Do standard deviations even tell us anything on tspcalc.com?

[mjedlin66]

So here's what I've come up with. If someone's done something similar I'd be interested if they came up with the same results. I haven't seen anyone else do this, so hopefully I didn't reinvent the wheel.

Table.JPG compares four strategies against the C fund/S&P 500. The colors go from red to green each year.

Graphs.JPG shows a scatter plot for each of the strategies.

I'll let people draw their own conclusions, but I think this shows that strategies with really small standard deviations during the past 14 years weren't nearly as small the prior 16 years. Also, past results weren't very impressive. They were pretty similar to just staying in the C fund.

If anyone has questions please let me know. I can also give more details on how I came up with these results, but it's pretty boring and the short story is it took a lot of copying and pasting formulas in Excel.

Now that I have my spreadsheet completed I can test additional strategies in just a matter of minutes, so if someone wants to test another strategy I can. While looking through strategies that only used G,S, & C they all were very similar. I had a hard time finding some that weren't really close. I ended up making 27557 for this test.

Please run 17680 and 24.

[KWG_5]

It looks like strategies 20241, 17680, and 24 all use the F fund.

One of the weaknesses with my test was that I only approximated the G fund and used the underlying indexes for the S and C funds. However, the only thing stopping me from using the F fund is a lack of daily returns for the Bloomberg Barclays U.S. Aggregate Bond Index. If someone can point me to where I could find those I could broaden my test (It would take a couple days though). I haven't spent a lot of time looking recently, but I did last year without any luck.

Here's my take: I do think all the strategies will produce a bell curve, but I think picking models that fit 14 years really neatly gives us a less than random sample and therefore we can't draw accurate predictions about other years and therefore the standard deviations we see from 14 years aren't very reliable. Maybe that doesn't make sense, but it's a thought I had.

[mjedlin66]

What did you use for the I fund?

[KWG_5]

I didn't try to replicate the I fund. I didn't have daily returns going back very far and the I fund doesn't seem to track the underlying index that well day-to-day. However, if someone has daily returns for the MSCI EAFE Index I'd be will to see what happens.

[cswift01]

It looks like strategies 20241, 17680, and 24 all use the F fund.

One of the weaknesses with my test was that I only approximated the G fund and used the underlying indexes for the S and C funds. However, the only thing stopping me from using the F fund is a lack of daily returns for the Bloomberg Barclays U.S. Aggregate Bond Index. If someone can point me to where I could find those I could broaden my test (It would take a couple days though). I haven't spent a lot of time looking recently, but I did last year without any luck.

Here's my take: I do think all the strategies will produce a bell curve, but I think picking models that fit 14 years really neatly gives us a less than random sample and therefore we can't draw accurate predictions about other years and therefore the standard deviations we see from 14 years aren't very reliable. Maybe that doesn't make sense, but it's a thought I had.

Just saw this. Do you know about this tool?

https://www.portfoliovisualizer.com/backtest-portfolio

[evilanne]

It looks like strategies 20241, 17680, and 24 all use the F fund.

One of the weaknesses with my test was that I only approximated the G fund and used the underlying indexes for the S and C funds. However, the only thing stopping me from using the F fund is a lack of daily returns for the Bloomberg Barclays U.S. Aggregate Bond Index. If someone can point me to where I could find those I could broaden my test (It would take a couple days though). I haven't spent a lot of time looking recently, but I did last year without any luck.

Here's my take: I do think all the strategies will produce a bell curve, but I think picking models that fit 14 years really neatly gives us a less than random sample and therefore we can't draw accurate predictions about other years and therefore the standard deviations we see from 14 years aren't very reliable. Maybe that doesn't make sense, but it's a thought I had.

This is pretty good history of the Bond Index that has changed over time: https://www.bogleheads.org/wiki/Bloombe ... Bond_Index You may need to look for the predecessor Indexes to get daily prices in archives of WSJ or daily newspapers. WSJ & Bloomberg websites probably has the data but you need to probably need to register or subscribe to get access to the info. Barron's or Morningstar may be other options.