brownehead wrote: ↑Sat Jan 26, 2019 2:49 am
That's great, you shouldn't invest in anything you don't understand, checking the sorces and making your own calculation is part of the understanding process!
Thanks, it encouraged me
I told you earlier I could reproduce your results for 2018, which was grosso modo true:
your return 2018: 10.68%, my return 2018: 10.98%
But I now realize that other years differ quite a bit, for instance 2017:
your return 2017: - 5.96%, my return 2017: -28.9%
For the whole period 1999-2018 the total return differs a lot:
your return 1999-2018: 322%
my return 1999-2018: 102%
(startdate: 1998-12-30, enddate:2018-12-28)
My feeling is that I made big errors in my calculation and I hope you can help me on to find where. For instance with the data of 2017 where the returns differs the most. My calculations of the end-of-year-prices:
2016/12:..=price(date(2014,2,26),date(2046,8,15),2.5%,0.99%,100,1) = 141.75
2017/12:..=price(date(2017,9,20),date(2048,8,15),1.25%,1.27%,100,1) = 99.49
Unadjusted return 2017: (99.49-141.75)/141.75) = - 29.8%
Adjusted return 2017: (99.49-141.75+1.25)/141.75) = - 28.9%
(your return 2017: - 5.96%)
Most values (except yield) I got out of this bundesbank doc:
https://www.deutsche-finanzagentur.de/d ... sanleihen/
month...............bond........settlement.........maturity.......rate..........yield..........frequency...price calc.
....................................(=emissionstart?)..................(=coupon?).................................................
2016/12............14/46.......2014-2-26...........2046-8-15....2.5%........0.99%......1................141.75
2017/12............17/48.......2017-9-20...........2048-8-15....1.25%......1.27%......1..................99.49
About using real bonds and prices for calculations I agree is a better option to find real results. However, my aim in the blog was to show a benchmark of the ideal European Permanent Portfolio, like an index, something more theoretical which can be used as a guide.
The good news is that I made progress on making a combined and adjusted data collection on all german LT bonds, in such a way that I step over to the newest bond every moment it is published. The year returns of this collection gets quite near to the results of your calculations. Total return over 1999-2018: 333% (yours: 322%)