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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: 4260

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: 2754

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: 1869

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: 2730

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: 348

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: 348

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: 2689

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: 100
Views: 7773

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: 2453

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: 3227

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: 943

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: 1371

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: 379

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: 632

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: 3099

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: 588

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: 548

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: 3206

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: 4072

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: 4072

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: 4699

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: 2085

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: 1768

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: 10322

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: 13772

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: 5916

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: 13398

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: 4020

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: 3137

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: 3137

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: 13772

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: 628

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: 628

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: 1109

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: 2633

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: 5502

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: 2633

Re: BOGLEHEAD CONTEST -- 2 more trading days.

Tayler - Again assuming that the distribution of estimates is somewhat random, I would guess that it is not unlike flipping coins (i.e. any particular guess has a 50% chance of being Left or Right). The probability of landing on the left side four times in a row is 1 in 16, or 6.25%. But maybe the b...
by k66
Sat Dec 28, 2013 8:39 pm
 
Forum: Investing - Theory, News & General
Topic: BOGLEHEAD CONTEST -- 2 more trading days.
Replies: 43
Views: 2633

Re: BOGLEHEAD CONTEST -- 2 more trading days.

That's interesting. Assuming that "getting on the left side" is an approximate 1-in-2 probability (0.5), getting there in three consecutive years is merely 1:8 (0.125), but yet the results suggest otherwise. Of course there are those that simply haven't entered the contest for three consec...
by k66
Sat Dec 28, 2013 4:03 pm
 
Forum: Investing - Theory, News & General
Topic: BOGLEHEAD CONTEST -- 2 more trading days.
Replies: 43
Views: 2633

Re: Bogleheads 2014 Hedge fund contest

Following another award-winning year in the "Walking Hedge" fund[1], AMC Corp (the Ameliorated Monetary Confiscation Corporation) will once again offer our clients an exciting new line up of useless but entertaining avenues by which to discharge their hard-earned money into our pockets. Fu...
by k66
Sat Dec 28, 2013 3:14 pm
 
Forum: Investing - Theory, News & General
Topic: Bogleheads 2014 Hedge fund contest
Replies: 155
Views: 13398

Re: No emergency fund for me. I use inverse ETF's as a sub

Is this where we line up for the free lunch?
by k66
Tue Dec 17, 2013 10:46 am
 
Forum: Investing - Theory, News & General
Topic: No emergency fund for me. I use inverse ETF's as a sub
Replies: 80
Views: 4987

Re: Firecalc Math Question

Don't forget that in the first 30-yr sequence, when you have been left with a minimum portfolio of $273k, that it is the result of some particularly turbulent market sequence. For the sake of argument, let's say it was the Great Depression. Now you retest that $273k anew in the second sequence. Fire...
by k66
Fri Nov 29, 2013 11:14 am
 
Forum: Investing - Theory, News & General
Topic: Firecalc Math Question
Replies: 4
Views: 628

Pick A Winning Fund

From the Financial Post this morning. The one easy rule you need to know for picking a winning index fund Michael Nairne | 27/11/13 | Last Updated: 27/11/13 8:18 AM ET Imagine that you have decided to invest in a stock mutual fund. Given the tear the American market has been on lately, you decide to...
by k66
Wed Nov 27, 2013 11:06 pm
 
Forum: Investing - Theory, News & General
Topic: Pick A Winning Fund
Replies: 4
Views: 498

Re: A case for rebalancing

Thanks. That was kind of my confusion also that the article talked about REIT and not about EM. So what did I miss(understand)? I think Mr. Swedroe was reminding us that at least one of the common asset allocation elements has not done as well as other more spectacularly performing assets this past...
by k66
Wed Nov 27, 2013 10:42 pm
 
Forum: Investing - Theory, News & General
Topic: A case for rebalancing
Replies: 13
Views: 1233

Re: A case for rebalancing

We should also remember the fundamental difference between rebalancing and (market) timing. The sole purpose of rebalancing is to reduce volatility in the portfolio and makes no claim to improving the portfolio's overall return. It has nothing to do with trying to figure out how long to keep a winne...
by k66
Wed Nov 27, 2013 10:57 am
 
Forum: Investing - Theory, News & General
Topic: A case for rebalancing
Replies: 13
Views: 1233

Re: A case for rebalancing

Thanks. That was kind of my confusion also that the article talked about REIT and not about EM. So what did I miss(understand)? I think Mr. Swedroe was reminding us that at least one of the common asset allocation elements has not done as well as other more spectacularly performing assets this past...
by k66
Wed Nov 27, 2013 1:16 am
 
Forum: Investing - Theory, News & General
Topic: A case for rebalancing
Replies: 13
Views: 1233

Re: Stock indexes and inflation

Stock indices are not inflation adjusted. For example, the 1565 scored by the S&P500 in 2007 (the peak prior to the downturn), is not the same 1565 achieved earlier this year precisely because of inflation. In fact, according to this article, by adjusting for inflation, we have yet to breach the...
by k66
Fri Nov 22, 2013 11:03 pm
 
Forum: Investing - Theory, News & General
Topic: Stock indexes and inflation
Replies: 10
Views: 1033

Re: Using the past to predict SWR

Forgive me for not clarifying the concept I was contemplating in my head: The arithmetic growth may well be increasing, but the growth rate itself has not been overly deviant in the past few centuries. In the same way that constant acceleration leads to ever-increasing velocities, (population) growt...
by k66
Wed Nov 20, 2013 11:09 am
 
Forum: Investing - Theory, News & General
Topic: Using the past to predict SWR
Replies: 8
Views: 712

Re: Using the past to predict SWR

The process of aftcasting as he calls it is just that - using historical returns, just like we have always done. There are perhaps some reasonable expectations that the future will be similar to the past, but always there is the recognition that things can and will be different in ways that we have ...
by k66
Tue Nov 19, 2013 10:13 pm
 
Forum: Investing - Theory, News & General
Topic: Using the past to predict SWR
Replies: 8
Views: 712

Re: The new safe withdrawal rate

Returning to the OP's article for a moment, there are a few things that keep nagging at me: 1. Is not the use of Shiller PE10 a forward extrapolation of historical data as well? That is to say, would it not be subject to the same disagreeable use of "historical" data that the actual histor...
by k66
Mon Oct 14, 2013 2:24 pm
 
Forum: Investing - Theory, News & General
Topic: The new safe withdrawal rate
Replies: 285
Views: 18849
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