Monte Carlo Asset Class Historical Annual Returns

Would it be possible to get the indexes that ESPlanner uses for the non-DFA funds? I'm trying to create a spreadsheet with nominal historical returns for a side analysis and want to use the same source. There are many different index sources to chose from (e.g., Morningstar, Russell, S&P, etc.) and they all seem to yield slightly different results. And then there are the differences between index returns with dividends reinvested and no dividend reinvestment.

I noticed that Cash, Large Cap Stocks, and all of the bond categories use historical REAL returns. And all other asset classes use historical NOMINAL returns. Are each year's real returns net of the actual inflation for that year? For example: ESPlanner shows the 2016 real return for large cap stocks as 9.724%. Inflation for that year was 2.1%. So the nominal return would be 11.824%, right? I couldn't actually match the 11.824% to any of the indexes I looked at. So that's why I'm asking. I'm sure I'm just looking at the wrong index.



dan royer's picture

I can ask about that.


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