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Re: a look at technical indicators

A friend of mine teaches a community college course on investing. He teaches a simple technical analysis "method" to sidestep bear markets and re-enter after they have passed. His simple method of sidestepping a bear market is this: At the end of each month you look at a graph showing the...
by k66
Sat Oct 04, 2014 10:16 am
 
Forum: Investing - Theory, News & General
Topic: a look at technical indicators
Replies: 19
Views: 1741

Re: Kitces: Sequence of returns risk and 10yr real returns

Yes - this is a good piece. I never thought that SOR risk was particularly sensitive to the first year or any single year and just loosely considered it to be something like the first 3 to 5 years of sub-par market returns. So if the 10 year (real return) track record is the better predictor and is ...
by k66
Thu Oct 02, 2014 9:53 am
 
Forum: Investing - Theory, News & General
Topic: Kitces: Sequence of returns risk and 10yr real returns
Replies: 14
Views: 1239

Re: "How Retirement Fees Cost You"

It is an interesting presentation if only a bit too slow to present each new piece. I wonder though how many Joe and Jane Average Investors believe that their fund is only charging a percentage-based fee against their return and not the total value invested in the given fund? So barring that issue, ...
by k66
Tue Sep 30, 2014 9:43 am
 
Forum: Investing - Theory, News & General
Topic: "How Retirement Fees Cost You"
Replies: 28
Views: 2847

Re: Future equities 2% real rhetoric is hogwash

Right. But the punchline is "the future is unknowable", so even if real returns do remain very low for an indeterminate period of time, its only a matter of time before they aren't low again. I'm with the OP and willing to remain optimistic, but in the end we can only get what we get regar...
by k66
Mon Sep 29, 2014 9:45 am
 
Forum: Investing - Theory, News & General
Topic: Future equities 2% real rhetoric is hogwash
Replies: 45
Views: 3816

Re: Perfect Investment Portfolio on MarketWatch

By the author's own admission it is a rearward looking assessment, so one immediately wonders if the "All Weather" can be as durable in the unknown future as well. That aside, there is no discussion from the author as to what makes it more weather-proof than the comparison 60/40 (albeit a ...
by k66
Wed Sep 17, 2014 10:06 am
 
Forum: Investing - Theory, News & General
Topic: Perfect Investment Portfolio on MarketWatch
Replies: 3
Views: 554

Re: Help with Monte Carlo and Shiller data

I would offer just a few comments. ... Then for 1902 I should have: stock_amount[1902] = stock_amount[1901] * (1 + 0.165) Am I correct that this is the “real” rate of return, and also include dividends, so no need to involve inflation? That would be my interpretation as well: that it is inflation ad...
by k66
Sun Sep 07, 2014 12:39 pm
 
Forum: Investing - Theory, News & General
Topic: Help with Monte Carlo and Shiller data
Replies: 3
Views: 390

Re: What is the expected return of this portfolio over 50 yr

The only way to increase probability of success at the future point, is to increase your time horizon (and it sounds like that may be hard to do) or increase contributions now (and make compounding do the heavy lifting). The OP could also increase the equity allocation from 63% currently to 70%-75%...
by k66
Sat Sep 06, 2014 11:29 am
 
Forum: Investing - Theory, News & General
Topic: What is the expected return of this portfolio over 50 yrs
Replies: 21
Views: 1196

Re: What is the expected return of this portfolio over 50 yr

It is very important to get this correct 2 places after decimal - in my calculations a 0.05% difference in expected return compounded over 50yrs will determine whether I go the poorhouse or retire successfully. Any help will be much appreciated. If your margin of safety is that razor-thin, then you...
by k66
Sat Sep 06, 2014 10:46 am
 
Forum: Investing - Theory, News & General
Topic: What is the expected return of this portfolio over 50 yrs
Replies: 21
Views: 1196

Re: Cash to draw on - Safe Withdrawal Rate

Unfortunately, when dealing with markets, there are no absolutely safe withdrawal rates. As midareff points out, even a 0% withdrawal will eventually corrode a portfolio into nothngness given enough time. There are however, what we think might be intrinsically safe rates for a given set of circumsta...
by k66
Sat Sep 06, 2014 10:35 am
 
Forum: Investing - Theory, News & General
Topic: Cash to draw on - Safe Withdrawal Rate
Replies: 10
Views: 1086

Re: World Economic Center of Gravity, AD 1 to 2003

So now Fund Companies can devise specialized "Longitude" funds: each one corresponding to a different Economic Centre of Gravity Longitude value. Dealers could sell a whole new paradigm by extolling the advantages of being in a 45 degree East fund versus a 15 degree West fund...
by k66
Wed Sep 03, 2014 11:08 pm
 
Forum: Investing - Theory, News & General
Topic: World's Economic Center of Gravity, AD 1 to 2003
Replies: 4
Views: 585

Re: Does anyone have 'Lazy Portfolios'?

I have a lazy-ish 6-fund portfolio, but am too lazy perhaps to make it any lazier. Now that VG-Canada offers more consolidated ETFs, I could consolidate into a 3-fund portfolio... just haven't done so given that it will actually cost me an additional 2 bp + commissions...
by k66
Wed Sep 03, 2014 10:46 pm
 
Forum: Investing - Theory, News & General
Topic: Does anyone have 'Lazy Portfolios'?
Replies: 85
Views: 6686

Re: Age in Stocks: Should you have a Reverse Glidepath?

The problem with many such studies is that they go at it backwards. They start from some arbitrarily chosen withdrawal rate first. They should start with risk tolerance first. One should begin by exploring carefully what "failure rate" is really acceptable to retirees, without anchoring t...
by k66
Mon Sep 01, 2014 6:00 pm
 
Forum: Investing - Theory, News & General
Topic: Age in Stocks: Should you have a Reverse Glidepath?
Replies: 21
Views: 1402

Re: Age in Stocks: Should you have a Reverse Glidepath?

There is also a cousin to this approach which, I think, also has some rational traction. In recent papers and articles, M.Kitces, W.Pfau et al have demonstrated that a rising glide path during retirement would ultimately be better for retireees. One would implement this approach by selling down bond...
by k66
Mon Sep 01, 2014 11:56 am
 
Forum: Investing - Theory, News & General
Topic: Age in Stocks: Should you have a Reverse Glidepath?
Replies: 21
Views: 1402

Re: In a crash, will you re-balance to maintain your target

Assuming that it is an equities crash, of significant proportion (>20% from peak), then I plan to liquidate bonds and utilize cash to temporarily readjust proportion of equities according to the magnitude of loss in equities market(s). New_%Bonds = Target_%Bonds x (Current_Equity_Index / Peak_Equity...
by k66
Mon Jul 14, 2014 10:10 am
 
Forum: Investing - Theory, News & General
Topic: In a crash, will you re-balance to maintain your target AA?
Replies: 64
Views: 4297

Re: [Poll] Are you more risk averse than average?

It's and interesting question, but I'm not sure that I am more risk avers or tolerant than any other investor group. I will say that I think, in comparing my own "investing risk history", that I am more risk-intelligent today than I was 5 or 10 years ago. That is to say, I know more now ab...
by k66
Mon Jul 14, 2014 10:02 am
 
Forum: Investing - Theory, News & General
Topic: [Poll] Are you more risk averse than average?
Replies: 36
Views: 2848

Re: BOGLEHEAD CONTEST: Mid-Year Report

It looks like I actually joined the "S&P500 Birthyear Club" shortly after opening bell this morning. :beer
by k66
Wed Jul 02, 2014 12:28 am
 
Forum: Investing - Theory, News & General
Topic: BOGLEHEAD CONTEST: Mid-Year Report
Replies: 22
Views: 1886

Re: Suggestions for teaching new MDs about finance?

Aside from the actual content that will be eventually chosen, and there are many good suggestions within this thread, I might also suggest that the way the material is presented can improve the impact on the recipients. For example, either overtly or indirectly, present the material as a patient fil...
by k66
Sun Jun 29, 2014 11:29 am
 
Forum: Investing - Theory, News & General
Topic: Suggestions for teaching new MDs about finance?
Replies: 39
Views: 2792

Re: Time Dependednt SD: will it decrease over time?

I see. :oops:

The key is recognizing that although the SD, expressed as a percentage of the return, of the multi-year return is decreasing over longer periods, the portfolio value to which it is applied is increasing at a faster rate. Portfolio growth outpaces diminishing varience.
by k66
Sat Jun 28, 2014 11:58 pm
 
Forum: Investing - Theory, News & General
Topic: Time Dependednt SD: will it decrease over time?
Replies: 3
Views: 357

Time Dependednt SD: will it decrease over time?

Borrowing a snippet from Robert T's stickied article "Collective Thoughts [investing mini-reference]" http://www.bogleheads.org/forum/viewtopic.php?f=10&t=7353 specifically this plot, something occurred to me. . Likely performance dispersion of the sample ETF portfolio and acutal perfo...
by k66
Sat Jun 28, 2014 1:00 pm
 
Forum: Investing - Theory, News & General
Topic: Time Dependednt SD: will it decrease over time?
Replies: 3
Views: 357

Re: Home Country Bias

Also as a Canadian investor, I recognize that true country market weightings in my portfolio are going to be highly impractical as well. I have no scientific rationale for selecting the eventual distributions that I used, but they are "comfortable" for me. I have, all in ETFs on the TSX; 2...
by k66
Tue Jun 24, 2014 9:48 pm
 
Forum: Investing - Theory, News & General
Topic: Home Country Bias
Replies: 47
Views: 2825

Re: Do you see profit or ponzi?

I started taking an interest in controlling my own investments in the spring of 2008 and one of the first contacts that I had (I found her via web search as a local investment manager) began steering me toward highly illiquid and concentrated investments - real estate in Texas and Nevada, etc. Print...
by k66
Thu Jun 19, 2014 6:54 pm
 
Forum: Investing - Theory, News & General
Topic: Do you see profit or ponzi?
Replies: 109
Views: 9558

Re: Technical Analysis Drags Down Performance

Perhaps, if we are wanting to see if TA has any merit in predicting (reliably) the future condition based on the previous condition, would be to generate a "full" random series, but only provide the first half of the sequence to the Analyst. Comparison of their concusion to the unseen seco...
by k66
Mon Jun 02, 2014 10:21 pm
 
Forum: Investing - Theory, News & General
Topic: Technical Analysis Drags Down Performance
Replies: 52
Views: 2493

Re: We won best paper from S&P SPIVA worldwide!

A very interesting read, thanks to you Rick and Alex for producing this work and making it available. Your PPM #1 (increased probability as a portfolio) is a really big deal! As you show, not only are individual index funds the better bet (as we already know), but as a collectively diversified group...
by k66
Sun May 25, 2014 12:20 pm
 
Forum: Investing - Theory, News & General
Topic: We won best paper from S&P SPIVA worldwide!
Replies: 39
Views: 3356

Re: sequence of returns risk

Has anyone ever tried to model the potential risk? For example, if we have a cummulative distribution function for a given history of returns--either individual security, index, portfolio--we would be able to assign a probability of failure (not achieving a minimum return in any given period). In lo...
by k66
Sun May 18, 2014 11:18 am
 
Forum: Investing - Theory, News & General
Topic: sequence of returns risk
Replies: 9
Views: 964

Re: My Unexpected Findings on Backtesting Vanguard ETFs

Hi FundyInvestor, I'm guessing by your name that you might also be interested in Vanguard Canada's small selection of ETFs (but really you wouldn't need anymore that what they do provide): https://www.vanguardcanada.ca/individual/etfs/etfs.htm and all can be DRIP'ed if that is of use to you as well....
by k66
Sun Apr 13, 2014 10:29 am
 
Forum: Investing - Theory, News & General
Topic: My Unexpected Findings on Backtesting Vanguard ETFs
Replies: 8
Views: 1389

Re: Getting a sense of scale of returns during bull/bear

The terms bull and bear can be somewhat subjective. Are we in a bull market right now? Sure - year-over-year returns looks positively fantastic. Or, not really if you measure over longer time frames. For example, how has the SP500 (or most other indices) fared for the past 10 to 15 years? Some might...
by k66
Sun Apr 06, 2014 10:20 am
 
Forum: Investing - Theory, News & General
Topic: Getting a sense of scale of returns during bull/bear
Replies: 4
Views: 383

Re: The Arithmetic of Investment Expenses

That is a nice piece of work. Thanks for the link.

I guess one could debate the conciseness of the "active" model return as r(h) = r(l) + epsilon, but in the end its probably moot and one might similar distributions regardless.

+1 CH too!
by k66
Sun Mar 16, 2014 12:15 pm
 
Forum: Investing - Theory, News & General
Topic: The Arithmetic of Investment Expenses
Replies: 3
Views: 647

Re: Why is index investing better considering these funds

Unfortunately Canadian mutual funds and some ETFs can claim to have among the highest MERs in the world. The good news is that there are now a good selection of very low cost domestic MFs and ETFs that are very reasonably priced - including several (all) of the Vanguard Canada ETFs (between 9 and 35...
by k66
Sat Mar 15, 2014 10:45 am
 
Forum: Investing - Theory, News & General
Topic: Why is index investing better considering these funds
Replies: 23
Views: 3135

Re: peak oil dead?

Maybe. In before the lock.
by k66
Tue Mar 11, 2014 10:01 pm
 
Forum: Investing - Theory, News & General
Topic: peak oil dead?
Replies: 5
Views: 592

This is your Fund Manager speaking...

A new and somewhat amusing take on why (hedge) funds are all clear for take off and we should expect only beautiful blue skies ahead. As the argument suggests, fund managers and their investors are exactly like airline pilots and their passengers. One is the technical expert performing a complex tas...
by k66
Sat Mar 08, 2014 7:34 pm
 
Forum: Investing - Theory, News & General
Topic: This is your Fund Manager speaking...
Replies: 2
Views: 553

Re: the RTM phenonomen, explaining it and its implications

Larry - a good read as always. I am still not entirely convinced that a "one true mean" exists - that is to say, a steady unwavering mean around which a particular price fluctuates. Perhaps the mean, as we want to call it, is more flexible and changes according to the dynamics of the price...
by k66
Thu Feb 20, 2014 11:00 am
 
Forum: Investing - Theory, News & General
Topic: the RTM phenonomen, explaining it and its implications
Replies: 40
Views: 3229

Re: What is an appropriate "failure rate" in SWR studies?

technovelist wrote:Did you mean "less than 1E-6"? >1E-6 is not that comforting to me. :?


Yes, sorry, I did mean "less than" but I guess I was thinking of a probability of 1 in 1E6 (or greater) but wrote something different!
by k66
Mon Feb 17, 2014 3:37 pm
 
Forum: Investing - Theory, News & General
Topic: What is an appropriate "failure rate" in SWR studies?
Replies: 64
Views: 4098

Re: What is an appropriate "failure rate" in SWR studies?

To answer the question directly, I don't think that it is easy to conceive what an appropriate (acceptable) level of failure is. As noted variously in this thread, it would be higher or lower for different people. In using MC, or other types of testing/simulation, I can only look at the "failur...
by k66
Mon Feb 17, 2014 12:27 pm
 
Forum: Investing - Theory, News & General
Topic: What is an appropriate "failure rate" in SWR studies?
Replies: 64
Views: 4098

Re: the sky is about to fall!

That chart is completely irrelevant now. Don't forget that the world ended in December 2012.
by k66
Wed Feb 12, 2014 11:10 am
 
Forum: Investing - Theory, News & General
Topic: [MarketWatch: Scary 1929 market chart gains traction]
Replies: 43
Views: 4725

Re: Advisors have 4 ways to produce 3% alpha

While I agree that the first three activities will work to increase investor return (staying invested, tax efficiency, and low fees), I remain unclear about the fourth (rebalancing). Doesn't the process of rebalancing essentially reduce net return? The advantage to rebalancing is entirely to reduce ...
by k66
Thu Jan 30, 2014 11:00 am
 
Forum: Investing - Theory, News & General
Topic: Advisors have 4 ways to produce 3% alpha
Replies: 16
Views: 2097

Re: When Will The Market Crash Again?

... While you are young, a stock market drop can be a good thing because you can buy stocks at a lower price... Why would only the young benefit from a crash? I plan to take full advantage of any crash regardless of age. :wink: As for predicting crashes, one of the more intriguing indicators I have...
by k66
Sun Jan 26, 2014 12:15 pm
 
Forum: Investing - Theory, News & General
Topic: When Will The Market Crash Again?
Replies: 16
Views: 1789

Re: Gurus Achieve An Astounding 47.4% Accuracy!

I'm not sure that comparison (of guru predictions) to a "fair coin" is the appropriate model. The CXO study gives each guru a (+) or (-) grade (so, a 1 or 0 score) for each market prediction/call made. But is the market really a fair coin? Perhaps on a week to week basis it is somewhat ran...
by k66
Sun Jan 26, 2014 12:00 pm
 
Forum: Investing - Theory, News & General
Topic: Gurus Achieve An Astounding 47.4% Accuracy!
Replies: 202
Views: 10463

Re: 2014 BOGLEHEAD TRACKING SITE UP AND RUNNING

Big thanks to Ralph, Tayler, et al for putting this together! Bogleheads: Forecasts for the price of the S&P 500 Index at year's end range from Linenfort's bear guess of 885 to K66's bull guess of 3,146 with everyone else between. Today the S&P closed at 1845. Let the Contest begin! I like t...
by k66
Sat Jan 18, 2014 11:12 am
 
Forum: Investing - Theory, News & General
Topic: REGISTRATION FOR THE 2014 BOGLEHEAD CONTEST
Replies: 536
Views: 14088

Re: Who Invests 100% in Passive Index Funds/ETFs

Yes, 100%... Except for my Employee Stock Ownership Plan (I buy company stock and get 50% match provided I don't sell for 2 years... once a year I cull all the >2 yr stock and transfer to my primary portfolio, sell it, and buy ETF units). Straight off the bat, I get a 50% RoR and that buys my compla...
by k66
Fri Jan 17, 2014 3:19 am
 
Forum: Investing - Theory, News & General
Topic: Who Invests 100% in Passive Index Funds/ETFs
Replies: 79
Views: 5971

Re: Bogleheads 2014 Hedge fund contest

I'll add my thanks for running this contest as well Norbert - it's much appreciated. Although I will wait until Dec. 2014 to see what the final product yields, it saddens me to report that "Mad stacks" appears to be suffering from an early (and potentially excessive) exothermic condition -...
by k66
Fri Jan 10, 2014 12:51 am
 
Forum: Investing - Theory, News & General
Topic: Bogleheads 2014 Hedge fund contest
Replies: 155
Views: 14010

Re: Why Include Bonds in a Portfolio?

Lets say there is a Long Term Investor, 28yrs Old, that doesn't listen to any Noise, that has a 100% Stock Portfolio, that doesn't need this money for 40+ Years, that Doesn't Panic Sell During Severe Market Crashes (only adds money), That is OK with the risk of an AA of 100% Equities, that has an a...
by k66
Mon Jan 06, 2014 8:22 pm
 
Forum: Investing - Theory, News & General
Topic: Why Include Bonds in a Portfolio?
Replies: 74
Views: 4157

Re: Investment Returns 1802-2012 (look at gold)

Just to clarify and correct me if I'm wrong, but isn't an inflation adjusted dollar still worth $1 today? I assume no since it takes like $7.87 to have the same purchasing power as $1in 1960. "Even in the U.S., where the wish for a stable currency is strong, the dollar has fallen a staggering ...
by k66
Sun Jan 05, 2014 3:05 pm
 
Forum: Investing - Theory, News & General
Topic: Investment Returns 1802-2012 (look at gold)
Replies: 24
Views: 3180

Re: Investment Returns 1802-2012 (look at gold)

Just to clarify and correct me if I'm wrong, but isn't an inflation adjusted dollar still worth $1 today? In calculating the compound rate of return for the assets above, I get the following real and nominal values (using a basis of 212 years): Treasury bills... 2.70%, 4.16%. Long-term bonds... 3.55...
by k66
Sun Jan 05, 2014 12:24 pm
 
Forum: Investing - Theory, News & General
Topic: Investment Returns 1802-2012 (look at gold)
Replies: 24
Views: 3180

Re: REGISTRATION FOR THE 2014 BOGLEHEAD CONTEST

Applying last year's methodology again (rearrangement of the digits from last year's close), I get a guess of:

3146.88
by k66
Fri Jan 03, 2014 10:38 am
 
Forum: Investing - Theory, News & General
Topic: REGISTRATION FOR THE 2014 BOGLEHEAD CONTEST
Replies: 536
Views: 14088

Re: A Good Day to Diehard (BH SP500 Contest)

Maybe there is no WB in the group, but certainly a couple who are more prolific. I would offer "jsl11" as one of these members. He has participated in 10 (out of 11) contests and finishes on average in the top 40% of the pack. His percent deltas from the last 10 years are 5.7%, 2.6%, -15.4...
by k66
Wed Jan 01, 2014 7:44 pm
 
Forum: Investing - Theory, News & General
Topic: A Good Day to Diehard (BH SP500 Contest)
Replies: 5
Views: 634

A Good Day to Diehard (BH SP500 Contest)

Now that the 2013 edition of the BH Diehard S&P 500 Contest has closed, I took a bit of a closer look at how the guesses ranged. One of the interesting things I found was that approximately 1/3 of the contestants could be considered relatively good guessers (meaning those who could apparently, m...
by k66
Tue Dec 31, 2013 9:42 pm
 
Forum: Investing - Theory, News & General
Topic: A Good Day to Diehard (BH SP500 Contest)
Replies: 5
Views: 634

Re: exponential rise in prices ?

I think it would be good if we had a specific reference or an example of what it is that you are observing. But bear in mind that "exponential" means continued change generally (but not necessarily) at a constant rate in the following form: y = a * x^n when x>1, y increases exponentially; ...
by k66
Tue Dec 31, 2013 1:30 pm
 
Forum: Investing - Theory, News & General
Topic: exponential rise in prices ?
Replies: 7
Views: 1111

Re: BOGLEHEAD CONTEST -- 2 more trading days.

Congratulations Jeff. I have since gone back and compiled data for all years starting in 2003. After tomorrow's close I will incorporate the "final" 2013 as well, but I suppose I can let one cat out of the bag for now (at the risk of allowing you to reconsider the discount you have offered...
by k66
Tue Dec 31, 2013 4:53 am
 
Forum: Investing - Theory, News & General
Topic: BOGLEHEAD CONTEST -- 2 more trading days.
Replies: 43
Views: 2639

Re: Bogleheads' investable assets at retirement

I am also in the $1M+ crowd (in 2013... or should it now be 2014 dollars?!). But the amount a person may really need or want depends on whether or not they plan on draining their retirement portfolio or want to leave something behind. If the latter, a person could easily need to double their nest-eg...
by k66
Tue Dec 31, 2013 2:06 am
 
Forum: Investing - Theory, News & General
Topic: Bogleheads' investable assets at retirement
Replies: 43
Views: 5526

Re: BOGLEHEAD CONTEST -- 2 more trading days.

@ Taylor et al In looking at the past six years of data, including 2013 (which I will consider to be statistically complete), we have many members who have made guesses in at least three of those years (254) considering that there are 1033 unique member names in the six years of data. Members making...
by k66
Sun Dec 29, 2013 2:11 pm
 
Forum: Investing - Theory, News & General
Topic: BOGLEHEAD CONTEST -- 2 more trading days.
Replies: 43
Views: 2639
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