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Re: Could someone explain this bond fund's maturity measures

I don't understand how those two measures of maturity are so apparently incongruent (i.e. I would have expected a much larger number for the average maturity). Could someone explain? From the long/short cash position it appears that Pimco is using derivatives to achieve a term risk position with sh...
by Doc
Wed Sep 17, 2014 2:21 pm
 
Forum: Investing - Theory, News & General
Topic: Could someone explain this bond fund's maturity measures
Replies: 6
Views: 354

Re: my summary of latest spiva report

The newest SPIVA report is yet another piece of evidence showing that investors cannot use past performance to identify which small minority of actively managed funds will outperform in the future. It depends on how you define "past performance". Index fundsoutperform their active peers a...
by Doc
Tue Sep 16, 2014 11:09 am
 
Forum: Investing - Theory, News & General
Topic: my summary of latest spiva report
Replies: 1
Views: 264

Re: look at small value etfs

Doc If you can backtest the index all you have to decide is if a) it gets you exposures you want b) the fund can replicate indexes well, and control trading costs Backtesting is the problem. If a fund sponsor wants some outside entity to produce a new index for them there is an implicit bias that t...
by Doc
Mon Aug 25, 2014 2:48 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2989

Re: look at small value etfs

Re Vanguard fund and switch index, I don't agree at all on that point that you need 5 years. IMO Vanguard has demonstrated it can manage to a benchmark, so if it changes benchmarks you should be confident it can manage to that new benchmark also. Only issue is do you like that index or some other L...
by Doc
Sun Aug 24, 2014 12:23 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2989

Re: Is the Aggregate Index Too Heavy in Treasuries?

But since almost every 'investment grade' portfolio has to sell the same issues at the same time, when downgraded below BBB-/Baa3, that risk premium is out sized, and cancels out more of the spread in corporates than the historical default loss record would imply, making corporate bonds (sold if th...
by Doc
Sat Aug 23, 2014 1:16 pm
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 3281

Re: Is the Aggregate Index Too Heavy in Treasuries?

My definition is to make an informed choice on what types of bonds I want to own, chose an allocation to each type and then hold it there (or only adjust if I want to change my risk level). I agree. I choose to not accept the "risk" of high yield, MBS or long bonds. I also choose not to a...
by Doc
Sat Aug 23, 2014 1:00 pm
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 3281

Re: look at small value etfs

Bogleheads are supposed to shun picking funds based on past performance. Vanguard changed its bogey on its small cap value offering in April 2013 to the CRSP US Small Cap Value Index. So we have only one year of post-change performance on which to judge the merits of this "new" fund. My IP...
by Doc
Sat Aug 23, 2014 12:16 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2989

Re: Is the Aggregate Index Too Heavy in Treasuries?

I do not see the difference. Someone has to buy the bonds, Exxon or the Treasury does not force anybody to do so. They choose how many bonds to issue, just as Exxon chooses how much stock to issue, and they get sold at auction. I don't see how the issuer of bonds has any more power or control over ...
by Doc
Sat Aug 23, 2014 12:05 pm
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 3281

Re: Is the Aggregate Index Too Heavy in Treasuries?

Doc, I meant to bug you about this in your thread about style drift in Total Bond and other intermediate-term bond funds. Vanguard has a chart that they call "bond style," that is based on average weighted maturity , uses the words "short," "medium," and "long,&qu...
by Doc
Fri Aug 22, 2014 3:23 pm
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 3281

Re: Is the Aggregate Index Too Heavy in Treasuries?

One follow-up question.... why do you say ST Treasury in taxable increases tax efficiency? Seems somewhat less tax efficient than using TBM in non-taxable account. Agree if you take this slice and dice approach to bonds, putting the lowest earning fund in taxable is better than putting the IT compo...
by Doc
Fri Aug 22, 2014 3:16 pm
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 3281

Re: Is the Aggregate Index Too Heavy in Treasuries?

Can anyone shed light on why the duration has risen nearly 40% in the five years since 2009? This was addressed in the thread that Nisi referenced earlier. The Treasury started issuing longer bonds increasing the average maturity and interest rates dropped. Both increase the duration. The change in...
by Doc
Fri Aug 22, 2014 10:40 am
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 3281

Re: Is the Aggregate Index Too Heavy in Treasuries?

I've been struggling with this question for some time as I approach retirement. In addition to the significant variability over time, I'm actually more disturbed by what appears to be a long term trend to significantly more MBS with significantly less Corporate. Data in graph and comments in this p...
by Doc
Fri Aug 22, 2014 8:57 am
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 3281

Re: High cost 401k, or taxable brokerage?

The tax cost of a brokerage account is more than 15%, because you pay tax on dividends every year, and this compounds over time. The best case is a 2% yield, all qualified dividends, which costs you 9% in 30 years, and you'll probably lose about 11% more to capital gains if you sell then (not a ful...
by Doc
Thu Aug 21, 2014 9:30 am
 
Forum: Investing - Theory, News & General
Topic: High cost 401k, or taxable brokerage?
Replies: 13
Views: 826

Re: Should non-vested retirement assets be treated different

In a way, it isn't "yours" yet. If you leave the company before it vests, then it all goes away anyway, as if it had never existed. I know little about 401k's but I don't understand. I thought that the employee made contributions from his own wages and the employer may put in an additiona...
by Doc
Tue Aug 19, 2014 5:43 pm
 
Forum: Investing - Theory, News & General
Topic: Should non-vested retirement assets be treated differently?
Replies: 8
Views: 454

Re: Question about Tax Advantaged/Taxable Best Strategy

I think some of it should be changed. Under current tax laws, a large number of people will be in the 0% capital gains/dividend rate in retirement. Maybe. That is what I though also until I did my first return after taking SS and became aware of the SS phaseout gotcha. The tax rate on our first dol...
by Doc
Mon Aug 18, 2014 5:09 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Question about Tax Advantaged/Taxable Best Strategy

The difficulty I have is how to discount the taxable account. It really seems that in year 0, when we create the account from after tax monies, all of the account is ours. After every year thereafter, we should discount the capital gains in the account by 15 percent (or whatever your long term cap ...
by Doc
Mon Aug 18, 2014 11:36 am
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Question about Tax Advantaged/Taxable Best Strategy

I have shown you in details my calculations and assumptions, and citing in details from the bogleheads wiki page. Option 1: AA at end 82.5/(102.25+82.5)=0.4465 Option 2: AA at end 108.5/(108.5+77.5)=0.5833 Option 2 has a higher result because it is more risky . Any tax effect you might have is bein...
by Doc
Sun Aug 17, 2014 5:50 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Question about Tax Advantaged/Taxable Best Strategy

A Goggle search on "bogleheads roth vs traditional" produces over 20,000 results. I am not going to repeat all the discussion.
by Doc
Sun Aug 17, 2014 2:42 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Vanguard Bond funds Style change

...limited/moderate/extensive in their style box . These are interest rate sensitivity barometers. I see no reference to short, intermediate or long-term with respect to the style box. Different words to describe the same thing. Some time ago M* decided not to use short/medium/long perhaps to avoid...
by Doc
Sun Aug 17, 2014 2:34 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard Bond funds Style change
Replies: 19
Views: 1863

Re: Total Market Bond Fund vs Intermediate Term Fund

Read in another thread how both of these funds have been tagged long-term bond funds now, but what caught my attention was that VBTIX is high quality while VBIIX is medium quality. Was that the case earlier? ] Probably. They follow different indexes. TBM has securitized issues like agency MBS pass-...
by Doc
Sun Aug 17, 2014 2:31 pm
 
Forum: Investing - Theory, News & General
Topic: Total Market Bond Fund vs Intermediate Term Fund
Replies: 47
Views: 5949

Re: Vanguard Bond funds Style change

So the question is, is the change in category because Total Bond increased its duration or has Morningstar moved the lines. You need to pay close attention to the nuances of the words or you will get yourself befuddled. The category has not changed. The style box has. Morningstar will change a fund...
by Doc
Sun Aug 17, 2014 2:21 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard Bond funds Style change
Replies: 19
Views: 1863

Re: New lower limit for Admiral share conversion

523HRR wrote:Just curious. If this was done in a taxable account, would this exchange not be treated as a taxable (sale/purchase) event? Or can the original cost basis be retained? Thanks.


It's a non-taxable event. The lot cost data is retained.
by Doc
Sun Aug 17, 2014 11:23 am
 
Forum: Investing - Theory, News & General
Topic: New lower limit for Admiral share conversion
Replies: 10
Views: 1669

Re: Question about Tax Advantaged/Taxable Best Strategy

Adjusting by the marginal rate Section "The marginal rate is the correct rate to use for considering changes in the asset allocation (and thus for most tax-adjusted asset allocation). You should value your Roth at its full value, and reduce the value of your traditional IRA or 401(k) by your e...
by Doc
Sun Aug 17, 2014 11:04 am
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Vanguard Bond funds Style change

While I understand (I think) just what Doc meant with his OP and it is a change worth noting, Morningstar actually uses the phrase "interest-rate sensitivity" with regard to that horizontal line of its style box. I wasn't trying to draw any conclusions. I just wanted to point out that bec...
by Doc
Sun Aug 17, 2014 10:53 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard Bond funds Style change
Replies: 19
Views: 1863

Re: Vanguard Bond funds Style change

It is what it is. For whatever reasons--I think some of it is just bond math--the duration of Total Bond has been gradually increasing . A few years ago, it was about 4 years, now it is up to 5.62. The Guv'nt made me do it. :D Treasury Reintroduces 30-Year Bond In August of 2005, Treasury announced...
by Doc
Sun Aug 17, 2014 10:45 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard Bond funds Style change
Replies: 19
Views: 1863

Re: Morningstar data vs Factsheets

Vanguard's numbers are in my opinion more solidly grounded in current reality. The question is what you are going to do with the numbers. If you are looking at the numbers with respect to some academic study then the past year actual may be the best - choose Vanguard data. But if you are trying to ...
by Doc
Sat Aug 16, 2014 8:15 pm
 
Forum: Investing - Theory, News & General
Topic: Morningstar data vs Factsheets
Replies: 5
Views: 666

Vanguard Bond funds Style change

Take note of the fact that several Vanguard bond funds have moved into the next higher duration Morningstar style box . VSIGX: Vanguard Interm-Tm Govt Bd Idx Admiral The fixed-income Style Box position for this fund has changed from interm-term high quality to long-term high quality. VBTIX: Vanguard...
by Doc
Sat Aug 16, 2014 8:05 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard Bond funds Style change
Replies: 19
Views: 1863

Re: Question about Tax Advantaged/Taxable Best Strategy

kmok wrote: I think this the the confusion you have.


If you are not willing to try to educate yourself but just try to re-argue points that have been made over the course of many years I can't help you.

Happy investing.
by Doc
Sat Aug 16, 2014 7:55 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Question about Tax Advantaged/Taxable Best Strategy

It is the tax on returns that matters , not the tax in the existing tIRA balance. You have to pay the 25% tax (whatever the assumption is here) on the existing balance no matter what you are investing, stocks or bonds. This is applicable to Roth, but we are not talking about that right now. You are...
by Doc
Sat Aug 16, 2014 4:57 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Question about Tax Advantaged/Taxable Best Strategy

kmok wrote:Perhaps you should provide a direct link, otherwise what am I suppose to say other than I disagree


viewtopic.php?p=2157318#p2157318 :D
by Doc
Sat Aug 16, 2014 4:18 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Vanguard eliminates fee on FTSE All-World ex-US Small-Ca

In fact VSS (small cap international including emerging markets) has outperformed GWX (small cap international without emerging markets) on a total return basis for the past 5 years. VSS uses the FTSE index and GWX uses the S&P so you are not starting from the same place to add/delete EM. I was...
by Doc
Sat Aug 16, 2014 4:16 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard eliminates fee on FTSE All-World ex-US Small-Cap
Replies: 35
Views: 5190

Re: Question about Tax Advantaged/Taxable Best Strategy

You are correct if you are looking to minimized taxes. However, this is not the point. The goal here is to maximized after tax returns. As such what you said is totally incorrect and irrelevant. Sometimes maximizing after tax return is not accomplished by minimizing taxes. The OP stipulated that he...
by Doc
Sat Aug 16, 2014 2:55 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Question about Tax Advantaged/Taxable Best Strategy

Assuming the bonds are not tax free, you would most likely be better off in option B, because in taxable account long term capital gain tax is 15% and bonds tax would be at the marginal rate . The rate in IRA would be the same with stocks or bonds. So it is preferable to put stocks in taxable accou...
by Doc
Sat Aug 16, 2014 2:16 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Tax Advantaged/Taxable Best Strategy
Replies: 44
Views: 2638

Re: Vanguard eliminates fee on FTSE All-World ex-US Small-Ca

... both the large and small cap FTSE have EM in them - about 17% when I checked last. I wanted to have a small slice of EM so these worked perfectly for me, but could/can increase the volatility. The FTSE Developed ex North America Index exists with a small cap version as well. There is a Schwab E...
by Doc
Sat Aug 16, 2014 2:11 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard eliminates fee on FTSE All-World ex-US Small-Cap
Replies: 35
Views: 5190

Re: WSJ: Is Your Portfolio Too Diversified?

The average hedge fund blows up,every 7 years. So just as we buy index funds because their e/r is less than average we should sell our hedge funds at five years instead. Stupidity cannot be cured. Stupidity is the only universal capital crime; the sentence is death. There is no appeal, and executio...
by Doc
Sat Aug 16, 2014 1:52 pm
 
Forum: Investing - Theory, News & General
Topic: WSJ: Is Your Portfolio Too Diversified?
Replies: 23
Views: 3364

Re: Vanguard eliminates fee on FTSE All-World ex-US Small-Ca

I prefer SPDR S&P International Small Cap GWX because of lower market cap and no emerging markets. Expense ratios are similar and it has a longer history. Regarding EM: This fund's approximately 13% emerging-markets exposure (which does not include Taiwan and South Korea) is a distinguishing fea...
by Doc
Sat Aug 16, 2014 1:37 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard eliminates fee on FTSE All-World ex-US Small-Cap
Replies: 35
Views: 5190

Re: High cost 401k, or taxable brokerage?

Please clarify. You have a 401k that charges you 3% of your contribution ? That seems very strange. No no no, I understand how the taxes work. The point I am trying to communicate is that 401ks often have higher expense ratios than what is seen at Vanguard. These fees can be as high as 1-3%. My que...
by Doc
Fri Aug 15, 2014 5:59 pm
 
Forum: Investing - Theory, News & General
Topic: High cost 401k, or taxable brokerage?
Replies: 13
Views: 826

Re: TIPS: a separate Bond category?

In the absence of "stress" TIPS are expected to behave like nominal Treasuries without the risk of unexpected inflation increases. Therefore the main advantage of TIPS over nominal Treasuries is that you are able to lock in attractive long term real rates without taking on the added inflat...
by Doc
Thu Aug 14, 2014 3:20 pm
 
Forum: Investing - Theory, News & General
Topic: TIPS: a separate Bond category?
Replies: 13
Views: 1385

Re: High cost 401k, or taxable brokerage?

And actually, if you add back in the principal, it makes the 401k even worse off since the principal will be subject to the fee but in a brokerage account only the gains are taxed. Please clarify. You have a 401k that charges you 3% of your contribution? That seems very strange. In a taxable accoun...
by Doc
Thu Aug 14, 2014 3:05 pm
 
Forum: Investing - Theory, News & General
Topic: High cost 401k, or taxable brokerage?
Replies: 13
Views: 826

Re: High cost 401k, or taxable brokerage?

And actually, if you add back in the principal, it makes the 401k even worse off since the principal will be subject to the fee but in a brokerage account only the gains are taxed. That's not accurate. In either a ROTH or a "deferred tax" 401k there is no tax on the gains of your share. T...
by Doc
Thu Aug 14, 2014 11:42 am
 
Forum: Investing - Theory, News & General
Topic: High cost 401k, or taxable brokerage?
Replies: 13
Views: 826

Re: Grade Vanguard's performance: is 77% an A?

absolutely You should expect purely random outperformance by some active managers even if market perfectly efficient. What you see is what someone noted, that over time the percentage outperformance vs average increases. Larry Right. Costs matter and Vanguard is a very low cost house. Short term ra...
by Doc
Thu Aug 14, 2014 11:33 am
 
Forum: Investing - Theory, News & General
Topic: Grade Vanguard's performance: is 77% an A?
Replies: 10
Views: 751

Re: Grade Vanguard's performance: is 77% an A?

I'm very curious to know which funds underperfomed their peer group. I also would love to see the same numbers broken down into active vs. indexed. I got curious also. So I used Morningstar's Premium fund Screener to try to get a handle on it. I only looked at the fixed income group. BIG note. Morn...
by Doc
Thu Aug 14, 2014 11:26 am
 
Forum: Investing - Theory, News & General
Topic: Grade Vanguard's performance: is 77% an A?
Replies: 10
Views: 751

Re: Risk and Return of Tilted and Market Balanced Funds

Regarding Morningstar's "Average Credit Quality for Funds" I'm confused. First, I am very familiar with M* rating which was changed recently because it was WRONG. Now it is more accurate. But it is clearly wrong on DFA's credit quality. This is correct, and the change to methodology makes ...
by Doc
Tue Aug 12, 2014 3:59 pm
 
Forum: Investing - Theory, News & General
Topic: Risk and Return of Tilted and Market Balanced Funds
Replies: 19
Views: 2538

Re: is the S&P actively managed?

Larry, who decides what index the active funds benchmark against? Don't they decide that themselves? If so, if they don't think the S&P 500, aren't they free to choose the Russell 1000 or the Dow Jones U.S. Large-Cap Total Stock Market Index (largest 750) or whatever they please. On Morningstar...
by Doc
Mon Aug 11, 2014 11:58 am
 
Forum: Investing - Theory, News & General
Topic: is the S&P actively managed?
Replies: 10
Views: 1299

Re: Left Tail Smackdown*: Larry vs. Permanent Portfolio

In the smackdown between the Larry and the PP, I found that the Larry has somewhat less negative tracking error pain than the PP, against the 60/40 benchmark. Here's the score: Would M*'s Upside Downside Capture Ratio metric be useful in measuring the effect your are trying to determine? I occasion...
by Doc
Mon Aug 11, 2014 11:15 am
 
Forum: Investing - Theory, News & General
Topic: Left Tail Smackdown*: Larry vs. Permanent Portfolio
Replies: 15
Views: 2462

Re: Risk and Return of Tilted and Market Balanced Funds

First that bond credit rating doesn't look right-the two funds used are the two and five year global bond funds, and all high investment grade, so cannot be average of A. Much higher quality.Typically like 60% AAA and 40% AA or something like that. Larryswedroe: That’s what M* listed for average cr...
by Doc
Mon Aug 11, 2014 11:05 am
 
Forum: Investing - Theory, News & General
Topic: Risk and Return of Tilted and Market Balanced Funds
Replies: 19
Views: 2538

Re: "The Cost of Chasing Returns" from St Louis Fed

Morningstar has a metric that attempts to measure this phenomenon. Investor Return Morningstar Investor Return (also known as dollar-weighted return) measures how the average investor fared in a fund over a period of time. Investor return incorporates the impact of cash inflows and outflows from pur...
by Doc
Sun Aug 10, 2014 10:35 am
 
Forum: Investing - Theory, News & General
Topic: "The Cost of Chasing Returns" from St Louis Fed
Replies: 6
Views: 869

Re: Smooth perpetual withdrawal from risky assets [endowment

This strategy is for a perpetual endowment fund, made of risky assets (traditional 3-fund portfolio). Or, maybe I didn't understand what you were trying to explain? Maybe it was me that didn't follow the thread very well. ... the collective effort resulted in VPW, a withdrawal strategy based on mat...
by Doc
Sat Aug 09, 2014 6:11 pm
 
Forum: Investing - Theory, News & General
Topic: Smooth perpetual withdrawal from risky assets [endowment fd]
Replies: 93
Views: 7689

Re: Smooth perpetual withdrawal from risky assets [endowment

If you start with a $1,000,000 portfolio, you withdraw $0? Great! No you withdraw based on the ending balance for the year not the beginning balance. :wink: You can develop all kinds of scenarios where the simple declining balance doesn't work exactly. Just develop some simple rules. Like I will wi...
by Doc
Sat Aug 09, 2014 4:24 pm
 
Forum: Investing - Theory, News & General
Topic: Smooth perpetual withdrawal from risky assets [endowment fd]
Replies: 93
Views: 7689

Re: Smooth perpetual withdrawal from risky assets

LOL You're missing something completely. Is this what I'm missing? I think that there is a misunderstanding; keeping an approximate $1,000,000 forever is a goal of this withdrawal method (see the first post) Simply subtract the $1,000,000 from the balance before calculating the withdrawal. Or if you...
by Doc
Sat Aug 09, 2014 3:33 pm
 
Forum: Investing - Theory, News & General
Topic: Smooth perpetual withdrawal from risky assets [endowment fd]
Replies: 93
Views: 7689
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