Fund (VWITX) 1978+

Long Term Munis (A)

Vanguard Long-Term Tax-Exempt Fund (VWLTX) 1978+

T-Bills (P) – Risk Free Benchmark for Sharpe

Crude mapping: 1-yr interest rate (Prof. Shiller) 1871-1933
T-Bills 1934-1992 (simulated with FRED TB3MS interest rates)
Vanguard Treasury Money Market Fund (VUSXX) 1993+

One Year Fixed Income:

Short-term government bonds bonds

Two-Year Global Fixed income

FTSE World Government Bond Index 1-2 Years 1986-1996 –

DFA Fund: DFGFX 1997-2017:

Five Year Global Fixed Income

FTSE World Government Bond Index 5-7 Years 1986-1996

DFA Fund: DFGBX 1997-2017

CPI-U (Inflation)

US Inflation (Prof. Shiller) 1871-1936
BLS Consumer Price Index – All Urban Consumers 1937+ (Dec to Dec)

International

EAFE = International Developed ex North America (P)

MSCI EAFE NR USD 1970-1999 (Developed Only)
Vanguard Developed Markets Index Fund (VDVIX) 2000+

EM = Emerging Markets (P)

Crude mapping: MSCI World ex USA NR USD 1985-1987 (Developed Only)
(reliable emerging markets returns not available by then)
MSCI EM GR USD minus 0.3% 1988-1994
(MSCI EM NR USD not available until 1999 hence the approximation)
Vanguard Emerging Markets Stock Index Fund (VEIEX) 1995+

Total International ex-USA (P)

Crude mapping: MSCI World ex USA NR USD 1970-1987 (Developed Only)
(reliable emerging markets returns not available by then)
MSCI ACWI Ex USA GR USD minus 0.4% 1988-1996
(MSCI ACWI Ex USA NR not available until 1999 hence the approximation)
Vanguard Total International Index Fund (VGTSX) 1997+

Pacific (P) – Developed only

MSCI Pacific NR USD 1970-1990
Vanguard Pacific Stock Index Fund (VPACX) 1991+

Europe (P) – Developed only

MSCI Europe NR USD 1970-1990
Vanguard Europe Stock Index Fund (VEURX) 1991+

International Value (P) – Developed only

MSCI EAFE NR USD 1970-1974
MSCI EAFE Value NR USD 1975-2005
iShares MSCI EAFE Value (EFV) 2006+

International Small (P) – Developed and Emerging

DFA Int’l Small Cap Index (DFA Matrix) 1982-1994
(approximate as DFA applies quality filters and is developed only)
MSCI ACWI Ex USA Small NR USD 1995-2009
Vanguard FTSE All-World ex-US Small-Cap Index Fund (VFSVX) 2010+

Total World Market (P)

MSCI World GR USD 1970-1993
FTSE All-World TR USD 1994-2008
Vanguard Total World Stock (VTWSX) 2009+

International Small Cap Value

Dimensional Matrix Publication – 1982-2017

Emerging Markets Small Cap

Dimensional Matrix Publication 1989-1998
DFA Fund DEMSX 1999-2017

Emerging Markets Value:

Dimensional Matrix Publication 1989-1998

DFA Fund DFEVX 1999-2017

Performance Tracking

When you start tracking portfolios you run into all sorts of problems with the data. Some portfolios use some very weird asset classes. Some use some very new asset classes which have no recent data. Some use asset classes that are extremely complex like futures. Some use an extreme amount of asset classes.

What follows is is a list of all the exceptions and hoops that are needed to track all the portfolios on Portfolioeinstein.com.

  1. Almost all IFA portfolios use the DFA Global 5 Year Fixed Income fund. In our measurements, we use the PIMCO Global Bond Fund as it has more historical data. In the future, this can be replaced by a mix of BND and BNDX or the new ETF BNDW.
  2. Almost all IFA portfolios use the DFA 1 Year Fixed Income fund, this is replaced by short-term treasuries index because of longer historical data. short-term treasuries have done slighty better.
  3. Robo advisor Betterment portfolios almost all have emerging market debt – this is replaced a data series tracking the global bonds market.
  4. Meb Faber IVY portfolios use international REITs. We use domestic REITs to get data back to 1989. This may overestimate the returns as US REITs have done slightly better.
  5. All IFA portfolios use international REITs. We use domestic REITs to get data back to 1989. This may overestimate the returns as US REITs have done slightly better.
  6. The Paul Merriman Best In Class ETF Portfolios (3) use international REITs. We use domestic REITs to get data back to 1989. This may overestimate the returns as US REITs have done slightly better.
  7. The retirement funds by Paul Merriman use international REITs. We use domestic REITs to get data back to 1989. This may overestimate the returns as US REITs have done slightly better.
  8. The Ben Stein portfolio expects to get 5% on its cash – pretty dreamy of him, maybe stick it in a bond fund.
  9. All Merril Lynch EDGE Portfolios have MORTGAGES as an asset class – We don’t have data on that so domestic stock market as a proxy is used.
  10. Schwab Managed portfolios has what they call aggressive Income. We have no idea what that is. We use high yield bonds as proxy.
  11. The Alpha Architect portfolio should have 7.5% allocated to both small AND large momentum. AND 7.5% to both large AND small international momentum. We only have data for “Momentum factor”. This will probably underestimate returns.
  12. Meb Faber’s GTAA uses both large and small momentum evenly. We only use one asset class.
  13. All the Morningstar portfolios use a small portion of emerging market bonds. For benchmarking purposes, this has been replaced by non-us bonds. In addition, all Morningstar portfolios divide their TIPSs into to long and short term. For benchmarking purposes, this is been merged into a single TIPS asset class.
  14. DFA retirement funds have a few things that are hard to track. 1. they have something that is called “large international”. We used VEA. Then it has LTIP portfolio. We used our only TIPS series for that. Then it has “Short-Term Extended Quality Bonds” – these are replaced by Short-Term Inv. grade bonds and could probably be supplemented by short-term non-us bonds. The 2050 and 2060 have as of December 2018 the same portfolio composition. The income portfolios has a 1 year fixed income portion. This is replaced by a short-term gov fund.
  15. Burton Malkiel uses emerging market bonds in his book – We use a non-us bonds series.
  16. The Daniel Solin Supersmart portfolios use the international short-term bond government fund – We use a domestic US bond fund.
  17. William Bernstein’s Taxable Teds portfolios use four bond funds. They are mostly municipal bond fund. These have been merged into a Total Bond Fund. This may overestimate the returns.
  18. The Goldman Sachs target date retirement funds have several funky things going on. 1. they use e-mini futures on the Russel 2000. This is replaced by a standard small-cap index fund. They use 2-3 different money market funds 3. This is replaced by our cash asset class. They employ their own smart beta funds. We use an equivalent index fund. The GS target date funds are super complicated only surpassed by the T. Rowe Price target-date funds (not on site atm because they are so complicated to measure)
  19. The Rick Ferri Inflation fighter portfolio has iShares Inflation Corporate Bonds in it (LQDI) – we use a standard Corporate Bond Fund to benchmark.
  20. The Rick Ferri  INCOME SEEKER CORE-4 PORTFOLIO ALLOCATION has exposure to International High Dividend Yield  – we have used international value as proxy. It also uses a Preferred Shares which only has data back to 2008 but we can simulate approximate returns by going 10-20% stocks and 80-90% corp stocks.
  21. The Meb Faber IVY 20 portfolio uses 4 different commodities fund. We use only 1 fund. It uses an infrastructure ETF and a timber ETF. We use a TSM fund as proxy. This is not perfect.
  22. The Fundamentum growth portfolio uses a floating rate ETF – we use our TIPS series for benchmarking.
  23. The assetbuilder.com portfolios 7-14 uses int.sm.cap growth – we use int.sm.cap.blend. This will be fixed in the future as we have data on this asset class back to 1990.
  24. The WealthSimple portfolios are problematic as they rely on UK data for stocks (which we have) but also for UK bonds (gilts) and UK corporate bonds which we don’t have data on. The version on site is what we call WealthSimple US edition. UK stocks have been turned in to US stocks. UK bonds into US bonds and US stocks into European stocks. It’s not perfect and will be remedied in the future.
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