Bogleheads.org

So this remains a mystery to me. One possibility I thought is that the "flight safety" might create a good variance in favor of treasuries; in other words, higher upward sd. But, alas, looking at the data that doesn't seem to be the case either. In a deep deflation long-term treasuries sh...

It looks to me like dividends for the broad market have more than kept pace with inflation. Maybe not every single year, but over say a decade. Using this Inflation Calculator from BLS , 1999 S%P 500 dividend was $16.69. In 2012 it would need to be $23.00 to have the same buying power. 2012 Dividend...

I suppose my problem is understanding how lending money to someone who has the power to influence how much they need to pay you back (in real terms) is a good idea/investment. Isn't this in essence what you're doing when buying government bonds? I can't argue with that. Bernanke says he is trying t...

As far as predicting the future returns of bonds, we all know what a new Treasury bond will return if held the full term to maturity. You buy it at a 100, it pays the coupon rate, and then you get back 100 at the end. As of Friday, the yields are US Treasury 2 Year Yield 0.24% US Treasury 5 Year Yie...

(i) Were bonds considered a good investment prior to the 30 year long boom we're in now? Looking at the return numbers here: http://personalbizfinance.com/pbf/data/real_return_start_end.pl?STOCK=0&BOND=100&MMF=0&GOLD=0&REBAL=on&RET_TYPE=REAL&PREC=1&REQ_RET=0&HIGH_YR=...

Don't take it personally. I find that your posts are insightful and original. I'm just pointing out that there are different parameters for the various assets, that are known with varying degrees of precision. Many parameters are known with poor precisely. Some parameters are known with greater prec...

Your conclusion that the best approach is to set a fixed asset allocation sounds to me like a foregone conclusion. Not really. I have done a lot of work on this personally as well as read work of others. Then there is just plain old common sense (need bold moves to get bold results, signal to noise...

One should focus on what is under your control. Set some more or less reasonable asset allocation between stocks and bonds (split those up if you wish into subasset classes) based on a broad long term view of the market, if long term prospects look poor save more than otherwise or lower expectation...

I confess that seems a little like the tail wagging the dog to me. Any estimates of stock returns and risk going forward are so likely to be hugely wrong for one thing that this approach seems more wishful thinking than actual sound planning. One thing you are missing is that, while there is great ...

Another book I'm reminded of by this is George Orwell's Animal Farm.

Get my drift?

The reactions to this new research remind me of a book title Who Moved My Cheese?

IMO, there is no "over-valued or "undervalued". Stocks have some expected future earnings and dividends, and the price you pay will determine the return you can expect from that future cash-flow. The higher the price, the lower the expected return. I suppose one could say that the ma...

Valuation does not matter in the short term, but it does in the long term. But matters in what way? 1) It matters in your long term returns (or expectations, planning) going forward? 2) Or matters as far as what trading strategy one should use? That is, it allows you to employ some sort of allocati...

It is easy to see why returns are not correlated to valuations over the short term, but determined by valuations in the long term Consider the annual returns of the Vanguard Total Stock Market Index Fund ( VTSMX ). The Total Return consists of the Capital Return, which is price changes, and Income R...

Have to disagree with everyone. I don't follow the logic from A to B to C in that article. There are three charts that either don't seem especially relevant to the question does the average person have the means to retire comfortably today. In fact, I might infer the opposite from those charts. :thu...

If you had $2 million in Vanguard Total World Stock Index ETF (VT) which, according to Yahoo , has a ttm yield of 2.50%, that would have produced 50K in dividend last yield. So put it all in VT and just take the dividend as your income. VT Annual Dividend 2012 1.139 +11.89% 2011 1.018 +10.89% 2010 0...

I've been reading the Bogleheads Guide to Investing sections on bonds and I'm a little bewildered by which types of bonds or bond funds are most appropriate for me. I'm in my mid-20s, starting my first real job soon and have put together my asset allocation such that I aim for 20% bond allocation. ...

To put this question in the most concise way I know, let me ask it the following way: Assume a person retires and has x amount of shares of VTI ( vangaurd index fund). At time of retirement his X shares is paying him 2k a year in dividends. The market crashes, but he doesnt care about the decrease ...

An the funny thing is when we were all 100% in stock, bonds were actually offering decent yields. CDs were yielding 6, 7, 8 percent. But, like I said, CD's were only a place to park money that was going to house down payment or pay for a new automobile. Now we thought it was taking a lot of risk whe...

I, too, was 100% stock for a long, long time. From when I started about 1980, when I read Random Walk Down Wall Street , until 2000 I was almost always 100% in a S&P500-style fund. Occasionally gambled on an individual stock. Once around '97 or '98 I tried some Muni bonds. Maybe I would keep dow...

Just curious, how many Bogleheads here are 100% in equities (or 90-95%, if not 100) and have no fixed assets. I am excluding cash out of it. It'll be good to know the ages as well. Thanks. I haven't read the whole thread so I might be repeating what was already said. I am not 100% equities, but I c...

Is it not the diversification across all factors that actually make up the Beta in the TSM? I don't think so. Beta is one factor, which explains something like 30% of a typical stocks returns, which is measured by R^2. (This is Sharpe's Rule of Thumb) So a single-factor Beta model leaves a lot (~70...

On second thought, I would just stick with VT. If, every time you have money to invest, you have to do research which asset class has the highest expected return it's too much work. And the error bands on the expected returns are so large that the ranges of return all overlap. In GMO's chart, EM 5.9...

As to how to do it? When you have money to invest, just stick it in whatever Vanguard index fund has the highest expected return at the time. 99% of the time it will be one of the stock index fund. For example, if you already have $100K in VT and at the end of this month you have $5K cash to invest,...

The equity side of my portfolio is currently 100% VT. I love the simplicity of this... no rebalancing, unbelievably tax-efficient, hands-off, etc. Yet I still have some cash on hand to invest, and I keep hearing about the small-value tilt and am trying to decide whether it makes sense for me. Here ...

http://www.lancasterpollard.com/Uploads/Images/newsletters/Efficient-Frontier-Bigger.jpg Here's another interesting thing about Efficient Frontier charts. Notice that there are no units on the axis. This actual makes sense because no one really knows where Points A, B and C will be. In one class I ...

http://www.lancasterpollard.com/Uploads/Images/newsletters/Efficient-Frontier-Bigger.jpg Keith, This is all based on backtested data, right? How do we know this will hold in the future? Those charts are just the canonical form of the efficient frontier. If you calculate the EF over different period...

If you want the safest approach to investing in retirement it is pretty easy. Just divide your portfoio in 2 buckets. Bucket 1 should be the amount you need for 10 yrs. of living expenses. That should be in cash, MM, rolling CD's, annuities, SS, and pension income. Bucket 2 should be an asset alloc...

Why can't this be taken to mean that a 80/20 stock/bond portfolio will have greater CAGR than an all stock portfolio? Certainly it will have lower volatility, but why doesn't this translate into increased return if the OP is true? Of course it could turn out that 80/20 stock bond has greater CAGR t...

Is this true? See below. I always thought that as long as you stay invested, it doesn't matter what the volatility is. http://i.imgur.com/OgV6rh2l.jpg This is basic investing 101. The difference between arithmetic average and geometric average, a.k.a. volatility drag. It's important to understand t...

Their number one goal of all these guys is to gather AUM. All the "scientific financial research" is to help them achieve that goal. But in the end, nobody knows which mix of funds will do better--3 fund, 4-fund, slice-and-dice, Harry Browne--It's simply not knowable. Typical retired BH pr...

rmelvey wrote:
I made a chart that will help you visualize the basics:

That is a great chart.

I'm in my twenties, and will be investing for the long term. Over 80% of my assets are in a taxable account. I'm willing to take a lot of risk and stay the course, and I'd like a portfolio that is hands-off. The proposed portfolio: 100% VT What do you think? :thumbsup That's the way to do it. Every...

Are we supposed to be sad that empires collapsed? It's not that empires collapsed, but how . Was it peaceful transition, or did millions of ordinary people suffer and die after empire collapses? And then what replaces the empire? The Russia monarchy's autocracy was nothing in terms of brutality com...

The point is that World War I was the pivotal point in the 20th Century. Everything that followed including the collapse of five mighty empires, communist revolution in Russia, rise of fascism, World War II, the cold war, Korean conflict, Viet Nam war, Soviet invasion of Afghanistan, formation of mu...

Winston Churchill was in favor of getting Britain into the war and convinced Disraeli to also support entering war against Germany. So you can say that Britain entered WWI mostly thanks to Winston Churchill. I'm not sure how that's possible, since Disraeli died about thirty years prior to the onset...

I'm just a lame American, who reads too much science fiction and not enough history... My Dad gave me "Memoirs of the Second World War" by Winston Churchill for Christmas... and I finally got around to reading it last week... What an amazing book... What General Weygand has called the Bat...

Let's say that top line sales equals GDP. And let''s say that real GDP will grow at 2.5% p.a. Top line sales for the aggregate economy should not be too hard to forecast. http://research.stlouisfed.org/fredgraph.png?g=i4W Of course there will be the occasional recession that interrupts the uptrend, ...

Search for the paper

Cass Consulting http://www.cassknowledge.com
An evaluation of alternative equity indices Part 2: Fundamental weighting schemes
Andrew Clare, Nick Motson and Steve Thomas March 2013

Figures 2 and 3 in that paper are particularly interesting.

"value factor" doesn't seem reliable to me. Thoughts? I think you got it backwards. The "value" factor, HmL has been very reliable. It has almost always been positive, except for the late 1990s. It is the "small' factor, SmB, that has not been so reliable. There have been l...

Rick Ferri wrote:Gold Bugs Swatted Again

Rick Ferri

Good charts showing inflation adjusted price of gold.

Question: Should the price of gold mean revert?

I track a global version of PP at smart money.com/portfolio and it was down -3.12% today. GLD -8.78% SHY +0.01% TLT +0.87% VT - 2.48% What is unusual is that both stocks and gold were down big. how many Sigma's is that for GLD. GLD has been around since only 2004, so that must be the biggest drop i...

Today was a 5-sigma loss for the Permanent Portfolio. From 2004 through today, the daily standard deviation has been just under 0.5%, and I calculate a 2.5% loss for the portfolio. This was the worst day since December 2008. I suppose it depends on the exact mix of the individual portfolio and if a...

Sorry to be a Debbie Downer, but it's the little tweaks like this along with the major wholesale changes that often occur around turning points in market cycles that lead to most investors drastically underperforming their portfolio. If you'll notice, these "upgrades" almost always entail...

It's also a big down day for stocks today. Usually stocks and gold move in opposite direction, but not today.

VT -1.43%
VTI -1.23%
VEU -1.56%
IAU -7.25%
TLT +0.35

Only bonds are up today.

So what is the final solution? How to form the market portfolio with funds or ETFs.

What are the symbols and percentages?

Can the drop continue? I would be tempted to buy some if it drops another 10-20%. Holy cow! GLD is down -8.70% this morning. :shock: Currently $131.45 Over the weekend, I though about putting in a limit order at the close on Friday 143.95. Glad I didn't. Crazy stuff. I think it is better to watch a...

There is an actual theorem behind this global market portfolio idea called "The Mutual Fund Separation Theorem". I'm not making this up. Here's some class notes: ############################################################ ## Mutual Fund Separation Theorem # Efficient portfolios of risk-fr...

Well, that's the thing: according to Portfolio Theory, everyone should hold exactly the same market portfolio, regardless of risk preferences. That's the theory. I found these webpages on brandeis.edu: from Separation Theorem Theorem 1 The optimal combination of risky assets for an investor can be ...

For the fixed income part, maybe not as simple. Vanguard Total Bond Market ETF ( BND ) which has 5816 bonds would cover all the U.S. bonds. But I don't think they offer International bond fund yet. They announced Vanguard Total International Bond Index . According to McNabb, "International bon...