My Finance

I updated the online simulator to include the bubble measure involving earnings growth, and the long-short spread. The previous version included only the BAA rate and stock volatility as factors.

I use a mix of developed and emerging markets in the portfolio of international stocks, in proportion 60/40, as in the previous version of the simulator. I use only total (not price) returns, and nominal (not real) returns. There are three asset classes: S&P 500; International stocks: 60% of MSCI EAFE (Europe-Australasia-Far East) and 40% of MSCI EM (emerging markets); and USA corporate bonds.

I modeled innovations using kernel density estimation. There are 8 regressions, but one of them (the bubble measure) is used to create said measure, not model the actual returns, so we use 7 series of residuals. I use the same algorithm discussed there to impute missing data.

For current market conditions, we use May 2025. I could write the API to take these from Yahoo Finance but I just manually put them. They need to be updated from time to time.

I put the backend Python simulation code, the original Excel file for financial data, the Python code for filling innovations series, the Excel file for innovations before and after imputation, and the HTML frontend files, to a separate GitHub repository.

This is my 50th post. And so far, the main work on this simulator has been finished, or so I hope. Now I would like to tell this as many people as possible. I am taking some break from this coding and web development. Enjoy the summer!