20170324reproducePortfolioVisualizer AAII-SV-CIMI/20170324reproducePortfolioVisualizer/


- Was able to duplicate www.portfoliovisualizer.com's results in pandas with the patient help of Tuomo Lampinen:
o Notes
- portfoliovisualizer does monthly compounding not lastMonthPrice/firstMonthPrice
- portfoliovisualizer Treasury rates are based on Farma French measurements
(assuming I made no error) this is the most interesting result.
It shows that the Farma French Data used in the calculation of Dual Momentum in portfoliovisualizer is smoothed and has a 6 month lag.
o 'dirty' data: yahoo quote data significantly threw off the calculation
o Precision: 2/200 calculations were close enough for roundoff error to affect it.
o 'better' data sources for the Treasury rate.

Al used:
o VFINX (Vanguard 500 Index Fund Investor Class) and
o NAESX (Vanguard Small Capitalization Index Fund Investor Shares) as the Equity list and
o FGOVX (Fidelity® Government Income Fund) as the “Out of Market Asset”.
Peter (primarily) used:
o VFINX (Vanguard 500 Index Fund Investor Class) and
o HAINX (Harbor International Fund Institutional Class) and V
o VBMFX (Vanguard Total Bond Market Index Fund Investor Shares)