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Re: Correlations of Risk Factors in Down Markets

I suppose that's part of the problem with using correlation to look at risk. Quality fell in 08-09, and probably had high correlation to the market. But I recall for example that health care fell less severely than the market. It's plausible that some assets have high correlation to the market, tend...
by lazyday
Fri Dec 19, 2014 3:17 am
 
Forum: Investing - Theory, News & General
Topic: Correlations of Risk Factors in Down Markets
Replies: 22
Views: 1180

Re: Correlations of Risk Factors in Down Markets

oneleaf wrote:the factors are long-short
....
a small/value tilted portfolio doesn't mean you are getting the zigging and zagging benefit during a panic

For recent bears, could use Portfolio Visualizer to easily backtest.
by lazyday
Fri Dec 19, 2014 12:57 am
 
Forum: Investing - Theory, News & General
Topic: Correlations of Risk Factors in Down Markets
Replies: 22
Views: 1180

Re: Correlations of Risk Factors in Down Markets

During the Depression, HmL was negative 2 of the 4 years. During the popping of the growth stock bubble 2000-2002, HmL was positive all 3 of the 3 years. Maybe too difficult to try, but I'd wonder how each of the factors did over the periods from market peak to bottom for each terrible market, sort...
by lazyday
Fri Dec 19, 2014 12:53 am
 
Forum: Investing - Theory, News & General
Topic: Correlations of Risk Factors in Down Markets
Replies: 22
Views: 1180

Re: Where to put cash now? Prefer CD's.

Has PenFed usually had their promo rate start in December instead of January? In 2013 and 2012 the CD promo started on or around December 1. I believe that several years ago, in at least one year, it started Jan 1 or near the end of December. I don't know how many years of the last 10 there's been ...
by lazyday
Fri Dec 19, 2014 12:11 am
 
Forum: Investing - Help with Personal Investments
Topic: Where to put cash now? Prefer CD's.
Replies: 22
Views: 4203

Re: Correlations of Risk Factors in Down Markets

What if you ignore mild down markets and focus on real bad markets like panics, depressions, and rough bears like mid 60s to 80s?
by lazyday
Thu Dec 18, 2014 3:16 pm
 
Forum: Investing - Theory, News & General
Topic: Correlations of Risk Factors in Down Markets
Replies: 22
Views: 1180

Re: Yahoo mail

Does it have good spam control? Not every provider does.
by lazyday
Thu Dec 18, 2014 1:51 pm
 
Forum: Personal Consumer Issues
Topic: Yahoo mail [problems]
Replies: 29
Views: 1837

Re: An alternative to alternative investments [QSPIX]

There's an old GMO paper proposing, as I recall, that the small premium is about the 100 year flood. Compensation for what happens in a time like the great depression, when smallcap fell ~50% more than the market; ~95% vs ~90%. I suppose then SmB (and perhaps HmL) might be a good risk for someone wi...
by lazyday
Thu Dec 18, 2014 1:41 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 205
Views: 19817

Re: Yahoo mail

Opinions will differ but I trust google more than yahoo or microsoft for quality, reliability, and for being reasonable, open, and honest about my privacy.

I don't have an opinion on apple email.

gmail has had brief outages, but I've never experienced a problem.
by lazyday
Thu Dec 18, 2014 1:31 pm
 
Forum: Personal Consumer Issues
Topic: Yahoo mail [problems]
Replies: 29
Views: 1837

Re: Buying Vanguard Energy Index

flyingaway wrote:got out and vowed not to catch a falling knife again.


If you fight the tape
and catch a falling knife
the blood on the streets
could be your own.

or

The tape can fall for longer than you can remain rational.
by lazyday
Wed Dec 17, 2014 8:39 am
 
Forum: Investing - Help with Personal Investments
Topic: Buying Vanguard Energy Index
Replies: 22
Views: 2599

Re: Better inflation-indexed guaranteed options?

Inflation adjusted annuities ... are to TIPS as fixed annuities are to nominal bonds. Yes, it's just that a US gvt issued inflation adjusted annuity seems the ideal instrument for a liability matching portfolio. Trying to find something similar, maybe the best we could do is a TIPS ladder that enab...
by lazyday
Wed Dec 17, 2014 7:21 am
 
Forum: Investing - Theory, News & General
Topic: Better inflation-indexed guaranteed options?
Replies: 31
Views: 2387

Re: Yahoo is missing year end distributions

Why do you use Yahoo as the data source? Is it generally high quality? Or easier for downloading?

When getting data on just a few funds, I try to use the fund websites, or sometimes nasdaq.com. But I don't know what's practical for you, or have any special knowledge on what sources are most reliable.
by lazyday
Tue Dec 16, 2014 9:47 am
 
Forum: Investing - Theory, News & General
Topic: Yahoo is missing year end distributions
Replies: 5
Views: 540

Re: Better inflation-indexed guaranteed options?

Richard, I don't know that there's any market for individuals to trade swaps, but some years ago I had the impression that an individual could use many kinds of futures contracts with some effort. CME appears to have some inflation futures contracts, but I don't know how liquid they are or how much ...
by lazyday
Tue Dec 16, 2014 9:31 am
 
Forum: Investing - Theory, News & General
Topic: Better inflation-indexed guaranteed options?
Replies: 31
Views: 2387

Re: Energy sector

Oil stocks are not plays on the oil price. They are *leveraged* plays on the oil price. Interestingly, the last 3 months don't look that way, at least at first glance. Just looking at a simple price chart of, for example, XLE (energy equities ETF) compared to an ETF following oil price or futures p...
by lazyday
Tue Dec 16, 2014 8:50 am
 
Forum: Investing - Theory, News & General
Topic: Energy sector
Replies: 55
Views: 4184

Re: Better inflation-indexed guaranteed options?

Johno , The swaps I linked are said to be pretty liquid. I suppose we could look at actual recent trades to decide if they are reasonably priced. But I posted a question about them a year ago and still haven't; I guess it's more fun to discuss than to just look. I don't know who would be on the oth...
by lazyday
Tue Dec 16, 2014 3:18 am
 
Forum: Investing - Theory, News & General
Topic: Better inflation-indexed guaranteed options?
Replies: 31
Views: 2387

Re: Better inflation-indexed guaranteed options?

PJW, have you tried using inflation swaps?
by lazyday
Mon Dec 15, 2014 5:30 pm
 
Forum: Investing - Theory, News & General
Topic: Better inflation-indexed guaranteed options?
Replies: 31
Views: 2387

Re: Energy sector

I think hard drive capacity and CPU operations/second both have doubled extremely quickly, like once every 1.5 to 2.5 years or so. Solar and battery tech I think have also doubled periodically, but not as quickly, and maybe not as reliably. EDIT: maybe doubling every 10 years for batteries, unless y...
by lazyday
Mon Dec 15, 2014 4:34 pm
 
Forum: Investing - Theory, News & General
Topic: Energy sector
Replies: 55
Views: 4184

Re: Energy sector

One would think say the makers of cash registers, or minicomputers, the stock market would have seen the rise of the microcomputer and now the tablet and phone far, far ahead. But no, it did not. We'll stumble on this one, rather than see it correctly anticipated decades out. Not sure I have a good...
by lazyday
Mon Dec 15, 2014 1:49 pm
 
Forum: Investing - Theory, News & General
Topic: Energy sector
Replies: 55
Views: 4184

Re: Energy sector

Just from minimal reading, it appears that battery cost and capacity has been improving exponentially. http://rameznaam.com/wp-content/uploads/2013/09/li-ion-battery-improvement-curve1.jpg (that capacity is total, not per gram which I think also has increased exponentially) Maybe someone could draw ...
by lazyday
Mon Dec 15, 2014 1:23 pm
 
Forum: Investing - Theory, News & General
Topic: Energy sector
Replies: 55
Views: 4184

Re: Does splitting int'l markets increase returns?

Simplifying for a moment and removing EM: http://www.portfoliovisualizer.com/backtest-asset-class-allocation?s=y&IntlPacific2=80&IntlPacific3=20&mode=2&annualOperation=0&endYear=2013&initialAmount=10000&EAFE1=100&IntlEurope2=20&IntlEurope3=80&portfolio3=Custom...
by lazyday
Mon Dec 15, 2014 1:02 pm
 
Forum: Investing - Theory, News & General
Topic: Does splitting int'l markets increase returns?
Replies: 21
Views: 1774

Re: Does splitting int'l markets increase returns?

I read thew whole thread, but have yet to see a theoretical justification for market-weighing countries in the international portion of a portfolio. People like Sharpe have argued that the ideal portfolio for a theoretical typical investor with no special personal risks, is the market portfolio. If...
by lazyday
Mon Dec 15, 2014 12:11 pm
 
Forum: Investing - Theory, News & General
Topic: Does splitting int'l markets increase returns?
Replies: 21
Views: 1774

Re: Malkiel: consider foreign bonds, dividend stocks; no SCV

Browser wrote:
[Malkiel interview] wrote:The other thing I would say about smart beta is it has become very, very popular.

Anyone seen data or other pro impressions on how crowded smart beta / factor diversification has become?

How does he know how popular it is or how much money is chasing it?
by lazyday
Mon Dec 15, 2014 12:02 pm
 
Forum: Investing - Theory, News & General
Topic: Malkiel: consider foreign bonds, dividend stocks; no SCV
Replies: 1
Views: 565

Re: Why does VSS have a negative HmL?

Probably a good idea. I feel like I've forgotten more math than I even learned.
by lazyday
Sun Dec 14, 2014 12:45 pm
 
Forum: Investing - Theory, News & General
Topic: Why does VSS have a negative HmL?
Replies: 8
Views: 970

Re: Turnover Expense impact on Expense Ratio

There was a recent thread asking almost exactly the same question. Maybe you mean this one: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=151932&p=2278510#p2277176 The post above links to a study on turnover costs. Also see http://www.bogleheads.org/wiki/Mutual_funds:_additional_costs
by lazyday
Sun Dec 14, 2014 12:06 pm
 
Forum: Investing - Theory, News & General
Topic: Turnover Expense impact on Expense Ratio
Replies: 22
Views: 743

Re: Why does VSS have a negative HmL?

I didn't realize there was already a thread that touches on this topic Well the thread title didn't really help point you to it, since the thread wandered a bit. I guess my confusion is that R2 is .96 for VSS Yeah, check the difference between these two regressions (snipped from a November thread):...
by lazyday
Sun Dec 14, 2014 11:55 am
 
Forum: Investing - Theory, News & General
Topic: Why does VSS have a negative HmL?
Replies: 8
Views: 970

Re: Why does VSS have a negative HmL?

Probably not smarter than you and don't know much about factor regresions... but I generally don't trust them for non US funds. Part of the problem may be that the factor data is based on a different set of countries than VSS is. See the first link in this post: https://www.bogleheads.org/forum/view...
by lazyday
Sun Dec 14, 2014 6:41 am
 
Forum: Investing - Theory, News & General
Topic: Why does VSS have a negative HmL?
Replies: 8
Views: 970

Re: Slice And Dice Alternative Retirement Investments

If you don't like monte carlo, you can do a simple backtest that includes withdrawals. http://www.portfoliovisualizer.com/backtest-asset-class-allocation?s=y&EmergingMarket2=5&EmergingMarket1=5&mode=2&PreciousMetals1=5&annualOperation=2&REIT1=5&REIT2=5&LongTermBond2=2...
by lazyday
Sun Dec 14, 2014 6:09 am
 
Forum: Investing - Theory, News & General
Topic: Slice And Dice Alternative Retirement Investments
Replies: 9
Views: 1139

Re: Better inflation-indexed guaranteed options?

I fail to see why the government should subsidise the de-risking of additional retirement income for those relatively well off enough to have additional retirement savings. If the Treasury sold inflation adjusted SPIA and deferred life annuities, they could be priced fairly so that the government i...
by lazyday
Sun Dec 14, 2014 5:44 am
 
Forum: Investing - Theory, News & General
Topic: Better inflation-indexed guaranteed options?
Replies: 31
Views: 2387

Re: Better inflation-indexed guaranteed options?

I believe there are inflation indexed corporate bonds, but you will be adding credit risk. You could also buy sovereign inflation indexed bonds from other countries. This would add currency risk, too much of which can increase portfolio risk, but in moderate amounts might be good for the portfolio. ...
by lazyday
Sun Dec 14, 2014 5:39 am
 
Forum: Investing - Theory, News & General
Topic: Better inflation-indexed guaranteed options?
Replies: 31
Views: 2387

Re: So, are there any appealing commodity funds/etfs?

One was that the yield on collateral (tbills) was miserably low, and the other was contango or backwardation (I forget which) which meant that the roll return from updating the futures each month was negative. Collateral yield is still low. When I last checked before the financial crisis, PCRIX did...
by lazyday
Sun Dec 14, 2014 5:19 am
 
Forum: Investing - Theory, News & General
Topic: So, are there any appealing commodity funds/etfs?
Replies: 3
Views: 613

Re: Bid-Ask spread

Often times when I am rebalancing I will place trades after hours to be executed at the market price during the next trading day. That sounds really scary and is something I would never do. For actively traded funds like SPY you will probably be fine, but I'd worry about the one time you get unluck...
by lazyday
Sun Dec 14, 2014 5:03 am
 
Forum: Investing - Help with Personal Investments
Topic: Bid-Ask spread
Replies: 7
Views: 815

Re: Is it worth purchasing Ibonds on the verge retirement?

Also, you may want to wait until close to the end of the month to buy your ibond, If the money is earning 1% now, you could get about $5 extra income by waiting. If you want the $5 enough, you could buy a $25 I bond right away, and wait until near the end of month for the rest. Provided your bank d...
by lazyday
Sun Dec 14, 2014 4:30 am
 
Forum: Investing - Theory, News & General
Topic: Is it worth purchasing Ibonds on the verge retirement?
Replies: 25
Views: 2444

Re: Any Momentum Investors Out There?

The momentum backtest is neat. It doesn't seem to use all the history of funds, for example for a Templeton fund going back to 1954, the site only goes back to mid 1980s. EMF is from 1987 but the site starts it at 1990. I didn't put much effort into finding funds that exist today that went back to 1...
by lazyday
Sat Dec 13, 2014 7:40 am
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 103
Views: 8002

Re: (Poll) Did you tap into emergency fund in the past 10 ye

but I don't consider it an emergency, it is just a part of our cash on hand for anticipated maintenance Same here. Seems to me that for people wealthy enough to invest even a little money, it can be difficult to answer the question. Even surprise surgery only seems like a financial emergency if the...
by lazyday
Sat Dec 13, 2014 2:01 am
 
Forum: Personal Finance (Not Investing)
Topic: (Poll) Did you tap into emergency fund in the past 10 years?
Replies: 54
Views: 3472

Re: Int'l small value exposure without the negative MOM?

Starting with FF Global ex US data: http://www.portfoliovisualizer.com/factor-analysis?s=y&includeQualityFactor=false&startDate=11%2F01%2F2011&endDate=10%2F31%2F2014&factorDataSet=0&includeLowBetaFactor=false&factorModel=4&includeBondFactors=false&symbols=VXUS%2C+VSS%...
by lazyday
Sat Dec 13, 2014 1:50 am
 
Forum: Investing - Theory, News & General
Topic: Int'l small value exposure without the negative MOM?
Replies: 18
Views: 1966

Re: Int'l small value exposure without the negative MOM?

From a quick glance, it seems the two data sources use the same countries, except that AQR includes Isreal. Both include Greece and Hong Kong, but exclude Korea, Taiwan, and most developing countries. https://www.aqr.com/library/data-sets/about-the-aqr-data-library https://www.aqr.com/library/data-s...
by lazyday
Fri Dec 12, 2014 12:04 pm
 
Forum: Investing - Theory, News & General
Topic: Int'l small value exposure without the negative MOM?
Replies: 18
Views: 1966

Re: Energy sector

, but do you think that Chevron, Exxon, ConocoPhillips, Shell, and BP will be struggling in the long run? Well I'm no expert on this but seems to me that if in a few decades from now, everyone is driving battery or fuel cell powered cars, and using electric heat, etc, then hydrocarbon demand and pr...
by lazyday
Fri Dec 12, 2014 11:10 am
 
Forum: Investing - Theory, News & General
Topic: Energy sector
Replies: 55
Views: 4184

Re: Energy sector

I expect the energy sector to suffer in the long run, as solar energy costs and energy storage capacity and costs all continue to improve exponentially. There is a risk that this won't happen, peak oil will hit us hard, and economies will suffer. Because of this and because energy looks cheap today,...
by lazyday
Fri Dec 12, 2014 10:45 am
 
Forum: Investing - Theory, News & General
Topic: Energy sector
Replies: 55
Views: 4184

Re: Int'l small value exposure without the negative MOM?

I ran a regression on 5 years of data, using Dev-Mkt factor data and least-means-square regression. Is this what you used for factor data? http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/details_globalexus.html Do you consider the R*R high enough to make comparisons valid? I not...
by lazyday
Fri Dec 12, 2014 9:47 am
 
Forum: Investing - Theory, News & General
Topic: Int'l small value exposure without the negative MOM?
Replies: 18
Views: 1966

Re: Early Retirement

if after 20 years I find that my initial investment had still increased by some substantial amount beyond inflation then I could increase my withdrawals. Yes, if you're conservative about it. If you retire using a 3% WR, and keep increasing your withdrawals all the way back up to 3% whenever your p...
by lazyday
Fri Dec 12, 2014 9:20 am
 
Forum: Personal Finance (Not Investing)
Topic: Early Retirement
Replies: 19
Views: 3383

Re: Early Retirement

Be sure to look at how long you have to work under medicare to qualify for that when you are 65. From a quick google, looks like it's similar to qualifying for social security. 10 years work could do it. 40 credits, up to 4 credits a year. In 2014 $1200 in earnings can earn one credit. http://www.s...
by lazyday
Fri Dec 12, 2014 9:15 am
 
Forum: Personal Finance (Not Investing)
Topic: Early Retirement
Replies: 19
Views: 3383

Re: Int'l small value exposure without the negative MOM?

The factsheet has a statistic for momentum. They're designed to capture a momentum premium. I've struggled with how to measure factor loading in international funds, and how to find one with low total costs and a good index or portfolio strategy. I'm picky and still haven't chosen any. You could loo...
by lazyday
Thu Dec 11, 2014 10:01 am
 
Forum: Investing - Theory, News & General
Topic: Int'l small value exposure without the negative MOM?
Replies: 18
Views: 1966

Re: Slice And Dice Alternative Retirement Investments

Collatoralized Commodity Futures have positive expected real return This used to be true when going long you were helping manage risks for a producer. In old papers from the 1970s I think this was called an "insurance premium" you got for offering the producer insurance against low future...
by lazyday
Thu Dec 11, 2014 8:09 am
 
Forum: Investing - Theory, News & General
Topic: Slice And Dice Alternative Retirement Investments
Replies: 9
Views: 1139

Re: New Rate - 1 year Penfed MM Certificate

I had trouble with a different small CU a year or two ago. By the time the account was finally ready and the funds transferred over, the rate dropped. I pulled my money back and, come to think of it, really should close that account.
by lazyday
Thu Dec 11, 2014 7:37 am
 
Forum: Investing - Theory, News & General
Topic: New Rate - 1 year Penfed MM Certificate
Replies: 14
Views: 2077

Re: Vanguard Wish List

An old wish has been granted: options to increase account security if I don't mind the nuisance. Would be nice for this trend to slowly continue. Still wish for passive foreign value or multifactor funds, such as EM value or Ex-US small value. To control costs, maybe no index, like some DFA, AQR, Br...
by lazyday
Thu Dec 11, 2014 7:28 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard Wish List
Replies: 44
Views: 2983

Re: Slice And Dice Alternative Retirement Investments

I like the idea of a small PME precious metals equity allocation. Sometimes it won't help, but in some cases where the broad stock market does poorly, PME might do well. I don't know if anyone's done a backtest that includes withdrawals for spending in retirement. Commodities are harder for me to ju...
by lazyday
Thu Dec 11, 2014 1:45 am
 
Forum: Investing - Theory, News & General
Topic: Slice And Dice Alternative Retirement Investments
Replies: 9
Views: 1139

Re: Int'l small value exposure without the negative MOM?

, value int'l etfs, etc., but I wasn't sure if they were really that value-y and if they avoided the negative momentum loading. If you're considering largecap or large+mid, and would like positive momentum, take a look at QICLX or for EM, QEELX. Just from a quick glance, they seem to have decent va...
by lazyday
Thu Dec 11, 2014 1:14 am
 
Forum: Investing - Theory, News & General
Topic: Int'l small value exposure without the negative MOM?
Replies: 18
Views: 1966

Re: Early Retirement

Welcome IndexInvestor. I'm early retired, but never had anywhere near your income and don't have a huge portfolio. I think I'll need to be more heavily invested in stocks for my portfolio to last such a long time than something more conservative. I feel the same way, and am very aggressive compared ...
by lazyday
Thu Dec 11, 2014 12:57 am
 
Forum: Personal Finance (Not Investing)
Topic: Early Retirement
Replies: 19
Views: 3383

Re: What to do with VGPMX (Vanguard Precious Metals and Mini

nisiprius, Could use edgar to look at old annual reports or portfolio holdings reports, though I don't know how far back you can see. Really I think sometimes people say "gold" to mean the metal, and sometimes to mean gold mining companies. Same with commodities, commodity companies, and c...
by lazyday
Tue Dec 09, 2014 10:54 pm
 
Forum: Investing - Help with Personal Investments
Topic: What to do with VGPMX (Vanguard Precious Metals and Mining)?
Replies: 32
Views: 2240

Re: What to do with VGPMX (Vanguard Precious Metals and Mini

tibbits,

I doubt it ever was an index fund, but I think it was a much more of a PME fund in the past, holding mostly gold miners (some of which also mine other metals).
by lazyday
Tue Dec 09, 2014 10:51 pm
 
Forum: Investing - Help with Personal Investments
Topic: What to do with VGPMX (Vanguard Precious Metals and Mining)?
Replies: 32
Views: 2240

Re: Does splitting int'l markets increase returns?

I agree on trading costs, and that's part of the appeal of TISM for me. Adding a company that grew from microcap to smallcap is probably immaterial, otherwise the fund generally only should need to trade because of fund flows from traditional share investors. Much of the trading is probably done wit...
by lazyday
Tue Dec 09, 2014 10:55 am
 
Forum: Investing - Theory, News & General
Topic: Does splitting int'l markets increase returns?
Replies: 21
Views: 1774
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