Bogleheads.org

In fairness to Nalebuff and Ayres, their preferred strategy is the purchase of deep in the money LEAPS, which merely become essentially worthless with a >50% market fall, but don't trigger margin calls. Theoretically, it works, and I'm impressed with their numbers. There are 2 huge problems with it:...

No. There's a good reason why the per-share earnings and dividends of the U.S. companies making up the broad market grow about 1.4% faster than inflation, and that's because they reinvest a substantial portion of those earnings. And there's a good reason why REITs' per-share earnings don't grow fast...

I'm using the equity REIT series. Using a starting value for the index of 100 and a yield of 6.13%, that's $6.13 of dividends per share. In April '13, those numbers were 578 and 3.28%, for a dollar per share dividend of $18.98 per share. So (18.98/6.13)^(1/41.333)-1 is 2.77% pa (The data from my OP ...

Hi all: I very rarely post a new topic, but I do feel compelled to comment on REITs. I’ve seen more than a few posters remark favorably on the high realized returns of REITS, along with the “fat” dividend yield, the implication being that this can be expected to continue. If I’ve learned anything fr...

One more layer of protection if you're on a public network, a real Boglehead move: buy yourself a cheap used reliable Laptop (Thinkpad X40s are my faves) and install and learn how to use Linux. Lubuntu is fast, simple, feels almost like Windows, and no one in their right mind writes malware for it. ...

What's interesting about all this is that Rogoff and Reinhart aren't really in favor of immediate austerity; they're firmly in the school of "Lord make me chaste, but not just yet." Also: spreadsheet errors do occasionally creep in during transmission/copying, tho that possibility is unlik...

I'll address the one thing not mentioned by the other posters, which is that what *really* matters is where you did your residency, not where you went to med school, and at the level of elite residencies, very, very little precedence is given to the home med school in terms of who they take; ie, if ...

Oops; my sincere apologies; I didn't pay as attention to the date originally posted as I should have. It definitely will be the 22nd at Town Hall: http://townhallseattle.org/william-bernstein-how-human-communication-has-shaped-history/ Sorry about the $5 Town Hall charge. I'll happily meet with the ...

Thanks for noticing! 1) The book is now in stock on Amazon, both in hard copy and in Kindle. 2) You can download the Intro and first half of Chapter 1 here: http://efficientfrontier.com/ef/0adhoc/MOTWIntro.pdf . 3) I'll be speaking in Portland at the Oregon Historical Society at 7PM on the 18th ($10...

Again, thanks all; I just wanted to make sure I wasn't missing any boffo returns series beyond my usual sources. Two comments: 1) Since I'm not an engineer, I'm not *that* disturbed by the turbulence in the series. As I'm fond of saying, this ain't no airfoil or electrical circuit. (Or, as the joke ...

Barry: Many thanks; looks like CRSP goes back around 10-16 years, but not before. I'm surprised they even do that: 10 years ago, when Rob Arnott and I did our work on dilution, they charged a buck per monthly data point for the two series we used. For the average person (well, actually, the average ...

Thanks all! Greatly appreciated. Yep, I'm well aware of the accuracy problem with M*/Yahoo. I have to admit to being unfamiliar with finance.google.com. Is there a way to squeeze monthly returns out of it? And, has anyone figured out a way to coax monthly returns out of the M* site? (Ah, I still hav...

Hi all:

I'm in the process of putting together another asset allocation book for math geeks and investment professionals, and would like to know your favorite *free* data sources, beyond the obvious: M*, Yahoo historical adjusted prices, and Ken French's and the MSCI sites.

Best,

Bill

I'll third or 4th the Zenni recommendation. Yes, the site is clunky, it takes 2-3 weeks to get your glasses, and be prepared to make a modestly costly mistake or two. But at the end of the day, you simply can't beat the prices that the online sellers offer. Yes, you do need to measure, but really, i...

I take a different tack: individual investors, to the extent that they're more disciplined than the *clients* of the institutional investors, do have a large advantage, which is that they aren't subject to manager career risk; ie, no one's going to fire them for a bad year, or even five years. To gi...

Hotel strategy: you will be spending most of your time in the Old City, one of the most amazing places in the world. There are no high-end hotels there, which is just as well, since in the New City they tend to be expensive and have typical lousy Israeli service. Solution: stay in a hostel/guest hou...

Nice thread. A few points: 1) My quote about fractions being a stretch for 90% of the population comes from Scott Burns, who told it to me 17 years ago as advice to an aspiring financial writer. 2) Just to be clear on the math, if you want to acquire a nest egg of an inflation-adjusted $1 million af...

My point is that all of the academic research in the world doesn't get around a very common-sense objection to using futures, which is the existence of investors or speculators on the other side of your trades who are dumb enough to write cheap insurance against equity price falls. My further point ...

Larry's piece was excellent, and well-written to boot. I take a simpler approach: life is too short to spend time extensively testing, or even reading about, BS strategies like using the VXX to hedge stock risk. Theoretically, it makes absolutely no sense to suppose that there are stupid, greedy opt...

Yep, the XIRR function is the way to go. It's not trivial to use; first, you have to set up one of the VBA Packs in Tools|Add-ins. Next, the arguments/formatting are very particular: begin with the starting portfolio amount (and date in adjacent column) as a *negative* number, as are all subsequent ...

I'm sure there are MVO add-ins out there, but I haven't looked for them. The inputs for solver--"the poor man's optimizer"--are of course the actual returns series, the dependent variable the SD or Return you calculate from all those and the portfolio compositions. Been a while since I've ...

Noise, all noise. The less you think about it, the better off you'll be.

Bill

Comrade Victoria:

But not without a show trial!

Comrade wbern

Comrades: It is definitely not true that Marxists do not enjoy the finer things in life. Observe, for example, this night photograph of the Korean peninsula: http://blog.usaid.gov/wp-content/uploads/2011/06/korea.jpg The large bright spot in the northern peninsula is Comrade Kim's immense flat scree...

Comrade Porcupine:

Your dialectic seems ideologically correct, but I shall have to take it up with the Diehards Politburo in order to avoid possible revisionist thought.

All hail Stanley, Danko, Malkiel, and Bogle,

Comrade wbern

Amen to that!

Coase's greatest accomplishment, IMO, was being the only human known to get Milton Friedman to admit he was wrong about something (the regulation/social cost issue).

Bill

Hi All: For those who absolutely have to have it in hard copy, I've made "Skating Where the Puck Was" available in paperback at Amazon, here: http://www.amazon.com/Skating-Where-Puck-Was-Correlation/dp/0988780305/ref=sr_1_cc_2?s=aps&ie=UTF8&qid=1356820995&sr=1-2-catcorr&key...

A bit of a food fight, I see. I think there are excellent arguments on both sides of this, though I tend to side more with Larry overall: stay away. Long-term, I think that uninformed investors are attracted to hi-yield because of its . . . high yield, and don't take into account the poor return/ris...

To repeat, I was in no way endorsing using a mix of Ru3000, Ru3000G, and cash; I was simply saying that doing so closely mimics hedge fund performance, with generally superior results and much lower costs. I could also have said that investing in hedge funds could, in the long run, be closely approx...

First off, Mr. Light deserves real credit for discussing multifactor regression in the WSJ. When was the last time you read about that subject in the Journal, let alone in a lesser mass-market publication? Second, neither Mr. Light nor I recommended the replication strategy; it was simply a pedagogi...

OK, enough fooling around here. jwblue: You're about to volley with Venus Williams, play on one with LeBron James, or go ten rounds with whoever the light-heavyweight champ is. Here's the deal: you'll be buying your QCOM from someone. If you're lucky, it'll merely be someone from Goldman Sachs or Fi...

I'm a simple sort of guy who believes that dividends don't lie, particularly with REITS, which have to distribute 90% of high-quality (i.e., not gamed) earnings. All you have to know from that starting point, currently about 3.5%, is the real dividend growth rate, which is in the -1.0% to -1.5% rang...

Azanon's comments are well taken; that's what I said in my original post: my major target is institutional managers, not small investors, most of who have never been near private equity or a hedge fund. (On the other hand, if you take a seven-figure portfolio to a wirehouse "wealth manager"...

I don't know about fine wine, but I know that paintings have been looked at by Bill Baumol in the AER Review papers in 1986. He noted that standard economic theory suggested that if an item has consumption value, that should detract from investment value. Which is exactly what he found with painting...

Actually, that's not as much of a joke as you think; watch the credits of "Miracle," and you'll see that a significant number of the 1980 hockey gold medal winners went to work in retail finance.

Bill

Bill:

Well, it depends on the local market; it probably works well in Orlando or Tuscon, but don't try it in Portland OR.

But you have made a very important point, which is that real estate is not investing, it's *work.*

Bill

WJO: Well, yet one more Boglehead has demonstrated they don't need the booklet, having reached the conclusion that I make, which is that the best opportunities: 1) Lie well outside the publicly traded markets, and 2) They involve real work, which is presumably what you're trying to avoid in retireme...

Well, since the major driver of SV returns is simply the market return, the correlations with other asset classes are going to be pretty similar to TSM. The larger question is whether the premium has gone away because it's gotten so much easier to buy. I don't know the answer to that one, but I susp...

The money goes nowhere; for every dollar of an asset class that gets sold, someone else buys it from the seller. Rather, the equilibrium price falls. Think about the loss in home values the 4 years. Where did that money "go"? Money certainly didn't flow "out" of houses. Their val...

Stay the course: Thanks for your comments. Then we both have testable hypotheses; I'm willing to bet that GLD, now that it has made gold an easily tradable commodity, will provide little shelter during the next downturn. Needless to say, I was referring to risky assets, not riskless ones, whose corr...

Again, thanks for all the kind words. Well, causation probably does run both ways between ease of purchase and popularity, hard to disentagle that, and both of those lead to increased correlation. No, I sure don't look at correlation as a measure, though John Rekenthaler, jokingly I think, suggested...

Exactly. The best you can do is wait for the asset class to fall out of favor. Here's a great example from the booklet: the correlation of precious metals stocks with the S&P over time: https://dl.dropbox.com/u/29031758/pme.jpg See, I told you that Bogleheads wouldn't need this one. Bill

Hi All: More a warning than an announcement here: I've just come out with a new Kindle/Nook with the above title. I actively discourage Bogleheads from buying this one; it's aimed primarily at institutional money managers, and its content and rationale will be familiar to all of you, which are a war...

Yes, at the moment we're at 30x, not 25x. But that's mainly a result of today's repressive Fed stance; I don't expect that to be permanent. Looking on the bright side, for example, if we get another financial crisis with 3% TIPS rates, a 5% payout lasts 31 years, meaning we're back at 20x. And, yep,...

Hi All: I treat this quantitatively in all 3 of my finance books, and particularly in the last e-book, "The Ages of the Investor." When I wrote Ages, an inflation-adjusted joint survivor SPIA bought at age 65 yielded 4%; that's where the 25x comes from. (Now it's closer to 3.3%/30x, but I ...

Zotty: You're absolutely right; I make that point clear in "The Ages of the Investor." The LMP right now is more of an ideal than a reality, and short-term reserves are the least worst choice, in my opinion. In the dark days of late '08-'09, you could have used your cash to build an LMP wi...

Excellent discussion, and all points well taken. Certainly, in the real world, it's not difficult to come up with an environment in which a TIPS ladder blows up. How likely is that? A good question--over a 50-year period, if one looks at the span of human history and financial history, probably abou...

Meant to say, of course, that the ER and risk of LS were both greater than with VA/DCA.

Bill

As to the "inferior," we've been down this lane before; yes, the expected return of LS is less than DCA/VA, but only because it's riskier, as demonstrated by what happened to a lump sum investment in the US total stock market or S&P 500 starting at a market high, say, early 2000 or lat...

Note I qualified with "almost." If you have a portfolio that's very large relative to your inflows, *and* if you've got a very high equity exposure, *and* if there's a humongous decline, then, yes, DCA + RB will tell you to buy less stock than stand-alone VA. But, as a practical matter, in...