Bogleheads.org

Just remember that a high income worker in NY, with almost all income earned as opposed to investment, pays a very high tax rate. Saving >20% of after tax income should be practical. But much of the total income goes to pay taxes. The OP has essentially no control over his, very high, tax rate. I sa...

hardly new, but an interesting article on the topic

https://faculty.fuqua.duke.edu/~charvey ... ic_and.pdf

On costs: We are not making ANY assumptions about the relative performance of active vs passive management. The point about tens of thousands of extra dollars annually spent on expense ratios is just a comparison of the funds you have to those you could have. In fact, you could achieve most of these...

I suggest you open a brokerage account at Vanguard, tell them you want to move all your holdings to Vanguard, and start working with one of their financial planners. The size of your assets will make his free, although you may need to discuss this with them since initially you will not have much wit...

There should be a distinction between buying lottery tickets for entertainment and using them as an investment strategy. For the former, the payoff is not only the money one might receive, but also the pleasure of imagining winning. That would mean the lottery ticket has two payoffs: a tiny chance o...

On the leverage question there should be a simple answer that does not require inspecting fund holdings. If the fund is leveraged then its beta on its index should be greater than 1.00. If it is not leveraged then its beta will be 1. The fund might well have to invest in leveraged instruments in ord...

Again, I don't have any particular like or dislike of the fund. Just pointing out that as soon as a fund stops simply following an index one can no longer predict fund performance from index performance. if you want to use historical index performance as a guide then you need a fund that tracks the ...

Well, I don't think I need to explain it. The finance and investment literature is full of the explanation. They define deviating from the market portfolio as "active management". One could come up with an alternate definition for the term, but doing so only creates confusion. One may like...

isn't "tilt" or "splice and dice" portfolio just another form of active management? Yes it is. If tilt or S/D is active management, then so is market weight. No it is not. That said, there is no mandate to invest passively. The real world reason for it lies in data suggesting th...

The short term performance of this fund (PCRIX) since April suggests that there is no free lunch. The higher than index returns were apparently due to longer than T bills maturity on the collateral. As interest rates have risen the fund has underperformed its index substantially. This appears to be ...

There has certainly been evolution in asset pricing theory. The MIT course looks like an overall introduction to investing, so they may not get past broad principles. Cochrane's course should be up to date. I cannot wait.

Make that 5,001reasons not to use a "full service" broker. They don't have anything to offer, FINRA does what they are told. The only way to be safe with brokers is to avoid all contact.

I have to admit that comments like French's contribute to my skepticism, but mainly it is the disconnect between the data, the logic, and the implementation. One constructs an index that attempts to capture the return of the commodities market as a whole- to reproduce its different than stock or bon...

If one wanted to hedge stock and bond risk, why not use derivatives to do this explicitly, rather than invest in a commodities fund and hope it pays off?

Again, I am sure you pay far more attention to the holdings of PCRIX than I do. But their list of investments does not seem to imply that the commodities are simply long the UBS index. http://investments.pimco.com/ShareholderCommunications/External%20Documents/PIMCO%20Funds%20CommodityRealReturn%20S...

Perhaps getting too technical, but I was referring to commodities vs commodities, and the definition of alpha. There cannot be positive alpha of commodities in aggregate to the commodities market. By definition. Just as a Total Stock index cannot have positive alpha to itself. It would be possible f...

Larry, This is fascinating. I think we actually agree about the observations, but perhaps disagree about the implications for investment, which is a minor point for me. PCRIX is totally passive on commodities You may be right about this, but that is not what PIMCO says in its description of the fund...

Well, I don't know about "outperformed". PCRIX had a slightly higher mean return than VTI, but it looked much more volatile. I can't get SD or mean for the full period from Morningstar. For 10 years the means were VTI 8.35, PCRIX 5.41. SD VTI 15.16, PCRIX 21.50. Sharpe ratio VTI 0.50, PCRI...

rmelvey, Can you do this for commodities? And explain how, if one ignores ex-post returns, one can be sure the macro theory was correct, and applied correctly? use simple macro theory to understand the diversifying properties of certain investments, ignoring their ex-post correlation coefficients La...

T039, I am terrible at glancing at charts and determining alphas, betas, and variance. This means I could not begin to guess Sharpe ratios. I think I am a little bit better with guessing correlation coefficients, but not much. Here I would say that the commodities fund and the stock fund had a signi...

Not sure if that was addressed at me, but my point is that, just as one can always identify a stock fund that did better than the index, one can also find a commodities fund that did well. Since the funds vary in their mix and weights of assets, a good performance might be due to chance that the fun...

Right. It is one fund, that tracks one index. We don't know whether one would have picked this particular index back when the fund started, we don't know how other funds that sought to track similar indices fared, or whether this index made sense. This fund underperformed the Morningstar "best ...

TO39, I appreciate your efforts, but as I said, I cannot tell from the chart whether the combination of commodities with stock and bond funds produced a lower variance than the stock and bond funds alone. Maybe, maybe not. One would need to see the actual numbers. These are results from one fund, bu...

It is not obvious to me from the chart. It may be that there would be a reduction in variance without much penalty, or perhaps an increase, in mean return. The chart could not tell us how well the commodities fund tracked the commodities index, even assuming one knew which index to tract. You would ...

There have been commodities funds around long enough that one could do a simulation based on actual returns, rather than relying on an index: Go back as far as real world funds permit Use TSM and TBM as the stock and bond investments, covering the US markets. Create a portfolio, updated monthly, of ...

AMOMX has now been around long enough that Morningstar can report three-year performance. R2 was 0.94, so almost an index fund on S&P500. But mean was lower, SD and beta higher, and alpha -2.3. I don't know how much of the momentum factor it captured, but one would have been better off in an ind...

Lazyday brings up a good point: Since DFA earns some money on lending its securities, one cannot attribute all of its performance to stock investing. The fact that they match their indices in some funds may reflect this lending revenue balancing the transaction costs, rather than the trading strateg...

Perhaps I have been lucky, but I have found the bank officers who do the guarantees know what they are doing. I have never had a problem with a financial institution accepting a guarantee, and as far as I can remember, they always dated their signature. If you have questions, try asking at the bank.

Kind of an overheated headline. In this case "record" does not mean "since Europeans settled in the Americas", "in the history of the republic", or even "since the founding of the NYSE". It apparently means "since Gallup has been asking this question"...

Rick, That is fascinating. I had no idea it was so time consuming. If you are willing, could you break down more what takes up your time? You mentioned 2 hours for compliance per account. Is that stuff you need to do yourself? How much of that is because you are a fiduciary, and how much is simple r...

That is a great quote. Rick, I serve on the board of a professional society, and we have done exactly what you describe to get low costs for the mutual funds, and have an independent third party do the, minimal, management of the investments. It took a little nudging to get them all indexed, but the...

Can't help but notice that in the example, the "low cost" approach still has advisor fees nearly double the mutual fund fees. If you agree that a two fund portfolio makes sense, then it is hard to see what the advisor could do to earn any fee at all, let alone nearly tripling the cost.

I looked at low cost VA's years ago and concluded they were bets on lower tax rates in retirement. and even then only for very long term investments. As illustrated above, the advantage goes away as retirement tax rates increase. Given the financial state of the federal government, it is hard to ima...

What a miserable existence. It sounds like these people want to work in the finance industry, but don't know enough to realize that being a stockbroker is not the route to wealth or security. Do Not Call has just about eliminated cold calls coming to me, but I had no idea either that they actually e...

I suppose they could advertise it more, but given Vanguard's business model, what is in it for them? It may be a little simpler to manage $10M in one account than in 10 accounts, but as the fees go down, it is not clear that they really make any more money of the HNW investors. Unlike a high priced ...

I realize pain management has been hot for a while, but remember that, unlike managing a patient during surgery, you don't have to be an anesthesiologist to do it. The procedures are simple, and require little training. Any doc can prescribed the drugs. As primary care folks feel ever more pressed t...

General comment: Very few academic radiologists do research. Many write up case series, or do other clinical projects, but actual research is pretty rare. Most academic radiologists would share your attitude of liking the clinical environment, trainees, more advanced and complex cases, and teaching,...

#1, for sure. I don't enjoy my work, but I am good at it and it pays well. I am not frugal to accumulate enough money to retire. I am frugal because I am frugal. I dislike spending money and I dislike most things on which people spend large amounts- expensive restaurants, travel, wine, fancy clothes...

I can understand the frustration with medicine, but you need a practical alternative. Ideally, you would use your medical background. MBA, MPP, MPH and go into management or health policy? You would still be in the medical business, but you would not be delivering care. Becoming a CFP, ChFA, etc see...

Zebrafish is right about entering a PhD program without enthusiasm for research. You are unlikely to finish and it would be a miserable experience along the way. You would certainly need to know what happens financially if you drop out, as you almost certainly would. On the other hand, for someone w...

I got 100%, but I think the questions were fair if you read carefully. Re: risk vs return. The key here is not "securities", but "investments". The principle certainly applies outside of securities. But the example of casino gambling is inappropriate. A large part of that activit...

If you do aggressive TLH, you have to factor in the time and effort in completing your tax returns. Or the cost of paying someone to do it for you. Given a single statement from one fund company, perhaps it will not affect the price from a paid preparer. For those of us who do our own taxes, the mor...

I am handling affairs for two relatives. I looked at Vanguard, but in the current low interest rate environment, even its low fees would eat up a lot of the return of a conservative portfolio. I am also finding that most of what I do requires knowing the beneficiary. The sorts of things a stranger c...

Couldn't you extract this from the data Fama and French provide? The results Larry shows include, I assume, the correlations of the asset classes. If you try to simulate variance without the data from the correlation matrix you will get the wrong results. This seems like fun, but a limited guide to ...

A better indicator of the fidelity of tracking the target index is R^2, rather than return over 3 years. Plenty of funds may have given returns similar to the AQR offerings, while not at all using momentum strategies. Even better would be a multiple correlation showing the factor loadings of the mom...

I have been on faculty at both schools, so no ax to grind. Short answer- go to Penn. Long answer- Harvard and Penn are equivalent at the top quality of US med schools. Penn has worked very hard and successfully to make the experience of being a medical student outstanding. It is remarkable how much ...

The only Vanguard ETFs to which I pay attention have near perfect correlation with their benchmarks. As noted above, that is the goal, not buying or selling the entire mix of securities everyday. It might be interesting to see how they run the fund, but hardly something to worry about.

We are mixing four questions 1 How reliable is the value premium? Studies have suggested that it is robust across markets, countries, and time periods. But only if you hold to the strategy for many years. 2 Which value metric is best? Studies have shown that the multiple metrics tend to produce simi...

[quote]Owned by investors not by 3rd party shareholders. No conflicts of interest.[/quote] This one does not apply to Fidelity, Schwab, DFA, or any other firm with which I am familiar. It is the reason Vanguard can pursue low costs for all its funds. Other companies try to match Vanguard's fees for ...

Rick, Interesting thoughts, but I am afraid I have missed what Wealthfront brings to the table. Their software does not appear to be particularly valuable. I would think any large broker dealer is already able to generate asset allocation advice, and if they wanted software help, they could hire a c...