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Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

I, too, welcome Cliff Asness to the thread. One detail. He assumed that the only reason someone might not catch a Seinfeld reference is youth. Another possibility is, of course, that one didn't watch the show. I find that the reference is to an episode entitled "The Implant," http://en.wik...
by nisiprius
Tue Jan 27, 2015 8:32 am
 
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 51
Views: 4673

Re: Get 17% in russian savings account?

Boring answer: what about VGOVX, Vanguard's emerging markets bond index fund. Russia is its 2nd largest holding, almost 10%. Dollar denominated, no currency risk. I didn't look at the full list of holdings but a Russian bond with a 7.5% coupon caught my eye. And if Russia tanks you still have 90% of...
by nisiprius
Tue Jan 27, 2015 8:17 am
 
Forum: Investing - Theory, News & General
Topic: Get 17% in russian savings account?
Replies: 32
Views: 2575

Re: What's wrong with volatility if buy&hold

First, bobcat2, the big question. In your opinion, are we in a volatility cluster now? Should we be cutting back on stock allocation now? How does an ordinary guy know? It doesn't matter to me, though, because I think the right strategy for me is to keep my stock allocation adjusted to my risk toler...
by nisiprius
Mon Jan 26, 2015 7:50 pm
 
Forum: Investing - Theory, News & General
Topic: What's wrong with volatility if buy&hold
Replies: 39
Views: 2043

Re: Efficient markets: luck v. skill

With respect to Buffett, we have a very interesting test of his acumen in judging businesses (as distinct from his acumen in judging business financials ) that is now in progress. You may recall that Buffett surprised many in 2012 with a $10 billion investment in IBM. At the time he said: We made tw...
by nisiprius
Mon Jan 26, 2015 5:55 pm
 
Forum: Investing - Theory, News & General
Topic: Efficient markets: luck v. skill
Replies: 34
Views: 2096

Re: Old Age Penny Pinchers

But it's a way to measure NW and can be very useful. For example my MIL only has about $1M in investable assets but has a very lucrative Federal pension of about $110k/yr. The IRS calculates that an 80 year old will last another 10 years (and she could since her dad lived to 102!). The value of tha...
by nisiprius
Mon Jan 26, 2015 5:39 pm
 
Forum: Personal Finance (Not Investing)
Topic: [Clements - 4 strategies for those close to retirement]
Replies: 20
Views: 2153

Re: Old Age Penny Pinchers

I personally do not get it. In my opinion there has been a sudden change in rules whereby everyone is enthusiastic about calculating the present value of a whole lot of stuff that was never considered net worth before... and furthermore, to count it as a bond. This is then used to justify goosing up...
by nisiprius
Mon Jan 26, 2015 5:33 pm
 
Forum: Personal Finance (Not Investing)
Topic: [Clements - 4 strategies for those close to retirement]
Replies: 20
Views: 2153

Re: Is it time to give-up on TIPS?

Why would your current expectations or concerns about the future be any more prescient or accurate than they were when you intitially invested in TIPS? You readily acknowledge that your fears regarding QE driven inflation have not come to fruition. I have some financial acumen...I work in corporate...
by nisiprius
Mon Jan 26, 2015 1:03 pm
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 17
Views: 1500

Re: What's wrong with volatility if buy&hold

Here is the rub about volatility. We all invest in the belief that the markets show short range disorder (volatility), but long range order (stuff goes up). That has held true so far. But what if this long range behavior is but a pimple of order on the face of ugly "very-long range" volat...
by nisiprius
Mon Jan 26, 2015 12:18 pm
 
Forum: Investing - Theory, News & General
Topic: What's wrong with volatility if buy&hold
Replies: 39
Views: 2043

Re: What's wrong with volatility if buy&hold

In any case, this is when Lo gave that interview. The chart is the VIX index, which is supposed to be a measure of "volatility." Source http://s5.postimg.org/g8xa0wrw7/lo_and_vix.jpg By the way, "Most of us didn't sign up for the kind of volatility we're seeing right now?" What t...
by nisiprius
Mon Jan 26, 2015 12:02 pm
 
Forum: Investing - Theory, News & General
Topic: What's wrong with volatility if buy&hold
Replies: 39
Views: 2043

Re: What's wrong with volatility if buy&hold

Bobcat2 in this forum introduced me to the concept of volatility clustering . I liked the comment "I understand volatility clustering, but I don't see where you tell me what I'm supposed to do about it. Can I time the market with it?" As I read on in that thread I am not at all sure I like...
by nisiprius
Mon Jan 26, 2015 11:46 am
 
Forum: Investing - Theory, News & General
Topic: What's wrong with volatility if buy&hold
Replies: 39
Views: 2043

Re: Do Bogleheads' Children Qualify For Need Based College A

It doesn't affect my poll answer but I guess I want to acknowledge that one of my kids got a $1,000 scholarship from a local fraternal organization--the Masons--not even from our own town but one town over. I'm not a Mason and have no known Masonic connections. At that time, every year they gave out...
by nisiprius
Mon Jan 26, 2015 11:39 am
 
Forum: Personal Finance (Not Investing)
Topic: Do Bogleheads' Children Qualify For Need Based College Aid?
Replies: 29
Views: 2417

Re: File FAFSA with 7 figure non-retirement portfolio?

Long story here . It didn't help at all and I completely resent the wasted hours I spent applying for college aid for my kids because everyone told me I just had to. It's about as much work as filing a tax form--every number on it is just different enough that you can't just copy out of the 1040 box...
by nisiprius
Mon Jan 26, 2015 11:20 am
 
Forum: Personal Finance (Not Investing)
Topic: File FAFSA with 7 figure non-retirement portfolio?
Replies: 35
Views: 3997

Re: Scary taxes :(

When I started working the top tax bracket was 70%. It had been 80% when I was in junior high school and did a household budgeting project. I can't say I was actually aware of it, but when I was a little kid it was 90%.
by nisiprius
Mon Jan 26, 2015 11:13 am
 
Forum: Investing - Help with Personal Investments
Topic: Scary taxes :(
Replies: 18
Views: 3045

Re: Do Bogleheads' Children Qualify For Need Based College A

It was a while ago, but when the kids were in high school it seemed clear to me that we could, just barely, "afford" to put them through college. There were only two of them, and I was earning a good salary as a software engineer, and my wife was working, too. We had about 2/3 of the neces...
by nisiprius
Mon Jan 26, 2015 11:00 am
 
Forum: Personal Finance (Not Investing)
Topic: Do Bogleheads' Children Qualify For Need Based College Aid?
Replies: 29
Views: 2417

Re: What Experts Say about $5,000 watches

Petrocelli wrote:FYI, this is Warren Buffet's watch.

https://www.youtube.com/watch?v=PssIf2hTgKw
I'm not going to watch 7 minutes and 46 seconds... I clicked a few places in it and didn't see Mr. Buffett... the "t" is doubled, by the way... where is his appearance in this video?
by nisiprius
Mon Jan 26, 2015 10:23 am
 
Forum: Personal Consumer Issues
Topic: Best watch for around $5,000?
Replies: 905
Views: 172336

Re: What's wrong with volatility if buy&hold

Warning #1: whenever reading something attributed to a professor, always check to make sure what other hats he is wearing. Is Andrew Lo better described as "Dr. Andrew Lo, Professor of Finance at MIT's Sloan School" or "Andrew Lo, Ph.D. Chairman of the Board of Directors and Chief Inv...
by nisiprius
Mon Jan 26, 2015 10:07 am
 
Forum: Investing - Theory, News & General
Topic: What's wrong with volatility if buy&hold
Replies: 39
Views: 2043

Re: What experts say about $5,000 watches

Me, I have one of them Swiss Army watches to match my Swiss Army knife. Trouble is, once I retired the Swiss Army watch and the Swiss Army knife kinda sit there on my dresser lookin' fairly lonely. Really? I use my Swiss Army knife all the time. I find it is basically a prosthesis for my aging self...
by nisiprius
Mon Jan 26, 2015 9:28 am
 
Forum: Personal Consumer Issues
Topic: Best watch for around $5,000?
Replies: 905
Views: 172336

Re: Is it time to give-up on TIPS?

...The forecasts of low inflation for several more years and possibly even deflation have me very concerned about my Vanguard TIPS mutual fund... WHY? First, unexpected inflation is just that-- un expected. If we don't get any unexpected inflation, we don't need TIPS. If you have a TIPS fund, then ...
by nisiprius
Mon Jan 26, 2015 9:11 am
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 17
Views: 1500

Re: Vanguard Low Cost Actively Managed Funds

I had accounts at both Vanguard and Fidelity simultaneously for a period of about seven years and did not notice any difference in customer service between one and the other.
by nisiprius
Sun Jan 25, 2015 8:45 pm
 
Forum: Investing - Help with Personal Investments
Topic: Vanguard Low Cost Actively Managed Funds
Replies: 8
Views: 1338

Re: Market cap weighting flawed?

I can't really judge the soundness of their arguments, but finance textbooks all give a special status to "the market portfolio" which is the portfolio of all of the stocks held in a stock market. This portfolio has special properties. Under some set of assumptions it is some kind of optim...
by nisiprius
Sun Jan 25, 2015 7:05 pm
 
Forum: Investing - Theory, News & General
Topic: Market cap weighting flawed?
Replies: 10
Views: 713

Small and value: are they diversifiers?

(Yes, Betteridge's law of headines applies). I was going to post this a few days ago but I was so surprised by how totally negligible the diversification effect is that I spent a little time double-checking my results... this was prompted by a thread asking the question about size and style tilts an...
by nisiprius
Sun Jan 25, 2015 5:19 pm
 
Forum: Investing - Theory, News & General
Topic: Small and value: are they diversifiers?
Replies: 6
Views: 834

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

Another question: a) Are there enough high-quality small-cap stocks to go around? b) Can this be used as a long-only strategy, or is this a long-the-high-quality, short-the-low-quality deal?
by nisiprius
Sun Jan 25, 2015 3:39 pm
 
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 51
Views: 4673

Re: GAA ETF - a Global Asset Allocation

Can anyone find anything by Faber that explains the rationale for these two seemingly near-duplicate holdings? 3.03% SPDR BARCLAYS TIPS ETF IPE 3.031% SCHWAB U.S. TIPS ETF SCHP IPE: "The SPDR® Barclays TIPS ETF seeks to provide investment results that, before fees and expenses, correspond gener...
by nisiprius
Sun Jan 25, 2015 2:39 pm
 
Forum: Investing - Theory, News & General
Topic: GAA ETF - a Global Asset Allocation
Replies: 17
Views: 1273

Re: Good Modern Science Fiction

I think that what I liked was not "science fiction" as such, but the specific "school" of writers who called themselves "the Futurians" and the influential editors H. L. Gold and John W. Campbell, Jr. And the subculture that surrounded them. And fiction that was not rea...
by nisiprius
Sun Jan 25, 2015 2:26 pm
 
Forum: Personal Consumer Issues
Topic: Good Modern Science Fiction
Replies: 151
Views: 8248

Re: Downside to eDelivery?

With regard to the need for technology refresh, I notice that in this thread we have someone saying "Can't you solve the problem by saving your (more recent) statements to a CD," while we have another thread asking Does anyone still keep DVDs?
by nisiprius
Sun Jan 25, 2015 2:20 pm
 
Forum: Personal Consumer Issues
Topic: Downside to eDelivery?
Replies: 36
Views: 2066

Re: GAA ETF - a Global Asset Allocation

....http://www.thinkadvisor.com/2015/01/22/fabers-no-fee-etf-and-why-asset-allocation-doesnt ... Interesting . How much you pay in fees matters much more than asset allocation, Faber says. ...Faber compared all these approaches over a 40-year period starting in 1972, looking at real returns (net of...
by nisiprius
Sun Jan 25, 2015 12:02 pm
 
Forum: Investing - Theory, News & General
Topic: GAA ETF - a Global Asset Allocation
Replies: 17
Views: 1273

Re: Reliability of LED televisions?

I suspect the light output of the LEDs might decline noticeably with time--how much of a problem that is I can't say--but of course it was a problem with CRT televisions, too--and, as far as I know, all sources of light generally.
by nisiprius
Sun Jan 25, 2015 11:38 am
 
Forum: Personal Consumer Issues
Topic: Reliability of LED televisions?
Replies: 18
Views: 1189

Re: Poll: Locating deceased person's assets

I have a folder on my computer that is linked to a red icon on my computer desktop labeled "EMERGENCY Look Here" I also have a minder on the shelf above my desk labeled "Financials" where I keep year end statements. I've kept paper copies of all my tax returns since high school ...
by nisiprius
Sun Jan 25, 2015 8:43 am
 
Forum: Personal Finance (Not Investing)
Topic: Poll: Locating deceased person's assets
Replies: 31
Views: 1905

Re: Downside to eDelivery?

Nisi, Can't you solve the problem by saving your (more recent) statements to a CD and telling your heirs where you keep it? That way, everything is up to date and in one place. This falls in the category of "just be organized." First, not everyone is. Second, not everyone stays that way. ...
by nisiprius
Sun Jan 25, 2015 8:25 am
 
Forum: Personal Consumer Issues
Topic: Downside to eDelivery?
Replies: 36
Views: 2066

Re: Poll: Principles of Boglehead Philosophy

There's a sort of wise joke that's been going the rounds--I heard it in connection with barbershop quartetting. The story goes by asserting that someone asked [insert famous barbershop quartet here] how they got to be so good. The spokesperson says, "Oh, it's simple. We had a plan. Back in 2005...
by nisiprius
Sun Jan 25, 2015 8:17 am
 
Forum: Investing - Theory, News & General
Topic: Poll: Principles of Boglehead Philosophy
Replies: 66
Views: 3442

Re: Where do you think the stock market heading this year?

Well, let's see. In this forum, someone recently revived a thread from 2008 that began by saying There is a new CIBC report that predicts $7 gas by 2010. So much for one impressive, authoritative forecast. In April 2014, Bloomberg asked 67 economists what was going to happen to the interest rate on ...
by nisiprius
Sun Jan 25, 2015 8:11 am
 
Forum: Investing - Help with Personal Investments
Topic: Where do you think the stock market heading this year?
Replies: 20
Views: 1532

Poll: Locating deceased person's assets

Extending the discussion on downsides to e-delivery. Naturally this kind of poll is more about provoking posts than about calculating percentages.
by nisiprius
Sun Jan 25, 2015 7:27 am
 
Forum: Personal Finance (Not Investing)
Topic: Poll: Locating deceased person's assets
Replies: 31
Views: 1905

Re: Downside to eDelivery?

P.S. I would withdraw my objections to e-delivery if it were easy and secure to arrange for EVERY e-delivery account to email, not just to me, but to a mailing list--myself, my wife, one of my adult children. I rather think that financial institutions do not allow this for security reasons, but it m...
by nisiprius
Sun Jan 25, 2015 7:08 am
 
Forum: Personal Consumer Issues
Topic: Downside to eDelivery?
Replies: 36
Views: 2066

Re: Downside to eDelivery?

I just started a poll on peoples' experiences locating a deceased person's assets. As things stand today in 2015, going all-electronic puts your heirs at meaningful risk of not finding all your assets after you die and having some of it become abandoned property that "escheats" to the Trea...
by nisiprius
Sun Jan 25, 2015 7:03 am
 
Forum: Personal Consumer Issues
Topic: Downside to eDelivery?
Replies: 36
Views: 2066

Mean versus standard deviation for the Simba data series

Nothing unexpected here, but I think it's pretty. The values are inflation-adjusted, and the data is from the Simba backtesting spreadsheet, which is annual returns of mutual funds, mostly Vanguard. Years: 1985-2013 http://s5.postimg.org/wu775fvp3/Image_small.jpg The Y axis is (arithmetic) average i...
by nisiprius
Sat Jan 24, 2015 8:25 pm
 
Forum: Investing - Theory, News & General
Topic: Mean versus standard deviation for the Simba data series
Replies: 2
Views: 233

Re: What Book Are You Currently Reading? Part VI

Who is more authoritative: Matt Taibbi or Wikipedia? In this case, it's an interesting question. I have huge respect for Wikipedia but it's important to understand how it works. Wikipedia is not an authority. Wikipedia is a secondary source that cites authorities. On controversial topics, it is a g...
by nisiprius
Sat Jan 24, 2015 7:00 pm
 
Forum: Personal Consumer Issues
Topic: What Book Are You Currently Reading? Part VI
Replies: 436
Views: 56580

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

You know what else is missing? Numbers. He says the effect is "spectacular." OK, how much is that in dollars? How many basis points of excess return does he say can be earned from a strategy using small-cap quality stocks, adjusted to have the same risk as a traditional portfolio? Does he ...
by nisiprius
Sat Jan 24, 2015 5:05 pm
 
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 51
Views: 4673

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

At a quick glance, it appears as if Asness, Frazzini and Pedersen do define how "quality" is to be measured, http://www.aqr.com/library/working-papers/quality-minus-junk Our quality measures are constructed as follows (details are in the appendix). We measure profitability by gross profits...
by nisiprius
Sat Jan 24, 2015 4:17 pm
 
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 51
Views: 4673

Re: Keurig-cup coffee makers - why?

I notice that there are only seven coffeemakers certified by the Specialty Coffee Association of America--and unless I've missed something not one of them uses Keurig cups.

Interesting because you'd think the Keurig system would be good at controlling all the factors the SCAA wants controlled.
by nisiprius
Sat Jan 24, 2015 2:32 pm
 
Forum: Personal Consumer Issues
Topic: Keurig-cup coffee makers - why?
Replies: 67
Views: 4719

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

He isn't really saying the small-firm effect is real. He's essentially pushing the new quality factor: "In its normal form the small firm effect is, on a host of dimensions, weak to possibly nonexistent. Once adjusted for quality exposure it is real and spectacular." Indeed. Now, this tim...
by nisiprius
Sat Jan 24, 2015 1:59 pm
 
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 51
Views: 4673

Re: Poll: Principles of Boglehead Philosopy

For the life of me, I have never understood how "living below your means" became so ingrained in an investing philosophy. Don't get me wrong, saving is extremely important. But once you save enough, isn't the goal to have fun with all that money you saved? You can't take it with you. Righ...
by nisiprius
Sat Jan 24, 2015 11:00 am
 
Forum: Investing - Theory, News & General
Topic: Poll: Principles of Boglehead Philosophy
Replies: 66
Views: 3442

Re: Where to get medallion signature guarantee

I assume these things involve some legal risk to the bank, and that only honchos at a certain level are authorized to do them... but in these modern times of, you know, fax machines--i've even heard of Skype and videoconferencing--I don't see why the little branch can't call up the VP at the big bra...
by nisiprius
Sat Jan 24, 2015 10:53 am
 
Forum: Investing - Help with Personal Investments
Topic: Where to get medallion signature guarantee
Replies: 26
Views: 1891

Re: % of portfolio in TIPS- mark to market?

???? The two brokerages I've held TIPS at, Fidelity and Vanguard, give a stated market value for every TIPS holding. I use that value for the simple reason that it's less trouble than doing anything else. At one time, when I held them directly at Treasury Direct, IIRC the mailed paper statements lis...
by nisiprius
Sat Jan 24, 2015 8:53 am
 
Forum: Investing - Help with Personal Investments
Topic: % of portfolio in TIPS- mark to market?
Replies: 4
Views: 467

Re: Poll: Principles of Boglehead Philosopy

The text of the Boglehead's Philosophy came from somewhere. I don't actually remember who hammered it out. (I didn't take part). I like it, I think they did a great job, but it's just a forum consensus opinion... and it wasn't written by John C. Bogle, either. :oops: It's a Wiki article, of course I...
by nisiprius
Sat Jan 24, 2015 8:38 am
 
Forum: Investing - Theory, News & General
Topic: Poll: Principles of Boglehead Philosophy
Replies: 66
Views: 3442

Re: Where to get medallion signature guarantee

I don't get the "big national banks not giving medallion signature guarantees" thing. What's wrong with them? The whole medallion signature guarantee thing is a royal pain but it is, or should be, a customary bank service and I've never had an issue with the small bank I do business with. ...
by nisiprius
Sat Jan 24, 2015 8:27 am
 
Forum: Investing - Help with Personal Investments
Topic: Where to get medallion signature guarantee
Replies: 26
Views: 1891

Re: TIPs, what do they really add

If you have TIPS and no nominal Treasures you're essentially betting on inflation being higher than expected. I don't see it this way at all, rnitz. By holding only TIPS I'm avoiding a bet on what the CPI will do. I'm guaranteed a known pretax real return no matter whether it rises more or less tha...
by nisiprius
Sat Jan 24, 2015 8:20 am
 
Forum: Investing - Theory, News & General
Topic: TIPs, what do they really add
Replies: 33
Views: 2807

Re: TIPs, what do they really add

...-Vanguard target retirement funds don't hold TIPs and they are presumably managed by smart people... Yes, they do. Target Retirement 2010 holds 13% TIPS. ...When the government offers 10 year bonds/TIPs, for example, they have a projected/assumed inflation rate... If I thought I could predict in...
by nisiprius
Fri Jan 23, 2015 10:09 pm
 
Forum: Investing - Theory, News & General
Topic: TIPs, what do they really add
Replies: 33
Views: 2807

Re: GAA ETF - a Global Asset Allocation

I "get" it that this is just a long-only portfolio of ETFs and quite a different animal from GTAA. However... I know I will be scorned for paying any attention to the Prospectus . Nevertheless, I think it is notable that the list of "principal risks" goes on for not quite three p...
by nisiprius
Fri Jan 23, 2015 9:26 pm
 
Forum: Investing - Theory, News & General
Topic: GAA ETF - a Global Asset Allocation
Replies: 17
Views: 1273

Re: GAA ETF - a Global Asset Allocation

Sat Oct 02, 2010: Meb Faber's New Global Tactical ETF "GTAA" Has anyone looked into this new ETF? Looks interesting and Meb Faber is putting 90+% of his net worth in the fund. A Boglehead commented: I'm going to love this. No more backtesting. It's all about running real money going forwar...
by nisiprius
Fri Jan 23, 2015 8:43 pm
 
Forum: Investing - Theory, News & General
Topic: GAA ETF - a Global Asset Allocation
Replies: 17
Views: 1273

Re: Question: Will Candles Heat up a Cold Room?

Another question is this: having recently replaced our smoke detectors and added a second CO detector on the advice of leaflets distributed by our local fire department... how many candles does it take to set off smoke detectors and CO detectors in an average-sized room? :) I recently attended an in...
by nisiprius
Fri Jan 23, 2015 7:27 am
 
Forum: Personal Consumer Issues
Topic: Question: Will Candles Heat up a Cold Room?
Replies: 21
Views: 1688
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