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Re: 140% Stocks (or why the Kelly criterion is cool)

the Kelly criterion is equivalent to using expected utility with a logarithmic utility function. For the higher frequency trading I used to do I used a log stochastic based approach. Identify a volatile target stock and set a high price above which you were prepared to be totally out of the stock a...
by Clive
Sun Apr 26, 2015 12:28 pm
 
Forum: Investing - Theory, News & General
Topic: 140% Stocks (or why the Kelly criterion is cool)
Replies: 68
Views: 2716

Re: 140% Stocks (or why the Kelly criterion is cool)

d'Alemberts betting sequence suggests betting 1 unit initially and increasing the stake by 1 unit after each losing play, reducing by 1 unit after each winning play (minimum stake 1 unit). I bet heads, 1 unit, lose I bet heads, 2 units, lose I bet heads, 3 units, win In total outlayed 6 units in bet...
by Clive
Sun Apr 26, 2015 12:02 pm
 
Forum: Investing - Theory, News & General
Topic: 140% Stocks (or why the Kelly criterion is cool)
Replies: 68
Views: 2716

Re: Trying to beat the index is futile

Which index Exactly. The "Dow" for instance is a common measure of historic "index" performance. Noteworthy however is that the Dow Industrial Average was just one of several indexes that Dow devised. Both the Utility Average and Transport Average indexes have broadly lagged the...
by Clive
Thu Apr 23, 2015 4:01 am
 
Forum: Investing - Theory, News & General
Topic: Trying to beat the index is futile
Replies: 17
Views: 1817

Re: Can't get excited about bond funds

BeaglesRule wrote:but am having a hard time getting excited [with bonds]

Perhaps think about saving up to buy a iPad as a Christmas present to yourself and how you might then use it to buy some iBonds.
by Clive
Tue Apr 21, 2015 3:50 pm
 
Forum: Investing - Theory, News & General
Topic: Can't get excited about bond funds
Replies: 19
Views: 1535

Re: Converting Lazy Portfolios for no-US-treaty NRA investor

...SSO (2x S&P 500). That's what the fact sheet says..... Yep, they're legally bound to stress the risks of investing the same amounts in a 2x (or 3x) as in a 1x. The two same initial amounts will compound out entirely differently as in effect you're borrowing the same amount again to buy into ...
by Clive
Tue Apr 21, 2015 2:08 pm
 
Forum: Investing - Theory, News & General
Topic: Converting Lazy Portfolios for no-US-treaty NRA investors
Replies: 39
Views: 2047

Re: Converting Lazy Portfolios for no-US-treaty NRA investor

Interesting. For long-term investors, the advice I know of is "leveraged ETFs should not be traded long, only day traded, to avoid pricing differentiation". How did those portfolios perform during periods that included the 2008/09, or 2001/02 crashes? Plugging into http://www.etfreplay.co...
by Clive
Tue Apr 21, 2015 1:53 pm
 
Forum: Investing - Theory, News & General
Topic: Converting Lazy Portfolios for no-US-treaty NRA investors
Replies: 39
Views: 2047

Re: Converting Lazy Portfolios for no-US-treaty NRA investor

...simple and "lazy" for the purposes of those articles. We want a 3 +/- fund portfolio that would do enough diversification while making use of Ireland's tax treaties and keeping rebalancing costs low. amerk86, one simple to implement - but complicated theory, is to hold a third of the a...
by Clive
Tue Apr 21, 2015 8:35 am
 
Forum: Investing - Theory, News & General
Topic: Converting Lazy Portfolios for no-US-treaty NRA investors
Replies: 39
Views: 2047

Re: Bernstein: "If you've won the game, stop playing."

When Bill Bernstein talks about investing in bonds he probably means short-term US Treasuries. Are those bonds risky? They were for my grandmother who lived as a widow (savings stopped when gramps died in 1970) from 1970-1991 and would only use short term "safe" fixed income investments. ...
by Clive
Mon Apr 20, 2015 4:56 pm
 
Forum: Investing - Theory, News & General
Topic: Bernstein: "If you've won the game, stop playing."
Replies: 146
Views: 14777

Re: Converting Lazy Portfolios for no-US-treaty NRA investor

For reference this link http://www.hmrc.gov.uk/cnr/withholding-tax.pdf shows UK treaty's withholding taxes For 'foreign' investors the UK levies no withholding taxes on dividends provided the company/stock is based in the UK. Much of the UK large cap (FTSE100 index) stocks that are based out of Lond...
by Clive
Sun Apr 19, 2015 2:39 pm
 
Forum: Investing - Theory, News & General
Topic: Converting Lazy Portfolios for no-US-treaty NRA investors
Replies: 39
Views: 2047

Re: Converting Lazy Portfolios for no-US-treaty NRA investor

Phrasing it differently, is it possible to buy 100 individual shares and have it be cheaper than buying a S&P 500 fund at 0.07% TER? Or even 30 stocks. Equal weighted bought and held - no changes other than enforced. One off 30 x $10 broker fees (or whatever) plus cost of dividend reinvestment/...
by Clive
Sun Apr 19, 2015 1:57 pm
 
Forum: Investing - Theory, News & General
Topic: Converting Lazy Portfolios for no-US-treaty NRA investors
Replies: 39
Views: 2047

Re: Converting Lazy Portfolios for no-US-treaty NRA investor

Buffett is astute in his 90/10 choice of asset allocation. We live in a topy-turvy world where 'safe' assets - Treasury Bonds, Gold etc. are much less safe than many believe and where speculative assets (stocks) are relatively safer over the longer term 1933 the US compulsory purchased investment gr...
by Clive
Sun Apr 19, 2015 9:48 am
 
Forum: Investing - Theory, News & General
Topic: Converting Lazy Portfolios for no-US-treaty NRA investors
Replies: 39
Views: 2047

Re: Converting Lazy Portfolios for no-US-treaty NRA investor

Questions in mind: [*] What about Accumulating vs Distributing? Is it important to try to have accumulating funds rather than distributing in those portfolios? As a UK investor, ETF/funds that accumulate have to have excess reportable income reported to HMRC (tax office) and taxes paid accordingly ...
by Clive
Sun Apr 19, 2015 9:19 am
 
Forum: Investing - Theory, News & General
Topic: Converting Lazy Portfolios for no-US-treaty NRA investors
Replies: 39
Views: 2047

Re: Converting Lazy Portfolios for no-US-treaty NRA investor

Not sure, but another benefit of holding a Irish/UK domiciled ETF that holds US assets can be side-stepping US estate tax (aka death duties, inheritance tax) - or at least additional paperwork/headaches for heirs. IIRC upon the demise of a NRA with $60K or more US assets their heirs have to file for...
by Clive
Sun Apr 19, 2015 8:17 am
 
Forum: Investing - Theory, News & General
Topic: Converting Lazy Portfolios for no-US-treaty NRA investors
Replies: 39
Views: 2047

Re: Asset allocation strategies at very large sums

Maynard F. Speer wrote:Japan's meltdown from the 80s could be an example)

1990's 'crash' ???

Which - like the Wall Street Crash (1930's), was precursored by massive booms ("Roaring 20's") - where stock prices doubled, doubled again and doubled yet again during the 1980's decade or so.
by Clive
Sun Apr 19, 2015 3:15 am
 
Forum: Investing - Theory, News & General
Topic: Asset allocation strategies at very large sums
Replies: 13
Views: 1486

Re: Negative interest rates in Europe

Given that you can still buy CDs with >= 1.5% rates, I am at a loss to understand why any investor would accept negative rates....what am I missing? If you have a ladder that matches future cost of living adjusted spending (via inflation bonds) then it may be desirable to pay more now for that lowe...
by Clive
Tue Apr 14, 2015 6:45 pm
 
Forum: Investing - Theory, News & General
Topic: Negative interest rates in Europe
Replies: 9
Views: 1363

Re: This retiree is a bit confused

Generally drawing down bonds, letting stocks expand. In the context of own own home so future 'rent' pre-paid in advance; And a drawdown ladder of basic living expenses that current spans 20 years out invested in inflation bonds (so basic living expenses covered). Top slice out of the remainder (sto...
by Clive
Tue Apr 14, 2015 6:19 pm
 
Forum: Investing - Theory, News & General
Topic: This retiree is a bit confused
Replies: 21
Views: 3429

Re: Mohamed El-Erian Has Most of His Money in Cash

Mohamed El-Erian holds a PhD in economics and is “Chief Economic Adviser” to Pimco WADR - What do "Economists" know! Perhaps Pimco have him as their dumb trader - the ones who are allocated a small amount and more often lose the lot quickly - that the firms other traders can use as value ...
by Clive
Mon Apr 06, 2015 2:49 pm
 
Forum: Investing - Theory, News & General
Topic: Mohamed El-Erian Has Most of His Money in Cash
Replies: 69
Views: 7638

Re: life expectancy and taxable versus tax deferred account

UK tax rules are different, for us holding some of the same asset both in capital gains liable and capital gains exempt enables you to sell $x of the asset inside tax exempt and buy $x in tax liable after prices have risen and visa-versa when prices have declined. i.e. still holding the same amount ...
by Clive
Mon Apr 06, 2015 2:38 pm
 
Forum: Investing - Theory, News & General
Topic: life expectancy and taxable versus tax deferred accounts
Replies: 17
Views: 1384

Re: Role of Nominal Governent Bonds

Given that TIPS exist, what is the role of nominal government bonds in a portfolio? Diversification - tends to be safer. Nominal bond prices rise/fall in reflection of declining/rising nominal yields. Real (inflation) bond prices rise/fall in reflection of declining/rising real yields. The two can ...
by Clive
Sat Apr 04, 2015 5:47 am
 
Forum: Investing - Theory, News & General
Topic: Role of Nominal Governent Bonds
Replies: 20
Views: 1427

Re: Best Way to Visualize Compounding

What I'm trying to visualize is the comparison of 2 scenarios: 1. Invest and grow with compounding 2. keep cash... Compound is a mixture of elements. Cash is like non-worked land, you might later sell it for much the same as what you paid for it in purchase power terms (inflation pacing). Bonds and...
by Clive
Mon Mar 30, 2015 9:48 am
 
Forum: Investing - Theory, News & General
Topic: Best Way to Visualize Compounding
Replies: 40
Views: 3376

Re: Should a BH investor never use futures/options?

In the money call options can provide leveraged ownership of the asset (sort of). Often it is the cheapest "loan", so if you can convert your shares to the equivalent options and pull cash out to pay down a 4% mortgage, in theory you'll come out ahead with the same risk level. Synthetic l...
by Clive
Sat Mar 28, 2015 4:39 am
 
Forum: Investing - Theory, News & General
Topic: Should a BH investor never use futures/options?
Replies: 70
Views: 4494

Re: Illiquid Assets

Primary residence - This is a good example. Not exactly diversified, but it does give a good example of a way for someone young to capitalize on illiquidity. Really? Owning a home provides an illiquidity premium? It certainly is not a very liquid asset, but just because an asset is illiquid does no...
by Clive
Fri Mar 27, 2015 4:07 am
 
Forum: Investing - Theory, News & General
Topic: Illiquid Assets
Replies: 46
Views: 4268

Re: Phil Town: "Rule #1 Investing"

find great companies, know their worth and acquire them at 50 percent off. Now THAT is a tall order!!! :shock: Side-tracking this likely going nowhere thread ... perhaps 50% off discounts are not as tall-order/difficult as you might believe. Investment advice from the Bible : Ecclesiastes 11:1-5 1....
by Clive
Thu Mar 19, 2015 12:24 pm
 
Forum: Investing - Theory, News & General
Topic: Phil Town: "Rule #1 Investing"
Replies: 11
Views: 1241

Re: How much international is too much?

Does currency risk exist (to a meaningful extent) with regard to equity investments? Sure it does. The relationship between the dollar index and international outperformance or underperformance (relative to U.S. equity) is as plainly evident as almost anything in investing can be. Look at the chart...
by Clive
Thu Mar 19, 2015 4:11 am
 
Forum: Investing - Theory, News & General
Topic: How much international is too much?
Replies: 113
Views: 9509

Re: Why the popularity of dividends? What's the counterargum

Project a yearly ladder of basic living expenses and income streams for each year ... to expected life expectancy (or perhaps 30 years), accounting for state/private pensions as/when they come online and the sum provides a indicator of the amount that might be deposited/invested into inflation bonds...
by Clive
Mon Mar 16, 2015 11:24 am
 
Forum: Investing - Theory, News & General
Topic: Why the popularity of dividends? What's the counterargument?
Replies: 70
Views: 5179

Re: The Permanent Portfolio as an accumulation portfolio

look up Ray Dalio's All Weather portfolio. Or look less distant - at the Three-Fund - which in holding some foreign (FX) is yet another alternative to holding some gold. As a example during Iceland's 2008 crisis the price of gold in Euro's remained much the same, whilst the Icelandic currency colla...
by Clive
Sat Mar 14, 2015 7:33 am
 
Forum: Investing - Theory, News & General
Topic: The Permanent Portfolio as an accumulation portfolio
Replies: 16
Views: 2181

Re: The Permanent Portfolio as an accumulation portfolio

Gold was illegal to own until 1975 As it was after the 1933 executive order that purchased all investment grade gold at $20.67 .... after which the peg was raised to $35 in 1934 (70% higher). Gold also gained 48% in 1972, 71% in 1973, 72% in 1974. Such that in combination those 4 years alone accoun...
by Clive
Fri Mar 13, 2015 1:25 pm
 
Forum: Investing - Theory, News & General
Topic: The Permanent Portfolio as an accumulation portfolio
Replies: 16
Views: 2181

Re: Retiree Poll:What is your current AA?

33/67 early retirement stock/bonds, looking to increase stocks to 100/0 stock/bonds as age. i.e. two bucket approach. Third in stocks/accumulation, draw down bonds. 2.2%/year bond drawdown rate (inflation adjusted assuming bonds pace inflation) over 30 years. 33/67 initial, 100/0 final = 66% average...
by Clive
Sun Dec 28, 2014 2:23 pm
 
Forum: Investing - Theory, News & General
Topic: Retiree Poll:What is your current AA?
Replies: 85
Views: 7160

Re: Trading around dividend days

There's no US withholding tax on capital gains, but there may be domestic capital gains tax liabilities. There are lots of differences around the world for example China charges 10% withholding tax on both dividends and capital gains. From a UK perspective whilst selling induces a UK capital gain ev...
by Clive
Sun Dec 28, 2014 2:00 pm
 
Forum: Investing - Theory, News & General
Topic: Trading around dividend days
Replies: 6
Views: 1174

Re: A collection of "black swan" portfolios

I see this type of portfolio allocation as particularly useful for retirement portfolios. In this case, the "safe" assets have been referred to as "liability-matching" assets; i.e., designed to provide sufficient low-risk income to meet lifestyle spending needs in retirement. St...
by Clive
Wed Dec 24, 2014 6:16 pm
 
Forum: Investing - Theory, News & General
Topic: A collection of "black swan" portfolios
Replies: 25
Views: 2553

Re: Please debunk this CNN Money article on dividend investi

http://thereformedbroker.com/wp-content/uploads/2012/06/div-chart.jpg Obviously, this is purely backwards looking and is time-dependent French's equal weighted no dividend 1928 to 1956 i.e. year end before the above chart had no dividend vastly outperform others. Around 14% annualised compared to 1...
by Clive
Sun Dec 21, 2014 5:08 am
 
Forum: Investing - Theory, News & General
Topic: Please debunk this CNN Money article on dividend investing
Replies: 42
Views: 5129

Re: Please debunk this CNN Money article on dividend investi

Kenneth French, a professor of Finance at Dartmouth College, has a website which contains an abundance of historical information (going back to 1928) about the relationship between dividend levels and total stock returns. FWIW for the period 1928-2013 his data indicates that the annualized return o...
by Clive
Sat Dec 20, 2014 4:17 am
 
Forum: Investing - Theory, News & General
Topic: Please debunk this CNN Money article on dividend investing
Replies: 42
Views: 5129

Re: Please debunk this CNN Money article on dividend investi

Kenneth French, a professor of Finance at Dartmouth College, has a website which contains an abundance of historical information (going back to 1928) about the relationship between dividend levels and total stock returns. FWIW for the period 1928-2013 his data indicates that the annualized return o...
by Clive
Fri Dec 19, 2014 3:23 pm
 
Forum: Investing - Theory, News & General
Topic: Please debunk this CNN Money article on dividend investing
Replies: 42
Views: 5129

Re: Understanding why we market weight

HSI index is market cap weighted and has 60% in ten stocks, of which 35% = financial (14% HSBC alone), 16% = mobile telecoms. 25% combined in HSBC and Tencent. Is that a Speculation OR a Investment? If you weighted 25% to two other stocks, 75% to a index, many would suggest you're tilted, Yet that's...
by Clive
Wed Dec 03, 2014 12:31 pm
 
Forum: Investing - Theory, News & General
Topic: Understanding why we market weight
Replies: 18
Views: 1670

Re: Understanding why we market weight

I'm sure it (Equal Weighting) looks significantly different if taken back further (and someone's got to have done it somewhere) http://moneytalks.net/market-opinion/1050-john-mauldin-looks-at-the-original-dow-30-stocks-banks.html Equal initial weighting and buy and hold thereafter, let the individu...
by Clive
Tue Dec 02, 2014 2:49 am
 
Forum: Investing - Theory, News & General
Topic: Understanding why we market weight
Replies: 18
Views: 1670

Re: Why Alpha is getting more elusive

My first impression of the articles chart was that of the similarity of pattern to historic LIBOR. Could it be that alpha is higher in periods of relatively high interest rates, lower in periods of lower interest rates? If thought of in terms of factor of inflation (i), then when inflation/interest ...
by Clive
Mon Nov 24, 2014 6:13 pm
 
Forum: Investing - Theory, News & General
Topic: Why Alpha is getting more elusive
Replies: 28
Views: 4030

Re: Why I will fund retirement with TIPs ladder no matter wh

an overwhelming impact in my thinking making my decision to build a TIPs ladder to fund my retirement no matter what the real yield look like

Haven't read the article, but isn't that too much concentration (taxflation) risk? Potential taxation risk against inflationary uplift.
by Clive
Sat Nov 22, 2014 7:04 am
 
Forum: Investing - Theory, News & General
Topic: Why I will fund retirement with TIPs ladder no matter what
Replies: 55
Views: 5270

Re: Will stocks beat bonds over next 30 years?

To add to my previous posting, the decision I personally came to was to utilise bonds for drawdown/income, with a target of achieving a 0% real and hold stocks for growth/accumulation. Two buckets. For stocks I set a objective of 90% of the total original start date amount i.e. if after 30 years I h...
by Clive
Sat Nov 22, 2014 5:31 am
 
Forum: Investing - Theory, News & General
Topic: Will stocks beat bonds over next 30 years?
Replies: 65
Views: 6367

Re: Will stocks beat bonds over next 30 years?

Another way to do this analysis is to identify 30-year periods, as many as possible, and then check stocks-vs bonds: 1901 - 1930, 1902 - 1931,... Cost averaging in a lump sum over three years, and cost averaging out also over three years is a reasonable extension to that IMO. Or simply extending th...
by Clive
Sat Nov 22, 2014 4:59 am
 
Forum: Investing - Theory, News & General
Topic: Will stocks beat bonds over next 30 years?
Replies: 65
Views: 6367

Re: Small cap value premium

I am still having trouble wrapping my mind around why or how a particular sector or style box can outperform indefinitely. Because the others tend to under-perform. Large cap indexes can have a high weighting to single stocks/sectors, that even after a hit can still remain relatively large and in t...
by Clive
Tue Nov 18, 2014 4:31 pm
 
Forum: Investing - Theory, News & General
Topic: Small cap value premium
Replies: 150
Views: 20866

Re: Why I Like Index Funds

Here are some of Taylor's favorite index funds

<jest>
And his favoured 3 stock portfolio
TravelCenters of America,
Alleghany Corporation,
Lazard World Dividend & Income
TA,Y,LOR
</jest>
by Clive
Mon Nov 17, 2014 5:33 pm
 
Forum: Investing - Theory, News & General
Topic: Why I Like Index Funds
Replies: 26
Views: 6453

Re: Why I Like Index Funds

Using Morningstar's data for Vanguards S&P500 Admirial Shares (VFIAX) compared to the actual S&P500 index for the past 15 years, the fund has only really cost investors at a rate of 0.01% (CAGR) on a total return basis. Thanks Jo. Hadn't realised the gap had closed down that much. With time...
by Clive
Mon Nov 17, 2014 4:56 pm
 
Forum: Investing - Theory, News & General
Topic: Why I Like Index Funds
Replies: 26
Views: 6453

Re: Why I Like Index Funds

Could you now list the reasons to not be in an index fund? A more balanced approach to discussing index funds is necessary to see the whole picture. Basically, complete and impartial data is always appreciated. 1928 Dow holdings, initially equally weighted and just held thereafter, relatively outpe...
by Clive
Mon Nov 17, 2014 12:15 pm
 
Forum: Investing - Theory, News & General
Topic: Why I Like Index Funds
Replies: 26
Views: 6453

Re: Strategies to protect retirement from depressn or long b

Say you are retired and have a portfolio large enough to easily survive the typical market crash. The “great recession” was scary but no problem. You’re prepared for pretty bad inflation and deflation. But you’d like to be more prepared for either an extended bear market like Japan 1990- or an even...
by Clive
Wed Nov 12, 2014 3:08 am
 
Forum: Investing - Theory, News & General
Topic: Strategies to protect retirement from depressn or long bear?
Replies: 33
Views: 4382

Re: astonishing performance of US markets vs others

When I compared veu or vwo vs spy over the past 5 years I was surprised to see how much better US markets (eg spy) have done. From a UK investor perspective (i.e. priced in GB£), the S&P500 total return is near middle of the road relative to our FT100 (100 largest) and FT250 (next 250 largest, ...
by Clive
Tue Nov 11, 2014 6:44 pm
 
Forum: Investing - Theory, News & General
Topic: astonishing performance of US markets vs others
Replies: 50
Views: 5589

Re: Equal weight vs. capitalization weight between world reg

That currently around half the value of global equities is made up of US domiciled companies is simply a fact. In the past that value has moved in a band roughly of 40-60% of global stock market capitalization being in US domiciled companies, and in the future that percentage will move around some ...
by Clive
Mon Nov 03, 2014 3:02 am
 
Forum: Investing - Theory, News & General
Topic: Equal weight vs. capitalization weight between world regions
Replies: 18
Views: 1416

Re: Equal weight vs. capitalization weight between world reg

This article indicates that 20 major markets equal weighted had the safer 30 year historic worst case http://patrickoshag.tumblr.com/post/93207823244/the-dangers-of-portfolio-patriotism since 1900. However in more recent times/decades companies tend to be much more global. The S&P500 for instanc...
by Clive
Sun Nov 02, 2014 6:36 pm
 
Forum: Investing - Theory, News & General
Topic: Equal weight vs. capitalization weight between world regions
Replies: 18
Views: 1416

Re: Only 3 factors determine stock market returns

Thanks Browser

On reading this threads title I was expecting to see a posting about "up, down, sideways" on opening the thread, so pleasantly surprised :)
by Clive
Sun Nov 02, 2014 2:54 pm
 
Forum: Investing - Theory, News & General
Topic: Only 3 factors determine stock market returns
Replies: 9
Views: 1314

Re: It's easy to be a "Wealth Manager" (humor)

Vanguard isn't exempt from such opacity either. For example VUSA factsheet https://www.justetf.com/uk/etf-profile.html?isin=IE00B3XXRP09&tab=documents wording indicates that it seeks to track the performance of the 'index' ...etc and the expense ratio of 0.07% is prominent. You have to be observ...
by Clive
Sun Nov 02, 2014 12:47 pm
 
Forum: Investing - Theory, News & General
Topic: It's easy to be a "Wealth Manager" (humor)
Replies: 6
Views: 1760

Re: Blog: Harry Browne's Permanent Portfolio

Also these returns do not include the very high costs of trading and storing physical gold over most of that period. Those costs would easily have shaved at least 1% annually from the real world returns of the PP. Total bunk. Nor taxation. In the UK late 1970's basic rate (most common) tax rose to ...
by Clive
Sun Nov 02, 2014 11:38 am
 
Forum: Investing - Theory, News & General
Topic: Blog: Harry Browne's Permanent Portfolio
Replies: 79
Views: 17719
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