Search found 189 matches

by mjb
Sun Nov 27, 2022 5:46 am
Forum: Personal Investments
Topic: Closed[-end] Funds
Replies: 8
Views: 956

Re: Closed[-end] Funds

There are a bunch of CEFs, but IMHO the most useful ones are the municipal bond CEFs. CEFs often use leverage on stocks, corporate bonds, REITs, or preferred shares. These have relatively high risks and leverage can really amplify losses, just look at CEFs in 2008.Most never recovered

OTOH, the muni funds have done well given the lower risk in the asset class. However they are doubly sensitive to interest rate rises (the bonds and any leverage). Even so, they are sometimes the only way to get exposure to a specific state.

XMPT is an ETF that has a basket of national muni CEFs.

Disclosure I hold some XMPT and state specific muni CEFs
by mjb
Thu Nov 10, 2022 9:46 pm
Forum: Personal Investments
Topic: Can I cancel a call option [and alternatives if not]?
Replies: 45
Views: 3162

Re: Sold covered call options which will hit strike price soon, looking for alternatives

Normally people would just roll the call out to the next reasonable date or up and out of possible.
by mjb
Fri Jul 08, 2022 12:06 pm
Forum: Investing - Theory, News & General
Topic: Treasury Yield 10 Years (^TNX) dropping
Replies: 23
Views: 3184

Re: Treasury Yield 10 Years (^TNX) dropping

Long term yields reflect growth and inflation expectations over long periods of time. There is also a fear and liquidity premium for treasuries.

Short term interest rates reflect fed decisions and collateral needs.

The market is saying that they expect long term growth and inflation to be low and the current inflation to be a short component of the term. This could mean a recession with inflation or growth and deflation. All it means is folks with lots of data think long term growth and inflation will be low.
by mjb
Sun May 09, 2021 5:31 pm
Forum: Personal Investments
Topic: What does your bond portfolio look like in this low interest world?
Replies: 65
Views: 8295

Re: What does your bond portfolio look like in this low interest world?

I am selling covered calls and/or puts on bond funds. Juices returns a little.
by mjb
Wed Feb 03, 2021 11:26 am
Forum: Investing - Theory, News & General
Topic: Property taxes in the USA
Replies: 50
Views: 4022

Re: Property taxes in the USA

Ranges from 0.1 to 4% depending on state. I pay roughly 2%.
by mjb
Thu Dec 31, 2020 3:48 pm
Forum: Personal Investments
Topic: How to get higher returns with secured loans
Replies: 53
Views: 4267

Re: How to get higher returns with secured loans

Thank you for posting this. There are a few CEFs that buy packaged ones. Higher returns but really high volatility.

Peer street is an option for hard money lending. However I currently have two that are in default and waiting to see how it plays out.
by mjb
Thu Dec 31, 2020 3:05 pm
Forum: Personal Consumer Issues
Topic: [Is VPN essential for online privacy & security?]
Replies: 62
Views: 6535

Re: Which VPN would you recommend?

I use Nord. Great for when I am on public, hotel, etc wifi.
by mjb
Thu Dec 24, 2020 6:20 am
Forum: Personal Consumer Issues
Topic: Skiing vs Snowboarding for a 12 year old
Replies: 64
Views: 5211

Re: Skiing vs Snowboarding for a 12 year old

If it is just one day, i would go with skiing. It is easier to learn, especially if he has ever rollerskated/bladed. Also, it is easier to move across flat terrain on skis.

Unless he is a skateboarder or surfer, snowboarding will involve a lot of falling the first day.

As said elsewhere skiing will take longer to master. And skiing takes much longer to learn to do tricks.

I prefer skiing over all 5 of the activities mentioned in this post. I used to do jumps, grind rails, etc. Now I enjoy strapping on my long skis and just cruising for hours.

One last note, given the overall low height, flatness, and likely iciness of MI and WI slopes, skiing may be.better to learn on anyway.
by mjb
Tue Dec 22, 2020 9:05 pm
Forum: Personal Investments
Topic: How to take advantage of having a lot of capital?
Replies: 17
Views: 2121

Re: How to take advantage of having a lot of capital?

Borrowing on margin cheaply - but WHAT to use it for assuming I do not want to use it to add leverage to my ETF portfolio - has anyone used margin loans to create arbitrage opportunities or to fund other ventures (e.g., borrowing at 1.2% to invest in a promo 2% rate somewhere or to snatch up distressed property using all cash only to flip a little later, etc.) Not quite the same, but given that sub 2% margin rates are available, you may be able to take advantage of cash deal versus financing deals on cars. Based on your initial post, using margin this way likely would be <5% of a portfolio so low margin call risk. Then just pay off your margin loan as if it was a car loan. That being said, the difference between a cash discount + a 1.7% ma...
by mjb
Sat Dec 05, 2020 12:02 pm
Forum: Personal Consumer Issues
Topic: Experiences w/ Compensation Band Adjustments?
Replies: 5
Views: 692

Re: Experiences w/ Compensation Band Adjustments?

From what i have seen and heard, it is usually phased in over several cycles for existing employees. That being said, of the four times i have been in this position, one time resulted in an immediate jump.
by mjb
Tue Oct 27, 2020 6:56 am
Forum: Personal Consumer Issues
Topic: Yahoo Inbox Emails Vanished?
Replies: 23
Views: 1699

Re: Yahoo Inbox Emails Vanished?

SmileyFace wrote: Mon Oct 26, 2020 2:16 pm
mjb wrote: Mon Oct 26, 2020 2:07 pm
Fat-Tailed Contagion wrote: Mon Oct 26, 2020 12:20 pm My Yahoo Inbox was deleted?

I assume the Yahoo server erased them mistakenly - anyone know how to get them back?

Also, after this episode, I am looking for a better, more secure Email solution.

Any suggestions on better Email solutions?

Thank you!
Yahoo deletes all emails if you haven't logged in in a year. However they did it to me after 6 months. They are rather unapologetic. I lost a fair amount of emails.
Their policy is to do so after 6 months (at least this is what it was last time I read the policy). If you pay them for the service they won't delete at all.
They keep cutting it back
by mjb
Mon Oct 26, 2020 2:07 pm
Forum: Personal Consumer Issues
Topic: Yahoo Inbox Emails Vanished?
Replies: 23
Views: 1699

Re: Yahoo Inbox Emails Vanished?

Fat-Tailed Contagion wrote: Mon Oct 26, 2020 12:20 pm My Yahoo Inbox was deleted?

I assume the Yahoo server erased them mistakenly - anyone know how to get them back?

Also, after this episode, I am looking for a better, more secure Email solution.

Any suggestions on better Email solutions?

Thank you!
Yahoo deletes all emails if you haven't logged in in a year. However they did it to me after 6 months. They are rather unapologetic. I lost a fair amount of emails.
by mjb
Sun Sep 13, 2020 7:15 am
Forum: Personal Investments
Topic: How much are your 529 Contributions
Replies: 133
Views: 11872

Re: How much are your 529 Contributions

Trying to find out a "logical" way to determine monthly 529 contributions. Ideally, would like to cover 100% of college cost (tuition, housing, dining, books) and just trying to see how much others are contributing and how they made that determination. Or if its better to do a portion in 529 and then cash flow the rest. Something to consider is 529 assets in most circumstances still count as assets for FAFSA. Retirement savings do not. Annual contributions into retirement account so count as income for the FAFSA even if tax deductible. So from an overall perspective, in most cases maxing retirement contributions first and then adding leftover savings to a 529 is a better overall return. Then assume to reduce retirement contributi...
by mjb
Fri Sep 04, 2020 5:51 am
Forum: Investing - Theory, News & General
Topic: Pe ratios and the stock market
Replies: 9
Views: 910

Re: Pe ratios and the stock market

So corporate earnings roughly grow in lock step with the weighted average of their markets. Ex if a company sols only to all of thr u.s. and canada its nominal earnings growth percent should match that of the u.s. and canada. A lot of other things affect earnings growth like buybacks, restructuring, etc. P/e ratio is influenced by the risk free rate of interest and the premium investors demand over it. Historically the premium is.assessed to be between 3 and 5 percent higher than the risk free rate. Everyone uses a different risk free rate, but the 3 month eurodollar and the 10 year treasury tend to be two very common. The first is basically the lowest cost of leverage and the second is for liability comparison. That puts exptected P/e's be...
by mjb
Mon Jul 27, 2020 5:30 pm
Forum: Personal Finance (Not Investing)
Topic: Using IB margin to pay off mortgage
Replies: 37
Views: 6028

Re: Using IB margin to pay off mortgage

Do you have any bonds in your brokerage account? Could you sell the bonds and pay off your mortgage, allowing you to carry a more aggressive stock allocation? Maintenance margin at IBKR is 25%. That means IBKR will start to sell your securities when the remaining equity is less than 25% of remaining assets. So if you take out a margin loan up to 50% of assets and withdraw to pay down the mortgage, stocks only need to drop 33% before they start selling. If you want a formula that takes the drop in stocks you want to happen before the margin call hits and tells you how much of a % in assets you could take as a margin loan, here you go: (3/4)*(D-1), where D is the maximum drawdown as a positive number. For example, if you don't want a margin ...
by mjb
Sun Jul 26, 2020 3:09 pm
Forum: Personal Finance (Not Investing)
Topic: Have 30-year mortgage rates fallen in last month? Advice for requesting re-lock
Replies: 33
Views: 3411

Re: Have 30-year mortgage rates fallen in last month? Advice for requesting re-lock

aqan wrote: Sun Jul 26, 2020 2:53 pm Which bank is offering 2.75% these days? I can’t even get close to 3% to refi my 700k.
Jumbo's are having problems right now.

I have a conforming and just got quoted 2.625% no points
by mjb
Thu Jul 23, 2020 6:36 am
Forum: Investing - Theory, News & General
Topic: Benefits of NTSX Exhausted due to Low Treasury Yields?
Replies: 14
Views: 1515

Re: Benefits of NTSX Exhausted due to Low Treasury Yields?

NTSX is a little different because of futures. What its return ends up being is a little different. 90% of the return matches thr s&p 500. However, the other 60% is basically the spread between the 3 month tbill and the weighted average of the treasury bonds.

Technically you could have negative rates but aresult in a positive future yield as long as the 3 month rate is lower.

What really would hurt this fund is a completely flat or inverted yield curve.

So my question is do you think 6 times the yield spread (the 10% of the fund relative to a normal fund) is greater or equal to future equity returns? Right now the return would be 90% s&p return and 10% at a ~3.5% yield.
by mjb
Sun Jul 19, 2020 3:52 pm
Forum: Investing - Theory, News & General
Topic: Biggest regrets and advice for newbies.
Replies: 62
Views: 10548

Re: Biggest regrets and advice for newbies.

Biggest mistake in investing is doing nothing. Just pick an allocation, a percent of your monthly income, and autoinvest it every paycheck.

Biggest mistake in finance is spending beyond your means
by mjb
Sun Jul 19, 2020 1:02 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree 90/60 US Efficient Core Fund [NTSX] (formerly US Balanced Fund)
Replies: 857
Views: 156926

Re: NTSX--a mostly free lunch for hedging downside risk?

SWAN is the better instrument for downside protection. https://www.portfoliovisualizer.com/fund-performance?s=y&symbol=VOO&symbols=SWAN&benchmark=NTSX Looks at the Dec 2018 and Mar 2020 crashes Interesting. So, if I read the description at etf.com correctly, SWAN is targeting 70% equity exposure and NTSX is targeting 90% equity exposure. SWAN is correspondingly more hedged against the downside but with less upside potential. The assertion on downside protection is absolutely correct. Also realize though that swan has much more headwind for positive returns. There is the .5 expense ration, so .3 higher, but most of the headwind comes from options; you need a base amount of gains to just break even -- and depending on remaining t...
by mjb
Mon May 25, 2020 11:52 am
Forum: Investing - Theory, News & General
Topic: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?
Replies: 27
Views: 2506

Re: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?

SWAN is rather different. It is 90% treasuries and 10% ITM options.

Taleb's approach was >95% stocks and the rest downside protection options.
by mjb
Sun May 24, 2020 5:05 pm
Forum: Investing - Theory, News & General
Topic: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?
Replies: 27
Views: 2506

Re: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?

It seems that all Taken actually does is treat 3,4,5, and 6 STD from the mean and assumes that each event can happen if each had a probably of 1%. This is a standard technique in some engineering circles. For instance, on the nuclear industry, by law anything must survive a 12 sigma (6 from the mean event) but normal conditions are evaluated for both an average condition and 6 sigma events (3 sigma from the mean). This method with leaps would result on 2-4% in otm puts at prices for 20, 25, 30 and 40% declines. However, it seems like an easier strategy with today's cheap margin rates would be just leverage 10% on the total market etf at fixed drawdowns up to a total of 50 or so. For instance, leverage 10 percent at 25, 35, and 35% drawdowns...
by mjb
Fri May 01, 2020 3:44 pm
Forum: Investing - Theory, News & General
Topic: Bill Bernstein: Why value is dead
Replies: 101
Views: 12972

Re: Bill Bernstein: Why value is dead

whereskyle wrote: Fri May 01, 2020 1:55 pm
packer16 wrote: Fri May 01, 2020 1:53 pm I think value factor investing may be dead due to increasing disruption in industries beyond tech. Disruption changes the economics that mean reversion is based upon, namely, that the cheap companies economics will become similar to the expensive companies economics. In the case of disruption, value factor investing may be the wrong way to invest if the disrupted company cannot stabilize or reverse the effects of the disruption. Low inflation may be more of a correlated event, as more disruption also causes low inflation or deflation.

Packer
I think I agree with this almost entirely, which means I should be highly skeptical about it. My solution to cure this uncertainty: don't tilt.
Agree. I don't tilt.
by mjb
Sun Mar 08, 2020 8:13 pm
Forum: Personal Finance (Not Investing)
Topic: 30 year mortgage under 3%
Replies: 301
Views: 54035

Re: 30 year mortgage under 3%

Everyone I have talked to on the broker side has said rates won't drop further as long as demand is high.
by mjb
Sun Mar 08, 2020 8:06 pm
Forum: Personal Investments
Topic: question about tax-exempt bond funds (vwiux or vteax)
Replies: 2
Views: 504

Re: question about tax-exempt bond funds (vwiux or vteax)

As previously mentioned, check the wiki.

In general, tax exempt bonds start to look good once Federal tax rates exceed ~25% .

Otherwise, they function like other bonds of similar credit rating and terms
by mjb
Thu Mar 05, 2020 7:03 am
Forum: Investing - Theory, News & General
Topic: Adding margin to Hedgefundie's 3x leveraged ETF Strategy
Replies: 41
Views: 5488

Re: Adding margin to Hedgefundie's 3x leveraged ETF Strategy

Ok, calm down, this is bogleheads, not Reddit wallstreetbets. You are talking about a lot of leverage
by mjb
Wed Mar 04, 2020 7:08 am
Forum: Personal Finance (Not Investing)
Topic: 30 year mortgage under 3%
Replies: 301
Views: 54035

Re: 30 year mortgage under 3%

So the average 10 year treasury to 30 year mortgage spread is around 1.6% with a range of 1 to 2.1.

I have a conforming loan and have put out feelers. The no point 30 year refi resulted in a low of 3.001% and a high of 4.750% . All the budget companies shot way up and traditional were giving a good deal.

Several commentators mentioned that due to high volume of requests, some lenders and originators were likely to not drop their rates until requests died down.

I already have a low rate and my break even is actually 3.0. so I am going to hold off to see if they drop more
by mjb
Sun Mar 01, 2020 11:03 am
Forum: Investing - Theory, News & General
Topic: Risk Parity Allocation Percentage
Replies: 22
Views: 2978

Re: Risk Parity Allocation Percentage

Uncorrelated, I get that you like having your way, but you never give up when you bluff your way through something. You just bury it.
by mjb
Sun Mar 01, 2020 9:27 am
Forum: Investing - Theory, News & General
Topic: Risk Parity Allocation Percentage
Replies: 22
Views: 2978

Re: Risk Parity Allocation Percentage

A bucket is not suitable to isolate a good strategy from a bad strategy. If you rebalance between buckets, a bad strategy has the potential to draw down the entire portfolio. If you don't rebalance between buckets, then your strategy is path dependent and you are market timing. Path dependent is not market timing. Path dependent buckets are diversification of strategy. You may pick the wrong approach. Your statement implies that you know in advance if a strategy is good or bad. We only know how well a strategy correlates to past experiences. In an era where few new shares are issued by a company, each company is effectively its own bucket with no new equity investment money flowing in. We know that 80% of companies will be duds with no pos...
by mjb
Sun Mar 01, 2020 8:20 am
Forum: Investing - Theory, News & General
Topic: Risk Parity Allocation Percentage
Replies: 22
Views: 2978

Re: Risk Parity Allocation Percentage

I disagree with uncorrelated. Bucketing is a perfectly valid way to separate strategies. Whether it is a bucket in a CEF style or constant equal allocations of future to each, those are acceptable and act as a firewall from a bad strategy affecting the whole portfolio. Normal bogleheads already do this. Example: 401k with a three active fund portfolio, Roth with three index fund portfolio, and outside of retirement accounts 3 to 9 months cash/fixed income/tax exempt fixed income and the rest in stock index funds. For some it is necessity as their 401k may not have index options for others some debate the 3 fund versus Wellington approach. The 3 to 9 months cash/fixed income in taxable is for liabilities matching with emergencies or known pu...
by mjb
Fri Feb 28, 2020 3:52 pm
Forum: Investing - Theory, News & General
Topic: Why do companies give dividends?
Replies: 56
Views: 5240

Re: Why do companies give dividends?

If they don't have invest opportunities, why not repurchasing their own stock? For investors, it's more tax efficient this way. Why there is no company that just invests on SP500 w/o ever giving dividends (kind of BRK, but w/o trying to beat the market) All investing is giving someone cash now for a return of hopefully more cash in the future. When a company runs out of investment options that will provide returns above the market, a fiduciary responsibility is to return the cash to the shareholder so the shareholder can invest in the markets. Regular dividends are transparent and show and enforce some discipline on management but are not as cost and tax efficient for all invsstors as they used to be. Buybacks are tax and cost efficient, b...
by mjb
Fri Feb 28, 2020 3:36 pm
Forum: Investing - Theory, News & General
Topic: Anybody want to guess the bottom of this "dip"?
Replies: 573
Views: 47057

Re: Anybody want to guess the bottom of this "dip"?

GaryA505 wrote: Fri Feb 28, 2020 2:37 pm Anybody want to guess the bottom of this "dip"?

Dust off your crystal balls (no jokes please) and give it a try!

Maybe we'll come back here in a few months (or years) and see who had the best guess.

I'll start: -20%
-100% by 2020202020

I assume that by then we won't be trading stocks
by mjb
Tue Feb 25, 2020 7:52 pm
Forum: Investing - Theory, News & General
Topic: Created a Treasury Ladder Today (similar to NTSX)
Replies: 44
Views: 6837

Re: Created a Treasury Ladder Today (similar to NTSX)

So what is your overall portfolio composition?
by mjb
Mon Feb 24, 2020 3:52 am
Forum: Investing - Theory, News & General
Topic: What to pair with NTSX?
Replies: 259
Views: 39011

Re: What to pair with NTSX?

One thing to consider is NTSX has a ceiling on who will use it. One can easily replicate it for the same or lower costs using SPY, a high interest savings account, and treasury futures.

The advantage of NTSX is an individual investor is that because most treasury futures are in 100k blocks, it is hard for an individual to get the proper allocation. However, anyone or any endowment, etc with greater than a few million in assets could likely replicate it for less. Nothing wrong, but it limits NTSX to investors up to the low millions in net worth.

However, it is a great way for risk tolerant bogleheads to take advantage of institutional leverage rates
by mjb
Sat Feb 22, 2020 3:53 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 134
Views: 25086

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

Why you think Arith mean – 0.5xSD^2 is bad approximation for the geometric mean. I understand that its not 100% perfect for investment returns (which are nearly normal but not normal) but you do know how small the error on that formula is right? If I say the geo return is 1.05% and it truly is 1.0495%, it’s not going to change the portfolio composition. I absolutely think investment returns are i.i.d. and I think markets are efficient. Actually in some cases your equation is off by more than 50% Ok. Please provide and example of one of those cases if you can? I really don't want to be off by 50%. The issue arises when the variance exceeds the Arithmetic return by a significant percentage. Here is an example Assume years 1 to 6 with returns...
by mjb
Sat Feb 22, 2020 2:35 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 134
Views: 25086

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

The academic approach is to use the arithmetic excess return, the return above the t-bill rate. This figure stays stable during periods of inflation/deflation. I think the idea of calculating the arithmetic return based on anything less than the full sample is an extremely bad idea. There is a wide array of research that suggests that the monthly return of stocks has a correlation of zero with the return of the preceding month. Some academics claim it's impossible to create a better estimate than the average over the full sample. What is the rationale for using gold, given that gold has a return and correlation with stocks/bonds that are statistically indistinguishable from zero. And that factors (for example, the value factor) have statis...
by mjb
Sat Feb 22, 2020 2:13 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 134
Views: 25086

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

I read his blog. He has some good points about geometric mean and effects of rebalancing. However, he has some math errors that really skew his results and he ignores anyone that points them out. Mainly his conversion from arithmetic to geometric. Additionally, several of his assumptions aren't fully true and he is using a short time horizon. All he is really doing is just a flavor of risk parity. Where did I ignore someone pointing out a perceived error in the math? There are multiple comments people left on your site Example? Sure, since this has gotten petty, first example of equation issues being called out and ignored is the first comment here https://breakingthemarket.com/the-most-misunderstood-force-in-the-universe/ I'm not going to...
by mjb
Fri Feb 21, 2020 7:26 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 134
Views: 25086

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

The academic approach is to use the arithmetic excess return, the return above the t-bill rate. This figure stays stable during periods of inflation/deflation. I think the idea of calculating the arithmetic return based on anything less than the full sample is an extremely bad idea. There is a wide array of research that suggests that the monthly return of stocks has a correlation of zero with the return of the preceding month. Some academics claim it's impossible to create a better estimate than the average over the full sample. What is the rationale for using gold, given that gold has a return and correlation with stocks/bonds that are statistically indistinguishable from zero. And that factors (for example, the value factor) have statis...
by mjb
Fri Feb 21, 2020 7:25 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 134
Views: 25086

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

breakingthemarkt wrote: Fri Feb 21, 2020 4:31 pm
mjb wrote: Sat Feb 15, 2020 3:24 pm I read his blog. He has some good points about geometric mean and effects of rebalancing.

However, he has some math errors that really skew his results and he ignores anyone that points them out. Mainly his conversion from arithmetic to geometric.

Additionally, several of his assumptions aren't fully true and he is using a short time horizon.

All he is really doing is just a flavor of risk parity.

Where did I ignore someone pointing out a perceived error in the math?
There are multiple comments people left on your site
by mjb
Wed Feb 19, 2020 4:22 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 134
Views: 25086

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

His calculation for arithmetic mean is wrong. It is not the generalized form and as a specific form it is incorrect as well. To prove it, just use Excel for arithmetic mean and geometric mean. All he is doing is a more complex risk parity system. However, you will never match what he gets because a) he keeps his exact time ranges proprietary and b) some of his equations are wrong (and likely other ones are too) I think it's the terminology that's leading to this issue and I don't believe it affects the outcome. Take for example the following price series, each a year apart: 100 120 150 80 100 130 120 Yes, I totally get that the arithmetic mean return is 7.6% (take the average of each year's returns). I also totally get the geometric mean r...
by mjb
Wed Feb 19, 2020 11:44 am
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 134
Views: 25086

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

It's also still likely that, despite the constant tinkering and testing, my code isn't the same as his theory. thanks! look at this for expected return: https://breakingthemarket.com/the-ultimate-401k-strategy/ I've been waiting for a better explanation myself since following the dollars and data link. I really dislike all of the graphical explanation without the math. I tried to follow the linked example just now. I'm missing something here. The formula for optimal weight for two assets appears to be, if you follow the trail, w1 = (m1 - m2 + (s2 - r * s1) * s2) / (s1^2 + s2^2 - 2 * r * s1 * s2) where m is arithmetic mean, s is standard deviation, and r is correlation. m = g + s^2 / 2 where g is the geometric mean. This formula matched his...
by mjb
Sat Feb 15, 2020 3:24 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 134
Views: 25086

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

I read his blog. He has some good points about geometric mean and effects of rebalancing.

However, he has some math errors that really skew his results and he ignores anyone that points them out. Mainly his conversion from arithmetic to geometric.

Additionally, several of his assumptions aren't fully true and he is using a short time horizon.

All he is really doing is just a flavor of risk parity.
by mjb
Thu Feb 13, 2020 12:35 pm
Forum: Investing - Theory, News & General
Topic: Increasingly Large Spreads with NTSX
Replies: 25
Views: 2428

Re: Increasingly Large Spreads with NTSX

guyinlaw wrote: Thu Feb 13, 2020 9:41 am
mjb wrote: Thu Feb 13, 2020 9:27 am
guyinlaw wrote: Wed Feb 12, 2020 9:52 pm Thank you for sharing the paper..

I buy 2y and 5y treasury futures.. I have bought 10y futures in the past, now hold 2y and 5y only..
What would you suggest as a good resource for learning more.

I have mostly seen high level commentary but no detailed guides.

Also,.what are you doing now that the yield curve is inverted?
https://coexpartnersaig.files.wordpress ... carry.pdf

Shared above.

There is another thread about this from earlier.
Thank you. So with an inverted yield curve, are you just staying the course knowing you will lose out if the yield curve doesn't change?
by mjb
Thu Feb 13, 2020 9:27 am
Forum: Investing - Theory, News & General
Topic: Increasingly Large Spreads with NTSX
Replies: 25
Views: 2428

Re: Increasingly Large Spreads with NTSX

guyinlaw wrote: Wed Feb 12, 2020 9:52 pm Thank you for sharing the paper..

I buy 2y and 5y treasury futures.. I have bought 10y futures in the past, now hold 2y and 5y only..
What would you suggest as a good resource for learning more.

I have mostly seen high level commentary but no detailed guides.

Also,.what are you doing now that the yield curve is inverted?
by mjb
Sat Feb 08, 2020 1:14 pm
Forum: Investing - Theory, News & General
Topic: Another Bond Funds Thread - Discussing Scenarios And Choices
Replies: 4
Views: 619

Re: Another Bond Funds Thread - Discussing Scenarios And Choices

So, just some food for thought. Short term bonds are for liquidity purposes for corporations and also regulatory purposes. Long term bonds are really for institutions and regulatory purposes of large firms. Intermediate term bonds can take advantage of the yield difference, "ride the yield curve" and profit on the appreciation. As an individual, you can usually get bank and cd rates out to 5 years that are better than bond yields. Long term bonds are highly volatile and in general provide little appreciation via the yield curve. Intermediate bonds tend to have total returns nearly the same as long term bonds. Additionally, as long as the yield curve is not inverted and inflation is not supper high, ithe appreciation of ntermediate...
by mjb
Mon Jan 27, 2020 12:42 pm
Forum: Investing - Theory, News & General
Topic: [Deleted] [Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund]
Replies: 652
Views: 85799

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Basically, I would like a NTSX but with TSM and TISM instead of just the S&P500.
by mjb
Mon Jan 27, 2020 10:39 am
Forum: Investing - Theory, News & General
Topic: [Deleted] [Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund]
Replies: 652
Views: 85799

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

muffins14 wrote: Mon Jan 27, 2020 10:24 am
caklim00 wrote: Mon Jan 27, 2020 10:06 am For B, I haven’t found anyone that will do this cheaply. This would actually be my preferred option if it was easily available. Has anyone been able to successfully do this?
For C and D, I'm not sure I'd want to deal with the hassle factor. I think perhaps schwab does, but the margin rates are crazy.
Heck even A seems a little more effort that I want.
What is your approach for handling the intro-day changes in futures value / margin? Just leave ~10k cash in the account (or whatever you feel is enough case of a few % swing in value?)
The reason I ask is IB has a setting to sweep commodity margin to security margin and cash accounts and vice versa but no way that I can see to force it to pull back.
by mjb
Mon Jan 27, 2020 7:03 am
Forum: Investing - Theory, News & General
Topic: [Deleted] [Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund]
Replies: 652
Views: 85799

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Can we please keep the volatility stuff to the hedgefundie thread? I am very interested and the NTSX style of unleveraged equities with leveraged treasury exposure via futures. It seems like a tax efficient way to have treasuries in a taxable account and to modestly improve returns. I have been looking into replicating NTSX on my own but am struggling a little on deciding about the cash drag. For anyone still reading, what do you do to keep your reserve cash low? I have heard a A) keep a few percent of the portfolio in a short term bond fund and maybe keep double to triple the maintenance margin in the futures collateral account. B) find a broker that lets you use t-bills as collateral C) sell stock to move cash when necessary D) use stock ...
by mjb
Sun Jan 19, 2020 6:06 pm
Forum: Investing - Theory, News & General
Topic: Better to pay off mortgage or buy CD?
Replies: 24
Views: 2720

Re: Better to pay off mortgage or buy CD?

One thing to thing about is a liquidity premium. I tend to put this at around 0.5%. So in other words, if I have two investments, and the post tax return of the liquid investment is greater than 0.5% of the fixed mortgage, then I invest.

While it is a slight cost to pay, having liquidity when you need it is worth it. However, I wouldn't keep more than 6 months income that way.

Under this strategy, if your tax adjusted mortgage rate is ~2.00%, getting a Muni fund at or above that, then go for the Muni. Otherwise, put 6 months in the highest fund you can get and put the rest to your mortgage
by mjb
Sat Jan 18, 2020 11:14 am
Forum: Personal Finance (Not Investing)
Topic: Engineers - What are you making? ($$$)
Replies: 357
Views: 54072

Re: Engineers - What are you making? ($$$)

KlangFool wrote: Sat Jan 18, 2020 9:15 am Folks,

My observation/opinion in terms of pay.

There are 3 levels of engineer's pay:

1) 60K to 80K

2) 80K to 120K

3) 120K to 150K

Most engineers top up at 120K to 150K level. In many areas of engineering, the location of where you work (LCOL, MCOL, HCOL, VHCOL) makes a very small difference in your salary.

KlangFool
This is spot on.
by mjb
Fri Jan 17, 2020 8:58 pm
Forum: Personal Finance (Not Investing)
Topic: Engineers - What are you making? ($$$)
Replies: 357
Views: 54072

Re: Engineers - What are you making?

With software engineers and programmers, the general rule is 1 good one is worth 20 to 100 average ones. I have been told by several managers that they feel salaries that are being posted here are steals for "good" talent.

As a note to everyone here, while the engineering average is just below 100k in the U.S., the starting salary is in the low 60s. Many quit after a few years and leave engineering altogether and high end consulting engineers often get counted separately. Also remember that on websites, salaries are often posted by individuals looking for a job and will be below actuals. I would expect any decent engineer with 10+ years of experience to be in the 100-200k range.