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Re: So do we care more about change in bond price or bond yi

I think it looks better than the previous chart. So we can compare the two plots using the same data, here is the YTM vs. Term to Maturity (TTM) for the data from the WSJ: http://s26.postimg.org/t3g6tctrt/Yield_vs_Maturity_WSJ_quotes.png And here again is the plot of Duration vs. TTM for that data:...
by Kevin M
Fri Oct 24, 2014 9:13 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Importing yields from treasury.gov into Google spreadshe

As mentioned in previous post, I've figured out how to retrieve the rates directly from the treasury.gov rates page intended for human viewing. The key was the technique of using the Inspect element tool in the Chrome browser. Inspecting elements of the rates page and copying the xpath gave me xpath...
by Kevin M
Fri Oct 24, 2014 7:21 pm
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: Importing yields from treasury.gov into Google spreadshe

Thanks for the input Angie. Apparently the files I'm using are "legacy" files. You can get to the current month legacy file by clicking on the link "To access interest rate data in the legacy XML format and the corresponding XSD schema, click here", but there are no links on the ...
by Kevin M
Fri Oct 24, 2014 6:44 pm
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: So do we care more about change in bond price or bond yi

Maybe there is too much data. Is there anything that the "spikes" have in common? Are they random or is there something else in there that we can speculate about? EDIT: I assume you're talking about the yield vs. duration chart. We already know the spikes in the yield vs. term to maturity...
by Kevin M
Fri Oct 24, 2014 5:50 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: So do we care more about change in bond price or bond yi

A common interpretation of YTM is the annualized rate of return you would earn if you reinvested all coupons at a rate equal to the YTM. That is a common interpretation but it isn't actually true. If you look at the equation to determine YTM it is the present value equation which in non bond speak ...
by Kevin M
Fri Oct 24, 2014 5:24 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Yield vs. Duration

Have you thought about constructing a yield curve with the x axis as duration instead of maturity. I think Fido has all the data needed in their quotes. I think all the "outliers" will disappear with this presentation. I can do that. But I'll do it from the WSJ quotes, since there is more...
by Kevin M
Fri Oct 24, 2014 5:08 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Importing yields from WSJ into Google spreadshe

I discovered last night that treasury quotes can be imported from the WSJ website with ImportXML. Here are the URL and xpath_query to use: http://online.wsj.com/mdc/public/page/2_3020-treasury.html (//table)[3]//tr Before figuring out the xpath that works, I found that it's even easier to import the...
by Kevin M
Fri Oct 24, 2014 3:08 pm
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: So do we care more about change in bond price or bond yi

By the way, I made a startling discovery yesterday about bonds and YTM. You better be sitting down for this: :idea: The Yield-to-Maturity for Coupon Bonds is a fictitious number. Now it may be a useful fiction, but is nevertheless fictitious. The implication is that if you draw the Treasury Yield C...
by Kevin M
Fri Oct 24, 2014 2:15 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Importing yields from treasury.gov into Google spreadshe

Don't kick yourself, but it's right there on the yield curve page Now that I've checked it out, I see that it's similar to what you get when you just click on the XML button. I had already played with that, but the problem is that it's not in an XML format the ImportXML seems to understand--at leas...
by Kevin M
Thu Oct 23, 2014 2:41 pm
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: Importing yields from treasury.gov into Google spreadshe

You can use some spreadsheet magic to grab the yields for just the most recent date (one row), but you also can do that with this xpath_query: //G_WEEK_OF_MONTH[last()]//G_NEW_DATE[last()]//G_BC_CAT While working on the xpath to get just the most recent date from the current month file, I learned s...
by Kevin M
Thu Oct 23, 2014 11:43 am
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: Importing yields from treasury.gov into Google spreadshe

I cannot find the xml files for years 2011 through 2014. Does anyone know where they are??? Kevin, I believe this will get you the data you want for 2011- present. It's not as nicely formatted though as in the xml you found. The dates throughout the year jump around, contrary to your file in which ...
by Kevin M
Thu Oct 23, 2014 11:14 am
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: Importing yields from treasury.gov into Google spreadshe

I haven't use google spreadsheets before. But, for this data I've always just used copy and paste from the website (e.g. http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yieldYear&year=2013) into a LibreOffice spreadsheet Sure, that's what I've d...
by Kevin M
Wed Oct 22, 2014 10:11 pm
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: So do we care more about change in bond price or bond yi

Given two bonds with the same maturity date, the one with the higher coupon will have a lower duration. So, the bumps probably indicate that that bonds trade more on the basis of duration than maturity. Yes, that's pretty much what I said, and it also explains the slightly higher yields (and lower ...
by Kevin M
Wed Oct 22, 2014 9:56 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Importing yields from treasury.gov into Google spreadshe

Kevin M wrote:I cannot find the xml files for years 2011 through 2014. Does anyone know where they are???

So 115 views and no replies. I guess that means no one who has viewed the post knows where the missing yield files are or has any tips on how to find them?

Kevin
by Kevin M
Wed Oct 22, 2014 8:00 pm
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: So do we care more about change in bond price or bond yi

Note that there are many more maturities for non-zeros (hence the gaps in the red curve), and note the little wiggles in the curve for non-zeros. I don't see any obvious reason for the wiggles, e.g., due to different coupons. It looks like they are older bonds with very high coupons. I looked at th...
by Kevin M
Wed Oct 22, 2014 7:56 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: So do we care more about change in bond price or bond yi

A few updates ... Below is a snapshot of the zero and non-zero 3-10 year yield curves based on average Fidelity bid yields for each maturity as of a few minutes ago. Red curve is for zero-coupon bonds, blue is for non-zero coupon bonds. http://s26.postimg.org/labacs2pl/Fidelity_yield_curves.png Note...
by Kevin M
Wed Oct 22, 2014 4:15 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Importing yields from treasury.gov into Google spreadsheet

During the last few days I've spent some time learning how to import yield-curve yields from treasury.gov into a Google sheet using the ImportXml function. I'm sharing some things I've learned here, but also asking for help if with filling in the gaps in my knowledge. ---------- Locations of the XML...
by Kevin M
Tue Oct 21, 2014 10:20 pm
 
Forum: Investing - Theory, News & General
Topic: Importing yields from treasury.gov into Google spreadsheet
Replies: 14
Views: 828

Re: So do we care more about change in bond price or bond yi

And Kevin it is very possible to accurately do the discounted cash flow equations in your head if you had taken the time to memorize the data in the log table book when you were in high school which is very helpful if you are now of the age that you have to relearn Excel every time you load it. :be...
by Kevin M
Tue Oct 21, 2014 6:56 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Ultimate Buy and Hold - 8 slices vs 4

Unfortunately I cannot buy past returns. I would like to see a bit more than a chart. I would like to see some academic evidence, such as is available for small and value, that gives me a feel that the out performance has some diversification or risk/return benefit, and some indication that it may ...
by Kevin M
Tue Oct 21, 2014 4:27 pm
 
Forum: Investing - Theory, News & General
Topic: Ultimate Buy and Hold - 8 slices vs 4
Replies: 632
Views: 219494

Re: So do we care more about change in bond price or bond yi

Got it--I see what you're doing now. I've never actually messed much with zero-coupon bonds before. Cool. The principle is the same for coupon bonds. I thought of a better way to explain what settlement date to use. Using zero coupon bonds just simplifies the algebra, but the principle with respect...
by Kevin M
Tue Oct 21, 2014 4:06 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Ultimate Buy and Hold - 8 slices vs 4

Do you see a pattern for the health care sector? Yes. http://s26.postimg.org/atd7nbem1/Healthcare_sector_1.png Blue line is Vanguard Healthcare, orange is healthcare sector average, and green is 500 index, chosen for longest time period comparison. But that goes back further than VG small-cap value...
by Kevin M
Tue Oct 21, 2014 12:00 am
 
Forum: Investing - Theory, News & General
Topic: Ultimate Buy and Hold - 8 slices vs 4
Replies: 632
Views: 219494

Re: So do we care more about change in bond price or bond yi

I don't think I agree with your inputs into the PRICE function. When calculating the price gain from holding the bond, I think you need to use a settlement date one year in the future (i.e. 10/20/15) as that is what the price one-year from now would be based on. I don't think so. The assumption of ...
by Kevin M
Mon Oct 20, 2014 11:31 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: So do we care more about change in bond price or bond yi

Continuing with my attempts to graphically illustrate the relationship between price change, time-to-maturity change, yield change, and return, below is a chart built as follows. ⋅ Use the latest yield curve rates from treasury.gov, and use linear interpolation to populate values for the m...
by Kevin M
Mon Oct 20, 2014 8:17 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: So do we care more about change in bond price or bond yi

Kevin, first what are you doing up at 3 O'clock in the AM posting about bond yields. It was only 11:30pm my time. This is telling me that yield-curve-riding has an effect that cannot be explained by duration and active management can have a positive effect as long as the yield curve shifting that K...
by Kevin M
Sun Oct 19, 2014 9:38 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: So do we care more about change in bond price or bond yi

I thought it would be interesting to look at some returns for a fairly recent 2-3 year period when the yield curve went from moderately steep to flat. I'll continue to use zero-coupon bonds since all return is from price-change, so it's easier to see the offsetting effects on price of maturation and...
by Kevin M
Sun Oct 19, 2014 3:31 am
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Should I use margin to buy a balanced fund?

You can get the term risk premium by bond investing, and once again, it doesn't correlate well with the equity risk premium. Depends what you mean by "doesn't correlate well". The long-term correlation of 10-year T bonds and S&P500 (1928-2013) is -0.03. This is the same as the long-te...
by Kevin M
Fri Oct 17, 2014 10:09 pm
 
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 380
Views: 32973

Re: So do we care more about change in bond price or bond yi

On one hand, I'm comfortable saying that the Treasury market is ruthlessly efficient. As such, a rolling ladder with a 5 year duration and a "bullet" strategy with a 5 year duration have very similar risks and should expect the same returns. With this thinking, there is nothing magicial a...
by Kevin M
Fri Oct 17, 2014 8:21 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: So do we care more about change in bond price or bond yi

I thought it would be worthwhile to expand a bit on the part of my earlier reply to Doc that discussed and showed graphs of the price/maturity curve for a yield curve with linear slope. In that reply, I mentioned that the assumption of a static yield curve with a positive slope leads to a paradox (u...
by Kevin M
Fri Oct 17, 2014 4:59 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: So do we care more about change in bond price or bond yi

The main point of the riding the yield curve discussion here is that yes it's more risky in isolation, yes it might go away soon, but while the bond market is in its present state of uncertainty and "interest rates can only go up", I am reaping the fruit of that uncertainty, not just the ...
by Kevin M
Thu Oct 16, 2014 10:08 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Does "substantially identical" apply to combined securit

Andy, I agree, and actually thought of examples like those as well (the individual company TLH pairs). But to be clear, I'm not talking about TLHing between a large-cap fund and a small-cap or mid-cap fund, but between a small-cap fund and a mid-cap fund. I think the small-cap/mid-cap TLH is prefera...
by Kevin M
Thu Oct 16, 2014 9:26 pm
 
Forum: Investing - Help with Personal Investments
Topic: Does "substantially identical" apply to combined securities?
Replies: 31
Views: 1437

Re: So do we care more about change in bond price or bond yi

Kevin I don't have the time to go through your detailed post but let me clarify a couple of points. By a static yield curve I mean that it doesn't shift during the time period under consideration but only for purposes of the discussion to try separate the different pieces of the "puzzle"....
by Kevin M
Thu Oct 16, 2014 7:48 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: It's a good day to be heavy in REITs

*they don't have a high correlation to underlying apartment or commercial building prices either, with data as far as I've been able to gather, they correlate more closely to (other) stocks on a monthly basis than anything else. It's somewhat dated, but according David Swensen (2005), of Yale Endow...
by Kevin M
Thu Oct 16, 2014 7:38 pm
 
Forum: Investing - Theory, News & General
Topic: It's a good day to be heavy in REITs
Replies: 42
Views: 3982

Re: Does "substantially identical" apply to combined securit

Is portfolio 2 a constant 60/40? If so it would have been rebalanced. The wash sale rule only looks at transactions in the 61 day window. Earlier and later transactions don't affect whether it is a wash sale. To apply the overlay test I think you need to begin with the ratio from the start date and...
by Kevin M
Thu Oct 16, 2014 7:11 pm
 
Forum: Investing - Help with Personal Investments
Topic: Does "substantially identical" apply to combined securities?
Replies: 31
Views: 1437

Re: Does "substantially identical" apply to combined securit

Andy, I don't think those are good analogies to the mid-cap/small-cap comparison. It's not a coincidence that these funds have similar performance, especially compared to a large-cap US fund. The median capitalization of the mid and small funds is similar, especially compared to large-cap. So the ca...
by Kevin M
Thu Oct 16, 2014 6:57 pm
 
Forum: Investing - Help with Personal Investments
Topic: Does "substantially identical" apply to combined securities?
Replies: 31
Views: 1437

Re: So do we care more about change in bond price or bond yi

Doc, I think we are basically on the same page. The complexities arise when we try to use words and phrases to subjectively describe what is happening. I think we'll all end up agreeing if we simply stick to the bond math descriptions of what is happening. Perhaps we also have to agree that there is...
by Kevin M
Thu Oct 16, 2014 5:41 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Fleeting RBD for large-cap US and emerging markets?

I see that a few international stock ETFs were down more than 2% earlier today, but by the time I checked had recovered to slight gains or slight losses for the day. Emerging markets, VWO, was down 2.53% , but as I write is only down 0.3% . Total international, VXUS, was down 2.43% but now is about ...
by Kevin M
Thu Oct 16, 2014 1:57 pm
 
Forum: Investing - Theory, News & General
Topic: Fleeting RBD for large-cap US and emerging markets?
Replies: 16
Views: 1230

Re: Fleeting RBD for large-cap US and emerging markets?

Thanks for the clarifications livesoft. (I overlooked the absolute 2.5% limit.)

Kevin
by Kevin M
Thu Oct 16, 2014 2:26 am
 
Forum: Investing - Theory, News & General
Topic: Fleeting RBD for large-cap US and emerging markets?
Replies: 16
Views: 1230

Re: So do we care more about change in bond price or bond yi

Doc, I think I agree with everything you say, but like you, I'll take a closer look later and see if there are any discrepancies between your understanding and mine. I am interested to see if you think there are any discrepancies after you review my post more carefully.

Kevin
by Kevin M
Wed Oct 15, 2014 9:03 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Fleeting RBD for large-cap US and emerging markets?

Thanks for the clarifications livesoft. If you don't mind a few follow up questions ... So to summarize, your worst RBDs over the previous 120 days are based on close prices, but you would buy an ETF intraday if it met the RBD criteria? VEU is in my spreadsheet, but it is one of the rows I hid (it g...
by Kevin M
Wed Oct 15, 2014 8:59 pm
 
Forum: Investing - Theory, News & General
Topic: Fleeting RBD for large-cap US and emerging markets?
Replies: 16
Views: 1230

Re: Does "substantially identical" apply to combined securit

My feeling is that those differences aren't enough to prevent the two funds from being substantially identical. The point of the wash sale rule is to determine whether you've changed your position relative to the market. If you can lay the price graph for your new investment on top of the price gra...
by Kevin M
Wed Oct 15, 2014 8:10 pm
 
Forum: Investing - Help with Personal Investments
Topic: Does "substantially identical" apply to combined securities?
Replies: 31
Views: 1437

Re: So do we care more about change in bond price or bond yi

1) Fund 1-5 has a higher return because it is making use of "rolling the curve". But isn't the extra return the same as the higher duration? If not the bond traders would arbitrage it away. I think simple bond math/algebra answers question #1a, and I know you know bond math--probably bett...
by Kevin M
Wed Oct 15, 2014 7:44 pm
 
Forum: Investing - Theory, News & General
Topic: So do we care more about change in bond price or bond yield?
Replies: 173
Views: 11858

Re: Fleeting RBD for large-cap US and emerging markets?

Kevin, nice post and here is a thought. First, I am not an RBD type of guy and do not even bother rebalancing. However, I think you are a mutual fund holder. In that case, it has to be closing price. Imagine a 20% decline midday and closing flat. If you bother with ETFs however, then you can act at...
by Kevin M
Wed Oct 15, 2014 6:01 pm
 
Forum: Investing - Theory, News & General
Topic: Fleeting RBD for large-cap US and emerging markets?
Replies: 16
Views: 1230

Re: It's a good day to be heavy in REITs

What about those of us who are new to index fund investing, and wanted to add a 5% to 10% specific slice of REITs to our portfolios, but are worried about valuations? I've seen several of the respected voices in this forum mention even they were nervous about people getting in now. Do you still say...
by Kevin M
Wed Oct 15, 2014 5:40 pm
 
Forum: Investing - Theory, News & General
Topic: It's a good day to be heavy in REITs
Replies: 42
Views: 3982

Re: Fleeting RBD for large-cap US and emerging markets?

I believe the Livesoft RBD qualifies if it's intra-day. If he was quick enough, he should have bought (especially since there haven't been many of them in the past 1.5 years). 2.5% is his minimum threshold. Thanks. I believe it depends on a specified number of lows over a specified period of time, ...
by Kevin M
Wed Oct 15, 2014 4:48 pm
 
Forum: Investing - Theory, News & General
Topic: Fleeting RBD for large-cap US and emerging markets?
Replies: 16
Views: 1230

Re: Fleeting RBD for large-cap US and emerging markets?

I was going to try and beat any 3-funders or "keep investing simple" folks to the punch, and add the comment below, but looks like I missed my chance. Here it is anyway. For the folks mentioned above, you probably are well-served by your portfolios, and probably will do better than 90% of ...
by Kevin M
Wed Oct 15, 2014 4:44 pm
 
Forum: Investing - Theory, News & General
Topic: Fleeting RBD for large-cap US and emerging markets?
Replies: 16
Views: 1230

Fleeting RBD for large-cap US and emerging markets?

I don't know the exact definition of a "Really Bad Day" (RBD), but in glancing at my market quotes spreadsheet earlier today, I noticed that several funds were down 3% or more, specifically large-cap US stocks and Emerging Markets. I thought, "hmm, maybe I should pull my head out of d...
by Kevin M
Wed Oct 15, 2014 3:40 pm
 
Forum: Investing - Theory, News & General
Topic: Fleeting RBD for large-cap US and emerging markets?
Replies: 16
Views: 1230

Re: Does "substantially identical" apply to combined securit

This reminds me of the old loophole of selling something at a loss in a taxable account and immediately buying the same thing (or something substantially identical) in a tax-advantaged account. I distinctly remember a "tax expert" mentioning this loophole on an investing talk radio show so...
by Kevin M
Tue Oct 14, 2014 10:58 pm
 
Forum: Investing - Help with Personal Investments
Topic: Does "substantially identical" apply to combined securities?
Replies: 31
Views: 1437

Re: Does "substantially identical" apply to combined securit

I did basically this a few years ago (during 2008 as I recall). I sold Developed Markets and bought Europe and Pacific separately. To make myself feel more secure, I bought them in a different ratio than the holdings of Developed Markets. I don't recall exactly what the weighting in DM was, but I bo...
by Kevin M
Tue Oct 14, 2014 10:19 pm
 
Forum: Investing - Help with Personal Investments
Topic: Does "substantially identical" apply to combined securities?
Replies: 31
Views: 1437

Re: Why does the stock market beat inflation?

You might be interested in reading "Capital in the 21st Century". I don't have it in front of me, since I borrowed it from the library, but here are a couple of things I recall that are relevant to this discussion. The long term return on capital has been about 5% (in real terms). Inflatio...
by Kevin M
Tue Oct 14, 2014 9:22 pm
 
Forum: Investing - Theory, News & General
Topic: Why does the stock market beat inflation?
Replies: 62
Views: 3083

Re: Why does the stock market beat inflation?

While some people do claim that over the long run one will make money in the stock market, this is not a universal truth. Bob K had links to some papers showing that over the long run, the expected value of the stock market is higher; but the variability in the returns is also rising, increasing th...
by Kevin M
Tue Oct 14, 2014 6:45 pm
 
Forum: Investing - Theory, News & General
Topic: Why does the stock market beat inflation?
Replies: 62
Views: 3083
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