It has been a few months since I’ve introduced an update to the calculators. I’ve mostly been hard at work updating the calculators to be more globally focused, but I’ve made quite a few improvements along the way.
Returns for 16 Countries
I’ve added a new column to the asset allocation section of the calculators. You can select from 16 specific countries and allocate to the Market factor, Value factor, or intermediate treasuries within those countries. Most of the market and bond data goes back to 1871, while the value data goes back to 1975.
The country specific data primarily uses returns from the Jordà-Schularick-Taylor Macrohistory Database, supplemented with data from a few other sources. You can read more detail about the data behind the calculations here.
Currency Selection
You can now choose which currency to show the returns in. For example, you can now see how an investment in US Small Value would have performed when converted to Australian Dollars and accounting for Australian inflation.
Global and Global Ex-US Performance
You can now choose an asset allocation to the Global or Global ex-US market. Rather than weighting by country market cap, for which data is hard to come by, these are simple averages of return data for all the country returns that are available in a given year.
You can also select a Global or Global ex-US currency. Which is reflective of holding an unweighted basket of currencies.
Specify Time Frame
By popular request you can now select the beginning and ending years for the calculators. By default these will select the longest timeframe available based upon the selected asset allocation.
2021 Data
Last but not least, the calculators are now updated with data through 2021, where available.
The calculators are now all live. Hope you enjoy some new insights from the data. Let me know if you have any questions or run into any issues by reaching out at chris@factorgraphs.com.