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Data Sources and Performance Tracking Information

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Data Sources and Performance Tracking Information

These are the data sources that Portfolio Einstein uses. We are eternally grateful for the ton of time-series that the Bogleheads have collected.

The U.S.

Total Stock Market 

CRSP Decile 1-10 (NYSE/AMEX/NASDAQ) 1970-1992
Vanguard Total Stock Market Index Fund (VTSMX) 1993+

S&P 500 US Large Blend

Vanguard 500 Index Fund (VFINX) 1977+

US Large Value

Russell 1000 Value TR USD 1979-1992
Vanguard Value Index Fund (VIVAX) 1993+

US Large Growth

Russell 1000 Growth TR USD 1979-1992
Vanguard Growth Index Fund (VIGRX) 1993+

US Mid Blend 

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+

US Mid Value

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+

US Mid Growth

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+

US Small Blend

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

US Small Value 

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

US Small Growth

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

US Micro Cap Blend

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

Extended Market Index

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

US Real Estate

FTSE NAREIT All Equity REITs 1972-1996
Vanguard REIT Index Fund (VGSIX) 1997+

Momentum Factor

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

Quality Factor

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

Minimum Volatility Factor

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

Value Factor

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

Energy

Vanguard Energy Fund (VGENX) 1985+

Health Care

Vanguard Health Care Fund (VGHCX) 1985+

Precious Metals

Vanguard Precious Metals and Mining Fund (VGPMX) 1985+

Commodities/Natural Resources

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

Gold

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

Dividend Growth

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

Dividend High Yield

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

Preferred Stock

Bloomberg Barclays US Corporate Bond TR USD minus 0.15% expense ratio 1987-1998

Bloomberg Barclays US Credit Corporate 5-10 Year TR minus 0.15% expense ratio 1999-2007

USD iShares Preferred Stock ETF 2008+

Bonds

Short-Term Treasury

Bloomberg Barclays 1-5 Yr Treasury TR USD 1976-1991
Vanguard Short-Term Treasury Fund (VFISX) 1992+

Inter. Term Treasury

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

Long Term Treasury

Bloomberg Barclays US Treasury Long TR USD 1973-1986
Vanguard Long-Term Treasury Fund (VUSTX) 1987+

Total Bond Market

Bloomberg Barclays US Aggregate Bond TR USD 1976-1986
Vanguard Total Bond Index Fund (VBMFX) 1987+

Short Term Bonds

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

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

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

Intermediate-Term Corporate Bonds

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

Vanguard High-Yield Corporate Fund (VWEHX) 1979+

Global Bonds

Citigroup WGBI USD (unhedged) 1989-1990
Bloomberg Barclays Global Aggregate TR HdgUSD
1991-2009
Bloomberg Barclays Global Aggregate Float Adjusted TR HUSD 2010-2018
Vanguard Total World Bond Index Fund (BNDW) 2019+

International Bonds

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

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

Inter. Term Munis

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

Long Term Munis

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

One Year Fixed Income:

DFA One Year Fixed Income Portfolio (DFIHX) 1989-1994

Vanguard Short-Term Bond Index Fund (VBISX) 1995+

Two-Year Global Fixed income

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

DFA Two-Year Global Fixed Income Portfolio (DFGFX) 1997-2018

Vanguard Total World Bond Index Fund (BNDW) 2019+

Note: the BNDW has a higher duration than DFGFX and higher returns and higher risk.

Five Year Global Fixed Income

FTSE World Government Bond Index 3–7 Years
1986-1996

DFA Five -Year Global Fixed Income Portfolio (DFGBX) 1997-2018

Vanguard Total World Bond Index Fund (BNDW) 2019+

Note: the BNDW has a higher duration than DFGFX and higher returns and higher risk.

Emerging Market Bonds

90% int. Bonds + 10% EM stocks -0.30% expense ratio 1989-1993

Barclays US EM Bond Index minus 0.30% expense ratio 1994-2013

Vanguard Emerging Market Bond ETF (VWOB) 2014+

Mortgage-backed Securities (MBS)

Vanguard GNMA Fund Investor Shares (VFIIX) 1985-2009

Vanguard Mortgage-Backed Securities ETF (VMBS) 2010+

International

EAFE, International Developed ex-North America

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

Emerging Markets

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

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 – Developed only

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

Europe – Developed only

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

International Value – Developed only

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

International Small – 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

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

International Small Cap Value

DFA International Small Value TR Index DFA minus 0.68% expense ratio 1989-1994

DFA International Small Cap Value Portfolio (DISVX) 1995-2009

WisdomTree International SmallCap Dividend Fund (DLS) 2010+

Emerging Markets Small Blend

DFA Emerging Market Small Blend TR Index minus 0.70% expense ratio 1989-1998

DFA Emerging Markets Small Cap Portfolio (DEMSX) 1999-2017

SPDR® S&P® Emerging Markets Small-Cap ETF (EWX)

Emerging Markets Value

DFA Emerging Markets Value TR Index minus 0.64% expense ratio 1989-1998

DFA Fund DFEVX 1999-2013

Schwab Fundamental Emerging Markets Large Company ETF (FNDE) 2014+

International REITs

75% US REIT / 25% Total International Stock 1989-2007 minus 0.10% expense ratio

iShares International Dev Rel Est (IFGL) 2008-2010

Vanguard VNQI ETF 2011+

Global REITs

65% US REIT / 35% international REIT 1989-2008

DFA Global Real Estate Securities Portfolio  (DFGEX) 2009-2014

iShares REET 2015+

Year to date calculations

Year to date performance is calculated using the best-in-class ETF on our page What Is The Best ETF And Mutual Fund?

Dividends and expense ratios

All data pertaining to dividends and expenses have been sourced from Morningstar and is updated at least monthly.

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. Robo advisor Betterment portfolios almost all have emerging market debt – this is replaced by a data series tracking the global bonds market. See the 2020 Betterment portfolio where we use emerging
  2. The Ben Stein portfolio expects to get 5% on its cash – pretty dreamy of him, maybe stick it in a bond fund.
  3. Schwab Managed portfolios have what they call aggressive Income. We have no idea what that is. We use high yield bonds as a proxy.
  4. 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 the “Momentum factor”. This will probably underestimate returns.
  5. Meb Faber’s GTAA uses both large and small momentum evenly. We only use one asset class.
  6. All the Morningstar portfolios divide their TIPSs into to long and short term. For benchmarking purposes, this is been merged into a single TIPS asset class.
  7. 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.
  8. The Daniel Solin Supersmart portfolios use the international short-term bond government fund – We use a domestic US bond fund.
  9. William Bernstein’s Taxable Teds uses two municipal bond funds. We have merged these into one.
  10. 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 also use future contracts on the S&P500. We use a standard S&p 500 index fund. 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). As of 2020 January, they appear to have scaled back their monstrous complexity. They no longer have 3-4 money market funds and they no longer use e-minis but standard future contract – that is still way into funky territory for a target-date fund.
  11. The Rick Ferri Inflation fighter portfolio has iShares Inflation Corporate Bonds in it (LQDI) – we use a standard Corporate Bond Fund to benchmark.
  12. The Rick Ferri  INCOME SEEKER CORE-4 PORTFOLIO ALLOCATION has exposure to International High Dividend Yield  – we have used international value as a proxy.
  13. The Meb Faber IVY 20 portfolio uses 4 different commodities funds. We use only 1 fund. It uses an infrastructure ETF and a timber ETF. We use a TSM fund as a proxy. This is not perfect.
  14. The Fundamentum growth portfolio uses a floating rate ETF – we use our TIPS series for benchmarking.
  15. 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.
  16. 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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