Search found 4136 matches

by grayfox
Tue Aug 04, 2015 2:01 am
Forum: Investing - Theory, News & General
Topic: Houston, we have a problem... [Small cap historical performance]
Replies: 51
Views: 3370

Re: Houston, we have a problem... [Small cap historical performance]

One of the interesting things about the smallcap "premium" is how much the questioning of it has started up after a long-period of small cap *outpeformance.* Usually you see a lot of additional interest in asset classes/sub-classes after such outperformance, with a lot of academic/sophist...
by grayfox
Sun Aug 02, 2015 3:58 am
Forum: Investing - Theory, News & General
Topic: Which is more optimal in retirement? Total return vs. income investing
Replies: 34
Views: 2513

Re: Which is more optimal in retirement? Total return vs. income investing

I see two different strategies people use here: --- Which one do you use and why? The answer is: None of the Above. Most financial economists recommend having a source guaranteed lifetime retirement income which include SS, pension, annuities (SPIAs, DIAs), government bonds, CDs, etc. This provides...
by grayfox
Sat Aug 01, 2015 5:16 am
Forum: Investing - Theory, News & General
Topic: Factors or Fundamentals?
Replies: 38
Views: 1543

Re: Factors or Fundamentals?

I used to be a stock picker before discovering bogleheadism. I would pore over SEC 10-Q forms to try to find bargains. I believe that was called "investing through fundamental analysis". Then Burton Malkiel showed me how that whole thing is flawed, that you just cannot beat the market wit...
by grayfox
Thu Jul 30, 2015 1:18 pm
Forum: Investing - Theory, News & General
Topic: Are equities really as risky as anyone thinks?
Replies: 249
Views: 11090

Re: Are equities really as risky as anyone thinks?

With longer holding periods, the dispersion of outcome got wider whether measured by total range or variance. So by MPT, stocks were riskier over longer periods. I used to believe this, but now I think the logic is flawed. Let's suppose we have a normal distribution, and run a Monte Carlo simulatio...
by grayfox
Thu Jul 30, 2015 3:32 am
Forum: Investing - Theory, News & General
Topic: Are equities really as risky as anyone thinks?
Replies: 249
Views: 11090

Re: Are equities really as risky as anyone thinks?

Are equities really as risky as anyone thinks? I agree with the OP that Bogleheads generally overstate the risk of equities. When I see someone with a horizon of 30 years with 40% bonds because they fear the annual volatility, I believe they are being too timid. Now, equities are certainly riskier ...
by grayfox
Wed Jul 29, 2015 1:42 am
Forum: Investing - Theory, News & General
Topic: The Futility of Predicting Future Returns
Replies: 87
Views: 4066

Re: The Futility of Predicting Future Returns

Suppose that I am 65 years old and have $1,000,000 portfolio invested 50/50 in TSM/TBM. I will fund my 30-year retirement by withdrawing from the portfolio. I am willing to spend down the portfolio. How much should I withdraw each year? Of course, everyone is familiar with the 4% + inflation withdra...
by grayfox
Tue Jul 28, 2015 3:34 am
Forum: Investing - Theory, News & General
Topic: Slice and Dice: why not?
Replies: 84
Views: 4662

Re: Slice and Dice: why not?

Another thing to consider if your are contemplating slicing and dicing: Just like astronomers demoted Pluto from a plant to a dwarf planet, some financial academics have demoted Small-Cap from a factor to the Small-Cap Anomaly. See Finding Smart Beta in the Factor Zoo (July 2014). The small-cap anom...
by grayfox
Tue Jul 28, 2015 3:00 am
Forum: Investing - Theory, News & General
Topic: The Futility of Predicting Future Returns
Replies: 87
Views: 4066

Re: The Futility of Predicting Future Returns

There's a natural human tendency to want to predict future returns. Ya think? Your good-for-nothing brother-in-law asks you to hand over some of your hard earned money to invest in another of his half-baked, get-rich-quick schemes. Wouldn't you want to do some analysis to see if there is a chance o...
by grayfox
Tue Jul 28, 2015 1:52 am
Forum: Investing - Theory, News & General
Topic: Motley Fool - Good Enough Why rules of thumb beat precision
Replies: 30
Views: 3007

Re: Motley Fool - Good Enough Why rules of thumb beat precision

Well, like I said, if the rule of thumb was that there was a 90% chance that stocks will have real return 6% +/-6% annualized over 20 years, I would not have a huge problem with it. But his rule of thumb is that he expects 6% with not even a nod to the wide variation of possible outcomes. His rule o...
by grayfox
Tue Jul 28, 2015 1:28 am
Forum: Investing - Theory, News & General
Topic: Motley Fool - Good Enough Why rules of thumb beat precision
Replies: 30
Views: 3007

Re: Motley Fool - Good Enough Why rules of thumb beat precision

Grayfox, It seems to me that 6% is a pretty good average (midpoint) of each of the ranges you quoted. What grounds do you have to expect that more math will get a better answer? L. In my post you quoted, I showed that using just a little math reveals that there was a range of possible outcomes and ...
by grayfox
Mon Jul 27, 2015 1:34 pm
Forum: Investing - Theory, News & General
Topic: Motley Fool - Good Enough Why rules of thumb beat precision
Replies: 30
Views: 3007

Re: Motley Fool - Good Enough Why rules of thumb beat precision

I don't see why people think this article is intelligent. The rules of thumb that he mentions are demonstrable terrible. I will demonstrate: So I don't use fancy valuation models to calculate how much stocks should return over the next 10 years. I assume 6% a year after inflation over the long haul....
by grayfox
Mon Jul 27, 2015 12:42 pm
Forum: Investing - Help with Personal Investments
Topic: How long until a $10,000 loss matters?
Replies: 39
Views: 3336

Re: How long until a $10,000 loss matters?

My portfolio is down well over $10,000 over the past week. No big deal the market ebbs and flows and I am still drawing a steady check. I was wondering when you are retired how long does it take and how large a loss before you think this might have a material effect on my retirement? If you follow ...
by grayfox
Mon Jul 27, 2015 12:17 pm
Forum: Investing - Theory, News & General
Topic: Slice and Dice: why not?
Replies: 84
Views: 4662

Re: Slice and Dice: why not?

So this is my question: why believe in an equity risk premium but not a SCV premium? If you conclude from past data that stocks outperform bonds why not conclude from past data that SCV outperforms TSM or at the very least adds diversification through uncorrelation? Well I showed that today there i...
by grayfox
Mon Jul 27, 2015 11:56 am
Forum: Investing - Theory, News & General
Topic: Slice and Dice: why not?
Replies: 84
Views: 4662

Re: Slice and Dice: why not?

In case I confused everybody, what I'm saying is that past returns are about the worst forecast you can make for future returns. If over some past period, P1 returned 10.25% and P2 returned 11.04%, then concluding that P2 will return more than P1 in the future is just naive. For bonds, forecast ret...
by grayfox
Mon Jul 27, 2015 11:51 am
Forum: Investing - Theory, News & General
Topic: Slice and Dice: why not?
Replies: 84
Views: 4662

Re: Slice and Dice: why not?

I don't want to hijack this thread and talk about forecasting bond fund returns. It get complicated quickly. There have been threads about modeling bond funds, why the actual return is not exactly what the SEC Yield predicted, the shape of the yield curve, riding the yield curve, etc. Many were star...
by grayfox
Mon Jul 27, 2015 11:37 am
Forum: Investing - Theory, News & General
Topic: Slice and Dice: why not?
Replies: 84
Views: 4662

Re: Slice and Dice: why not?

For bonds, forecast returns using YTM or SEC Yield for bond funds. ... In summary, if you read any precise bond return prediction (e.g. " expect SEC Yield " where no range around that prediction is provided), the person making the prediction either: ⋅  does not understand bond f...
by grayfox
Mon Jul 27, 2015 5:00 am
Forum: Investing - Theory, News & General
Topic: Slice and Dice: why not?
Replies: 84
Views: 4662

Re: Slice and Dice: why not?

In case I confused everybody, what I'm saying is that past returns are about the worst forecast you can make for future returns. If over some past period, P1 returned 10.25% and P2 returned 11.04%, then concluding that P2 will return more than P1 in the future is just naive. For bonds, forecast retu...
by grayfox
Mon Jul 27, 2015 4:01 am
Forum: Investing - Theory, News & General
Topic: Slice and Dice: why not?
Replies: 84
Views: 4662

Re: Slice and Dice: why not?

Some people here prefer cap weight portfolios, others slice and dice. In an attempt to settle the debate once and for all, I want to let the data speak. I ran 3 simulations with Portfolio Visualizer. The details are here https://www.portfoliovisualizer.com/backtest-asset-class-allocation?s=y&In...
by grayfox
Sat Jul 25, 2015 3:43 am
Forum: Investing - Theory, News & General
Topic: [Original Research] The Failure of PE Market Timing Models
Replies: 43
Views: 3089

Re: [Original Research] The Failure of PE Market Timing Models

I have been fascinated with the idea of a tactical asset allocation that looks at both equity yields (inverse PE) and bond yields and assigns a weight to each proportion to their yield. Then I downloaded Shiller's S&P and treasury data http://www.econ.yale.edu/~shiller/data/ie_data.xls the mont...
by grayfox
Wed Jul 22, 2015 6:47 am
Forum: Investing - Theory, News & General
Topic: Are Stocks Overvalued? A Survey of Equity Valuation Models
Replies: 202
Views: 11665

Re: Are Stocks Overvalued? A Survey of Equity Valuation Models

E10/P does a better job ar prediction 20-year return. http://www.lagunabeachbikini.com/images/2015/investing/EYM20-1950-2015.png 97%% of the outcomes fell within the red and green lines, i.e. prediction interval E10/P +/- 4%. :idea: A lot has top do with what valuations like P/E10 will be at the end...
by grayfox
Wed Jul 22, 2015 6:38 am
Forum: Investing - Theory, News & General
Topic: Are Stocks Overvalued? A Survey of Equity Valuation Models
Replies: 202
Views: 11665

Re: Are Stocks Overvalued? A Survey of Equity Valuation Models

How good is E10/P (inverse of P/E10) as a predictor of 10-year stock returns? Not so good. Black line is E10/P. Green and Red are prediction interval +/- 4% Blue circles are actual 10-year .total return. http://www.lagunabeachbikini.com/images/2015/investing/EYM10-1950-2015.png Only 58% of the outco...
by grayfox
Wed Jul 15, 2015 11:26 am
Forum: Investing - Theory, News & General
Topic: Dividend stock investing or Total Return?
Replies: 41
Views: 2690

Re: Dividend stock investing or Total Return?

Grayfox, As I said, there are many valid approaches to investing and portfolio withdrawal. If dividend investing helps you stick to your plan and stay the course, then that's probably the right approach for you. There's nothing worse than a perfect plan that is abandoned at the wrong time for behav...
by grayfox
Wed Jul 15, 2015 10:16 am
Forum: Investing - Theory, News & General
Topic: Dividend stock investing or Total Return?
Replies: 41
Views: 2690

Re: Dividend stock investing or Total Return?

Bogus! This supposes that: A) a total return investor can't invest into a 100/0 portfolio, B) a total return investor can't withdraw a constant 4% or 5% percentage of annual portfolio balance during retirement, and C) a 100/0 portfolio is not risky; it always beats a 50/50 portfolio (both numerical...
by grayfox
Wed Jul 15, 2015 4:57 am
Forum: Investing - Theory, News & General
Topic: Why do we care about price movements? Aren't earnings all that matter?
Replies: 44
Views: 3499

Re: Why do we care about price movements? Aren't earnings all that matter?

:thumbsup rca1824--You've hit upon one of the basic principle of investing in companies through ownership of shares. Warren Buffet basically says the same thing. His favorite holding period is forever and does not keep track of price to see how well his investments have done. If you read his annual...
by grayfox
Wed Jul 15, 2015 3:37 am
Forum: Investing - Theory, News & General
Topic: Dividend stock investing or Total Return?
Replies: 41
Views: 2690

Re: Dividend stock investing or Total Return?

I have not seen this topic addressed often in this forum. I have seen a lot of people who invest using dividend growth stock investing, especially among the early retirement crowd. They will swear that it is the best method to invest in order to retire early. While I subscribe to the Total return i...
by grayfox
Sat Jul 11, 2015 7:23 am
Forum: Investing - Theory, News & General
Topic: Why do we care about price movements? Aren't earnings all that matter?
Replies: 44
Views: 3499

Re: Why do we care about price movements? Aren't earnings all that matter?

A lot of talk about the "risk" of equities seems focused on the volatility of total returns, which is earnings + price movements. I'm not sure why a long-term investor should care about price movements since they are only relevant if you sell. In fact, if you are reinvesting your earnings...
by grayfox
Wed Jul 08, 2015 4:28 am
Forum: Personal Consumer Issues
Topic: Information re Unsafe Areas While Traveling
Replies: 11
Views: 1220

Re: Information re Unsafe Areas While Traveling

Because of PC, you won't find any useful information in tour books about unsafe areas. But you can hear what comedian Chris Rock has to say in this sound clip.
by grayfox
Tue Jun 30, 2015 4:42 am
Forum: Investing - Theory, News & General
Topic: Thoughts on Fixed-Maturity Bond Funds?
Replies: 29
Views: 2948

Re: Thoughts on Fixed-Maturity Bond Funds?

lack_ey said: Largely pointless unless you're liability matching something in the future specifically, or want some illusion of control. An overdrawn conclusion. For the majority of investors (e.g., those not running an endowment in perpetuity) return/recovery of principal will loom large at some p...
by grayfox
Tue Jun 30, 2015 4:28 am
Forum: Investing - Theory, News & General
Topic: Graham's "margin of safety" for US stocks (6-29-15)
Replies: 24
Views: 4642

Re: Graham's "margin of safety" for US stocks (6-24-15)

Change from 24-Jun-2015 to 29-Jun-2015 S&P 500 P/E10 = 27.07 -> 26.41 E10/P = 3.69413% -> 3.78644 Vanguard Intermediate-Term Corporate Bond ETF ( VCIT ) as of 06/24/2015 Market price = $85.05 -> 85.30 NAV = $85.01 -> $85.21 SEC Yield = 3.33% -> 3.39% Premium/Discount = +$0.04 -> +$0.09 Vanguard ...
by grayfox
Thu Jun 25, 2015 2:09 am
Forum: Investing - Theory, News & General
Topic: Graham's "margin of safety" for US stocks (6-29-15)
Replies: 24
Views: 4642

Re: Graham's "margin of safety" for US stocks (6-24-15)

What is the range of probable outcomes of investing $10,000 in VFINX or VCIT? I will estimate using E10/P for VFINX and SEC Yield for VCIT as predictor models and estimate a prediction interval for each. VFINX P/E10 = 27.07, E10/P predicts a 10-year return of 3.7% +/- 8%. 10-year Outcome: $6,440 -> ...
by grayfox
Thu Jun 25, 2015 1:38 am
Forum: Investing - Theory, News & General
Topic: Graham's "margin of safety" for US stocks (6-29-15)
Replies: 24
Views: 4642

Re: Graham's "margin of safety" for US stocks (6-24-15)

S&P 500 P/E10 = 27.07 E10/P = 3.69413% Vanguard Intermediate-Term Corporate Bond ETF ( VCIT ) as of 06/24/2015 Market price = $85.05 Change $0.10 0.11% NAV = $85.01 Change $0.16 0.19% SEC Yield = 3.33% Number of Bonds = 1632 YTM = 3.2% Avg Coupon = 3.9% Avg Maturity = 7.5 years Avg Duration = 6...
by grayfox
Wed Jun 24, 2015 12:34 pm
Forum: Investing - Theory, News & General
Topic: Graham's "margin of safety" for US stocks (6-29-15)
Replies: 24
Views: 4642

Re: Graham's "margin of safety" for US stocks (6-24-15)

I am also looking at Vanguard Long-Term Corporate Bond ETF ( VCLT ) SEC Yield = 4.78% YTM = 4.6% Avg Coupon = 5.5% Avg Maturity = 23.9 years Avg Duration = 13.8 years U.S. Government 0.2% Aaa 2.0% Aa 6.0% A 42.6% Baa 49.2% < Baa 0.0% VCLT/VCIT might be a better deal than S&P500. I might wait unt...
by grayfox
Wed Jun 24, 2015 12:12 pm
Forum: Investing - Theory, News & General
Topic: Graham's "margin of safety" for US stocks (6-29-15)
Replies: 24
Views: 4642

Re: Graham's "margin of safety" for US stocks (6-24-15)

If stocks are at 4.83% and AAA bonds are at 3.98%, why not re-diect new investments into AAA instead of stocks? Also, I'm not sure if you can easily get 3.98%. Looking at Vanguard Intermediate-Term Corporate Bond ETF ( VCIT ) SEC Yield = 3.32% YTM = 3.2% Avg Coupon = 3.9% Avg Maturity = 7.5 years Av...
by grayfox
Thu Jun 18, 2015 1:56 pm
Forum: Personal Consumer Issues
Topic: Best "All Around Lens" for Nikon DSLRs?
Replies: 105
Views: 8419

Re: Best "All Around Lens" for Nikon DSLRs?

Grayfox, is your camera FX or DX? That 28-300 is interesting, but with a DX camera (as OP has), I'd probably opt for the 18-200. Nice lens, and maybe I would like to travel with it in place of my 24-70 2.8 and 70-200 2.8, but then what would I do for exercise? Something to consider. FX (Nikon D700)...
by grayfox
Wed Jun 17, 2015 4:54 am
Forum: Investing - Help with Personal Investments
Topic: 30+ year "set it and rebalance it" portfolio thoughts
Replies: 18
Views: 2091

Re: 30+ year "set it and rebalance it" portfolio thoughts

If you were planning to make monthly $1000 contributions to a taxable account for the next 30 years and would not touch the money before then, what asset allocation would you choose (assuming you rebalance through monthly contributions and annually as needed)? Why? Here's how it would have worked f...
by grayfox
Wed Jun 17, 2015 3:57 am
Forum: Investing - Theory, News & General
Topic: Siegel's letter to the editor on Shiller's CAPE data problem
Replies: 14
Views: 2730

Re: Siegel's letter to the editor on Shiller's CAPE data problem

The best models are usually the simplest models. S/P, E/P, D/P, B/P, etc., where all the variables can be objectively defined, i.e. everyone will come up with the same number. When you start including fudge factors, which make the numbers come out the way you believe they should, the whole exercise ...
by grayfox
Wed Jun 17, 2015 3:41 am
Forum: Personal Consumer Issues
Topic: Best "All Around Lens" for Nikon DSLRs?
Replies: 105
Views: 8419

Re: Best "All Around Lens" for Nikon DSLRs?

I have a Nikon D5100 camera with a 35 mm lens. I would like to travel with a single zoom lens (leaving the 35 mm behind) that would work in most situations and is not too heavy. Any recommendations for those of us who like to just point and shoot? Thanks in advance. Roosevelt. I decided that the mo...
by grayfox
Sat Jun 13, 2015 2:56 am
Forum: Investing - Theory, News & General
Topic: Rebalancing
Replies: 41
Views: 4066

Re: Rebalancing

Here's a thought I just had. We know the difference between a bond fund and a bond. A bond has a fixed maturity, so every year it's time-to-maturity and duration get shorter and shorter until it is 0 a the end point. On the other hand, the bond fund keeps it's maturity and duration constant. There i...
by grayfox
Sat Jun 13, 2015 1:20 am
Forum: Investing - Theory, News & General
Topic: Rebalancing
Replies: 41
Views: 4066

Re: Rebalancing

For anyone interested, here's a Boglehead discussion on Rebalancing from 2009

What does rebalancing do for you? Not much
by grayfox
Fri Jun 12, 2015 2:40 am
Forum: Investing - Theory, News & General
Topic: Junk Bond default rates
Replies: 13
Views: 1378

Re: Junk Bond default rates

http://www.lagunabeachbikini.com/images/2015/investing/VWEHX-SEC.png BTW, from this chart, it looks like 2009 was a great time to invest in VWEHX. The price had crashed and junk bonds were dirt cheap. The SEC Yield spiked up to over 13% for a short time. The low price is also what made the 5-year r...
by grayfox
Fri Jun 12, 2015 2:20 am
Forum: Investing - Help with Personal Investments
Topic: Fund vs ETF
Replies: 16
Views: 1750

Re: Fund vs ETF

With open-end mutual funds, you can chose to re-invest dividends and capital gains. Can you do this with ETFs? I don't know. This is convenient when you are accumulating or if you like to see your total return for each fund you hold, and not have distributions going into a money market fund. Isn't t...
by grayfox
Fri Jun 12, 2015 1:57 am
Forum: Investing - Theory, News & General
Topic: Momentum vs Mean Reversion
Replies: 5
Views: 739

Re: Momentum vs Mean Reversion

Both Momentum and Mean Reversion are forms of auto-correlation. The auto-correlation for US equities is negative wrt the last two months, then become positive for about 12 months and then dissipates. The auto-correlation of different asset classes (including non-US equities) is slightly different, ...
by grayfox
Wed Jun 10, 2015 2:33 am
Forum: Investing - Theory, News & General
Topic: Junk Bond default rates
Replies: 13
Views: 1378

Re: Junk Bond default rates

Bonds with credit risk are much more complicated than default-free government bonds. With default-free G-bonds, you always get your interest and principle payments on time. If you want safety of principal, invest only in default free bonds. Investment-grade corporates are more complicated than defau...
by grayfox
Tue Jun 09, 2015 10:56 am
Forum: Investing - Theory, News & General
Topic: Rebalancing
Replies: 41
Views: 4066

Re: Rebalancing

:?: What would be the value of the portfolio at the end if there was rebalancing? I will answer this now: I don't know. 1. The are 1001 different rebalancing algorithms. They would probably all have a different outcomes depending on the timing of each transaction. 2. Even if I did specified the reb...
by grayfox
Tue Jun 09, 2015 10:26 am
Forum: Investing - Theory, News & General
Topic: Rebalancing
Replies: 41
Views: 4066

Re: Rebalancing

Here is why I think re-balancing is a mistake. http://s26.postimg.org/jcgw58a49/Howar_Marks_Risk_Return.png You choose an asset allocation of 50/50 because you feel that has a good distribution of outcomes. Suppose it is the second distribution from the right, and the 30-year expected TR = 10x and t...
by grayfox
Tue Jun 09, 2015 9:53 am
Forum: Investing - Theory, News & General
Topic: Rebalancing
Replies: 41
Views: 4066

Re: Rebalancing

I found this chart from another thread, which illustrates various distributions of outcome over the holding period, which was 30 years in the example, as more is invested in the stock. http://s26.postimg.org/jcgw58a49/Howar_Marks_Risk_Return.png The distribution on the left might be for a 10/90 inve...
by grayfox
Tue Jun 09, 2015 9:11 am
Forum: Investing - Theory, News & General
Topic: Rebalancing
Replies: 41
Views: 4066

Re: Rebalancing

My question is, why start at 50/50? Why not 90/10 or even 100/0? L. Every asset allocation has a different distribution of outcomes. There's a trade off between expected return and variation of outcome. 0/100 would have lowest expected return, but a small variance. If my needs were met by a very lo...
by grayfox
Tue Jun 09, 2015 8:21 am
Forum: Investing - Theory, News & General
Topic: Rebalancing
Replies: 41
Views: 4066

Re: Rebalancing

So if my desired AA is 50/50 and over time, that drifts to 90/10, the author says what? Don't rebalance? I will put some numbers on this example. Suppose that some month you have $1,000 to invest for your retirement 30 years hence. Let's say you decide to invest 50/50 stocks/bonds: $500 into bonds ...

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