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Re: Calculating TIPS duration?

What I do now is to take advantage of the bond ladder "tool" at Vanguard. I create a ladder with the TIPS being replaced with the closest "nominal". I try to use a low coupon nominal and shorter rather than longer maturity if I can't get an exact match. Vanguard calculates all t...
by richard
Wed Feb 18, 2015 6:46 pm
 
Forum: Investing - Theory, News & General
Topic: Calculating TIPS duration?
Replies: 6
Views: 432

Re: Calculating TIPS duration?

The prior thread you referenced contains a lot of good information concerning the relationship between TIPS coupon rates and duration. That's why I referenced it :D I particularly like Doc's observation that changes in future inflation rates have a disproportionate impact on TIPS duration because o...
by richard
Wed Feb 18, 2015 9:11 am
 
Forum: Investing - Theory, News & General
Topic: Calculating TIPS duration?
Replies: 6
Views: 432

Re: A Special Message From Social Security--NOT!

1) Don't click on links in emails.

2) govdelivery.com is a legitimate company.
by richard
Wed Feb 18, 2015 7:24 am
 
Forum: Personal Consumer Issues
Topic: A Special Message From Social Security
Replies: 68
Views: 6463

Calculating TIPS duration?

I'm trying to calculate the duration of some individual TIPS I own. The purpose of the exercise is to make sure the average duration of my total bond portfolio is within a range I find acceptable. I'm looking for a method that's approximately correct. As an example, I own some of the 2% Jan 2026, cu...
by richard
Wed Feb 18, 2015 6:54 am
 
Forum: Investing - Theory, News & General
Topic: Calculating TIPS duration?
Replies: 6
Views: 432

Why Active Management Fell Off a Cliff

As you are likely well aware by now, 2014 was the worst year for actively managed mutual fund performance in three decades. Less than 20% of stock-picking managers were able to exceed the returns of their benchmarks last year and, in some categories, the number was closer to 10%. How on earth could...
by richard
Tue Feb 17, 2015 1:41 pm
 
Forum: Investing - Theory, News & General
Topic: Why Active Management Fell Off a Cliff
Replies: 6
Views: 1561

Re: Seeking alpha is flawed. Ex-ante alpha must be 0.

Some investors (perhaps non BHs) calculate ex-post alpha using asset pricing models such as CAPM, 3-factor, 4-factor, etc. What's the objective? 1. If the model is correct, then ex-ante alpha for any security is 0. There's no alpha to seek. 2. If the model is wrong, then one is using a wrong model ...
by richard
Fri Feb 13, 2015 10:14 am
 
Forum: Investing - Theory, News & General
Topic: Seeking alpha is flawed. Ex-ante alpha must be 0.
Replies: 17
Views: 1381

Re: Tolerance for "rebalancing risk" in retirement

Buying equities at a discount during a recession sounds like a great way to double your money when the market recovers. If I was in retirement I would be happy to sell 65% bonds so long as I had enough fixed income to last an extended bear of 5-7 years. "when the market recovers" implies ...
by richard
Fri Feb 13, 2015 5:37 am
 
Forum: Investing - Theory, News & General
Topic: Tolerance for "rebalancing risk" in retirement
Replies: 29
Views: 1681

Re: No "Value Premium" in real mutual funds

....It is highly likely there are types of risk that are not measured by standard deviation.... My working hypothesis is that risk is risk, and that all honest measures of risk are highly correlated and any one of them is a decent proxy for all the others. If risk is two (or more) dimensional this ...
by richard
Thu Feb 12, 2015 2:31 pm
 
Forum: Investing - Theory, News & General
Topic: No "Value Premium" in real mutual funds
Replies: 32
Views: 3115

Re: The Future of Global Interest Rates — Trending Lower?

market timer wrote:<>I do believe central banks can choose inflation rates. As a Neo-Fisherian<>

A bit off-topic so I'll just link to a post "let’s blow the neo-Fisherite model right out of the water" http://www.themoneyillusion.com/?p=26671
by richard
Thu Feb 12, 2015 10:26 am
 
Forum: Investing - Theory, News & General
Topic: The Future of Global Interest Rates — Trending Lower?
Replies: 19
Views: 1756

Re: The Future of Global Interest Rates — Trending Lower?

2. Differences in nominal interest rates across countries are largely a function of expected inflation. The argument would be stronger if you used real rates, as this reflects demand for capital (you might want to argue demographics explain inflation, but that's a different story). While not all of...
by richard
Thu Feb 12, 2015 6:55 am
 
Forum: Investing - Theory, News & General
Topic: The Future of Global Interest Rates — Trending Lower?
Replies: 19
Views: 1756

Re: Passive Investing Makes Even More Sense In Inefficient M

A classic paper in this genre is The Inefficient Market Argument for Passive Investing, http://marriottschool.net/emp/SRT/passive.html
by richard
Wed Feb 11, 2015 9:58 am
 
Forum: Investing - Theory, News & General
Topic: Passive Investing Makes Even More Sense In Inefficient Mkts
Replies: 8
Views: 1165

Re: Developed Markets Index Fund has lower QDI

I continue not to understand how Vanguard could have changed such a fundamental attribute of a fund (tax management) without the approval of holders. We invested in TMI precisely for the tax management and now have a fund with a higher yield and lower QDI without any corresponding benefit.
by richard
Wed Feb 11, 2015 7:01 am
 
Forum: Investing - Theory, News & General
Topic: Developed Markets Index Fund has lower QDI
Replies: 6
Views: 423

Re: The Future of Global Interest Rates — Trending Lower?

2. Differences in nominal interest rates across countries are largely a function of expected inflation. The argument would be stronger if you used real rates, as this reflects demand for capital (you might want to argue demographics explain inflation, but that's a different story). While not all of...
by richard
Wed Feb 11, 2015 6:49 am
 
Forum: Investing - Theory, News & General
Topic: The Future of Global Interest Rates — Trending Lower?
Replies: 19
Views: 1756

Re: What does it mean to buy or sell a stock?

Pricing is a function of supply and demand, but it's not the number of buyers and sellers. Consider the market for milk, as a random example. There are a lot more people who want to buy milk then there are sellers of milk. The price can fluctuate over time even if the number of buyers and sellers r...
by richard
Tue Feb 10, 2015 12:58 pm
 
Forum: Investing - Help with Personal Investments
Topic: What does it mean to buy or sell a stock?
Replies: 26
Views: 1606

Re: Emerging markets bonds better than US high yield bonds?

Efficient market advocates of diversification would point out that if a security was not useful for someone (e.g., the average or representative investor) at its current price, then it's price would drop until its value to a portfolio was high enough that it was worth buying. The utility of this arg...
by richard
Tue Feb 10, 2015 9:04 am
 
Forum: Investing - Theory, News & General
Topic: Emerging markets bonds better than US high yield bonds?
Replies: 28
Views: 2668

Re: What does it mean to buy or sell a stock?

Equities increase in value when there are more buyers than sellers; they decline in value when sellers out number buyers.<> Pricing is a function of supply and demand, but it's not the number of buyers and sellers. Consider the market for milk, as a random example. There are a lot more people who w...
by richard
Tue Feb 10, 2015 8:56 am
 
Forum: Investing - Help with Personal Investments
Topic: What does it mean to buy or sell a stock?
Replies: 26
Views: 1606

Re: Google two step verification & overseas travel

I use the app. I've never had a problem.

I've also printed out codes. The one time I used a code, it worked fine.
by richard
Mon Feb 09, 2015 3:41 pm
 
Forum: Personal Consumer Issues
Topic: Google two step verification & overseas travel
Replies: 10
Views: 614

Re: When 60/40 just isn't appropriate

Rick, I would really like to know the origins of "60/40." It was a "traditional" allocation long before Peter L. Bernstein's paper, and incidentally I do not agree that his paper presents any real rationale for 60/40. He asks the obvious question and then doesn't answer it!<> I ...
by richard
Mon Feb 09, 2015 11:55 am
 
Forum: Investing - Theory, News & General
Topic: When 60/40 just isn't appropriate
Replies: 127
Views: 13677

Re: Next decade outlook from Vanguard CEO

<>For historical context, stocks have returned an average of 10% per year from 1926 to 2014<> Thanks Lack_ey. Both documents are quite insightful. I wonder if several years from now, folks will look back at 2009-2014 as a once in a lifetime historic bull-run. You might also wonder if folks will reg...
by richard
Sat Feb 07, 2015 7:02 am
 
Forum: Investing - Theory, News & General
Topic: Next decade outlook from Vanguard CEO
Replies: 17
Views: 2099

Re: "how to measure risk?"

We barely have 90 years of more or less reliable market data. An investing lifetime is in excess of 30 years for the vast majority. That means we have three independent data points. Hardly a good basis for predicting the future with a high degree of confidence. 10 year treasuries recently hit their ...
by richard
Wed Feb 04, 2015 3:33 pm
 
Forum: Investing - Theory, News & General
Topic: "how to measure risk?"
Replies: 35
Views: 1930

Re: "how to measure risk?"

Two portfolio risks: shallow (volatility) mitigated by fixed income and deep (inflation)j mitigated by equities and TIPS. There have been a few posts to this effect. Where does (1) equities drop by a large amount and stay there or (2) equities fail to rise while dividends fall, fit in? Neither case...
by richard
Wed Feb 04, 2015 2:04 pm
 
Forum: Investing - Theory, News & General
Topic: "how to measure risk?"
Replies: 35
Views: 1930

Re: Vanguard survey: what should they do differently?

More tax managed funds.

Instead, they're moving in the opposite direction, removing the tax-management from tax-managed international. Worse, they did it without consulting holders.
by richard
Wed Feb 04, 2015 10:38 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard survey: what should they do differently?
Replies: 72
Views: 4381

Re: "how to measure risk?"

There are many statistics, some of which are very simplified measures (standard deviation and its variants, such as Sharpe ratio), some of which are sophisticated (multi-factor models which endeavor to measure risk and return). Most are backward looking, such as the most US stocks have lost in any o...
by richard
Wed Feb 04, 2015 10:08 am
 
Forum: Investing - Theory, News & General
Topic: "how to measure risk?"
Replies: 35
Views: 1930

Re: time to replace my router?

Sorry to post and disappear. I got inundated with work shortly after I posted my question last night. To answer questions, yes, I do have a Macbook and the Airport Extreme sounds like a good choice, but will it also work well for my daughter and visitors who have non Apple (i.e., Windows) PCs? <> F...
by richard
Wed Feb 04, 2015 7:31 am
 
Forum: Personal Consumer Issues
Topic: time to replace my router?
Replies: 45
Views: 3530

Re: Are TIPS the ultimate inflation hedge?

Vanguard TIPS v intermediate treasuries
Image
by richard
Wed Feb 04, 2015 6:56 am
 
Forum: Investing - Theory, News & General
Topic: Are TIPS the ultimate inflation hedge?
Replies: 27
Views: 2126

Re: Are TIPS the ultimate inflation hedge?

There are inflation derivatives that are pure inflation hedges. They do not seem to be available to retail investors and are not very liquid compared to TIPS.
by richard
Wed Feb 04, 2015 6:45 am
 
Forum: Investing - Theory, News & General
Topic: Are TIPS the ultimate inflation hedge?
Replies: 27
Views: 2126

Re: Asness and Bogle on investment strategy, pensions

Nice video. My favorites: Asness at 6:00 - the sum of all portfolios (the market portfolio) is always on the efficient frontier, always the starting point, and if anyone tries to beat it someone else loses (beating it is a zero sum game). Bogle at 7:45 - today's interest rate coupon is the best repr...
by richard
Wed Feb 04, 2015 6:40 am
 
Forum: Investing - Theory, News & General
Topic: Asness and Bogle on investment strategy, pensions
Replies: 4
Views: 980

Re: Estate planning - splitting assets and testamentary trus

IANYL or theirs, but let's forget answering the question you posed. Instead let's think about a 90 year old doing Medicaid planning, because there's a lookback period of 5 years with Medicaid for transfers/conveyances. She may be in a unique position, health or otherwise. But anyways.<> As I unders...
by richard
Mon Feb 02, 2015 4:58 pm
 
Forum: Personal Finance (Not Investing)
Topic: Estate planning - splitting assets and testamentary trusts
Replies: 4
Views: 538

Estate planning - splitting assets and testamentary trusts

Some relatives are redoing their wills. They are a couple, each approximately 90 years old. They'd like to know how much of a hassle it would be to implement their lawyer's recommendation. The lawyer recommends that they retitle their assets so that approximately half would be owned by each of them ...
by richard
Mon Feb 02, 2015 4:23 pm
 
Forum: Personal Finance (Not Investing)
Topic: Estate planning - splitting assets and testamentary trusts
Replies: 4
Views: 538

Re: Are there skilled investors and managers?

You can't say there are skilled managers. You can only say there are some managers with good past records. You know how luck works. When you decide to invest in one with a good record, it disappears. :happy Paul You can't say there are skilled managers. You can't say that no managers have skill. I ...
by richard
Sun Feb 01, 2015 3:01 pm
 
Forum: Investing - Theory, News & General
Topic: Are there skilled investors and managers?
Replies: 25
Views: 1518

Re: Are there skilled investors and managers?

Here's a thread on a Fama-French paper that appears to have found skill. viewtopic.php?f=10&t=155692
by richard
Sun Feb 01, 2015 2:58 pm
 
Forum: Investing - Theory, News & General
Topic: Are there skilled investors and managers?
Replies: 25
Views: 1518

Re: Need SS calculator for early retirees

RMD3819 wrote:I am using the estimator on the SS website which pulls from my history.

When I use the estimator it asks for last year's earnings (on the screen after login). If I enter 0, it calculates based on 0 until I start collecting (FRA, 70 or 62).

The AnyPIA gets the same results, but with much more work.
by richard
Sun Feb 01, 2015 9:00 am
 
Forum: Personal Finance (Not Investing)
Topic: Need SS calculator for early retirees
Replies: 5
Views: 495

Re: Need SS calculator for early retirees

What SS calculators are you using? Try entering 0 as your last year's income.
by richard
Sun Feb 01, 2015 8:16 am
 
Forum: Personal Finance (Not Investing)
Topic: Need SS calculator for early retirees
Replies: 5
Views: 495

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

30 year tips real yield now at 0.485%. At this point I am stopping buying new 30 year tips. Still holding onto the ones I've got. If the real yield gets close to 0 I will be selling I was just noticing that 10 year TIPS was yielding approximately 0% and the 30 year approximately 0.5% and was consid...
by richard
Fri Jan 30, 2015 9:43 pm
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 113
Views: 14501

Re: The missing value premium- a 10 year global lookback

<snip> Just because a factor exists, doesn't mean you'll live long enough to see it. But to assume it doesn't exist is to assume market participants can consistently/persistently to turn the laws of capitalism on their head. Apply your same logic to the equity risk premium, what do you see? Exactly...
by richard
Fri Jan 30, 2015 2:06 pm
 
Forum: Investing - Theory, News & General
Topic: The missing value premium- a 10 year global lookback
Replies: 57
Views: 3416

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

Why do Bogleheads love TIPS so much? I don't get it. The fed tries its best to control inflation (is it not their mandate?) and we haven't seen much unexpected inflation in decades. Why not just hold Total Bond Market or Intermediate-Term Munis? Won't those, over the long run, keep up with inflatio...
by richard
Fri Jan 30, 2015 1:48 pm
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 113
Views: 14501

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

30 year tips real yield now at 0.485%. At this point I am stopping buying new 30 year tips. Still holding onto the ones I've got. If the real yield gets close to 0 I will be selling I was just noticing that 10 year TIPS was yielding approximately 0% and the 30 year approximately 0.5% and was consid...
by richard
Fri Jan 30, 2015 1:45 pm
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 113
Views: 14501

Re: German vs US 10 year yields - help me understand?

Recent thread on this subject: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=156308 "Eurozone inflation is low to negative, and the Euro has cratered against the dollar. If an investor expected those trends to continue" It does not seem to be the case that the market expects bo...
by richard
Fri Jan 30, 2015 1:38 pm
 
Forum: Investing - Theory, News & General
Topic: German vs US 10 year yields - help me understand?
Replies: 3
Views: 281

Re: I just filed a Restrictive App at the SS office

I had thought that for one spouse to file and suspend and the other spouse to file a restrictive app to collect spousal benefits, both had to be at FRA. Is this not true?
by richard
Fri Jan 30, 2015 1:10 pm
 
Forum: Personal Finance (Not Investing)
Topic: I just filed a Restrictive App at the SS office
Replies: 39
Views: 2546

Re: Wiki comments requested: The importance of asset allocat

So here's a shorter, simpler, crisper version: "Asset allocation is one of the more important decisions investors make. Selection of individual securities is less significant than the overall allocation to stocks, bonds, and cash." Ok, but from the second part of LadyGeek's original query...
by richard
Fri Jan 30, 2015 11:45 am
 
Forum: Investing - Theory, News & General
Topic: Wiki comments requested: The importance of asset allocation
Replies: 208
Views: 10669

Re: Wiki comments requested: The importance of asset allocat

Asset allocation is one of the most important decisions that investors can make. William F. Sharpe writes "It is widely agreed that asset allocation accounts for a large part of the variability in the return on a typical investor's portfolio." This is basically a non sequitur . So you are...
by richard
Fri Jan 30, 2015 11:41 am
 
Forum: Investing - Theory, News & General
Topic: Wiki comments requested: The importance of asset allocation
Replies: 208
Views: 10669

Re: Disputing A Fraudulent Credit Card Charge

<>if they can't figure out that this is a fraud just by the fact that it was not shipped to your home address - somebody at the credit card company is not doing their job.<> I've ordered many things online as gifts and had them shipped directly to the recipient. That an item is not shipped to your ...
by richard
Fri Jan 30, 2015 10:53 am
 
Forum: Personal Consumer Issues
Topic: Disputing A Fraudulent Credit Card Charge
Replies: 18
Views: 1217

Re: Initial SEC yield and subsequent 5yr and 10yr returns

I should have written average annualized returns. Sorry about that. I'm just trying to figure out if the issue is purely wording or not. Here is my calculation of the annual return on Vanguard's 500 index fund admiral: 12/31/2013 -170.36 3/20/2014 0.785 6/19/2014 0.815 9/18/2014 0.883 12/16/2014 1.0...
by richard
Fri Jan 30, 2015 10:08 am
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 142
Views: 7634

Re: Meaning of EMH

There are many threads suggesting the EMH is disproved by Buffett, Renaissance, various fund managers, etc., yet no one has anything clear that EMH includes that no one can beat the market, that there's no such thing as investment skill or that the existence of a very successful investment track rec...
by richard
Fri Jan 30, 2015 9:23 am
 
Forum: Investing - Theory, News & General
Topic: Meaning of EMH
Replies: 6
Views: 754

Re: Wiki comments requested: The importance of asset allocat

Another approach to asset allocation, suggested by sscritic, is to set a contribution allocation rather than an asset allocation. For example, set up periodic contributions at 50/50 and go on autopilot. This is a reasonable approach and likely followed by a very large number. Employer plans tend to ...
by richard
Fri Jan 30, 2015 7:31 am
 
Forum: Investing - Theory, News & General
Topic: Wiki comments requested: The importance of asset allocation
Replies: 208
Views: 10669

Re: The lowest stock allocation you plan to stay with

I've long been fond of Benjamin Graham's statement to stay between 25/75 and 75/25.

In retirement, don't take unnecessary risk. The exact percentage is less important than ensuring you'll be able to meet your spending needs.
by richard
Fri Jan 30, 2015 6:54 am
 
Forum: Investing - Theory, News & General
Topic: The lowest stock allocation you plan to stay with
Replies: 79
Views: 4637

Re: Wiki comments requested: The importance of asset allocat

^^^ That would be the suggestion by Taylor Larimore, previously posted: LadyGeek: This quote may help: "The first step in assembling an investment portfolio is to decide how to spread your dollars among stock, bond, and cash investments. Spend a lot of time on this decision--it is the most imp...
by richard
Fri Jan 30, 2015 6:40 am
 
Forum: Investing - Theory, News & General
Topic: Wiki comments requested: The importance of asset allocation
Replies: 208
Views: 10669

Re: Wiki comments requested: The importance of asset allocat

Here's a summary of some takes on Brinson, et al, including an Ibottson paper captioned "Does Asset Allocation Policy Explain 40%, 90%, or 100% of Performance?" http://aatheory.blogspot.com/2007/02/asset-allocation-debate.html I just noticed the author of that summary. In any event, why u...
by richard
Thu Jan 29, 2015 10:08 pm
 
Forum: Investing - Theory, News & General
Topic: Wiki comments requested: The importance of asset allocation
Replies: 208
Views: 10669
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