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Re: A levered 50/50 portfolio is better than a 90/10 one?

I do wish you and ranger luck and good fortune even if my path is different. Thanks wish you the same. To be clear, I am leveraged player since 2001-2002 but not vanilla leverage described in this thread or market timer thread. I am mostly long/short momentum commodities/currencies/Asset classes al...
by Ranger
Sun Nov 24, 2013 11:04 pm
 
Forum: Investing - Theory, News & General
Topic: A levered 50/50 portfolio is better than a 90/10 one?
Replies: 43
Views: 4269

Re: If index funds didn't exist, what would you do?

rgb73 wrote:Hi,

Well thank heavens for Jack Bogle & Vanguard so we don't have to really consider this. But without them, what would you do?
rgb73


If you are implying jack bogle or vanguard invented index funds, then you are mistaken. They certainly popularized it. Credit should go to GMO's Grantham
by Ranger
Sun Nov 24, 2013 7:44 pm
 
Forum: Investing - Theory, News & General
Topic: If index funds didn't exist, what would you do?
Replies: 60
Views: 2604

Re: A levered 50/50 portfolio is better than a 90/10 one?

You can use futures and fine tune using options and/or ETFs. I use ES future options, SPX and SPY options to maintain the delta exposure I want. 100,000 silly competition can be limiting for combination of future, option and ETF account. Portfolio margining needs more than $100,000. I also mentione...
by Ranger
Sun Nov 24, 2013 7:39 pm
 
Forum: Investing - Theory, News & General
Topic: A levered 50/50 portfolio is better than a 90/10 one?
Replies: 43
Views: 4269

Re: A levered 50/50 portfolio is better than a 90/10 one?

However I need to be able to borrow $100K at the risk free rate which is currently 0%. Since you are proposing the challenge, are you willing to lend contestants $100K at 0 percent? It is possible. Futures have implied borrowing rate of around 0.5% now, but those contracts are big. Assume you buy o...
by Ranger
Sun Nov 24, 2013 1:16 pm
 
Forum: Investing - Theory, News & General
Topic: A levered 50/50 portfolio is better than a 90/10 one?
Replies: 43
Views: 4269

Re: A levered 50/50 portfolio is better than a 90/10 one?

Pardon my english, I am not an native speaker.

That said, it means what i said in the quote. Lever up, when there is opportunity and now is not the time.
YDNAL wrote:/
Are you saying that you use leverage
[/quote]

Yes.
viewtopic.php?f=1&t=115887&p=1687102#p1687785
by Ranger
Sun Nov 24, 2013 12:44 pm
 
Forum: Investing - Theory, News & General
Topic: A levered 50/50 portfolio is better than a 90/10 one?
Replies: 43
Views: 4269

Re: A levered 50/50 portfolio is better than a 90/10 one?

. 3. Any takers? HERE is an interesting perspective. I would, but i said this in another thread. http://www.bogleheads.org/forum/viewtopic.php?f=10&t=122940#p1800552 " In trading, traders can play only when expected returns are positive. For eg, lever up when CAPE below 12 and reduce lever...
by Ranger
Sun Nov 24, 2013 11:46 am
 
Forum: Investing - Theory, News & General
Topic: A levered 50/50 portfolio is better than a 90/10 one?
Replies: 43
Views: 4269

Re: who here is tempted to pullback on stocks?

I'm confused. What evidence is there that this rally won't continue? CAPE/PE10 is just fine. My simulations suggest a 6.1% 10 year CAGR on equities which isn't much lower than it has been for the past year. Seems to me that years like this are just par for the course. With CAPE above 25, Cliff Asne...
by Ranger
Sun Nov 24, 2013 7:33 am
 
Forum: Investing - Theory, News & General
Topic: who here is tempted to pullback on stocks?
Replies: 104
Views: 8199

Re: A levered 50/50 portfolio is better than a 90/10 one?

Rodc wrote:All those little words and yet not one numerical example. (Just saying...)


grayfox and sltultz had worked through before my post showing why leverage can have better return and sharpe ratio.
by Ranger
Sun Nov 24, 2013 7:21 am
 
Forum: Investing - Theory, News & General
Topic: A levered 50/50 portfolio is better than a 90/10 one?
Replies: 43
Views: 4269

Re: A levered 50/50 portfolio is better than a 90/10 one?

In real life, if you and I have the same standard-deviation "risk," and you have a higher return, and your portfolio has leverage but mine doesn't, then we will have the same standard-deviation "risk," but you will have a higher chance of ruin, higher "black swan" risk...
by Ranger
Sat Nov 23, 2013 5:17 pm
 
Forum: Investing - Theory, News & General
Topic: A levered 50/50 portfolio is better than a 90/10 one?
Replies: 43
Views: 4269

Re: A levered 50/50 portfolio is better than a 90/10 one?

If one wants cheap leverage, they can always use futures. It is cheaper than Interactive Brokers margin interest.
by Ranger
Sat Nov 23, 2013 1:58 pm
 
Forum: Investing - Theory, News & General
Topic: A levered 50/50 portfolio is better than a 90/10 one?
Replies: 43
Views: 4269

Re: who here is tempted to pullback on stocks?

denovo wrote:What's next, are we gonna have a 300 post thread about candlesticks or lightbubs or some other smoke and mirror "technical analysis"


Consider this, before momentum became one of the "fundamental factor" it was practiced by smoke and mirror technicians.
by Ranger
Thu Nov 21, 2013 6:35 pm
 
Forum: Investing - Theory, News & General
Topic: who here is tempted to pullback on stocks?
Replies: 104
Views: 8199

Re: who here is tempted to pullback on stocks?

For those with a long-term investing horizon, maybe something to consider from Jeremy Siegel's Stocks For the Long Run : A number of "market timers" boasted how they yanked all their money out of stocks before the 1987 stock crash. But many did not get back into the market until it had al...
by Ranger
Thu Nov 21, 2013 9:52 am
 
Forum: Investing - Theory, News & General
Topic: who here is tempted to pullback on stocks?
Replies: 104
Views: 8199

Re: Valuations matter? Your opinion

If i remember it right, Mr. Bogle had made statements regarding shifting allocation on the edges during times of high valuation in 1999-2000. I am glad that majority of this poll have the same view rather than head in the sand approach. Edit: Here is the quote from Mr. Larrimore quoting Bogle http:/...
by Ranger
Tue Nov 19, 2013 3:33 pm
 
Forum: Investing - Theory, News & General
Topic: Valuations matter? Your opinion
Replies: 56
Views: 2913

Re: Reports from the AAII convention…

O’Shaughnessy did not subscribe to Monte Carlo Simulations because they are based on Bayesian distribution (bell curve simulations). Probably you misheard. Most of the Monte-Carlo simulations is based on Normal (Gaussian) distribution. As far as i know, there is no Bayesian distribution but there i...
by Ranger
Sat Nov 16, 2013 6:58 am
 
Forum: Personal Finance (Not Investing)
Topic: Reports from the AAII convention…
Replies: 1
Views: 329

Volvo commercial

https://www.youtube.com/watch?v=M7FIvfx5J10


Related article:
http://blogs.wsj.com/speakeasy/2013/11/ ... commercial

One of the best commercial and stunts I have seen.
by Ranger
Fri Nov 15, 2013 9:00 pm
 
Forum: Personal Consumer Issues
Topic: Volvo commercial
Replies: 2
Views: 575

Re: It's a stock picker's year

Larry:

I did not do read complete article.

Seeking alpha website needs registration to view 2nd page.

That website always looked little seedy to me.

If there is a contest, I would go long all those top 10 momentum stocks and short bottom 10 momentum stocks keeping dollar and volatility neutral.
by Ranger
Fri Nov 15, 2013 6:55 pm
 
Forum: Investing - Theory, News & General
Topic: It's a stock picker's year
Replies: 20
Views: 1954

Re: How to beat the index

Sure, there are different indexes. Speaking of Vanguard :happy .... Don't they already offer small cap, mid cap, value, growth, and about any other index one can think of... and also dividend funds? Probably at lower costs than these other firms. The article makes it seem like Vanguard only offers ...
by Ranger
Fri Nov 15, 2013 6:51 pm
 
Forum: Investing - Theory, News & General
Topic: How to beat the index
Replies: 26
Views: 1995

Re: Shiller P/E 10 hits 25

Damodaran publishes Imputed Equity Risk Premium every month in his website. http://people.stern.nyu.edu/adamodar/New_Home_Page/home.htm Implied ERP as of November 1, 2013= 5.49% (normalized cash yield); 5.36% (Trailing 12 month cash yield). 5.5% compared to its own history still looks attractive. ht...
by Ranger
Fri Nov 15, 2013 2:34 pm
 
Forum: Investing - Theory, News & General
Topic: Shiller P/E 10 hits 25
Replies: 268
Views: 18206

Re: Harry Browne Permanent Portfolio question

To answer your question of why should you care what he had to say? There is none. That is the great thing of life is it is up to you to analyze different viewpoints on any subject and decide which is best and investing is no different. It may be hard for folks on here to comprehend, but there are f...
by Ranger
Wed Nov 13, 2013 10:19 pm
 
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio question
Replies: 73
Views: 4298

Re: how many times to trade

Pattern day trade rule applies if this is in margin account and balance is less than $25,000

http://en.wikipedia.org/wiki/Pattern_day_trader
by Ranger
Wed Nov 13, 2013 10:16 pm
 
Forum: Investing - Theory, News & General
Topic: how many times to trade
Replies: 8
Views: 560

Re: Expected Returns by Antti Ilmanen

matjen wrote:He is at AQR now. http://www.aqr.com/InsightAwardApp/bios.htm


Thx. I did not know this. I am not surprised, since Cliff knew him from his Chicago days.
by Ranger
Wed Nov 13, 2013 10:13 am
 
Forum: Investing - Theory, News & General
Topic: Expected Returns by Antti Ilmanen
Replies: 55
Views: 6179

Re: Expected Returns by Antti Ilmanen

I think he managed money for a small mutual fund company called Norway; not sure what the historical returns were, but I believe the fund is still in operation. Book backside cover says, he is a senior portfolio manager at Brevan Howard, one of the world's foremost macro hedge funds.... He is also ...
by Ranger
Wed Nov 13, 2013 9:59 am
 
Forum: Investing - Theory, News & General
Topic: Expected Returns by Antti Ilmanen
Replies: 55
Views: 6179

Re: If want a good laugh watch this video

Now I have very low opinion about Barron's ranking process. From his website:

Image
by Ranger
Tue Nov 12, 2013 9:15 pm
 
Forum: Investing - Theory, News & General
Topic: If want a good laugh watch this [advisor] video
Replies: 41
Views: 4111

Re: Harry Browne Permanent Portfolio question

Harry Browne's portfolio was informed by his general mistrust of government. Are you sure sure the convexity effect wouldn't get much bigger in extreme monetary events like the Volcker recession or the 1930-32 deflation ? During the deflation one is better off with bullet portfolio rather than barb...
by Ranger
Tue Nov 12, 2013 3:05 pm
 
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio question
Replies: 73
Views: 4298

Re: Financial failures

Valuation matters, more so than staying the course.
by Ranger
Mon Nov 11, 2013 10:55 pm
 
Forum: Personal Finance (Not Investing)
Topic: Financial failures
Replies: 55
Views: 3315

Re: Short squeeze: Plan of action needed

If they have options on that stock buy slightly out of the money calls
by Ranger
Mon Nov 11, 2013 10:16 pm
 
Forum: Investing - Theory, News & General
Topic: Short squeeze: Plan of action needed
Replies: 4
Views: 720

Re: Harry Browne Permanent Portfolio question

I don't hold PP. Probably craigr can answer it. Only reason I can see is in rising rate environment maturing T-bills will be replaced with the higher interest rate T-bills giving some boost to the portfolio compared to the bullet portfolio.
by Ranger
Mon Nov 11, 2013 5:36 pm
 
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio question
Replies: 73
Views: 4298

Re: Harry Browne Permanent Portfolio question

The effect will be similar to portfolio with barbell strategy vs portfolio of bullet strategy of same duration. Barbell strategy probably will be slightly better in rising rate environment.
by Ranger
Mon Nov 11, 2013 5:05 pm
 
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio question
Replies: 73
Views: 4298

Re: We're not in an Equity Bubble

Ken Fisher says no recession in site: http://www.forbes.com/sites/kenfisher/2013/10/30/meet-the-magic-indicator-the-lei-dont-lie/ Topic here is bubble. LEI does not tell whether the asset is in bubble, but it does have some predictive power for picking recession. Air can be let out of the bubble, w...
by Ranger
Mon Nov 11, 2013 9:46 am
 
Forum: Investing - Theory, News & General
Topic: We're not in an Equity Bubble
Replies: 61
Views: 6693

Re: We're not in an Equity Bubble

Notice the average bull-bear spread for 2013 is 9% so far. This looks much more like 1991 (9%) than the height of the tech boom in 1999 (20%) and 2000 (25%). I suspect that many feel like we're in a bubble because the current spread is 20 points higher than it was during 2008 and 14 points higher t...
by Ranger
Sun Nov 10, 2013 9:00 pm
 
Forum: Investing - Theory, News & General
Topic: We're not in an Equity Bubble
Replies: 61
Views: 6693

Re: Second part of the Buffett-BRK blog post

Ahh. Thanks Larry.

Good ole days of earning 4% on float. With the current ZIRP that premium has also been taken away.
by Ranger
Fri Nov 08, 2013 4:22 pm
 
Forum: Investing - Theory, News & General
Topic: Second part of the Buffett-BRK blog post
Replies: 26
Views: 2199

Re: VWO seems cheap right now

To the OP:
As other poster said, GMO thinks EM valuations are cheap. For a different view point you can read this.
http://vanguardadvisorsblog.com/2013/10 ... are-cheap/
by Ranger
Fri Nov 08, 2013 1:12 pm
 
Forum: Investing - Theory, News & General
Topic: VWO seems cheap right now
Replies: 125
Views: 14155

Re: Second part of the Buffett-BRK blog post

Larry: Could you explain further what do you mean by this " His use of cheap leverage provided by his companies (that explained about 4 percent of his excess return)." in your article? I do not remember Buffet levering up companies after he bought it. If you mean he was just buying low P/B...
by Ranger
Fri Nov 08, 2013 12:07 pm
 
Forum: Investing - Theory, News & General
Topic: Second part of the Buffett-BRK blog post
Replies: 26
Views: 2199

Re: Twitter

TWTR options are not listed yet. It will be perfect trading vehicle with price over 40, liquid underlying and high vol. Trifecta for option traders Can you elaborate? Do you suggest buying put options? Thanks! No, I am not suggesting any trade decision. It is just that TWTR will become another hors...
by Ranger
Fri Nov 08, 2013 11:18 am
 
Forum: Investing - Theory, News & General
Topic: Twitter IPO?
Replies: 60
Views: 2555

Re: Squawk Box

What's your point?

Enitre market got it wrong. Look at the bond yields reaction.
by Ranger
Fri Nov 08, 2013 10:04 am
 
Forum: Personal Finance (Not Investing)
Topic: Squawk Box
Replies: 18
Views: 2069

Re: Dangers of shorting VXX over long term

fredflintstone: VXX can be shorted. I have traded that product many times in 2009-10, but not recently.(both long and short) futurereturns: After VXX was introduced, VIX had done nothing but going down. Falling VIX, combined with contango has been great for shorts. But during the time of sudden rise...
by Ranger
Thu Nov 07, 2013 11:15 pm
 
Forum: Investing - Help with Personal Investments
Topic: Dangers of shorting VXX over long term
Replies: 11
Views: 1206

Re: Dangers of shorting VXX over long term

I really fail to see how in the long run, this could ever be a bad idea . Please let me know if I'm missing something vital! It is a bad idea when you really need the most. Assuming you are long the stocks, short vol. is a double whammy. At that time of stress, your roll yield will flip. http://ima...
by Ranger
Thu Nov 07, 2013 9:03 pm
 
Forum: Investing - Help with Personal Investments
Topic: Dangers of shorting VXX over long term
Replies: 11
Views: 1206

Re: Twitter

BBL wrote:They'll go live November 15 (last I heard).


Thx. Good to know
by Ranger
Thu Nov 07, 2013 5:23 pm
 
Forum: Investing - Theory, News & General
Topic: Twitter IPO?
Replies: 60
Views: 2555

Re: Twitter

BBL wrote:Maybe you should put on an inverse split-strike butterfly. :moneybag


TWTR options are not listed yet. It will be perfect trading vehicle with price over 40, liquid underlying and high vol. Trifecta for option traders
by Ranger
Thu Nov 07, 2013 2:50 pm
 
Forum: Investing - Theory, News & General
Topic: Twitter IPO?
Replies: 60
Views: 2555

Re: google does math

http://www.wolframalpha.com/examples/

Wolfarmalpha can do more than Google.
by Ranger
Thu Nov 07, 2013 9:31 am
 
Forum: Personal Consumer Issues
Topic: google does math
Replies: 53
Views: 4077

Re: Putting Active Management to the Test

I guess I'm a fool then. Nothing personal. Picking fund managers who will beat markets is not a strategy. One has a little control over that strategy once the money is committed. Manager style will drift or retire mid course or the fund asset will bloat, then your fund will no longer the same as wh...
by Ranger
Wed Nov 06, 2013 7:09 am
 
Forum: Investing - Theory, News & General
Topic: Putting Active Management to the Test
Replies: 91
Views: 9172

Re: Shiller Thinks Owning a Home is a Terrible Investment

Are you sure? That is usually addressed in these beating a dead horse threads on own vs rent. beating dead horse you say? [animated Victorian (Georgian?) print of dead horse being beaten removed by admin alex. you can see it at http://imageshack.com/a/img823/2967/zvi.gif if you are so inclined]
by Ranger
Wed Nov 06, 2013 6:48 am
 
Forum: Investing - Theory, News & General
Topic: Shiller Thinks Owning a Home is a Terrible Investment
Replies: 255
Views: 21350

Re: Putting Active Management to the Test

In my opinion, Identifying active managers who will beat the benchmark in x number of years is fools game. It is fund of funds approach. After accounting their layer of fees, there is no alpha.

It is much better to identify strategy which beats the benchmark and apply leverage.
by Ranger
Tue Nov 05, 2013 11:41 pm
 
Forum: Investing - Theory, News & General
Topic: Putting Active Management to the Test
Replies: 91
Views: 9172

Re: A tale of two woes - commodities and gold

Since PP is portfolio by itself, it is better to compare with Balanced index (VBINX which is 60/40). This is the comparison for last 10 years.
Image
by Ranger
Mon Nov 04, 2013 10:36 pm
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5189

Re: A tale of two woes - commodities and gold

Another pop psychologist observation. Demographics of investors probably explains the difference. Income oriented older investors hold VWINX, who tend to hold on to their investments for longer period. Also hard core PP investors don't use PRPFX. They actually hold physical gold and other index fund...
by Ranger
Mon Nov 04, 2013 9:57 pm
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5189

Re: A tale of two woes - commodities and gold

larryswedroe wrote:Third, poster had this backwards



Thx for the correction. I was trying to write about demand shocks of 80 (tightening), 01 (war) and 08-09 (collapse of house prices) were similar, so CCF insurance payout was not warranted but were all mixed up. I should stop posting late nights.
by Ranger
Mon Nov 04, 2013 10:41 am
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5189

Re: A tale of two woes - commodities and gold

Ranger, I am still thinking about this. The option at my workplace looked unappealing to me but perhaps my expectations for performance were unrealistic. A good question to ask is how will commodities perform in times of unexpected inflation compared to other things investors do to hedge against in...
by Ranger
Sun Nov 03, 2013 10:07 pm
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5189

Re: A tale of two woes - commodities and gold

That cliffdive in 2008 was sure scarey wasn't it? The CCF insurance company denied the claim that year. Sometimes that's what happens when you need it the most -- like those folks in NJ still trying to collect from hurricane Sandy. :oops: You post every other week about commodity and you still don'...
by Ranger
Sun Nov 03, 2013 8:06 pm
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5189

Re: A tale of two woes - commodities and gold

larryswedroe wrote:One thing I learned long ago about managing risks is that lucky fools never think they are lucky (that the risks did not show up). It's the "unlucky" ones who blame bad luck for the outcome they got (when the risks they should/could have hedged do show up).


Nice quote
by Ranger
Sun Nov 03, 2013 11:46 am
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5189

Re: A tale of two woes - commodities and gold

YES, it is ALL about investor behavior. Fair enough and good post. Very seriously, a flaw in every statistical analysis of retirement savings and withdrawals I've ever seen is that they do not allow for behavioral mistakes. A good analysis would include statistical assumptions about the mean and st...
by Ranger
Sun Nov 03, 2013 10:24 am
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5189
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