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Re: An inefficient market creating drag on index returns

Doesn't the S&P's loss have to be the Completion Index's gain?
by baw703916
Tue Sep 02, 2014 2:18 pm
 
Forum: Investing - Theory, News & General
Topic: An inefficient market creating drag on index returns
Replies: 30
Views: 1567

Re: An inefficient market creating drag on index returns

Here's an article that gives some insight into Vanguard's trading approach:

http://www.etftrends.com/2012/07/vangua ... y-trading/
by baw703916
Mon Sep 01, 2014 9:06 pm
 
Forum: Investing - Theory, News & General
Topic: An inefficient market creating drag on index returns
Replies: 30
Views: 1567

Re: An inefficient market creating drag on index returns

Most of the effects OP is worrying about cannot be measured by tracking error - tracking error mostly captures implementation costs, not index performance. This is a really important point. It should reflect the "direct trading costs" category. For the indirect trading costs, one thing th...
by baw703916
Mon Sep 01, 2014 7:26 pm
 
Forum: Investing - Theory, News & General
Topic: An inefficient market creating drag on index returns
Replies: 30
Views: 1567

Re: "Tucker 48"

I am tempted by the Tessla. Pizzasteve: 65 Years ago there was a fantastic new car called the "Tucker 48." Investors clamored to buy its stock. Read what happened here: TUCKER 48 Best wishes. Taylor Understood. Keep in mind that we could cut a check for the Tessla now, cash, but drive a u...
by baw703916
Mon Sep 01, 2014 5:23 pm
 
Forum: Personal Finance (Not Investing)
Topic: If you had an extra $100,000
Replies: 58
Views: 5131

Re: An inefficient market creating drag on index returns

A lot of the costs (trading costs associated with index turnover) will be reflected in negative tracking error, so they can be measured. As for things like front-running the index, one approach is to just own the complementary index. Stocks generally jump in price when the get added to the S&P 5...
by baw703916
Mon Sep 01, 2014 4:23 pm
 
Forum: Investing - Theory, News & General
Topic: An inefficient market creating drag on index returns
Replies: 30
Views: 1567

Re: No advantage of Slice and Dice vs 3Fund?

I don't even understand why people use the term "tracking error" because to me that's when a fund is supposed to compare to an index and doesn't match well but a slice and dice portfolio isn't supposed to track a three fund and in fact that's kind of the point so it seems like the term is...
by baw703916
Mon Sep 01, 2014 11:52 am
 
Forum: Investing - Theory, News & General
Topic: No advantage of Slice and Dice vs 3Fund?
Replies: 41
Views: 2546

Re: No advantage of Slice and Dice vs 3Fund?

I never quite follow the "tracking error regret" point as being some unique feature of a tilted portfolio. Isn't there always something that is doing better than whatever portfolio you have? I know I have regret that I just didn't go 100% Wellesley when I started investing with Vanguard. ...
by baw703916
Mon Sep 01, 2014 11:28 am
 
Forum: Investing - Theory, News & General
Topic: No advantage of Slice and Dice vs 3Fund?
Replies: 41
Views: 2546

Re: table suggests total bond not best as diversifier

What is considered a high stock portfolio? Would that be an absolute percentage, or would it depend on one's age? When doing MPT math it has nothing to do with age. When considering numbers, results are usually a continuous function of those numbers and there is no particular cutoff. When Larry Swe...
by baw703916
Mon Sep 01, 2014 11:25 am
 
Forum: Investing - Theory, News & General
Topic: table suggests total bond not best as diversifier
Replies: 20
Views: 1867

Re: table suggests total bond not best as diversifier

1940-1980 is pretty alarming to me. I'd hate to be stuck with 30-year bonds during a period like that, with no way to let them mature, and large interest rate sensitivity causing 30% up-and-down fluctuations in the value of my holding while slowly losing 60% of its purchasing power. Of course durin...
by baw703916
Sun Aug 31, 2014 10:15 pm
 
Forum: Investing - Theory, News & General
Topic: table suggests total bond not best as diversifier
Replies: 20
Views: 1867

Re: No advantage of Slice and Dice vs 3Fund?

livesoft wrote:Can you rebalance into SCV after it trails for a few years? Nowadays, it might be, can you buy foreign equities or emerging markets equities even though they have trailed US equities for some time?


That's why this approach works, because most people can't follow it. :)
by baw703916
Sun Aug 31, 2014 7:20 pm
 
Forum: Investing - Theory, News & General
Topic: No advantage of Slice and Dice vs 3Fund?
Replies: 41
Views: 2546

Re: table suggests total bond not best as diversifier

LT treasuries have had a heck of a year. My understanding was that historically you don't get paid enough for the additional volatility when you move from intermediate to long term. I can certainly imagine a scenario where LT treasuries and stocks tank at the same time (think rising interest rates)...
by baw703916
Sun Aug 31, 2014 7:02 pm
 
Forum: Investing - Theory, News & General
Topic: table suggests total bond not best as diversifier
Replies: 20
Views: 1867

Re: table suggests total bond not best as diversifier

LT Treasury is in general a great diversifier against financial panics, and in general does well in periods of low inflation and falling interest rates. It didn't do so well in the 1970s bear markets, which were caused by commodity supply shocks and occurred in periods of high inflation and increasi...
by baw703916
Sun Aug 31, 2014 4:33 pm
 
Forum: Investing - Theory, News & General
Topic: table suggests total bond not best as diversifier
Replies: 20
Views: 1867

Re: No advantage of Slice and Dice vs 3Fund?

A few comments: 1) a 1% difference in return may not sound like a lot, but if it really is persistent the compounding has a huge effect. Nobody would recommend a fund with a 1% expense ratio over VTSAX, and with good reason. This is exactly the same difference in returns. 2) not only is the return h...
by baw703916
Sun Aug 31, 2014 3:57 pm
 
Forum: Investing - Theory, News & General
Topic: No advantage of Slice and Dice vs 3Fund?
Replies: 41
Views: 2546

Re: When to invest in China?

If China has a 70+% drop, I might consider a specific investment in it.
by baw703916
Sat Aug 30, 2014 10:50 pm
 
Forum: Investing - Theory, News & General
Topic: When to invest in China?
Replies: 43
Views: 1706

Re: 2M trust.. Interviewing Advisor.. Advice?

livesoft wrote: paying for college is really not hard at all once you have the money.


Paying for pretty much anything isn't hard once you have the money.
by baw703916
Sat Aug 30, 2014 2:33 pm
 
Forum: Investing - Help with Personal Investments
Topic: 2M trust.. Interviewing Advisor.. Advice?
Replies: 11
Views: 1290

Re: Donald Trump - The Apprentice

abuss368 wrote:I wonder if "The Donald" will ever turn The Trump Organization into a REIT.


I kind of hope not, because VNQ would have to buy it, and it's inclusion might lower the performance.
by baw703916
Sat Aug 30, 2014 2:31 pm
 
Forum: Personal Consumer Issues
Topic: Donald Trump - The Apprentice
Replies: 27
Views: 1632

Re: When to invest in China?

leonard wrote:What unique insights do we have on China that we don't have on Andorea or San Marino?


A friend who lives in Spain once said the following to me of Andorra: "It's not a country, it's a street."
by baw703916
Sat Aug 30, 2014 2:26 pm
 
Forum: Investing - Theory, News & General
Topic: When to invest in China?
Replies: 43
Views: 1706

Re: A Primer on John Templeton

My takeaway from #4 is the following. If someone is achieving superior performance by doing something different than the crowd, then others will start to adopt that strategy if it can be emulated. Which means that is will cease to outperform because everyone is using that strategy, whatever it is. T...
by baw703916
Sat Aug 30, 2014 11:22 am
 
Forum: Investing - Theory, News & General
Topic: A Primer on John Templeton
Replies: 28
Views: 2050

Re: Should I offload Micro Caps?

Actually BRSIX has not greatly outperformed stocks in general the last few years, nor for that matter have microcaps in general. http://performance.morningstar.com/fund/performance-return.action?t=BRSIX&region=usa&culture=en-US The 5 year returns are 17.29% for BRSIX, 16.88% for the S&P....
by baw703916
Sat Aug 30, 2014 10:43 am
 
Forum: Investing - Help with Personal Investments
Topic: Should I offload Micro Caps?
Replies: 12
Views: 1261

Re: Donald Trump - The Apprentice

How about one where John Bogle fires active managers if they can't beat the market after expenses? :twisted:
by baw703916
Thu Aug 28, 2014 11:52 pm
 
Forum: Personal Consumer Issues
Topic: Donald Trump - The Apprentice
Replies: 27
Views: 1632

Re: Chicken or Fish

Peanut butter :)
by baw703916
Thu Aug 28, 2014 5:07 pm
 
Forum: Personal Consumer Issues
Topic: Chicken or Fish
Replies: 10
Views: 732

Re: California residents - do you have earthquake insurance?

Well, actually ... I'd venture most of California is at risk. The last few big earthquakes, including the Napa one, occurred along fault lines that were largely unknown to seismologists. They don't know a helluva lot more than we do. Most of *coastal* California is at risk. Most of the interior has...
by baw703916
Wed Aug 27, 2014 9:46 pm
 
Forum: Personal Consumer Issues
Topic: California residents - do you have earthquake insurance?
Replies: 49
Views: 2557

Re: Should I offload Micro Caps?

The other microcap ETFs out there are PZI and WMCR. PZI does seem more valuey, but hasn't performed much differently than IWC. Because there is going to be a lot of turnover in microcap companies, I'm just not sure how a mutual fund (even a passive one) without an ETF share class can be very tax eff...
by baw703916
Wed Aug 27, 2014 7:42 pm
 
Forum: Investing - Help with Personal Investments
Topic: Should I offload Micro Caps?
Replies: 12
Views: 1261

Re: Copyright question

I'm tempted to make a joke about strange BEDfellows. I'm glad you gave in to the temptation. I have been making puns such as "BEDtime stories" and "put it to BED" but have not thought of this one. Thanks, Victoria I think I understand. You have no problem with strange BEDfellows...
by baw703916
Wed Aug 27, 2014 3:49 pm
 
Forum: Personal Consumer Issues
Topic: Copyright question
Replies: 27
Views: 1463

Re: Copyright question

VictoriaF wrote: The difference this time is that I have invented a topic and gave it a catchy name ("BED"). I don't as much mind people using my slides as usurpating my BED.

Victoria


I'm tempted to make a joke about strange BEDfellows.
by baw703916
Wed Aug 27, 2014 11:41 am
 
Forum: Personal Consumer Issues
Topic: Copyright question
Replies: 27
Views: 1463

Re: Should I offload Micro Caps?

I own IWC in taxable. It has never had a distribution in the several years I've owned it--the ETF structure makes a huge difference in allowing for index turnover w/o tax consequences. It has lagged BRSIX somewhat in 2013-14, but the difference in the 5 year performance between the two funds is almo...
by baw703916
Tue Aug 26, 2014 11:21 pm
 
Forum: Investing - Help with Personal Investments
Topic: Should I offload Micro Caps?
Replies: 12
Views: 1261

Re: S&P500 over 2000

If I win the Bogleheads contest, there will be a lot of new posts in the "stocks in free fall" thread during the remainder of the year.
by baw703916
Tue Aug 26, 2014 5:32 pm
 
Forum: Investing - Theory, News & General
Topic: S&P500 over 2000
Replies: 68
Views: 5334

Re: How I beat Indexing... in 1 hour

Raybo wrote:In a store today, I took 4 pennies out of a cup next to the register to help me pay a 99 cent bill, a quick 4%!

And, I didn't deplete the cup. If I go back every day and make the same 4%, I can double my SWR!



Personally, I'm hoping for a SWR of more than 4 cents per day. :)
by baw703916
Tue Aug 26, 2014 5:29 pm
 
Forum: Investing - Theory, News & General
Topic: How I beat Indexing... in 1 hour
Replies: 54
Views: 7278

Re: S&P500 over 2000

If the S&P drops 10% now, it will be a much bigger drop that if it had happened in 2009!
by baw703916
Tue Aug 26, 2014 9:18 am
 
Forum: Investing - Theory, News & General
Topic: S&P500 over 2000
Replies: 68
Views: 5334

Re: Fidelity front page: Is that value stock cheap or troubl

What a bizarre world. Today they're advocating buying "value" stocks based on technical indicators and momentum... A couple months ago they were advocating buying "growth" stocks based on fundamentals: https://www.fidelity.com/viewpoints/investing-ideas/growth-cheap Seems like e...
by baw703916
Sun Aug 24, 2014 10:10 am
 
Forum: Investing - Theory, News & General
Topic: Fidelity front page: Is that value stock cheap or troubled?
Replies: 9
Views: 1041

Re: look at small value etfs

yes , but in fact if you own smaller and more valuey stocks you can then own less equity overall and have a lower risk portfolio without having lower returns, as long as combine with high quality bonds, not HY You have to decide how much exposure you want to market, size, and value, and construct a...
by baw703916
Sat Aug 23, 2014 3:34 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2948

Re: look at small value etfs

If you liked the dot.coms, you should be crazy about small caps right now. Their P/E is in nosebleed territory: The first thing that jumped at me was IWM’s price-earnings ratio (P/E) of 83. That’s more than four times the P/E of its sister ETF containing the top 1,000 companies the iShares Russell ...
by baw703916
Sat Aug 23, 2014 1:34 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2948

Re: WSJ/Zweig- The Decline and Fall of Fund Managers

Guess they'll have to start selling timeshares or market-linked annuities.
by baw703916
Sat Aug 23, 2014 11:34 am
 
Forum: Investing - Theory, News & General
Topic: WSJ/Zweig- The Decline and Fall of Fund Managers
Replies: 21
Views: 2350

Re: Capital Gain Tax on Muni Bond Funds

Yes, if you sell shares for a capital gain, you do have to pay taxes on the net gain (which can be short or long term, depending on how long you have held it). Another thing to be aware of, if you sell shares of a tax-exempt bond fund that you have held for less than 6 months for a loss, you can onl...
by baw703916
Sat Aug 23, 2014 11:23 am
 
Forum: Investing - Help with Personal Investments
Topic: Capital Gain Tax on Muni Bond Funds
Replies: 15
Views: 1133

Re: Is the Aggregate Index Too Heavy in Treasuries?

My point is that in equities (at least for a single market, the U.S. say), the market portfolio is thought to necessarily be on the efficient frontier (again, only considering a universe where all investors have a 100% allocation to equities in their own country). I don't see how that holds for bond...
by baw703916
Sat Aug 23, 2014 10:50 am
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 2992

Re: look at small value etfs

As a reminder, the smaller and more "valuey" the stocks that a fund owns, the higher the expected returns of the portfolio are. Is it not equally true that the smaller and more "valuey" the stocks that a fund owns, the higher the expected risk of the portfolio is? Don't both of ...
by baw703916
Fri Aug 22, 2014 10:44 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2948

Re: Is the Aggregate Index Too Heavy in Treasuries?

Anyway IMO TBM funds are a dog's breakfast for which I don't understand the appeal, once and if one accepts that 'own the whole market' has less significance in fixed income than equity. Interesting. Why do you believe that owning the market is less important in fixed income? The market decides the...
by baw703916
Fri Aug 22, 2014 8:27 pm
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 2992

Re: Municipal bonds 1y returns - exuberance and caution

I bought into a couple of muni funds earlier in the year. They've done well. But comparing to an online savings account, the online savings account looks better to me now with the lower yields from the muni funds, and since it is looking more likely that I will need the money sometime in the next y...
by baw703916
Fri Aug 22, 2014 6:48 pm
 
Forum: Investing - Theory, News & General
Topic: Municipal bonds 1y returns - exuberance and caution
Replies: 47
Views: 4161

Re: look at small value etfs

JKL tax cost looks like it's right in line with the others, at least according to M* (with the exception of IJS which is extra-efficient). JKL had a great 10 years-- #1 in category. Only 258 holdings, though http://i61.tinypic.com/2w33z11.jpg Interesting, thanks for posting those numbers. I looked ...
by baw703916
Fri Aug 22, 2014 6:35 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2948

Re: Fidelity front page: Is that value stock cheap or troubl

I think they're saying to buy DFSVX (passive value fund with a screen against negative momentum).

Or just buy everything and assume there's some wheat along with the chaff.
by baw703916
Fri Aug 22, 2014 6:27 pm
 
Forum: Investing - Theory, News & General
Topic: Fidelity front page: Is that value stock cheap or troubled?
Replies: 9
Views: 1041

Re: look at small value etfs

Good article, Larry. It isn't often that an analysis of SV ETFs includes JKL, the one that I chose for my portfolio. One thing that is also worth considering, for those using this article as a reference for choosing a fund for a taxable account: JKL does tend to have a slightly higher tax cost in pa...
by baw703916
Fri Aug 22, 2014 2:42 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2948

Re: When did you hear of Bill Miller and Legg Mason Value Tr

In any event, since the fund is nominally a large value fund, the appropriate index comparison should be the Vanguard Value Index Fund. It didn't beat that one for 15 straight years.

As for "excitement," I never felt that.
by baw703916
Thu Aug 21, 2014 10:35 pm
 
Forum: Investing - Theory, News & General
Topic: When did you hear of Bill Miller and Legg Mason Value Trust?
Replies: 32
Views: 2322

Re: Municipal bonds 1y returns - exhuberance and caution

Part of what is happening is that the relative yields between Treasuries and AAA munis are returning to their normal range. Ever since 2007 muni yields have been higher than those of Treasuries more often than not, even before taking into consideration the tax benefit. This was due to a variety of f...
by baw703916
Thu Aug 21, 2014 10:15 pm
 
Forum: Investing - Theory, News & General
Topic: Municipal bonds 1y returns - exuberance and caution
Replies: 47
Views: 4161

Re: Is the Aggregate Index Too Heavy in Treasuries?

It depends on whether one wants to view it as a strategy index (in Rick Ferri's terminology) or a market index (indicative of what taxable nominal investment grade bonds in general are doing).
by baw703916
Thu Aug 21, 2014 6:13 pm
 
Forum: Investing - Theory, News & General
Topic: Is the Aggregate Index Too Heavy in Treasuries?
Replies: 63
Views: 2992

Re: TSP funds in Morningstar Xray

C Fund = VFINX
S Fund = VXMEX
F Fund = Total Bond Market
I fund = EAFE (EFA)
G fund has no exact analog: analogous to VFITX in terms of yield, short term Treasury in terns of risk.
by baw703916
Thu Aug 21, 2014 6:09 pm
 
Forum: Investing - Theory, News & General
Topic: TSP funds in Morningstar Xray
Replies: 2
Views: 310

Re: A random walk...

If the market follows a random walk, why don't returns follow a normal distribution? The market isn't actually a random walk, it's a levy flight. Which is another way of saying "it's not a random walk, it's much worse than that." A Levy flight down Wall Street could be interesting: you wo...
by baw703916
Thu Aug 21, 2014 4:07 pm
 
Forum: Investing - Theory, News & General
Topic: A random walk...
Replies: 21
Views: 1677

Re: A random walk...

Hard to say exactly what the functional form of the distribution is...but it almost certainly has fatter tails than a normal distribution. Also, the time scaling isn't right (a random walk should have a t^0.5 scaling of variance.
by baw703916
Thu Aug 21, 2014 3:57 pm
 
Forum: Investing - Theory, News & General
Topic: A random walk...
Replies: 21
Views: 1677

Re: A random walk...

If the market follows a random walk, why don't returns follow a normal distribution?
by baw703916
Thu Aug 21, 2014 3:26 pm
 
Forum: Investing - Theory, News & General
Topic: A random walk...
Replies: 21
Views: 1677

Re: Indexing in EM, and Templeton's Mobius

I'm sure having a famous namesake helps in Mobius' case.

I'm sure if someone with the same last name but unrelated to Albert started the Einstein Fund, that would have an advantage too, all else being equal.
by baw703916
Tue Aug 19, 2014 2:59 pm
 
Forum: Investing - Theory, News & General
Topic: Indexing in EM, and Templeton's Mobius
Replies: 10
Views: 988

Re: US REITs already have international exposure

And we don't need to buy international equities in general, because the S&P 500 makes a lot of their profits from international operations.

(I disagree with the statement above)
by baw703916
Tue Aug 19, 2014 2:51 pm
 
Forum: Investing - Help with Personal Investments
Topic: US REITs already have international exposure
Replies: 14
Views: 1235
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