Please meet Global Navigator and The Russell

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D1984
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Thu Apr 08, 2021 12:02 am

StrategyDriven wrote:
Tue Apr 06, 2021 5:51 pm
D1984 wrote:
Tue Apr 06, 2021 5:28 pm
StrategyDriven wrote:
Mon Apr 05, 2021 6:02 pm
D1984 wrote:
Mon Apr 05, 2021 4:09 pm
3. Has this strategy been backtested to the inception of the Russell indices back in 1979? I'd be interested to see how it would've handled the 1987 crash if nothing else.
btw - I just recalled hearing Meb Faber talk about Black Monday, and that if your timing strategy was faster than a 200 day, you got out before the tumble, which means that my strategies would have all been out before that day, they move faster than 200 by quite a lot. This past year they got out of the markets at the end of February. The Pro is getting in and out a bit quicker, the Con is sometimes whipsaw.
Good to know.

I wonder what would happen to strategies like these in a sudden no-warning "thunderbolt out of the blue" crash like in May 1940, March 1939, or March 1938 (although for that last one equities might've been in enough of a downtrend already that the system would've been in bonds by then anyhow). I know the Russell indexes don't go back that far but there might be a good enough substitute....see, both Siamond on the Bogleheads board (they used data from Ken French at Dartmouth) and Tyler--of this very board and of PortfolioCharts fame--(he used CRSP data IIRC) have computed monthly TR indexes for all nine sectors of the style box (i.e. LCG, LCB, LCV, MCG, MCB, MCV, SCG, SCB, SCV) going back to the mid-1920s. These should be fairly accurate proxies for their respective equivalent Russell indices (i.e. LCB for Russell 1000, MCG for Russell Midcap Growth, SCV, for Russell 2000 Value, etc) since Russell doesn't have earnings quality and positive-for-at-least-four-quarters earnings requirements for entry into its indices like S&P does (for instance, recall that Tesla was only allowed into the S&P 500 when it could show four consecutive quarters of positive earnings); Russell just requires the companies to be of the proper size for the index category (for instance, large-cap for the Russell 1000) and being value or growth stocks for the value or growth sub-index versions of its indices.

If I could get you this data as well could you please run the backtests on these back to 1926 or 1927 (if you need monthly LTT or ITT data back that far Siamond at Bogleheads should have that as well)?
Regarding back testing, if I can get Total US Market, or even just S&P 500 monthly total return data AND a T-Bill/CASHX type monthly total return then I can tell you which months the strategies would have been out of equities. Testing on IWB and VTI or SPY does make small differences, I use IWB for my strategies which use Russell Components, and VTI for Global Navigator which has no Russell components. But they're all extremely similar other than maybe a month here or there which is in vs out.
For Total US Market - try https://fred.stlouisfed.org/series/WILL5000IND or https://fred.stlouisfed.org/series/WILL5000INDFC ; I believe one of these is the TR data (with dividends reinvested); https://fred.stlouisfed.org/series/WILL5000PR is the price only (i.e. no dividends) data. The Wilshire 5000 TR data goes back to 1970 or so, I believe; I can get access to CRSP US total maret data as well but the version I have only goes back to 1989 rather than 1926 (which is where the full version starts at).

As for the S&P 500 TR the issue is that there wasn't actually a "true" S&P 500 TR until March 1957; if you look at the historical "S&P 500 TR" data there are at LEAST six or seven different version running around (the Cowles one from 1871 to the late 1930s--this is the earliest one and the one Shiller uses for his S&P and CAPE dataset portion from 1871 to 1936 or so; the S&P 233 Composite from 1923, the S&P 90 Composite starting in 1926, the one starting in 1936, the one starting in 1970, the one starting in 1976 when financial stocks were first included, the one starting in 1988 or 1989 when daily TR data with dividends was provided, the "CRSP version of the S&P 500" using all the stocks on the NYSE, and various "S&P" composites with anywhere from 198 stocks--in 1918--to 480 stocks--in the mid-1950s--and that in some cases actually predate the 1941 merger between Standard Statistics and Poor's Publishing that created the modern-day Standard and Poor's Co).

For more background on all these (including with some useful links giving monthly and/or daily TR returns for the 1936, 1970, and late 1980s version of the S&P 500) see the following websites:


https://www.bogleheads.org/forum/viewtopic.php?t=191038

https://www.bogleheads.org/forum/viewtopic.php?t=227756



https://www.benbest.com/business/indexusa.html


https://www.cftech.com/the-brainbank-ar ... poor-s-500


https://www.jstor.org/stable/pdf/10.1086/339903.pdf

Finally, if you want monthly TRs for the S&P 500 (no idea which of the above versions or whether indeed it is a concatenated splice of several of the above indexes) the 1928-72 data is at https://static.seekingalpha.com/uploads ... origin.png ; the 1973-2017 data is at https://static.seekingalpha.com/uploads ... origin.png


As far as T-bill/cash total return data goes I'm still working on it; I should be able to provide a series back to at least the late 1930s or early 1940s.
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StrategyDriven
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Thu Apr 08, 2021 9:30 am

D1984 wrote:
Wed Apr 07, 2021 11:46 pm
StrategyDriven wrote:
Tue Apr 06, 2021 5:52 pm
D1984 wrote:
Tue Apr 06, 2021 5:16 pm
Give me a day or two and I'll see what I can dig up; I can probably get the monthly TR data even if I can't get the daily TR data.
Monthly is all I use.

https://gofile.io/d/vWcOca
Awesome, I only ever saw annual in his big file, I am out of town for a few days but will check this out when I return. Thank you.

Is this S&P or also including a safe return asset like T-Bill too?
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StrategyDriven
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sun Apr 11, 2021 6:53 pm

D1984 wrote:
Wed Apr 07, 2021 11:46 pm
StrategyDriven wrote:
Tue Apr 06, 2021 5:52 pm
D1984 wrote:
Tue Apr 06, 2021 5:16 pm
Give me a day or two and I'll see what I can dig up; I can probably get the monthly TR data even if I can't get the daily TR data.
Monthly is all I use.

https://gofile.io/d/vWcOca
I've got the monthly US Total Market data, but can only find monthly 13 week T-Bill data back to 1985 and then annual before that date back to 1928. I can run it using annual T-Bill but monthly would be better if anybody can source it. I need the T-Bill rate to determine when the strategies are in equities or in Treasuries.
D1984
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Posts: 480
Joined: Tue Aug 16, 2011 7:23 pm

Re: Please meet Global Navigator and The Russell

Post by D1984 » Sun Apr 11, 2021 8:40 pm

StrategyDriven wrote:
Thu Apr 08, 2021 9:30 am
D1984 wrote:
Wed Apr 07, 2021 11:46 pm
StrategyDriven wrote:
Tue Apr 06, 2021 5:52 pm
D1984 wrote:
Tue Apr 06, 2021 5:16 pm
Give me a day or two and I'll see what I can dig up; I can probably get the monthly TR data even if I can't get the daily TR data.
Monthly is all I use.

https://gofile.io/d/vWcOca
Awesome, I only ever saw annual in his big file, I am out of town for a few days but will check this out when I return. Thank you.

Is this S&P or also including a safe return asset like T-Bill too?
I think this one is Russell data (R2K i.e. Russell 2000 which is the smallcap blend Russell index, R2K Value, R2K Growth, Russell Midcap, Russell Midcap growth, Russell Midcap value, Russell 1000, and Russell 3000) in TR format which includes reinvested dividends.

Russell 1000 is the largecap index and is basically Russell''s equivalent of the S&P 500; Russell 2000 is their equivalent of the S&P 600, Russell Midcap is their equivalent of the S&P 400, and Russell 3000 is Russell's closest equivalent to a TSM index.
D1984
Executive Member
Executive Member
Posts: 480
Joined: Tue Aug 16, 2011 7:23 pm

Re: Please meet Global Navigator and The Russell

Post by D1984 » Sun Apr 11, 2021 8:44 pm

StrategyDriven wrote:
Sun Apr 11, 2021 6:53 pm
D1984 wrote:
Wed Apr 07, 2021 11:46 pm
StrategyDriven wrote:
Tue Apr 06, 2021 5:52 pm
D1984 wrote:
Tue Apr 06, 2021 5:16 pm
Give me a day or two and I'll see what I can dig up; I can probably get the monthly TR data even if I can't get the daily TR data.
Monthly is all I use.

https://gofile.io/d/vWcOca
I've got the monthly US Total Market data, but can only find monthly 13 week T-Bill data back to 1985 and then annual before that date back to 1928. I can run it using annual T-Bill but monthly would be better if anybody can source it. I need the T-Bill rate to determine when the strategies are in equities or in Treasuries.

Hang on, I can get the T-Bill data back to mid or late 1941. Give me a little while but I should be able to get it soon. It will be back to 1941 but I can also show you how to (manually....you'll have to enter the data into Excel yourself) get T-bill monthly for the 15 or so years before that and actually (since the Fedgov didn't really issue true T-bills as we now them today before the early 1920s) before that since it will be the closest thing to a "risk-free" money market rate that existed before T-bills were issued....all the way back to 1890 if you're interested. The Fed compiled this data monthly for their Banking and Monetary Statistics series that they published in early 1942 (the 1914-41 data) and again in early 1971 (the 1941-70 data).
D1984
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Posts: 480
Joined: Tue Aug 16, 2011 7:23 pm

Re: Please meet Global Navigator and The Russell

Post by D1984 » Sun Apr 11, 2021 9:14 pm

StrategyDriven wrote:
Sun Apr 11, 2021 6:53 pm
D1984 wrote:
Wed Apr 07, 2021 11:46 pm
StrategyDriven wrote:
Tue Apr 06, 2021 5:52 pm
D1984 wrote:
Tue Apr 06, 2021 5:16 pm
Give me a day or two and I'll see what I can dig up; I can probably get the monthly TR data even if I can't get the daily TR data.
Monthly is all I use.

https://gofile.io/d/vWcOca
I've got the monthly US Total Market data, but can only find monthly 13 week T-Bill data back to 1985 and then annual before that date back to 1928. I can run it using annual T-Bill but monthly would be better if anybody can source it. I need the T-Bill rate to determine when the strategies are in equities or in Treasuries.
https://easyupload.io/2co005

This is 3-month T-Bill TR back to 1-31-1941. For the month of January 1941 (i..e from 12-31-40 or 1-1-41 all the way to 1-31-41) just take the annual yield on T-bills (around 0.055% or 0.06% IIRC...it was a tiny amount; T-Bills yielded basically nothing by that point) and divide it by 12 (or maybe 12.3 or so to account for annualized compounding of the monthly returns...but again, with yields on T-Bills as low as they were annualized compounding of the monthly returns wouldn't really add anything anyway) to get the monthly interest return for January; this should be the equivalent of the whole total return for the month of January 1941 since T-bills have only an interest return but no capital gain or loss.

For 1940, 1939, and most of 1938 T-bill yields were so low (as per the Federal Reserve Banking and Monetary Statistics 1914-41 document mentioned above....it has monthly T-bill yields from 1929 onwards and monthly 3-6 month Treasury yields from 1920-1929) that they typically ranged from 0.101% to 0.003%--and those are ANNUAL return yields (well, annualized from a monthly basis), not monthly, which again is about as close to nothing as you can get.....it comes to an annual interest payment of between one dollar (for the highest rate of 0.101%) and less than one cent (for the lowest rate of 0.003%) on a $1,000 investment in T-Bills.
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