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Re: Delay Social Security to age 70 and Spend more money at

I have always said that if I could continue to delay past age 80, and grow my benefit by 8%, I would. Too bad it doesn't work that way. Actually, I don't think you would delay much longer. The current 8% increase is based on the PIA, not the prior year amount, so it doesn't compound. That increase ...
by Ketawa
Thu Jul 24, 2014 9:51 am
 
Forum: Investing - Theory, News & General
Topic: Delay Social Security to age 70 and Spend more money at 62
Replies: 143
Views: 12786

Re: Vanguard not vigilant about taxes?

The South Korea example, with its unwanted gains, is just another example in which passive index investing didn't fully live up to the promise of low portfolio turnover. (And, yes, the active funds were worse over the same period.) Vanguard should vote against this structure. Vanguard's marketing t...
by Ketawa
Thu Jul 24, 2014 1:11 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard not vigilant about taxes?
Replies: 15
Views: 1461

Re: Momentum Investing ?

AMOMX has ERs ranging 49 basis points to 75 basis points depending on share class. AMOMX is 50 bp and available at TD Ameritrade with no minimum, so a 50/50 value/momentum portfolio using it would cost 30 bp. Of course, you could always use the lower cost iShares MSCI USA Momentum Factor ETF (MTUM).
by Ketawa
Wed Jul 23, 2014 11:38 pm
 
Forum: Investing - Theory, News & General
Topic: Momentum Investing ?
Replies: 34
Views: 2721

Re: Momentum Investing ?

If momentum(long) doesn't outperform a growth index and I hold a 50% value index(all market caps)/50% MOM(long), then shouldn't I end up with something that looks and acts a lot like TSM with 10x the ER? Momentum isn't the same as growth. My statement was making the case that if momentum is arbitra...
by Ketawa
Wed Jul 23, 2014 11:16 pm
 
Forum: Investing - Theory, News & General
Topic: Momentum Investing ?
Replies: 34
Views: 2721

Re: Best Coffee Maker? What do you have?

A French press.
by Ketawa
Wed Jul 23, 2014 2:14 pm
 
Forum: Personal Consumer Issues
Topic: Best Coffee Maker? What do you have?
Replies: 39
Views: 1686

Re: The article on tax efficient placement needs to be rewri

It is insightful, for the same reason that 60/40 is preferred to 40/60 for young people with long investment horizons. Putting stocks in the IRA and bonds in the taxable account is almost guaranteed to outperform over long horizons. This has nothing to do with allocation but saying you have $1 of s...
by Ketawa
Wed Jul 23, 2014 12:33 pm
 
Forum: Investing - Theory, News & General
Topic: The article on tax efficient placement needs to be rewri
Replies: 48
Views: 2405

Re: The article on tax efficient placement needs to be rewri

Before this thread continues, you should probably read these two megathreads. Delete Wiki [Article] on Tax-Efficient Asset Location Bonds go in taxable (whitecoatinvestor aka EmergDoc article) My quick take on your equations is that assets held in taxable are less valuable than assets in a Roth IRA....
by Ketawa
Wed Jul 23, 2014 11:30 am
 
Forum: Investing - Theory, News & General
Topic: The article on tax efficient placement needs to be rewri
Replies: 48
Views: 2405

Re: Vanguard not vigilant about taxes?

Seems like a poorly written article to me. Who is paying 33% on capital gains other than short term traders? Mutual funds probably aren't, and yet 33% is the only rate mentioned in the article. Uninformed readers would come away from the article not realizing that most people would pay 15% or less. ...
by Ketawa
Wed Jul 23, 2014 9:37 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard not vigilant about taxes?
Replies: 15
Views: 1461

Re: Momentum Investing ?

There's a wonderful paper by Cliff Asness which I am writing up on 30 years of failure of MOM in Japan. Yet he found that when combined with value, which had huge 10% premium, much larger than in US or anywhere else, when MOM was close to zero, an ex post optimizer would have put 30% in MOM. The mi...
by Ketawa
Wed Jul 23, 2014 12:40 am
 
Forum: Investing - Theory, News & General
Topic: Momentum Investing ?
Replies: 34
Views: 2721

Re: Momentum Investing ?

Even if momentum returns 0% in the future, value investors should consider an allocation to it due to its long term negative correlation to value.
by Ketawa
Tue Jul 22, 2014 11:41 pm
 
Forum: Investing - Theory, News & General
Topic: Momentum Investing ?
Replies: 34
Views: 2721

Re: not all value metrics are equal

Safe bonds yield less than risky bonds. Similarly, I would imagine the stock analogy is that for low E/P or high P/E, you are paying a lot (high P) for safer earnings. Now, maybe this is more clear for dividend yield, but earnings often turn into dividends, right?
by Ketawa
Tue Jul 22, 2014 6:53 pm
 
Forum: Investing - Theory, News & General
Topic: not all value metrics are equal
Replies: 36
Views: 1715

Re: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth,

I get this argument, but am not sure I agree with it in a practical sense. The stylized example of all stocks in one account and all bonds in the other is an unlikely extreme. Similarly, stock volatility will provide rebalancing opportunities in both directions, keeping things in balance. Having a ...
by Ketawa
Tue Jul 22, 2014 4:46 pm
 
Forum: Investing - Theory, News & General
Topic: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth, etc)
Replies: 76
Views: 3242

Re: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth,

Excuse me? I think I know well the differences. You can't move assets directly between accounts of course due to the different tax treatment, but within each account you can trade stocks for bonds essentially for free as there are no tax consequences to the exchange. Hence I can keep an overall ass...
by Ketawa
Tue Jul 22, 2014 4:06 pm
 
Forum: Investing - Theory, News & General
Topic: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth, etc)
Replies: 76
Views: 3242

Re: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth,

Well I think wjo's argument makes sense for when you're not eligible to withdraw from your accounts. Though certainly, when you are in the process of withdrawing from your accounts, your scenario applies. It doesn't matter whether you are currently withdrawing from your account or not. Just think t...
by Ketawa
Tue Jul 22, 2014 2:02 pm
 
Forum: Investing - Theory, News & General
Topic: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth, etc)
Replies: 76
Views: 3242

Re: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth,

I vote for 50/50 because since both are sheltered accounts and hence you can freely exchanges assets between fixed income and stocks within them to maintain 50/50. However, the total value of the portfolio should be reduced by taxes due. That's an interesting way of looking at it! I never considere...
by Ketawa
Tue Jul 22, 2014 1:35 pm
 
Forum: Investing - Theory, News & General
Topic: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth, etc)
Replies: 76
Views: 3242

Re: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth,

I agree that portfolio losses/gains happen at the margin. But those aren't actually realized until withdrawal, so I don't think this matters. Perhaps you could explain further? Maybe this explanation from the wiki article will help? http://www.bogleheads.org/wiki/Tax-adjusted_asset_allocation#Adjus...
by Ketawa
Tue Jul 22, 2014 11:26 am
 
Forum: Investing - Theory, News & General
Topic: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth, etc)
Replies: 76
Views: 3242

Re: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth,

I voted something else because you can't just discount the 401k balances by 25%. That's like saying all of your 401k wtihdrawals will be taxed at 25%. That's not true. The first ~10k is taxed at zero (per year, for singles). Then the next $9075 is taxed at 10%, etc. You'd be taxed at some average t...
by Ketawa
Tue Jul 22, 2014 11:20 am
 
Forum: Investing - Theory, News & General
Topic: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth, etc)
Replies: 76
Views: 3242

Re: Delay Social Security to age 70 and Spend more money at

Inflation-adjusted annuities are currently paying 3-5%, so delaying SS is a good deal compared to what the market will offer now. Depending on the level of real interest rates, it's possible that delaying SS could become a bad deal, but that doesn't seem likely anytime soon.
by Ketawa
Tue Jul 22, 2014 10:36 am
 
Forum: Investing - Theory, News & General
Topic: Delay Social Security to age 70 and Spend more money at 62
Replies: 143
Views: 12786

Re: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth,

Even if the government owned the whole portfolio the risk would still be based on the actual AA. I wouldn't care about the portfolio's risk if the government owned the whole portfolio, since it's not my risk. If I had one account subject to a 99% tax rate and another with a 0% tax rate, putting all...
by Ketawa
Mon Jul 21, 2014 1:51 pm
 
Forum: Investing - Theory, News & General
Topic: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth, etc)
Replies: 76
Views: 3242

Re: a close look at value and momentum

All the AQR funds that have been discussed can be purchased by retail investors at TD Ameritrade for low minimums, something like $2k minimum off the top of my head. I own the AQR International and Emerging Core Equity Funds.
by Ketawa
Sun Jul 20, 2014 7:17 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: a close look at value and momentum

I wouldn't make a point of it except to note that this was a fact that was made up by one of the more prominent small/value zealots a few years back. The stridency with which small/value tilting gets promoted (including making up facts about how others manage their portfolios) sometime does make me...
by Ketawa
Sun Jul 20, 2014 2:10 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: Best CC for (new) purchases

Maybe I'm missing something, but assuming you have the money to pay for the items (i.e., you don't intend to carry a credit card balance), you can generally get much better than a 1% or 2% discount by paying with cash--especially if you're making large purchases. The CC signup bonus game is differe...
by Ketawa
Sun Jul 20, 2014 1:57 am
 
Forum: Personal Finance (Not Investing)
Topic: Best CC for (new) purchases
Replies: 43
Views: 3083

Re: Best CC for (new) purchases

I got Barclays Arrival several months ago and have already qualified for their one-time reward. During the first year I don't have any fees, but in a few months I will. If I don't want to pay annual fees, what is the best way to dispose of the card? - Is there any advantage to close it now? - Is th...
by Ketawa
Sat Jul 19, 2014 10:54 pm
 
Forum: Personal Finance (Not Investing)
Topic: Best CC for (new) purchases
Replies: 43
Views: 3083

Re: a close look at value and momentum

It sounds like you would succumb to tracking error regret, Steve, so it's a good thing you stick with total market investing. You wouldn't be the first; prominent poster and SV critic Yobria was notorious for having an allocation to RZV, then selling it at the worst possible time in 2009 before movi...
by Ketawa
Sat Jul 19, 2014 10:35 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: TSP G as treasury holding

However, if you also want a stake in the total US bond market, the F Fund works well, tracking the same index as ETFs AGG and BND. I understand why folks may want to avoid the Total US Bond area in this environment, but don’t understand some of the posts that pan the F Fund specifically. It has bea...
by Ketawa
Fri Jul 18, 2014 9:41 am
 
Forum: Investing - Help with Personal Investments
Topic: TSP G as treasury holding
Replies: 10
Views: 750

Re: TSP G as treasury holding

The scenario where it wouldn't be a good idea would be a 2007-2009, with falling rates and flight to quality pushing down yields and resulting in capital gains while everything else is falling (including the yield on the G fund). A lot of the grousing about all the Treasuries in the TBM convenientl...
by Ketawa
Fri Jul 18, 2014 9:31 am
 
Forum: Investing - Help with Personal Investments
Topic: TSP G as treasury holding
Replies: 10
Views: 750

Re: a close look at value and momentum

Ok then, let's look at both types of benchmark. All comparisons are since inception, which is about 5 years ago for the regular momentum funds, 2.5 years ago for the tax-managed funds. Sorry, I was too lazy to look up the performance of the tax-managed funds relative to the AQR momentum indexes. Lar...
by Ketawa
Fri Jul 18, 2014 1:15 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: TSP G as treasury holding

In my opinion, there is no need for another Treasury fund if you hold the G Fund. As an example, the current yield is 2.25%. You have to go out 8 years to get that yield in marketable Treasuries. I also think you are correct to avoid the F Fund or Total Bond Market. The Treasuries in those funds pro...
by Ketawa
Fri Jul 18, 2014 12:46 am
 
Forum: Investing - Help with Personal Investments
Topic: TSP G as treasury holding
Replies: 10
Views: 750

Re: a close look at value and momentum

Really? According to AQR's Web site, the I/L class of AMOMX has returned 19.73% since inception while the Russell 1000 returned 20.33% and the Russell 1000 Growth returned 20.12%. IMO an appropriate benchmark is one that targets momentum. That is what you're after with a momentum fund. AQR does say...
by Ketawa
Fri Jul 18, 2014 12:27 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: Tobins Q as market valuation metric

I just wanted to get the Bogleheads take on the Tobins Q and should we be worried that it's value is 3rd highest in history, and previous 5 times when the value was that high, market returns for next 30 YEARS were negative.... are we in a bubble again? what is your take. Below is link to interestin...
by Ketawa
Fri Jul 18, 2014 12:18 am
 
Forum: Investing - Theory, News & General
Topic: Tobins Q as market valuation metric
Replies: 42
Views: 2031

Re: a close look at value and momentum

We have no reason to think that a momentum premium can be captured by a live fund . Take the much-touted AQR Momentum fund. It has had a .33 momentum loading since 2010. Momentum has also been strongly positive since then. Given a standard market loading of one (and zero loading on other factors), ...
by Ketawa
Fri Jul 18, 2014 12:05 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: a close look at value and momentum

I do try to keep up with the literature on these very serious market patterns: "We encourage the reader to search the Internet for terms such as “stochastic oscillators”, “Fibonacci ratios”, “cycles”, “Elliot wave”, “Golden ratio”, “parabolic SAR”, “pivot point”, “momentum”, and others in the ...
by Ketawa
Thu Jul 17, 2014 9:09 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: a close look at value and momentum

Just because momentum stocks are often growth stocks doesn't mean that it's the opposite of value. People seem to keep making this argument. Value stocks can also have momentum. The two have different definitions. Otherwise, why would anyone bother making a fund that incorporates both?
by Ketawa
Thu Jul 17, 2014 9:02 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: Larry: 20 Dollar Bills and Factor Persistence

cowboysFan wrote:Are there any mutual funds which short these extreme small growth stocks?


The performance is really poor, but not necessarily negative.
by Ketawa
Thu Jul 17, 2014 8:57 pm
 
Forum: Investing - Theory, News & General
Topic: Larry: 20 Dollar Bills and Factor Persistence
Replies: 82
Views: 6746

Re: was Bogle right about ETFs?

My IRA is mostly ETFs. I have made far more transferring my IRA from brokerage to brokerage in exchange for account opening bonuses than I have lost in spreads or trading fees. Not possible with Admiral shares.
by Ketawa
Thu Jul 17, 2014 12:38 pm
 
Forum: Investing - Theory, News & General
Topic: was Bogle right about ETFs?
Replies: 26
Views: 2869

Re: Persistence of SV performance

When I saw this I couldn't believe that the alpha was significantly different from 0. So I downloaded the data to run the same test and got the same results. But I also found that this result is very sensitive to the last few observations. If I end the data at Dec 2013, the p-value for alpha become...
by Ketawa
Tue Jul 15, 2014 9:59 pm
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3788

Re: Persistence of SV performance

Larry, as BOSVX and DFSVX are not available directly, can you please tell the total fees / costs for these funds (assume that would include advisor fund plus fund ER, possibly others), preferably from the most cost efficient source, at least the BOSVX which seem to be the fund your are recommending...
by Ketawa
Tue Jul 15, 2014 4:46 pm
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3788

Re: Market-on-close orders?

The goal of an Index Fund is to accurately track its benchmark; up or down. If the manager of an index fund were to trade securities intraday this would cause the performance of the fund to neecessarily stray away from the performance of the Index over time since intrday prices are generally differ...
by Ketawa
Tue Jul 15, 2014 4:35 pm
 
Forum: Investing - Theory, News & General
Topic: Market-on-close orders?
Replies: 10
Views: 919

Re: Market-on-close orders?

Take a look at VSS . The closing price yesterday was $110.33, but the NAV was $109.81. NAV is calculated based on the fund's assets and outstanding shares. The prospectus gives you historical returns based on both NAV and market price. The Vanguard web site lets you choose market price (determined a...
by Ketawa
Tue Jul 15, 2014 2:02 pm
 
Forum: Investing - Theory, News & General
Topic: Market-on-close orders?
Replies: 10
Views: 919

Re: Persistence of SV performance

You can insist on your positive return all day long, it does not mean it is going to happen. The only math involved in investing that is concrete and known beforehand is costs. There is actually much more solid math in poker, as there are known probabilities. There are no known mathematical probabi...
by Ketawa
Tue Jul 15, 2014 12:47 pm
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3788

Re: Persistence of SV performance

Larry, Statistical tests are data mining, by definition (see: http://www.anderson.ucla.edu/faculty/jason.frand/teacher/technologies/palace/datamining.htm). You are free to share your opinion on this forum. But, as far as I know, you are in a conflict of interest position, as you are likely to make ...
by Ketawa
Tue Jul 15, 2014 12:05 pm
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3788

Re: POLL: Emerging Markets Tilt

I don't tilt towards emerging markets. I keep my domestic/intl, domestic/developed/emerging, developed/emerging, etc splits all at market cap weights.
by Ketawa
Tue Jul 15, 2014 10:04 am
 
Forum: Investing - Help with Personal Investments
Topic: POLL: Emerging Markets Tilt
Replies: 12
Views: 747

Re: Persistence of SV performance

steve keeps repeating the same [thing], and making the same type mistake that Bogle made Larry, with all due respect, maybe its not so much a mistake on Bogle's part as much as it is a healthy skepticism of the small cap value data. The Telltale Chart speech was in 2002. The main mistake was lookin...
by Ketawa
Tue Jul 15, 2014 9:54 am
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3788

Re: Persistence of SV performance

All the Vanguard style funds now follow CRSP indexes. Who cares how they did in the past when they were following S&P, then MSCI indexes? I can't invest in those funds anymore. Ok, I guess I can invest in an S&P 600 Value Index through IJS or VIOV. The CRSP Small Value and Growth Indexes hav...
by Ketawa
Tue Jul 15, 2014 9:35 am
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3788

Re: a close look at value and momentum

Here's the TellTale chart of PXSV vs VTSAX : Not sure what this is supposed to demonstrate. PXSV followed a different index until June 2011. The index has backtested data going back to 1976. All caveats about backtested performance of course, but the fund has lagged its index by approximately the e...
by Ketawa
Mon Jul 14, 2014 8:04 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: a close look at value and momentum

No need to pay an advisor for deep SV exposure. PXSV will do. It just beats the G Fund for my largest holding (used to be VSS, but I moved to AQR core funds in international).
by Ketawa
Mon Jul 14, 2014 6:50 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: a close look at value and momentum

I never stated that any single paper "goes back 50 years". I said we have studies covering 50 years of fund data generally. If you've got "hundreds" "thousands" or even "a single" paper refuting it please do post it. Since the value premium only exists in fan...
by Ketawa
Mon Jul 14, 2014 12:27 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: a close look at value and momentum

Studies I've posted going back decades looking at growth vs value weighted funds going back 50 years show exactly the same thing. Links? He has posted this paper before. I guess one paper constitutes "studies". Also, saying it "goes back 50 years" is incredibly misleading. The p...
by Ketawa
Mon Jul 14, 2014 12:03 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 16698

Re: A Look at Current P/E Ratios

Here is a few years of Vanguard data: http://i57.tinypic.com/2ps3q5d.jpg Interesting that the "small caps are overpriced" argument has become all the rage on Bogleheads over the last year or so. I can't remember it coming up before then, and yet their valuations have stayed about the same...
by Ketawa
Sun Jul 13, 2014 11:47 am
 
Forum: Investing - Theory, News & General
Topic: A Look at Current P/E Ratios
Replies: 53
Views: 5849

Re: Does anyone expect tilts to *under*perform?

stlutz wrote:FWIW, year-to-date they are all underperforming. :D


Huh? Every Vanguard value fund is beating its corresponding growth fund. However, small caps have lagged TSM.
by Ketawa
Sun Jul 13, 2014 12:58 am
 
Forum: Investing - Theory, News & General
Topic: Does anyone expect tilts to *under*perform?
Replies: 84
Views: 5279
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