Given the Mean Annual Return of two investments (like Stocks and Bonds) and the annualized Volatility

(or Standard Deviation) of each and a degree of Correlation between the two …
the Monte Carlo (MC) sheet picks random annual returns* for each, over the next umpteen years and,
assuming some split between the two investment types - like 75% of the former and 25% of the latter -
(and an annual rebalancing to maintain this split), sees how much would be left of your portfolio
if you withdraw a given percentage of the original portfolio (this amount increasing annually with inflation)
… and it does this hundreds of times to see what fraction of these iterations
would yield a portfolio less than 10% of the original portfolio value, or less than 20% …
or even more than 110% … or even 0% - meaning your portfolio went to $zero :^(
(These percentages are the BreakPoints.)
See: http://home.golden.net/~pjponzo/Monte-Carlo.htm for "the Math"
P.S. You can also stick in a negative withdrawal rate and see what'd happen as you add to your portfolio, increasing
annually with inflation … in which case you may want to carefully change the BreakPoints in T2 to T13.
See the next sheet: Explain-2
Since it takes some time, you can ask for just ONE run (of umpteen hundred iterations… you decide how may hundreds
or a collection of runs, using three different Stock/Bond splits and three different Withdrawal Rates
(that makes NINE scenarios, eh?).
There's also a chart of some sample portfolios.
The red graph on this chart is the deterministic portfolio evolution: it uses an Annualized Return
then sets both Standard Deviations to zero. The Monte Carlo simulations fluctuate about this graph.
P.S. The software needs the Average (or Mean) annual returns. If you know the Annualized returns, you
can Click a Button and get 'em changed to Average.
* Note: the (random) returns are Log-normally distributed … but you can also ask for a Normal distribution.
This spreadsheet began life as a child of Richard Pritz with help from Peter Van and Peter Ponzo.
ualized Volatility

n years and,
of the latter -

ly with inflation)

to your portfolio, increasing

akPoints in T2 to T13.

you decide how may hundreds)

te about this graph.

zed returns, you

a Normal distribution.
Peter Ponzo.
If you should decide to use a negative withdrawal rate
(meaning that you're adding annually to your portfolio)
then it's unlikely that you'll be interested in how often the Final
portfolio was greater than 0%, 500%,1000%, etc. of the Original portfolio.

They MIGHT all be!!

So, you'll want to know how often your Final portolio was greater
than (for example) 1000%, 3000%, etc. of your Original portfolio.
To allow you to do this, change the percentage in cell T2
and the increment in cell R5 … like so:

Now the spreadsheet will calculate how often the final portfolio was
less than (for example) 1000%, 3000%, etc.

Neat, eh? Note:

You can ask for Simple or Latin Hypercube sampling (when you choose Normal or Lognormal).
Just enter S or H ... or even s or h. See: http://home.golden.net/~pjponzo/latin-hypercube.htm
 se Normal or Lognormal).
golden.net/~pjponzo/latin-hypercube.htm
Okay, here's another variant:

A standard Monte Carlo simulation uses a fixed Mean Return and Standard Deviation and Distribution (Normal? Log-norm
over the 10, 20, 30, etc. years considered by the simulation
You don't like that?
Then how about selecting, for your Stock gain, at random, monthly gains from a collection of monthly gains of the S&P 50
from Jan, 1926 to May, 2001? (At last count, there's 905 of 'em and they live in column AI as "1+Monthly Return"
You like that? Remember, that includes the 1929 crash!!
You can put your own (1+MonthlyReturn) data in column AI. Just be sure to first delete the data that's there!
If you'd like to see the effect of that choice (where you don't assume some fixed Mean, Standard Deviation or Distribution,
but use real, live historical returns), then instead of typing N or L in cell B9, type S (for S&P, eh?) or T

The MC software will, when calculating an annual Stock gain, multiply together a dozen (consecutive) monthly selections
(at random, of course) from the collection of S&P 500 gains (which live in column AI) or TSE gains (in column
If you enter T in cell B9, then the bond component is selected from Cdn longBond gains (in column AM
... and twelve (consecutive) monthly gains from the same year are multiplied together to get the annual Bond gain.
Otherwise, the annual Bond gain, will be the standard Log-normal distribution with your choice
of Mean and Standard Deviation.
P.S. For the past umpteen years (since 1926) appropriate, nominal (as opposed to inflation-adjusted) "annual" numbers ar
Average U.S. Stock Return: 12.6% Standard Deviation: 20%
Bonds - 5 year U.S. treasuries: Average Return: 5.5% Standard Deviation: 6% Correlation: 8%
TSE average Stock Return (since 1948): 11.5% Standard Deviation: 15%
See Richard's page for more data: http://www.geocities.com/snarkll/
d Distribution (Normal? Log-normal?)

n of monthly gains of the S&P 500,

I as "1+Monthly Return")

ete the data that's there!

andard Deviation or Distribution,
&P, eh?) or T (for TSE).

consecutive) monthly selections

SE gains (in column AK).
(in column AM)
get the annual Bond gain.

on-adjusted) "annual" numbers are:

 Stocks Bonds ** If B2/C2 are Annualized Returns ** 5500%
Average Annual Return = 12.6% 6.7% 5000%
Annual Standard Deviation = 19.5% 8.4% Enter the Volatilities: Stocks & Bonds 4500%
Correlation = 5% Enter the Correlation: Stocks & Bonds 4000%
Annual Inflation = 2.0% Enter Inflation Rate (=Withdrawal increase) 3500%
Years = 30 Enter the number of Years to consider 3000%
Iterations/100 = 10 Enter just the number of Hundreds 2500%
Change only the data in the boxes Simple or Hypercube? S 2000%
Normal, Log-normal, etc.? L Enter N , L , S or T 1500%
Annual Withdrawal (Investment) 7.0% 6.0% 5.0% Probability 1000%
50% 55% 76% 95% Final exceeds 500%
Stock Percentage 75% 62% 77% 92% 0%
100% 61% 76% 87% 0% Original

0
1
2
3
4
5
6
7
8
9
1
1
1
3
1
5
1
7
1
9
2
1
2
3
2
5
2
Run ONE: just 50% Stock, 7.0% Withdrawal Rate 45%
Run all NINE Stock Percentages/Withdrawal Rates 40%
120% 35%

Percentage of Iterations
30%
100% 95% 92%
87% 25%
80% 76% 77% 76% 20%
62% 61% 50% 15%
60% 55%
75%
10%
40% 100%
5%
20% 0%

Row

Row

Row

Row

Row

Row

Row

Row

Row

Row

Row

Row
10

11

12
0%

9
7.0% 6.0% 5.0% Final portfolio

Created by Richard Pritz with the assistance of Peter Vann & Peter Ponzo. Avg Return = 12.66% Std Dev = 18.65%

some SAMPLE scenarios

Average Annual Return = 12.6% 6.7%
Annual Standard Deviation = 19.5% 8.4%
Correlation = 5%
Annual Inflation = 2.0%
Years = 30
Iterations/100 = 10
Change only the data in the boxes
Normal, Log-normal, etc.? S
Annual Withdrawal (Investment) 8.0% 7.0% 6.0%
50% 59% 73% 89%
Stock Percentage 75% 62% 75% 84%
100% 65% 73% 82%

Normal, Log-normal, etc.? T

Annual Withdrawal (Investment) 8.0% 7.0% 6.0%
50% 54% 72% 90%
Stock Percentage 75% 63% 76% 90%
100% 66% 75% 85%

Normal, Log-normal, etc.? N Enter N , L , S or T

Annual Withdrawal (Investment) 8.0% 7.0% 6.0%
50% 28% 47% 73%
Stock Percentage 75% 40% 54% 73%
100% 47% 56% 69%
 Normal, Log-normal, etc.? L Enter N , L , S or T
Annual Withdrawal (Investment) 8.0% 7.0% 6.0%
50% 45% 68% 87%
Stock Percentage 75% 58% 72% 86%
100% 60% 70% 84%
 Check Sum 100.0% Iterations = 100 BreakPoints Years
Annualized Return = 10.92% 12.0% 0% 12 0
Expected Final Portfolio = 2238.29% 43.0% 500% 43 1
Suggested Increment = 230.00% 22.0% 1000% 22 2
Actual Increment Used = 500.00% 11.0% 1500% 11 3

SUGGESTED INCREMENT = 1100.00% 5.0% 2000% 5 4

2.0% 2500% 2 5
0.0% 3000% 0 6
2.0% 3500% 2 7
1.0% 4000% 1 8
0.0% 4500% 0 9
0.0% 5000% 0 10
2.0% 5500% 2 11
9
1
1
1
3
1
5
1
7
1
9
2
1
2
3
2
5
2
7
2
9

0.0% 0% 0 12
13
14
Current Stock Percentage 100.0% 15
Current Withdrawal Rate 5.0% 16
Annualized Stock Gain 10.9% 17
Annualized Bond Gain 6.3% 18
Deterministic Gain = 10.9% Mixed Annual Gain 10.9% 19
Err:504 20
Number of Iterations vs Percentage of Original Portfolio 21
100% stock, 5.0% annual withdrawal 22
Probability Final portfolio exceeds 0% of Original portfolio (after 30 years) 23
Row

Row

Row

Row

Row

Row

Row

Row

Row

Row
10

11

12

13

14

Stock: Gain=12.6% SD=19.5% Bond: Gain=6.7% SD=8.4% Inflation=2.0% Correlation=5.0% 24

5

Final portfolio 25

Average of 100 simulations 26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

45

46

47

48

49

50

51

52
53

54

55

56

57

58

59

60
Labels Blanks Table-Lookup Values: Deterministic
Mean = 0, SD =Withdraw$
1 Sample Portfolios S&P Gains S&P data
<=0% 0.0025 -2.807 100.0% 5.0% 1.000 1.000 1.000 1.000 1.000 1.000 905
<=500% 0.0050 -2.576 105.8% 5.1% 1.015 0.912 1.083 1.065 0.810 0.962 10.9%
<=1000% 0.0075 -2.432 112.2% 5.2% 0.859 1.054 1.202 1.293 0.852 0.943 19.5%
<=1500% 0.0100 -2.326 119.1% 5.3% 0.638 1.149 1.041 1.364 0.987 1.025 12.6%
<=2000% 0.0125 -2.241 126.7% 5.4% 0.607 1.353 1.267 1.373 1.113 1.018 Above:
<=2500% 0.0150 -2.170 135.0% 5.5% 0.592 1.340 0.991 1.552 1.260 1.046 Annual Return
<=3000% 0.0175 -2.108 144.1% 5.6% 0.466 1.295 1.085 1.408 1.268 1.048 Standard Dev
<=3500% 0.0200 -2.054 154.1% 5.7% 0.507 1.317 0.933 1.944 1.573 1.025 Mean Return
<=4000% 0.0225 -2.005 165.1% 5.9% 0.440 1.492 1.046 2.709 2.090 1.025
<=4500% 0.0250 -1.960 177.1% 6.0% 0.446 1.565 0.985 3.378 1.651 0.972
<=5000% 0.0275 -1.919 190.4% 6.1% 0.548 2.272 1.240 4.053 1.718 1.035
<=5500% 0.0300 -1.881 204.9% 6.2% 0.709 2.145 1.731 6.112 1.601 1.020
>5500% 0.0325 -1.845 220.9% 6.3% 0.842 2.551 2.003 7.516 1.840 0.981
0.0350 -1.812 238.6% 6.5% 0.776 2.332 1.756 7.096 2.474 1.054
0.0375 -1.780 258.0% 6.6% 0.971 2.480 1.834 7.661 2.352 1.009
0.0400 -1.751 279.5% 6.7% 1.042 2.603 1.603 9.113 2.503 1.020
0.0425 -1.722 303.1% 6.9% 1.079 2.697 1.499 11.224 3.114 1.061
0.0450 -1.695 329.2% 7.0% 1.118 2.725 1.449 12.174 3.299 0.993
0.0475 -1.670 358.0% 7.1% 1.060 4.047 1.574 17.829 3.525 1.067
0.0500 -1.645 389.8% 7.3% 1.161 4.082 1.525 16.314 4.287 1.052
0.0525 -1.621 425.0% 7.4% 1.656 3.596 2.048 11.922 5.224 1.045
0.0550 -1.598 463.8% 7.6% 2.124 2.927 1.879 13.682 5.787 0.950
0.0575 -1.576 506.7% 7.7% 2.399 3.183 1.456 12.890 7.338 1.072
0.0600 -1.555 554.1% 7.9% 2.643 2.837 1.239 14.846 7.532 1.028
0.0625 -1.534 606.5% 8.0% 2.696 2.840 1.254 19.740 6.563 0.996
0.0650 -1.514 664.5% 8.2% 2.773 3.051 1.013 17.110 6.236 0.988
0.0675 -1.495 728.7% 8.4% 3.038 3.784 1.194 20.888 6.605 1.110

0.0700 -1.476 799.7% 8.5% 3.873 4.479 1.090 23.336 8.673 1.035

0.0725 -1.457 878.3% 8.7% 3.584 4.808 1.239 39.126 11.827 1.020

0.0750 -1.440 965.4% 8.9% 3.967 6.107 1.491 42.574 12.105 0.962

0.0775 -1.422 1061.7% 9.1% 4.861 6.759 1.563 52.167 11.780 1.014

0.0800 -1.405 1168.4% 9.2% 1.080

0.0825 -1.388 1.026

0.0850 -1.372 1.017

0.0875 -1.356 1.129

0.0900 -1.341 1.005

0.0925 -1.326 1.058

0.0950 -1.311 0.998

0.0975 -1.296 0.999

0.1000 -1.282 1.018

0.1025 -1.267 0.964

0.1050 -1.254 1.114

0.1075 -1.240 1.047

0.1100 -1.227 1.103

0.1125 -1.213 0.952

0.1150 -1.200 0.803

0.1175 -1.188 0.875

0.1200 -1.175 1.028

0.1225 -1.163 1.064

0.1250 -1.150 1.026

0.1275 -1.138 1.081

0.1300 -1.126 0.992

0.1325 -1.115 0.990

0.1350 -1.103 0.838

0.1375 -1.092 1.039

0.1400 -1.080 1.014

0.1425 -1.069 0.872

0.1450 -1.058 0.915

0.1475 -1.047 0.991

0.1500 -1.036 0.929

0.1525 -1.026 1.050

0.1550 -1.015 1.119

0.1575 -1.005 0.933

0.1600 -0.994 0.907

0.1625 -0.984 0.872

0.1650 -0.974 1.142

0.1675 -0.964 0.928

0.1700 -0.954 1.018

0.1725 -0.944 0.703

0.1750 -0.935 1.090

0.1775 -0.925 0.920

0.1800 -0.915 0.860

0.1825 -0.906 0.973

0.1850 -0.896 1.057

0.1875 -0.887 0.884

0.1900 -0.878 0.800

0.1925 -0.869 0.780

0.1950 -0.860 0.998

0.1975 -0.851 1.382

0.2000 -0.842 1.387

0.2025 -0.833 0.965

0.2050 -0.824 0.865

0.2075 -0.815 0.958

0.2100 -0.806 1.057

0.2125 -0.798 1.009

0.2150 -0.789 0.823

0.2175 -0.781 1.035

0.2200 -0.772 1.426

0.2225 -0.764 1.168

0.2250 -0.755 1.134

0.2275 -0.747 0.914

0.2300 -0.739 1.121

0.2325 -0.731 0.888

0.2350 -0.722 0.915

0.2375 -0.714 1.113

0.2400 -0.706 1.025

0.2425 -0.698 1.107

0.2450 -0.690 0.968

0.2475 -0.682 1.000

0.2500 -0.674 0.975

0.2525 -0.667 0.926

0.2550 -0.659 1.023

0.2575 -0.651 0.887

0.2600 -0.643 1.061

0.2625 -0.636 0.997

0.2650 -0.628 0.971

0.2675 -0.620 1.094

0.2700 -0.613 0.999

0.2725 -0.605 0.959

0.2750 -0.598 0.966

0.2775 -0.590 0.971

0.2800 -0.583 1.098

0.2825 -0.575 1.041

0.2850 -0.568 1.070

0.2875 -0.561 1.085

0.2900 -0.553 1.028

0.2925 -0.546 1.026

0.2950 -0.539 1.078

0.2975 -0.532 1.047

0.3000 -0.524 1.039

0.3025 -0.517 1.067

0.3050 -0.510 1.022

0.3075 -0.503 1.027

0.3100 -0.496 0.925

0.3125 -0.489 1.055

0.3150 -0.482 1.033

0.3175 -0.475 1.070

0.3200 -0.468 1.015

0.3225 -0.461 1.003

0.3250 -0.454 1.078

0.3275 -0.447 1.013

0.3300 -0.440 0.997

0.3325 -0.433 1.039

0.3350 -0.426 1.019

0.3375 -0.419 0.992

0.3400 -0.412 0.919

0.3425 -0.406 0.998

0.3450 -0.399 0.950

0.3475 -0.392 1.105

0.3500 -0.385 0.952

0.3525 -0.379 0.860

0.3550 -0.372 0.902

0.3575 -0.365 0.913

0.3600 -0.358 0.954

0.3625 -0.352 1.015

0.3650 -0.345 1.067

0.3675 -0.338 0.751

0.3700 -0.332 1.145

0.3725 -0.325 0.967

0.3750 -0.319 1.250

0.3775 -0.312 1.074

0.3800 -0.305 0.977

0.3825 -0.299 1.017

0.3850 -0.292 1.078

0.3875 -0.286 0.973

0.3900 -0.279 1.040

0.3925 -0.273 0.933

0.3950 -0.266 1.039

0.3975 -0.260 0.866

0.4000 -0.253 0.997

0.4025 -0.247 1.073

0.4050 -0.240 0.939

0.4075 -0.234 1.111

0.4100 -0.228 0.935

0.4125 -0.221 1.167

0.4150 -0.215 0.988

0.4175 -0.208 0.960

0.4200 -0.202 1.027

0.4225 -0.196 0.966

0.4250 -0.189 1.013

0.4275 -0.183 1.012

0.4300 -0.176 0.998

0.4325 -0.170 0.771

0.4350 -0.164 1.081

0.4375 -0.157 1.034

0.4400 -0.151 1.035

0.4425 -0.145 1.012

0.4450 -0.138 1.042

0.4475 -0.132 0.968

0.4500 -0.126 1.001

0.4525 -0.119 0.954

0.4550 -0.113 0.994

0.4575 -0.107 1.007

0.4600 -0.100 0.939

0.4625 -0.094 1.018

0.4650 -0.088 1.058

0.4675 -0.082 1.058

0.4700 -0.075 1.001

0.4725 -0.069 0.993

0.4750 -0.063 0.934

0.4775 -0.056 0.972

0.4800 -0.050 0.959

0.4825 -0.044 1.016

0.4850 -0.038 0.984

0.4875 -0.031 0.935

0.4900 -0.025 0.960

0.4925 -0.019 1.080

0.4950 -0.013 1.022

0.4975 -0.006 1.034

0.5000 0.000 1.016

0.5025 0.006 1.029

0.5050 0.013 1.068

0.5075 0.019 0.998

0.5100 0.025 1.055

0.5125 0.031 1.074

0.5150 0.038 1.058

0.5175 0.044 1.055

0.5200 0.050 1.004

0.5225 0.056 1.055

0.5250 0.063 1.022

0.5275 0.069 0.947

0.5300 0.075 1.017

0.5325 0.082 1.026

0.5350 0.088 0.989

0.5375 0.094 0.935

0.5400 0.100 1.062

0.5425 0.107 1.017

0.5450 0.113 1.004

0.5475 0.119 1.020

0.5500 0.126 0.990

0.5525 0.132 1.051

0.5550 0.138 1.054

0.5575 0.145 0.981

0.5600 0.151 1.016

0.5625 0.157 0.999

0.5650 0.164 1.002

0.5675 0.170 1.013

0.5700 0.176 1.037

0.5725 0.183 1.016

0.5750 0.189 1.068

0.5775 0.196 0.956

0.5800 0.202 1.090

0.5825 0.208 1.020

0.5850 0.215 0.999

0.5875 0.221 0.982

0.5900 0.228 1.064

0.5925 0.234 1.044

0.5950 0.240 1.032

0.5975 0.247 1.040

0.6000 0.253 1.012

0.6025 0.260 1.071

0.6050 0.266 0.936

0.6075 0.273 1.048

0.6100 0.279 1.039

0.6125 0.286 1.029

0.6150 0.292 0.963

0.6175 0.299 0.976

0.6200 0.305 0.933

0.6225 0.312 0.900

0.6250 0.319 0.994

0.6275 0.325 0.997

0.6300 0.332 1.046

0.6325 0.338 1.026

0.6350 0.345 0.992

0.6375 0.352 0.985

0.6400 0.358 0.964

0.6425 0.365 1.001

0.6450 0.372 1.055

0.6475 0.379 1.038

0.6500 0.385 0.980

0.6525 0.392 0.989

0.6550 0.399 1.024

0.6575 0.406 0.983

0.6600 0.412 1.023

0.6625 0.419 0.962

0.6650 0.426 0.961

0.6675 0.433 1.079

0.6700 0.440 1.029

0.6725 0.447 1.088

0.6750 0.454 1.005

0.6775 0.461 0.949

0.6800 0.468 1.016

0.6825 0.475 0.972

0.6850 0.482 1.071

0.6875 0.489 0.904

0.6900 0.496 1.035

0.6925 0.503 1.004

0.6950 0.510 0.970

0.6975 0.517 1.033

0.7000 0.524 0.982

0.7025 0.532 0.974

0.7050 0.539 1.001

0.7075 0.546 1.065

0.7100 0.553 1.022

0.7125 0.561 1.026

0.7150 0.568 1.034

0.7175 0.575 1.018

0.7200 0.583 1.049

0.7225 0.590 1.020

0.7250 0.598 1.020

0.7275 0.605 1.007

0.7300 0.613 1.049

0.7325 0.620 1.051

0.7350 0.628 0.945

0.7375 0.636 1.012

0.7400 0.643 1.044

0.7425 0.651 1.059

0.7450 0.659 1.009

0.7475 0.667 1.017

0.7500 0.674 1.051

0.7525 0.682 1.064

0.7550 0.690 1.016

0.7575 0.698 0.984

0.7600 0.706 1.051

0.7625 0.714 0.970

0.7650 0.722 0.977

0.7675 0.731 1.071

0.7700 0.739 1.048

0.7725 0.747 1.001

0.7750 0.755 0.990

0.7775 0.764 1.010

0.7800 0.772 1.042

0.7825 0.781 1.018

0.7850 0.789 0.972

0.7875 0.798 1.050

0.7900 0.806 0.960

0.7925 0.815 1.034

0.7950 0.824 1.049

0.7975 0.833 1.020

0.8000 0.842 0.993

0.8025 0.851 0.982

0.8050 0.860 1.002

0.8075 0.869 1.057

0.8100 0.878 1.038

0.8125 0.887 0.995

0.8150 0.896 0.989

0.8175 0.906 0.979

0.8200 0.915 0.976

0.8225 0.925 1.008

0.8250 0.935 0.987

0.8275 0.944 1.027

0.8300 0.954 0.950

0.8325 0.964 1.003

0.8350 0.974 1.054

0.8375 0.984 1.020

0.8400 0.994 1.005

0.8425 1.005 1.054

0.8450 1.015 1.011

0.8475 1.026 1.033

0.8500 1.036 1.052

0.8525 1.047 1.042

0.8550 1.058 1.003

0.8575 1.069 1.059

0.8600 1.080 0.973

0.8625 1.092 1.085

0.8650 1.103 0.983

0.8675 1.115 1.091

0.8700 1.126 1.053

0.8725 1.138 1.020

0.8750 1.150 1.010

0.8775 1.163 0.997

0.8800 1.175 1.040

0.8825 1.188 1.006

0.8850 1.200 1.084

0.8875 1.213 1.062

0.8900 1.227 0.998

0.8925 1.240 1.013

0.8950 1.254 0.972

0.8975 1.267 1.083

0.9000 1.282 1.002

0.9025 1.296 0.965

0.9050 1.311 1.041

0.9075 1.326 1.071

0.9100 1.341 1.000

0.9125 1.356 0.941

0.9150 1.372 1.041

0.9175 1.388 1.053

0.9200 1.405 0.967

0.9225 1.422 0.956

0.9250 1.440 1.007

0.9275 1.457 0.995

0.9300 1.476 1.037

0.9325 1.495 0.960

0.9350 1.514 0.974

0.9375 1.534 1.022

0.9400 1.555 1.039

0.9425 1.576 1.044

0.9450 1.598 1.000

0.9475 1.621 1.013

0.9500 1.645 0.950

0.9525 1.670 0.940

0.9550 1.695 0.970

0.9575 1.722 1.023

0.9600 1.751 0.961

0.9625 1.780 1.045

0.9650 1.812 0.986

0.9675 1.845 1.033

0.9700 1.881 1.034

0.9725 1.919 1.021

0.9750 1.960 1.028

0.9775 2.005 1.045

0.9800 2.054 1.018

0.9825 2.108 1.050

0.9850 2.170 1.027

0.9875 2.241 1.028

0.9900 2.326 1.054

0.9925 2.432 1.005

0.9950 2.576 1.005

0.9975 2.807 1.002

1.040

1.024

0.998

1.036

0.990

0.956

1.013

1.019

1.029

0.930

1.015
0.988

0.984

1.033

1.021

0.977

1.032

0.941

0.999

1.047

1.048

1.065

1.032

1.027

1.005

1.024

0.973

1.034

1.024

0.982

1.030

1.045

1.005

0.963

1.021

0.995

0.939

0.919

0.920

1.065

1.021

0.954

1.006

1.109

1.015

1.051

0.976

1.037

1.050

1.019

0.981

0.998

1.054

0.990

1.034

0.995

1.026

1.028

1.015

1.017

1.008

1.016
1.018

1.020

0.988

1.030

1.010

1.001

1.006

1.035

1.003

0.987

1.036

0.997

0.953

1.015

1.027

1.033

1.029

0.997

1.011

1.006

0.987

0.980

1.022

0.951

0.985

0.988

0.928

0.995

1.049

1.010

1.000

1.080

1.007

1.041

1.044

0.952

1.019

1.047

0.993

1.034

0.972

1.007

1.028

0.958

0.974

1.011

1.083

1.016

1.011

0.983

1.016
1.040

1.009

1.053

0.960

0.993

0.957

1.036

1.023

1.003

0.946

0.941

1.045

0.976

1.046

0.970

0.982

0.926

1.059

1.003

0.911

0.945

0.952

1.075

1.051

1.035

0.990

1.054

1.058

1.042

1.014

1.038

1.038

0.963

1.002

0.960

1.041

0.994

0.960

1.003

1.088

1.019

1.030

1.007

1.006

1.022

0.980

1.004

1.039

0.996

1.011

1.051
1.013

0.984

0.967

1.000

0.961

0.986

0.995

1.039

0.968

1.042

1.000

0.892

1.018

0.992

1.002

0.978

0.963

0.973

0.987

0.924

0.917

0.883

1.166

0.955

0.982

1.125

1.067

1.024

1.049

1.051

1.046

0.934

0.986

0.967

1.064

1.031

0.990

1.120

0.994

1.033

0.990

0.993

1.043

0.993

1.001

1.025

0.979

0.999

1.054

0.951

0.985
0.988

1.001

0.985

1.048

0.985

0.987

1.000

0.959

1.037

1.005

0.940

0.984

1.028

1.087

1.014

0.985

1.056

1.034

0.995

0.911

1.026

1.017

1.042

0.972

1.058

1.004

0.983

1.041

1.011

1.061

1.003

0.934

1.051

1.019

1.061

1.003

0.901

1.043

1.056

1.030

1.068

1.013

1.028

1.019

1.110

0.969

0.956

1.021

1.038

0.979

1.006
0.992

1.001

0.945

0.950

1.053

1.044

0.974

0.984

0.949

0.994

1.041

0.971

0.983

0.979

1.127

1.011

1.113

1.044

1.017

1.035

1.026

1.037

1.076

0.995

1.038

0.969

1.017

1.014

0.987

1.023

0.994

0.994

0.967

1.017

1.007

0.947

1.022

0.986

1.113

1.000

1.003

0.990

1.025

1.077

1.014

1.002

0.997

1.062

1.016

0.997

0.994
0.968

1.045

1.072

1.047

1.004

1.076

1.055

0.988

1.055

1.017

0.943

1.075

0.918

1.056

1.026

0.974

1.134

1.041

1.027

0.991

1.010

1.050

1.050

1.039

0.978

0.785

0.918

1.074

1.043

1.047

0.970

1.011

1.008

1.046

0.996

0.967

1.042

1.027

0.986

1.018

1.072

0.975

1.024

1.052

1.040

0.995

1.090

1.019

0.996

0.977

1.021
1.024

0.933

1.013

1.026

0.975

1.098

0.993

0.997

0.910

0.951

0.996

1.064

1.027

1.044

1.072

1.024

1.003

1.043

0.954

1.047

1.024

0.984

1.013

0.960

1.114

0.981

1.013

0.980

1.029

1.005

0.986

1.040

0.980

1.012

1.004

1.034

1.013

1.007

1.014

1.022

0.976

1.027

1.003

0.995

1.038

0.993

1.020

0.991

1.012

1.034

0.973
0.957

1.013

1.016

0.975

1.033

1.041

0.976

1.023

0.963

1.015

1.026

1.039

1.030

1.029

1.040

1.024

1.033

1.003

1.042

0.997

1.044

1.019

1.034

1.010

1.010

1.015

1.026

1.004

0.956

1.021

1.056

1.027

1.076

0.980

1.062

1.008

0.958

1.060

1.061

1.045

1.079

0.944

1.055

0.967

1.046

1.017

1.011

1.072

1.051

1.010

0.983
1.041

0.989

0.855

1.064

1.081

1.061

1.058

1.042

0.969

1.040

1.039

0.976

1.056

0.969

0.995

0.973

1.063

1.020

1.059

0.950

0.981

1.098

0.970

0.980

1.025

0.984

1.062

0.947

0.996

0.921

1.005

1.036

0.909

0.937

1.078

1.007
TSE Gains TSE data long Bond Cdn Bond data
0.981 642 1.002 642
0.933 10.4% 0.977 6.7% 1.0

1.046 15.4% 1.003 8.4% 0.9

1.084 11.5% 1.010 7.0% 0.8

1.072 Above: 0.997 Above: 0.7

0.971 Annual Return 1.005 Annual Return 0.6

0.964 Standard Dev 0.997 Standard Dev 0.5

1.003 Mean Return 1.007 Mean Return 0.4

0.972 1.000 0.3
1.065 1.008 0.2
0.994 1.002 0.1
0.986 1.000 0.0
0.981 1.005 RR RRR RR RRR RR RR RRR RR RRR RR RRR RR RRR RR RR RRR R
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0.950 1.004 ww www ww www ww ww www ww www ww www ww www ww ww www w
1.028 1.004
0.979 1.002
0.943 1.001
1.014 1.005
1.052 1.004
1.039 1.013
1.029 1.009
1.073 0.998
1.017 1.002
1.043 0.997
0.991 1.005
1.023 1.001
1.023 1.002

1.060 1.004

1.048 1.000

0.964 0.989

1.008 1.019

1.119 0.998

1.033 1.005

1.032 0.984

0.995 0.996

1.051 1.004

1.117 1.001

1.008 0.975

0.982 1.001

1.043 1.001

0.981 1.003

0.963 1.004

1.053 1.003

1.043 1.001

1.022 1.003

0.976 0.980

0.978 0.994

1.010 1.004

0.993 0.998

0.960 1.002

1.015 1.007

0.942 1.008

1.001 0.993
1.026 0.994

1.032 0.998

0.997 1.003

0.962 1.008

0.996 1.004

1.020 1.002

1.002 0.994

1.010 1.004

0.988 1.002

0.981 1.002

0.972 0.998

1.005 0.999

0.983 1.004

1.024 1.001

0.983 1.003

0.983 1.012

1.039 1.009

0.992 1.008

1.011 1.011

0.965 1.024

1.014 1.040

1.043 0.997

1.015 1.004

1.062 1.005

0.994 1.007

1.053 1.004

1.002 0.999

1.017 1.001

0.996 1.003

1.087 1.001

1.043 1.003

1.009 1.012

1.018 1.008

0.983 0.997

1.065 1.003

1.045 1.004

1.047 1.024

1.050 0.963

0.997 0.999

1.004 1.003

0.941 0.987

1.036 0.995

1.016 1.016

0.980 1.005

1.039 0.986

1.084 0.986

0.993 1.006

0.961 1.018

1.032 0.978

1.076 0.979

0.979 0.992
0.943 1.003

0.979 0.997

0.948 0.998

1.084 0.983

1.008 1.023

0.962 1.001

1.038 0.996

1.047 0.982

1.030 1.006

0.982 0.998

0.976 0.995

0.903 1.007

0.934 1.029

0.929 1.034

1.024 1.007

0.951 0.992

1.043 0.993

0.992 1.003

1.035 1.006

0.995 1.019

1.043 0.982

1.029 0.995

1.052 0.996

1.015 0.985

1.037 0.993

1.013 0.982

1.006 0.996

1.019 1.001

1.030 0.995

1.009 0.991

0.997 1.001

1.012 0.997

1.003 0.993

1.011 1.006

1.047 0.972

0.951 0.984

0.956 1.026

1.002 1.004

0.996 0.988

1.037 0.993

0.957 1.020

0.969 1.017

1.004 1.006

0.985 1.016

1.031 1.025

0.980 0.995

0.981 1.038

1.068 1.005

0.954 0.973

1.002 0.976

1.040 1.006
1.055 1.012

1.059 1.022

1.035 0.993

1.023 1.000

1.048 1.010

1.021 1.029

1.011 1.003

1.020 1.002

1.017 1.001

0.987 1.013

1.008 1.008

1.031 1.001

1.028 1.000

0.977 1.008

1.007 1.013

1.002 1.012

0.975 0.981

0.918 0.970

0.940 0.989

1.027 1.009

1.026 1.007

0.956 1.035

1.018 1.008

1.079 1.002

1.011 1.010

1.052 0.997

0.969 1.007

1.034 1.014

1.051 1.011

1.017 1.002

0.967 0.986

0.976 0.986

1.008 1.024

1.034 1.007

1.011 0.997

0.991 1.001

1.040 1.005

1.030 1.004

0.993 0.995

1.043 1.005

1.039 1.008

1.036 1.004

1.002 1.003

1.026 1.003

0.995 1.007

1.047 1.010

1.006 1.010

1.005 1.013

1.009 1.012

1.059 0.996

0.998 1.001
0.995 1.005

1.027 0.996

0.999 1.000

0.935 0.991

0.992 0.997

1.027 1.008

1.021 0.999

1.020 1.001

0.973 1.005

1.025 1.003

1.044 0.983

0.977 1.008

0.990 1.002

1.012 1.004

0.968 0.999

0.999 0.996

0.986 0.984

0.928 1.025

0.980 1.009

1.023 0.983

0.995 1.021

1.030 1.022

1.072 1.000

1.012 1.022

1.038 0.996

1.023 0.987

0.964 0.989

1.030 1.004

1.035 0.993

0.990 0.984

1.024 0.988

0.944 1.000

1.027 0.992

1.014 1.005

0.975 0.987

0.958 0.987

0.980 1.035

1.092 0.971

0.992 1.041

1.057 1.019

0.997 1.012

1.028 0.988

1.052 0.983

1.018 0.994

1.039 0.972

1.025 1.020

1.029 1.002

0.954 1.004

1.035 0.999

1.030 0.988

1.027 1.004
0.896 1.004

0.946 1.005

1.052 0.980

0.997 1.006

1.017 0.976

1.027 0.991

0.994 1.009

0.964 1.023

1.028 1.025

1.004 0.997

0.914 0.989

0.904 1.020

0.984 1.023

1.050 0.998

1.028 1.018

1.049 1.001

0.975 1.049

1.045 1.056

1.033 1.038

1.033 0.988

1.001 1.015

1.044 0.985

0.990 0.966

0.981 1.014

1.022 0.988

0.989 1.039

0.995 1.024

0.968 1.032

0.937 1.021

1.029 1.005

1.098 0.988

1.092 0.989

1.037 0.973

0.977 1.003

1.013 0.999

1.019 0.996

0.991 1.002

1.027 1.011

1.049 1.004

0.988 1.026

0.965 1.024

1.067 1.002

1.028 1.002

1.020 1.001

0.985 0.997

1.012 0.997

0.961 0.975

0.956 1.005

1.016 1.007

1.064 0.998

0.983 1.016
1.048 1.018

1.066 1.003

0.891 1.001

1.014 1.002

1.026 1.007

1.030 0.966

0.971 0.953

0.911 0.999

0.937 0.961

0.983 0.994

1.020 0.991

0.900 1.022

0.910 1.048

1.099 1.036

0.935 1.016

1.001 1.050

1.165 1.019

1.030 0.980

0.988 0.958

1.023 1.037

1.024 0.992

1.029 0.969

1.002 1.004

0.990 0.981

0.944 1.041

0.958 0.987

1.056 1.016

0.978 1.025

1.096 1.009

1.035 0.998

0.985 1.012

1.024 1.009

1.003 1.005

0.986 1.006

1.000 1.019

1.000 1.014

0.985 1.014

0.967 1.031

0.932 1.039

1.106 1.003

0.993 0.998

1.017 0.989

1.018 1.006

0.975 1.014

0.990 1.012

1.058 1.009

1.004 1.019

0.974 1.004

1.002 0.999

0.972 1.004

1.053 1.005
1.049 0.982

0.944 1.000

1.011 1.006

1.064 1.003

1.019 1.007

1.048 1.008

1.004 1.013

1.062 1.009

1.035 1.008

1.048 0.980

0.948 1.003

1.050 0.996

1.039 0.997

1.036 0.996

1.025 1.013

1.064 1.029

1.014 1.006

1.028 1.004

1.071 0.999

0.965 0.983

1.093 0.990

1.037 0.950

0.903 1.026

1.082 0.981

1.073 0.952

1.120 0.957

1.085 0.975

0.824 1.115

1.042 1.054

1.059 1.019

1.051 0.937

1.069 1.005

1.012 0.971

1.023 0.995

0.993 1.025

1.076 1.034

0.949 0.991

0.983 0.983

0.982 1.005

1.075 0.915

0.990 1.019

1.032 1.008

1.001 0.900

0.957 1.031

0.969 0.966

0.869 1.071

0.980 1.162

1.097 0.955

0.977 0.974

0.916 1.070

0.939 1.009
0.957 1.032

0.977 1.014

0.990 0.937

0.904 1.038

1.036 1.120

1.147 1.043

0.999 1.070

1.109 1.043

1.042 1.046

1.071 0.968

1.039 1.045

1.033 1.017

1.036 1.049

1.088 1.000

1.037 0.990

1.015 0.976

1.014 0.988

1.005 1.053

1.010 1.012

0.946 1.005

1.083 0.994

1.009 1.017

0.969 0.976

0.983 0.966

0.989 0.994

0.977 0.971

0.963 1.019

1.001 1.038

0.966 1.047

1.119 1.029

1.005 1.043

0.985 1.037

1.009 1.021

1.018 1.031

1.083 0.945

1.002 1.037

1.012 1.042

1.010 1.067

1.042 1.000

0.995 1.007

1.026 1.018

1.017 0.996

0.937 1.028

1.018 1.039

1.071 1.031

1.020 0.975

0.981 1.052

1.006 1.043

1.072 1.027

1.012 0.991

1.016 1.016
0.992 1.013

0.953 1.025

1.034 0.983

0.987 1.001

1.021 1.031

1.005 1.010

1.011 1.033

1.093 0.994

1.046 1.018

1.072 0.939

0.995 1.000

0.994 1.020

1.018 0.972

1.079 0.992

0.992 0.956

0.980 1.084

0.775 0.986

0.989 1.021

1.065 1.058

0.969 1.019

1.050 0.966

1.038 0.990

1.009 1.007

0.976 1.029

1.063 0.986

0.983 0.991

0.977 1.024

1.003 1.035

1.036 0.993

0.973 1.005

1.034 1.023

1.070 0.980

0.989 1.014

1.007 1.033

1.015 1.036

1.026 1.029

1.019 1.006

1.058 1.008

1.013 0.984

0.987 1.039

0.996 0.987

1.009 1.017

1.011 0.980

0.935 0.962

0.997 0.988

0.991 0.963

0.919 1.062

1.076 1.020

0.994 1.004

1.007 1.005

0.943 0.957
0.948 1.039

0.977 1.044

1.026 1.024

1.039 1.032

1.007 1.035

1.061 1.009

1.014 1.006

0.995 1.008

1.027 0.973

0.982 1.024

1.023 1.025

0.997 1.040

0.967 1.048

1.039 1.002

0.983 1.026

1.024 1.012

1.026 1.003

0.998 0.981

0.957 0.989

0.985 1.037

1.012 1.034

1.004 1.067

1.018 1.009

0.991 0.977

0.973 1.025

1.013 0.978

0.987 1.018

1.025 0.996

0.988 1.051

1.046 1.000

1.048 1.007

1.053 1.021

1.028 1.022

1.025 1.023

1.001 1.044

1.045 0.992

0.967 1.026

1.067 0.997

0.984 1.038

1.037 1.032

1.055 0.960

0.973 0.923

0.982 1.013

0.986 0.974

1.016 0.944

0.933 0.990

1.039 1.061

1.043 0.995

1.004 0.986

0.986 1.012

0.956 1.015
1.033 0.987

0.954 1.056

1.028 1.021

1.049 1.031

0.993 1.037

1.042 1.015

1.021 0.964

1.020 1.031

0.981 1.019

1.006 1.007

0.985 1.071

1.047 1.007

1.014 1.014

1.055 0.961

0.995 0.997

1.010 0.995

1.036 1.021

1.021 1.001

0.964 1.018

0.978 1.031

1.045 1.018

1.031 1.073

1.059 1.046

1.076 0.970

0.987 0.976

1.032 1.035

1.009 0.987

0.952 1.006

1.022 1.008

1.070 1.053

1.011 1.045

1.069 0.977

0.963 1.047

1.067 1.025

0.973 1.007

0.953 1.003

1.031 1.023

1.001 1.004

1.060 1.016

1.068 0.994

1.015 1.021

0.991 1.009

0.973 0.993

0.942 0.981

0.799 1.076

1.017 0.991

1.107 0.996

1.023 1.035

1.025 1.004

1.038 0.972

0.939 1.020
1.047 0.992

1.064 0.983

0.977 0.995

1.027 0.993

1.011 1.010

0.986 0.980

1.000 0.958

1.044 1.033

1.038 0.992

1.120 0.994

1.008 1.046

1.077 1.007

1.038 0.998

0.988 1.015

0.991 1.009

1.104 1.012

1.021 1.009

1.082 1.001

0.924 1.009

0.929 1.022

0.916 1.009

1.015 0.992

1.044 1.013

0.867 0.993

0.944 0.984

1.045 0.990

1.028 1.017

0.950 1.001