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Re: TSM underperforms them all Large, Mid, Small, Large/Smal

The puzzle: each of 2 funds, A and B ,gained more then a third fund ,C, that holds combined assets of the A and B and in the same proportions. How can that happen? My answer: reinvested dividends. Lets simplify: Investor 1 buys 80 shares of fund A ("S&P 500") for 1$ each and 20 shares ...
by trademil
Mon Jan 20, 2014 1:21 pm
 
Forum: Investing - Theory, News & General
Topic: TSM underperforms them all Large, Mid, Small, Large/Small
Replies: 55
Views: 9461

Re: Can passive investing succeed without the Efficient Mark

I do not need to believe EMH in order to prefer passive TSM, over market-timing and\or stock-picking, all I need to believe is: 1.I don't know how to predict the market. 2.I don't know how to predict which fund manager\analyst\adviser\etc will be able to predict the market. If those 2 claims are tru...
by trademil
Thu Jan 16, 2014 7:26 am
 
Forum: Investing - Theory, News & General
Topic: Can passive investing succeed without the Efficient Market?
Replies: 33
Views: 2327

Re: why a 7% return estimate going forward

When calculating how much I need to save I assume that stocks will have 0% real return and bonds will have negative real return. I can only hope I'm wrong.
by trademil
Tue May 14, 2013 6:27 am
 
Forum: Investing - Theory, News & General
Topic: why a 7% return estimate going forward
Replies: 55
Views: 5700

Re: Yikes, Vanguard CFP rec. 20% bonds for retirement!!!

The person is 66 years old. If she wants to be 80% in the market, that is her choice. I would never make that recommendation to anyone. What if you are 66 years old, have a pensions that covers 200% of your expenses, so you want to withdraw 0%/year of your portfolio and leave it all to your 6 years...
by trademil
Mon May 06, 2013 7:53 am
 
Forum: Investing - Help with Personal Investments
Topic: Yikes, Vanguard CFP rec. 20% bonds for retirement!!!
Replies: 73
Views: 7342

Re: Pure inflation protection, or "Long TIPS, short Treasuri

Short Treasuries and long corporate means loading up credit risk. I don't see how your TIPS holdings are relevant here.
by trademil
Thu May 02, 2013 1:34 pm
 
Forum: Investing - Help with Personal Investments
Topic: Pure inflation protection, or "Long TIPS, short Treasuries"
Replies: 2
Views: 540

Re: Yikes, Vanguard CFP rec. 20% bonds for retirement!!!

I just received my preliminary portfolio recommendations back from the Vanguard CFP on line last night. Even with a 1.8M portfolio, no debts and needing only 11,500/yr income stream within the next 1 to 4 yrs. If you only plan to withdraw 0.63%/year it makes sense to choose an AA according to your ...
by trademil
Thu May 02, 2013 1:23 pm
 
Forum: Investing - Help with Personal Investments
Topic: Yikes, Vanguard CFP rec. 20% bonds for retirement!!!
Replies: 73
Views: 7342

Re: Are we in a stock bubble?

If expected stocks returns average to the risk free rate + equity premium, you would expect that when the risk free rate is in a historic low point the expected stocks return will also be very low, which is the equivalent of saying their prices are high relative to the prices they would have had if ...
by trademil
Wed Apr 24, 2013 4:33 pm
 
Forum: Investing - Theory, News & General
Topic: Are we in a stock bubble?
Replies: 49
Views: 4558

Re: European stocks on sale

You should decide you TSM\TISM allocation regardless of market conditions and stick to it without letting the noise interfere with your plan. I hold TSM\TISM by their market cap (which was about 46\54 the last time I checked, but might have moved since), that's 2 VXUS for every 1 VTI if you are usin...
by trademil
Wed Apr 24, 2013 4:22 pm
 
Forum: Investing - Help with Personal Investments
Topic: European stocks on sale
Replies: 15
Views: 974

Re: "value factor" doesn't seem reliable to me

Actually, my observation is that the Bogleheads who question the "value premium" going forward are the same ones who are skeptical that the equity premium will be as large going forward as it was in the 20th century. You are right, I don't expect it to be as high, but I do expect it to be...
by trademil
Tue Apr 23, 2013 5:08 pm
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

larryswedroe wrote:trademil
There are other value metrics like cash flow to price which cannot be "manipulated" and work just as well if not better (in fact the inability to manipulate them is why they are used)
Larry


Are there any low cost passive ETFs based solely or mainly on this metric?
by trademil
Tue Apr 23, 2013 4:55 pm
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

A) it will persist, and then no problem B) it will go away and thus you should buy the value stocks TODAY before their prices rise to eliminate the free lunch There is also a C) it was just a random noise all along. D) the value parameter does not measure the same thing it measured before, or the m...
by trademil
Tue Apr 23, 2013 4:54 pm
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

If the "value factor" was completely reliable, then you wouldn't receive as much risk premium for it. The very fact it can underperform or is "unreliable" is part of the reason you are compensated for taking that risk. What doesn't seem reliable to me is the methodology of basin...
by trademil
Tue Apr 23, 2013 4:40 pm
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

What is amusing to me is that people question value premium based on persistence. But same people don't question stock premium --yet value premium has been more persistent than stock premium. Last time I looked this was true for all periods looked at and the longer the period the more true it was B...
by trademil
Tue Apr 23, 2013 9:38 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

grayfox wrote:
I think you got it backwards. The "value" factor, HmL has been very reliable. It has almost always been positive, except for the late 1990s.



"Value" also lagged for the past few years:


Image
by trademil
Tue Apr 23, 2013 3:47 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

If the "value factor" was completely reliable, then you wouldn't receive as much risk premium for it. The very fact it can underperform or is "unreliable" is part of the reason you are compensated for taking that risk. What doesn't seem reliable to me is the methodology of basin...
by trademil
Tue Apr 23, 2013 3:15 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

Does the fact Vanguard Total International Stock has a Price/book ratio of 1.6, lower then Vanguard Total Stock Market (2.3) or even Vanguard Value (1.7) means international stocks have more value factor in them and are expected to have higher returns? https://personal.vanguard.com/us/funds/snapshot...
by trademil
Mon Apr 22, 2013 3:16 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "The Economist" on emerging market bond funds

How much of the return is due to changes in the exchange rate of the USD against some of the EM currencies? Given that the article references "the average mutual fund" holding EM sovereign debt, none of the return is due to exchange rate changes because the bonds in these funds are dollar...
by trademil
Mon Apr 22, 2013 3:10 am
 
Forum: Investing - Theory, News & General
Topic: "The Economist" on emerging market bond funds
Replies: 10
Views: 1604

Re: VWO - South Korea Replacement

benus217 wrote:Randy,

I saw that Korea is present under VPL, but not sure if its South or North Korea or both.

Thanks,
Ben


North Korea is under a communist Isolationist crazy military regime, they do not have a stock exchange.
by trademil
Mon Apr 22, 2013 2:56 am
 
Forum: Investing - Theory, News & General
Topic: VWO - South Korea Replacement
Replies: 7
Views: 960

Re: "The Economist" on emerging market bond funds

How much of the return is due to changes in the exchange rate of the USD against some of the EM currencies?
by trademil
Sun Apr 21, 2013 4:00 pm
 
Forum: Investing - Theory, News & General
Topic: "The Economist" on emerging market bond funds
Replies: 10
Views: 1604

Re: VWO - South Korea Replacement

I get my Korea exposure through VXUS. I'm not sure what you should do, but I'm sure what you shouldn't do: don't move your money to another ETF that follows MSCI EM, since you should reasonably expect that MSCI will eventually get their senses together and consider South Korea as a developed country...
by trademil
Sun Apr 21, 2013 3:55 pm
 
Forum: Investing - Theory, News & General
Topic: VWO - South Korea Replacement
Replies: 7
Views: 960

Re: Why are you a boglehead ???

1 Develop a workable plan 2 Invest early and often 3 Never bear too much or too little risk 4 Diversify 5 Never try to time the market 6 Use index funds when possible 7 Keep Costs Low 8 Minimize taxes 9 Invest with simplicity 10 Stay the course I think family history is very relevant for #2 (Invest...
by trademil
Sun Apr 21, 2013 1:31 pm
 
Forum: Investing - Theory, News & General
Topic: Why are you a boglehead ???
Replies: 60
Views: 3692

Re: Could MorganStanley Skim $ from Accounts When Transferri

Don't you have an "account history" tab or something like that where you can see all the orders that were ever made in the account in the past X months and the balance after each order?
by trademil
Sat Apr 20, 2013 6:06 pm
 
Forum: Investing - Help with Personal Investments
Topic: Could MorganStanley Skim $ from Accounts When Transferring?
Replies: 13
Views: 1048

Re: "value factor" doesn't seem reliable to me

larryswedroe wrote: there is always a value premium


But it might be negative some years\decades?
by trademil
Sat Apr 20, 2013 10:14 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

trademil, as Larry just said, 28.6% LOWER market valuation (price) to book value between VBR and VB is significant. Additionally, 53.1% LOWER market valuation (price) to book value between VBR and VBK (CRSP Small Growth) is extremely significant. Now, to stop beating a dead horse, I ask you..... ha...
by trademil
Fri Apr 19, 2013 6:47 pm
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: Are there any differences between these stocks?

nisiprius wrote:Ten-year pre-tax returns: 12.35% for VTMSX, 12.70% for NAESX.
Ten-year tax-adjusted returns: 12.18% for VTSMX, 12.41% for NAESX.

So, indeed, NAESX wins before taxes and VTSMX wins after taxes


Your numbers indicate that NAESX wins both before and after taxes.
by trademil
Fri Apr 19, 2013 6:28 pm
 
Forum: Investing - Help with Personal Investments
Topic: Difference between regular and tax-managed funds
Replies: 14
Views: 1697

Re: Difference between regular and tax-managed funds

How does the ETF helps avoiding distributions in a bull market?
by trademil
Fri Apr 19, 2013 8:39 am
 
Forum: Investing - Help with Personal Investments
Topic: Difference between regular and tax-managed funds
Replies: 14
Views: 1697

Re: "value factor" doesn't seem reliable to me

My argument is that the difference between 2.1 to 1.5 is not significant enough and might be explained only (or mostly) by obsolete numbers in the books of the companies (mainly in the books of financial companies).
by trademil
Fri Apr 19, 2013 8:35 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: Are there any differences between these stocks?

House Blend wrote: And it is EXTREMELY unlikely that the fund will ever distribute capital gains, whereas in the vanilla case it is only VERY unlikely.


Why is it unlikely (for both of them)?
by trademil
Thu Apr 18, 2013 7:15 pm
 
Forum: Investing - Help with Personal Investments
Topic: Difference between regular and tax-managed funds
Replies: 14
Views: 1697

Re: "value factor" doesn't seem reliable to me

For instance, staying with Vanguard since you mentioned Vanguard Small-Cap Value ETF (VBR) in your OP: 1. VBR has a Price/book ratio of 1.5x 2. VBK (Growth) has a Price/book ratio of 3.2x - more than twice VBR's Index. You have a point here, but, lets add: 3.Vanguard Small-Cap ETF (VB) has a Price/...
by trademil
Thu Apr 18, 2013 7:06 pm
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: "value factor" doesn't seem reliable to me

For example the Russell 3000 Value index has a P/B ratio of 1.63 whereas the Russell 3000 Growth index has a P/B ratio of 4.38. For instance, staying with Vanguard since you mentioned Vanguard Small-Cap Value ETF (VBR) in your OP:[list]1. VBR has a Price/book ratio of 1.5x 2. VBK (Growth) has a Pri...
by trademil
Thu Apr 18, 2013 11:53 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: What do you think of this advice [by financial advisor]

He said that I should have nothing in bonds at my age. He also said I could leave some in the Vanguard fund, but I should go into the large cap growth fund we have which is Westfield Capital Management and some small caps and international if I want to. All of the funds he recommended were managed ...
by trademil
Thu Apr 18, 2013 10:24 am
 
Forum: Investing - Theory, News & General
Topic: What do you think of this advice [by financial advisor]
Replies: 45
Views: 4883

Re: "value factor" doesn't seem reliable to me

"Value", or more appropriately the high book to market effect identified by FF is just a way to isolate high from low priced (relative to fundamentals) stocks I understand that, but I have a problem with the underlying assumption that we know the fundamentals. And if we don't know the fun...
by trademil
Thu Apr 18, 2013 9:43 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

"value factor" doesn't seem reliable to me

First, I'll state my problem: due to local regulations, a significant portion of my retirement savings is out of my control, and is actively managed with a stocks/bonds ratio of about 30/70, which is way too conservative for me (I'm in my 20s). So I put 100% of the assets that are under my control (...
by trademil
Thu Apr 18, 2013 8:27 am
 
Forum: Investing - Theory, News & General
Topic: "value factor" doesn't seem reliable to me
Replies: 66
Views: 3858

Re: European Accumulating ETF-how much does tax deferring wo

Thank you. I'm not sure I understood it all the way but I'm pretty sure I got it right in the excel and it seems that there is a benefit but it is rather small.
by trademil
Thu Apr 18, 2013 7:53 am
 
Forum: Investing - Help with Personal Investments
Topic: European Accumulating ETF-how much does tax deferring worth?
Replies: 7
Views: 564

Re: A Sharpe Assault on Mutual Fund Fees

Sharp has proven in 1991 that: If "active" and "passive" management styles are defined in sensible ways, it must be the case that (1) before costs, the return on the average actively managed dollar will equal the return on the average passively managed dollar and (2) after costs,...
by trademil
Thu Apr 11, 2013 4:59 pm
 
Forum: Investing - Theory, News & General
Topic: A Sharpe Assault on Mutual Fund Fees
Replies: 5
Views: 1073

Re: European Accumulating ETF-how much does tax deferring wo

Epsilon Delta wrote:Then for accumulation units the after tax value is
(1+β)^T * {1-C} + C


Did you mean:
(1+β)^T * {1-C} + 1
?

Epsilon Delta wrote:Paying tax on dividends yearly gives a value of
(1+α)^T * {(1-C) + C(1-D)/α} - C(1-D)/α + C

Could you explain this one to me?

Thanks
by trademil
Thu Apr 11, 2013 4:40 pm
 
Forum: Investing - Help with Personal Investments
Topic: European Accumulating ETF-how much does tax deferring worth?
Replies: 7
Views: 564

Re: European Accumulating ETF-how much does tax deferring wo

The solution you give, XD > E, for accumulation units being better also holds as T→∞. This is of course correct. Unfortunately I don't think you can extract anything else from the equation, so your best bet is to use a spreadsheet to explore what happens for small values of T. I'm pretty sure th...
by trademil
Thu Apr 11, 2013 2:53 pm
 
Forum: Investing - Help with Personal Investments
Topic: European Accumulating ETF-how much does tax deferring worth?
Replies: 7
Views: 564

Re: ETF vs Index Fund

Let me try to make it worse. Suppose I get a $10 dividend, $10 / $88.25 = 0.113 shares and I paid $10 / 0.113 = $88.496 per share. Do you see how $88.496 is larger than $88.25? I would expect them to charge you 88.25$ per share for the 0.113 shares they buy for you, for a total of 9.97225$, lets ev...
by trademil
Thu Apr 11, 2013 2:45 pm
 
Forum: Investing - Help with Personal Investments
Topic: ETF vs Index Fund
Replies: 19
Views: 1334

Re: ETF vs Index Fund

TDAmeritrade told me that it reinvested BIV for me at a price of $88.259 at 15:51 to 15:53 that day. Clearly, the actual available price at that time was below $88.11 a share. In reality because of round-off error, I was charged a higher price, so I paid an extra fee of more than 15 cents a share. ...
by trademil
Thu Apr 11, 2013 2:25 pm
 
Forum: Investing - Help with Personal Investments
Topic: ETF vs Index Fund
Replies: 19
Views: 1334

European Accumulating ETF-how much does tax deferring worth?

In Europe, there are 2 kinds of mutual funds\ETFs in terms of dividend treatment: The first kind is distributing, just like in the U.S, the fund distribute the dividends annually\quarterly, and you have to pay divided tax on them as you receive them. The second kind is Accumulating (sometimes also c...
by trademil
Thu Apr 11, 2013 1:20 pm
 
Forum: Investing - Help with Personal Investments
Topic: European Accumulating ETF-how much does tax deferring worth?
Replies: 7
Views: 564

Re: Rick Ferri's Interview - Own Stocks to Offset Low Rates

That's actually a good comparison to illustrate my point: When you short a stock you do not change the market cap of the company, if the company have 100 stocks (and lets say each stock is priced as 1$), all held by A, I borrow 20 of them from A and sell them to B, now A have 80 stocks, B have 20 s...
by trademil
Thu Apr 11, 2013 12:47 pm
 
Forum: Investing - Theory, News & General
Topic: Rick Ferri's Interview - Own Stocks to Offset Low Rates
Replies: 130
Views: 12247

Re: Rick Ferri's Interview - Own Stocks to Offset Low Rates

I'm afraid this is yet another very common misinterpretation. I'll do some more reading but I'm not sure I agree with what you're saying here. Short sales for example don't reduce the size of the stock market they create a separate pool of bets going in the other direction. If the stock market were...
by trademil
Thu Apr 11, 2013 11:14 am
 
Forum: Investing - Theory, News & General
Topic: Rick Ferri's Interview - Own Stocks to Offset Low Rates
Replies: 130
Views: 12247

Re: Rick Ferri's Interview - Own Stocks to Offset Low Rates

It looks like true numbers aren't readily available, however by using the BLS data for OTC contracts http://www.bis.org/statistics/otcder/dt1920a.pdf we can estimate that market values are roughly 3.72% of notional values. So at a very rough guess we're only talking about $44.64 Trillion. On the br...
by trademil
Thu Apr 11, 2013 4:55 am
 
Forum: Investing - Theory, News & General
Topic: Rick Ferri's Interview - Own Stocks to Offset Low Rates
Replies: 130
Views: 12247

Re: Rick Ferri's Interview - Own Stocks to Offset Low Rates

Agreed. Why not "own everything" and just accept what the market is (or isn't) generous enough to provide? Not practical or prudent, I wouldn't be comfortable with a 95% allocation to derivatives. Oh, did you mean that tiny sub-set of the world market that still deals with US based corpor...
by trademil
Wed Apr 10, 2013 7:00 pm
 
Forum: Investing - Theory, News & General
Topic: Rick Ferri's Interview - Own Stocks to Offset Low Rates
Replies: 130
Views: 12247

Re: Total Stock Market Fund or Total International Fund?

If you use ETFs you can split your 3000$ between VTI and VXUS.
by trademil
Sat Apr 06, 2013 10:26 am
 
Forum: Investing - Help with Personal Investments
Topic: Total Stock Market Fund or Total International Fund?
Replies: 41
Views: 3438

Re: Investing in cryptocurrencies: Bitcoin, Litecoin, PPCoin

But we did see cases of a "fat finger" in the stock exchange that temporary made a drastic price shift.... I guess you didn't bother to read that link you posted about the flash crash that you are suggesting indicates 'fat fingering'. You guessed wrong. I gave 2 different examples to prob...
by trademil
Thu Apr 04, 2013 5:01 pm
 
Forum: Investing - Theory, News & General
Topic: Investing in cryptocurrencies: Bitcoin, Litecoin, PPCoin,etc
Replies: 40
Views: 2683

Re: Investing in cryptocurrencies: Bitcoin, Litecoin, PPCoin

3CT_Paddler wrote:
trademil wrote:Here it is, the Dow Jones was hacked:

http://en.wikipedia.org/wiki/2010_Flash_Crash


So just like with a Bitcoin exchange people lost all their money?


Nobody lost his bitcoins due to the hackers attack on the exchange.
by trademil
Thu Apr 04, 2013 4:59 pm
 
Forum: Investing - Theory, News & General
Topic: Investing in cryptocurrencies: Bitcoin, Litecoin, PPCoin,etc
Replies: 40
Views: 2683
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