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Re: Renaissance tech vs EMH

The interesting question to me is, is the expected value for their efforts negative because "that's the way it has to be" or is it negative because they really don't put the necessary work in to legitimately analyze business valuations? I am in the camp of the latter. Most retail investor...
by richard
Wed Jan 28, 2015 10:47 am
 
Forum: Investing - Theory, News & General
Topic: Renaissance tech vs EMH
Replies: 27
Views: 1156

Re: data mining vs. historical performance

Jack Bogle, et al., hypothesized that indexing would lower costs, costs matter, etc. The only observational evidence in support of indexing is based on historical data. There is no way to know with precision going forward that indexing will succeed, but we support that hypothesis using historical p...
by richard
Tue Jan 27, 2015 6:56 pm
 
Forum: Investing - Theory, News & General
Topic: data mining vs. historical performance
Replies: 37
Views: 1219

Re: data mining vs. historical performance

If you look at enough data you're going to find some patterns, including patterns that appear to be very statistically significant. The question is whether you've found a genuine pattern that will likely to continue into the future or just some chance pattern. Compare starting with some economic hyp...
by richard
Tue Jan 27, 2015 5:40 pm
 
Forum: Investing - Theory, News & General
Topic: data mining vs. historical performance
Replies: 37
Views: 1219

Re: Get 17% in russian savings account?

Is this the distinction you're remembering? "On August 17 the government floated the exchange rate, devalued the ruble, defaulted on its domestic debt, halted payment on ruble-denominated debt (primarily GKOs), and declared a 90-day moratorium on payment by commercial banks to foreign creditors...
by richard
Tue Jan 27, 2015 12:17 pm
 
Forum: Investing - Theory, News & General
Topic: Get 17% in russian savings account?
Replies: 49
Views: 4164

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

<>Exactly. One very good hedge against inflation is to have a fixed rate nominal debt. Debtors love inflation. So to be clear that means a fixed rate mortgage is a good inflation hedge. An ARM, not so much (though some ARMs have adjustment caps that still make them good hedges against high inflatio...
by richard
Tue Jan 27, 2015 11:25 am
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 22
Views: 2229

Re: Get 17% in russian savings account?

There's a reason the Russian lawmakers wanted to pass a law to ban holdings in foreign currency, especially USD. Nobody in Russia wants to hold rubles. Nobody. People are even willing to spend their money on toasters and microwaves, just so that they don't end up with worthless rubles. If nobody wa...
by richard
Tue Jan 27, 2015 7:52 am
 
Forum: Investing - Theory, News & General
Topic: Get 17% in russian savings account?
Replies: 49
Views: 4164

Re: Get 17% in russian savings account?

Isn't the 17% just compensating (or not even) for high Russian inflation? Do Russian banks let you deposit dollars at the same interest rate? Interest rates are usually a good measure of risk. The higher the relative interest rate, the higher the risk. Risk can be default, inflation, foreign exchan...
by richard
Tue Jan 27, 2015 7:42 am
 
Forum: Investing - Theory, News & General
Topic: Get 17% in russian savings account?
Replies: 49
Views: 4164

Re: Get 17% in russian savings account?

There's a reason the Russian lawmakers wanted to pass a law to ban holdings in foreign currency, especially USD. Nobody in Russia wants to hold rubles. Nobody. People are even willing to spend their money on toasters and microwaves, just so that they don't end up with worthless rubles. If nobody wa...
by richard
Tue Jan 27, 2015 7:38 am
 
Forum: Investing - Theory, News & General
Topic: Get 17% in russian savings account?
Replies: 49
Views: 4164

Re: Renaissance tech vs EMH

As others have said, EMH does not provide that no one can beat the market. Gene Fama, father of the EMH, has a paper to the effect that there appear to be skilled traders. This has not caused him to abandon EMH. The odds against winning a major lottery prize are astronomical. Does that imply that no...
by richard
Tue Jan 27, 2015 7:32 am
 
Forum: Investing - Theory, News & General
Topic: Renaissance tech vs EMH
Replies: 27
Views: 1156

Re: wrong coupon payment on Jan 2028 TIPS

Vanguard paid me interest at the rate of $9.8927 per $1,000 face value on Jan 15 for the U S TREASURY NOTE INFLATION INDEX NOTE CPN 1.75000 % MTD 2028-01-15 DTD 2008-01-15
by richard
Mon Jan 26, 2015 2:25 pm
 
Forum: Investing - Help with Personal Investments
Topic: wrong coupon payment on Jan 2028 TIPS
Replies: 7
Views: 848

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

<>I'm actually more concerned about the repayment of US treasury debt----as someone who sells large amounts of Debt to companies, I don't see how the math works unless everyone plays ball in perpetuity.....more than likely the U.S. Treasury will need to repay the debt with much cheaper dollars----b...
by richard
Mon Jan 26, 2015 1:20 pm
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 22
Views: 2229

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

<<>In April 2014, Bloomberg surveyed 67 economists, all 67 of which--100% expected the 10-year Treasury note yield, then 2.73% to rise over the following half year. Not by small amounts, but up to perhaps 4%. It is currently 2.12%.<> It's currently 1.81%. http://www.bloomberg.com/markets/rates-bond...
by richard
Mon Jan 26, 2015 9:38 am
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 22
Views: 2229

Re: Scary taxes :(

It is normal and how progressive taxation systems generally work. As you make more each additional dollar is taxed a bit more (either through higher straight rates or reductions in allowances, discounts, exemptions etc., or some combination of both). <> OP's overall effective tax rate is likely dec...
by richard
Mon Jan 26, 2015 8:31 am
 
Forum: Investing - Help with Personal Investments
Topic: Scary taxes :(
Replies: 18
Views: 3136

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

TIPS are insurance against unexpected inflation. The time to buy (or keep) such insurance would be when no one expects much inflation.

Just like everyone else, it seems you're not very good at forecasting inflation or interest rates. Therefore, I'd just keep what you have.
by richard
Mon Jan 26, 2015 8:21 am
 
Forum: Investing - Theory, News & General
Topic: Is it time to give-up on TIPS?
Replies: 22
Views: 2229

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

Do you expect to continue receiving $37.60 per year? If not, approximately how much do you expect to receive in cash each year? I would review the actual dividend payout in dollars per share and notice that it varies over time. It also varies with the number of days in the month. Also keep in mind ...
by richard
Sun Jan 25, 2015 8:57 pm
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 113
Views: 5423

Re: WHAT EXPERTS SAY ABOUT

Happy Birthday!

Best wishes
by richard
Sun Jan 25, 2015 5:45 pm
 
Forum: Investing - Theory, News & General
Topic: What Experts Say [about various investing topics]
Replies: 49
Views: 2812

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

Assume you hold $1,000 market value of Vanguard's Long-Term Tax-Exempt. It currently has a distribution yield of 3.76% and an SEC yield of 2.19%. You are receiving cash dividends at the rate of $37.60 per year. Assume interest rates don't change, the fund continues to operate as it has and you spend...
by richard
Sun Jan 25, 2015 5:27 pm
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 113
Views: 5423

Re: How to get things wrong - Swiss Franc (CHF)

<>I have said numerous times that NO ONE can predict the future. Just because there is herd mentality that does not mean they have some greater ability to predict something that can not be predicted.<> You need to be much more precise. I predict that if I drop this ball it will fall to the floor. I...
by richard
Sun Jan 25, 2015 8:38 am
 
Forum: Investing - Theory, News & General
Topic: How to get things wrong - Swiss Franc (CHF)
Replies: 32
Views: 3521

Re: Rental Car Prices - is this the new normal ?

Cost is largely a function of where and when you're traveling and competition. There can be tremendous variation.

The car rental forums on http://www.flyertalk.com/forum/car-rent ... tners-392/ are worth browsing.
by richard
Sun Jan 25, 2015 8:24 am
 
Forum: Personal Consumer Issues
Topic: Rental Car Prices - is this the new normal ?
Replies: 53
Views: 3801

Re: Factors and zero-sum investing

Perhaps writings from some prominent finance professors will help. Try these: http://web.stanford.edu/~wfsharpe/art/active/active.htm http://www.dimensional.com/famafrench/essays/why-active-investing-is-a-negative-sum-game.aspx Trying to beat the market is a zero sum game. Some may favor deviating f...
by richard
Sun Jan 25, 2015 6:58 am
 
Forum: Investing - Theory, News & General
Topic: Factors and zero-sum investing
Replies: 57
Views: 2876

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

<>What does this say about the reliability of what the "financial science" community has been telling us since 1981? That community was talking about the small firm effect " in its normal form ." So "everyone" used to say that the small-firm effect " in its normal...
by richard
Sun Jan 25, 2015 6:43 am
 
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 61
Views: 5796

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

<> 1. Companies carefully compile their quarterly required info: (1) balance sheet, (2) cash-flow statement, (3) earnings statement. 2. This gets published to SEC EDGAR, and the whole world gets to see it at once, 3. Third party providers like Reuters or CapitalIQ immediately pick it up and within ...
by richard
Sun Jan 25, 2015 6:33 am
 
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 61
Views: 5796

Re: More tax efficient: Total US or Total International?

<>Regarding splitting international into separate funds, I noticed that there are two entries on 1099-DIV for Developed Markets for 2014--one with 100% qualified dividends. I assume this is because of the merger with Tax Managed International, but don't think this means anything going forward.<> Th...
by richard
Sat Jan 24, 2015 6:56 pm
 
Forum: Investing - Help with Personal Investments
Topic: More tax efficient: Total US or Total International?
Replies: 19
Views: 1763

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

<> Correct me if I'm wrong, but premiums on bonds are amortized over the remaining life of the bonds held by a mutual fund aren't they? If that's the case how does the amortized yield result in a higher distribution yield than for a par bond? Doesn't the process of amortizing a premium put the dist...
by richard
Sat Jan 24, 2015 8:30 am
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 113
Views: 5423

Re: More tax efficient: Total US or Total International?

2014: TSM: 1.8% div,100% QDI TISM: 3.4% div, 72% QDI TISM gets the FTC, but as stated it's a bit of a mirage. Your total dividends, as reported to the IRS, are cash distributions plus the FTC. You get a credit for the FTC, but it's just an offset for an expense that reduces the cash you would have ...
by richard
Sat Jan 24, 2015 6:04 am
 
Forum: Investing - Help with Personal Investments
Topic: More tax efficient: Total US or Total International?
Replies: 19
Views: 1763

Re: Factors and zero-sum investing

Zero sum is when the total gains and losses by all the participants is zero. Stock markets can create situations where all participants gain or lose. Furthermore the total returns depend on the behavior of the individual investors - the sequence they buy and sell affect the total market valuation. ...
by richard
Fri Jan 23, 2015 7:02 pm
 
Forum: Investing - Theory, News & General
Topic: Factors and zero-sum investing
Replies: 57
Views: 2876

Re: Factors and zero-sum investing

I really dislike the term "zero sum" here. I don't think it applies to stocks at all, honestly. I can see someone using the term to describe the futures market, as that would be technically accurate, but even there, I think that there's a connotation to "zero sum" that makes peo...
by richard
Fri Jan 23, 2015 6:40 pm
 
Forum: Investing - Theory, News & General
Topic: Factors and zero-sum investing
Replies: 57
Views: 2876

Re: Factors and zero-sum investing

There are two traditional counter-arguments 1) Factors represent risks. Some investors prefer to take more risks in the hope of higher rewards. Those rewards are not irrational and don't represent inefficiency. Of course, those rewards are not guaranteed and factor investors may do worse, perhaps su...
by richard
Fri Jan 23, 2015 6:02 pm
 
Forum: Investing - Theory, News & General
Topic: Factors and zero-sum investing
Replies: 57
Views: 2876

Re: Efficient markets: luck v. skill

<>If we determine that it "can be done" but you cannot benefit in any way (because the secret is well-kept or because the trader charges too much for retail), then we have an academic exercise that is a waste of time for most people. If we determine that "it can be done and you can m...
by richard
Fri Jan 23, 2015 5:32 pm
 
Forum: Investing - Theory, News & General
Topic: Efficient markets: luck v. skill
Replies: 34
Views: 2213

Re: More tax efficient: Total US or Total International?

2014: TSM: 1.8% div,100% QDI TISM: 3.4% div, 72% QDI TISM gets the FTC, but as stated it's a bit of a mirage. Your total dividends, as reported to the IRS, are cash distributions plus the FTC. You get a credit for the FTC, but it's just an offset for an expense that reduces the cash you would have o...
by richard
Fri Jan 23, 2015 5:16 pm
 
Forum: Investing - Help with Personal Investments
Topic: More tax efficient: Total US or Total International?
Replies: 19
Views: 1763

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

SEC yield is based on yield to maturity and YTM calculations assume that all coupon payments are reinvested at the same rate as the current yield Take a look at this link. http://en.wikipedia.org/wiki/Yield_to_maturity "All the coupons are reinvested at an interest rate equal to the yield-to-m...
by richard
Fri Jan 23, 2015 4:11 pm
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 113
Views: 5423

Re: How to get things wrong - Swiss Franc (CHF)

Central banks are supposed to maintain price stability. If it can't do that, due to insufficient assets, what do you call it? Insolvency seems the right term. Most major central banks are targeting 2% inflation. It is not insufficient assets that are preventing them from reaching that goal. The cen...
by richard
Fri Jan 23, 2015 2:55 pm
 
Forum: Investing - Theory, News & General
Topic: How to get things wrong - Swiss Franc (CHF)
Replies: 32
Views: 3521

Re: Best Book To Learn R Programming

Reading that post is inspiring me to start watching the coursera videos. The libraries available for R look interesting.

I'd still recommend learning python first, absent a special reason, for most people.
by richard
Fri Jan 23, 2015 2:49 pm
 
Forum: Personal Consumer Issues
Topic: Best Book To Learn R Programming
Replies: 32
Views: 3011

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

<>In addition to my interest in how I might use the information in making investment decisions, I also just have a general, technical interest in finance topics. When people make certain statements on the forum, I sometimes like to investigate to see if I can validate them or raise some questions a...
by richard
Fri Jan 23, 2015 2:32 pm
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 113
Views: 5423

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

But even if I did, SEC Yield would yield the wrong answer since it assumes compounding, which is not happening with me. Here are the basic details on the 30 day SEC yield calculation. I don't believe it assumes any compounding from reinvestment. http://en.wikipedia.org/wiki/30-day_yield The SEC has...
by richard
Fri Jan 23, 2015 2:26 pm
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 113
Views: 5423

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

If you hold a bond, then distribution yield would seem a rather good predictor of distributions for the life of the bond. Principal value might fluctuate, but the payment stream stays the same. If you extend this to a bond fund (or a rolling ladder), then distributions will change based on the yield...
by richard
Fri Jan 23, 2015 2:25 pm
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 113
Views: 5423

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."
by richard
Fri Jan 23, 2015 1:12 pm
 
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 61
Views: 5796

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

<>So, my question is this - isn't it common for retirees to spend down distributions rather than reinvest, and if so, why would one then try to use SEC Yield to model the portfolio? What are you going to use instead? If the alternative is distribution yield, the question is whether distribution yie...
by richard
Fri Jan 23, 2015 1:06 pm
 
Forum: Investing - Theory, News & General
Topic: Initial SEC yield and subsequent 5yr and 10yr returns
Replies: 113
Views: 5423

Re: Effect of European Central Bank QE on US bond rates?

When the US Fed has done QE, rates have gone up. When they've ended QE, rates have gone down.<> There are at least a couple of forces at play. One is that, all things being equal, the Fed buying bonds increases their prices, reducing yields. Another is that QE is stimulative and a stronger economy ...
by richard
Fri Jan 23, 2015 10:56 am
 
Forum: Investing - Theory, News & General
Topic: Effect of European Central Bank QE on US bond rates?
Replies: 6
Views: 838

Re: Poll: What Percent of TIPS in Taxable Account

<>Given a similar duration profile, aren't muni's yielding more at current rates? I know TIPs are insurance against higher inflation, the market seems to be saying they don't see inflation on the horizon at least 10 years out. Consider this by David Grabiner: This is a risk issue. Long-term munis h...
by richard
Thu Jan 22, 2015 11:59 am
 
Forum: Investing - Theory, News & General
Topic: Poll: What Percent of TIPS in Taxable Account
Replies: 27
Views: 1662

Re: How to get things wrong - Swiss Franc (CHF)

How can a central bank, with the capacity to create an unlimited amount of money, become insolvent in any meaningful sense? It's insolvent if it can't main price stability (i.e. a constant rate of inflation). That does not make sense, at least under standard definitions and practices. The normal de...
by richard
Thu Jan 22, 2015 11:43 am
 
Forum: Investing - Theory, News & General
Topic: How to get things wrong - Swiss Franc (CHF)
Replies: 32
Views: 3521

Re: How to get things wrong - Swiss Franc (CHF)

€60b per month in QE until September 2016. €1,200 b. Bigger than expected, but they should have acted much sooner.

It appears that 20% of the sovereign bond risk will be held by ECB and 80% by national central banks, which does not seem the best way to implement QE.
by richard
Thu Jan 22, 2015 8:44 am
 
Forum: Investing - Theory, News & General
Topic: How to get things wrong - Swiss Franc (CHF)
Replies: 32
Views: 3521

Re: How to get things wrong - Swiss Franc (CHF)

<>On upward valuation you are right in principle. Here's the issue, the Central Bank prints lots of Swiss Francs and buys increasing amounts of Euros. If the Euro then depreciates, the CB/ SNB has made a huge book loss. Now there's an argument about whether that matters, but you could wind up as th...
by richard
Thu Jan 22, 2015 5:22 am
 
Forum: Investing - Theory, News & General
Topic: How to get things wrong - Swiss Franc (CHF)
Replies: 32
Views: 3521

Re: Low Bond Yields and Safe Portfolio Withdrawal Rates

Recent accounting changes have been discussed extensively here and elsewere, including estimates of the magnitude of their effect. For example, http://www.philosophicaleconomics.com/2013/12/shiller/ Recent yields are as low as they've been in the post war era. http://research.stlouisfed.org/fred2/se...
by richard
Wed Jan 21, 2015 8:04 pm
 
Forum: Investing - Theory, News & General
Topic: Low Bond Yields and Safe Portfolio Withdrawal Rates
Replies: 6
Views: 746

Re: Low Bond Yields and Safe Portfolio Withdrawal Rates

Maybe this is an update including more recent CAPE? It was lower in 2013: http://www.multpl.com/shiller-pe/table?f=m We compared this to a forward-looking model that assumes an initial CAPE ratio of 27, an initial bond yield of 2.5%, an investment fee of 50 bps and an average future expected equity...
by richard
Wed Jan 21, 2015 7:17 pm
 
Forum: Investing - Theory, News & General
Topic: Low Bond Yields and Safe Portfolio Withdrawal Rates
Replies: 6
Views: 746

Re: "When you've won the game, stop playing"

We're talking about an all stock portfolio? That would explain it. :happy When I first mentioned 1% it was in the context of something in the 25/75 to 75/25 range. https://www.bogleheads.org/forum/viewtopic.php?p=2343223#p2343223 In either event, 2% is strongly opposed by the group here who believe ...
by richard
Wed Jan 21, 2015 4:03 pm
 
Forum: Investing - Theory, News & General
Topic: "When you've won the game, stop playing"
Replies: 83
Views: 8331

Re: "When you've won the game, stop playing"

<>2) Yes, 42 points at the gun is a 1% burn rate. Even CNBC couldn't screw that one up.<> What happened to the Bill Bernstein who said "Two percent is bullet-proof, 3% is probably safe, 4% is pushing it and, at 5%, you're eating Alpo in your old age" http://www.wsj.com/articles/SB11689997...
by richard
Wed Jan 21, 2015 2:01 pm
 
Forum: Investing - Theory, News & General
Topic: "When you've won the game, stop playing"
Replies: 83
Views: 8331

Re: "When you've won the game, stop playing"

<>The 42-point-ahead person is a special case, which I define as someone who will survive all but a generalized societal meltdown: someone with a burn rate of *much* less than 2%--ie, who can live on stock dividends, even if those decline by 50% (which is what happend for a while during the Great D...
by richard
Wed Jan 21, 2015 1:35 pm
 
Forum: Investing - Theory, News & General
Topic: "When you've won the game, stop playing"
Replies: 83
Views: 8331

Re: What will happen to international stocks if a Euro break

How was the Swiss central bank action a warning shot, especially one that presages a break-up of the Euro? The European Central Bank's much anticipated announcement of quantitative easing, and its effect on the CHF-EUR exchange rate, was the rationale for their move. A break-up of the Euro would be ...
by richard
Wed Jan 21, 2015 1:29 pm
 
Forum: Investing - Theory, News & General
Topic: What will happen to international stocks if a Euro breakup?
Replies: 23
Views: 1576
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