Bogleheads

Book review by Graham Linscott- Wire Me a Million: The Rise and Fall of Multimillionaire Billy Wolfe, the World's Most Audacious White-collar Crook (Paperback) Jack Shepherd Smith (Author)

http:// ...

I used the instructions I found at this link to build an MVO. It was fun and it works.
http://www.econ.iastate.edu/classes/econ653/lence/hw2.pdf

Thank you to all who make this forum a place to come back to. I think there should be an annual contest to crown the poster and post of the year.

wbond, I want to congratulate you on a great post.
Thanks for that.

This article by the same author makes it clear that he – like Warren Buffett believes that option pricing is flawed and presents a free lunch.
http://seekingalpha.com/article/146466-opportunities- ...

As of this writing, this option costs $13.90 and SPY is at $109........... In the current market, you can buy 9.3 two-year at-the-money call options for the cost of one share of SPY.

109/13.9 = 7.8 ...

Marc Bolan - T.Rex

The mean return referred to in the formula is the arithmetic mean (the median return is the geometric mean). I think you interpreted it as the geometric mean.

I recalculated the parameters set up ...

I just had a look at the spreadsheet. It seems the problem is that Editgrid does not support the Ln function. You can use the instructions below to create your own Excel spreadsheet. Note the mean ret ...

I e-mailed Milevsky a while back with a similar question. Here is my question and the answer I got back.
Hello Prof. Milevsky
I have a question regarding your probability of ruin formula. (A neat ...

It might be interesting to calibrate your simulation results against Milevsky's probability of ruin formula. You can find a working spreadsheet here:
http://www.editgrid.com/explore/user/knox/ruin
...

If you look at Robert Shiller, he uses a 10 year trailing PE to avoid the distortions arising from slumps. Andrew Smithers (Valuing Wall Street) uses 'q' an adjusted price to book ratio (invented by ...

http://www.dailymail.co.uk/femail/article-1210895/Frank-Skinner-I-lost-life-savings-investing-AIG.html

At the money SPY calls expiring in Dec 09 closed at 4.80 yesterday.
So: 4.8/105*.4 = 1.8% of a portfolio's value buys about 3 months of 40% market exposure.
At the money Dec 11 calls closed at 14. ...

Thanks for pointing that out. I went back to my calculations and found some errors. In my calculation of bond returns I used the same formula which I used for US 20y bonds without adjusting it for the ...

After analyzing 109 years of equity return history in 17 different countries, the authors suggest that the equity investors demand a 3-3.5% equity premium above T-bills (not TIPS).

Currently, lon ...

The high-equity hegemony is being toppled.

Equities are out of fashion- probably a good time to buy them, if you can stand bearing compensated risk.

a 65-year-old retiree ....... can fund 40 years of retirement with an arbitrarily large portfolio at a completely-safe, inflation-adjusted, non-annuitized WR of 3.5%.
In other words, the entire conce ...

Can you give me your best guess how much longer someone who bought the Nasdaq at it peak still has to wait in order to see a total return of 6% real per year compounded?

The highest 20 year annuali ...

It hadn't really occurred to me that there was anyone who believed the price of the Nasdaq at its peak was a fair reflection of intrinsic value.

The Nasdaq quintupled between 1996 and 2000. If the ...

Arnott's paper had been discussed previously here:
http://www.bogleheads.org/forum/viewtopic.php?t=36218&highlight=&sid=9bc14f88109ee48987be70208f31dcb5
and here:
http://www.bogleheads.org/ ...

The issue I'm pointing out is that in an efficient market there must be some tie between the market price and rational analysis of available information. Someone had said that there was no requireme ...

I'm struggling to understand what you're getting at. Did Malkiel also not understand EMH when he wrote this in a 2003 paper, "The Efficient Market Hypothesis and Its Critics"While there ...

William Bernstein explained the difference between rationality and efficiency best.
The occasional prolonged, massive failure of even the most coldly calculated strategies gets to the heart of the ra ...

I am not talking about handicapped children for goodnes sake.
Large inheritances often corrupt more often than not.
It's another absurd way for baby boomers to spoil their kids.

Please supply the ...

The money illusion - amazing how many people who should know better still fall for it.

Refer to these links.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=381480
http://en.wikipedia.org/ ...

The trouble is the correlations aren't stable and the correlations of risky assets tend to go to 1 in times of stress.

A properly designed simulator would use average correlation (usually based ...

MC is worthless because it is based on standard distribution and does not account for fat tails, extreme events which are more common than thought. MC results are dependent on the historical data & ...

NIck
Got this one wrong. Confused MC simulators with Efficient Frontier Models which are "crap"

On the other hand IMO MC simulators are extremely valuable "tools"

Thank ...

tactical asset allocation is the way of the future.

noone should have had more than 25 percent equity exposure going into 1999.

William Sharpe proposes that investment advisers must ask themselv ...

Lbill, I posted the below table in response to your previous thread re the Arnott paper. I have added a table showing the returns since Oct 81 (when long yields peaked). The tables are based on monthl ...

NAME HISTORICAL RETURN
CASH 3.70%
BONDS 5.90%
STOCKS 10.40%
REAL ESTATE 3.50%
INFLATION 3.00%
ALLOCATION RETURN 7.48%

Does your real estate returns include net rental yield?

Quoted from this thread:
It seems the paper has not been published yet, but from the quotes in the article I can’t make out what Arnott is on about. Look at the table below, based on monthly US mar ...

Stocks are riskier than asset classes such as government bonds (which have a state guarantee), corporate bonds (which have a superior claim on a company’s resources) or cash. So the argument was tha ...

Japan market Dec 1971 – Dec 2008. PP performance through bulls, bears, inflation, deflation.
Based on monthly data. Rebalancing bands +/- 10%. PP was rebalanced 14 times over the 37 years.

http: ...

25 year returns Japanese market in US$ vs US market.

http://i42.tinypic.com/205tk7l.jpg

Gotta say I'm not too hip as to how the PP would fare in a Japan-like scenario. Gut instinct tells me LT bonds would do the heavy lifting and cash respectable as CPI numbers would be negative. But i ...

If someone making $100k per year delays taking SS until age 70 he will get about $28k per year. If the RIRR is 62% he now needs to come up with an additional $34k. A real annuity at age 65 has a pay ...

Thanks Gummy for the great body of work you produced over so many years. It will continue to inspire and guide those who seek knowledge for decades, I have no doubt.

Here is something along those lines.

6 March 09. The S&P 500 index is down about 55% from its high. I thought it would be interesting to see how an investment made when markets crashed this muc ...

I know that Shiller publishes a home price index. Does anyone know of a source for historical home price rental yield info.

Let's get the facts straight...

The total return (not just the price return) of the S&P 500 from October 1929 through November 1944 was an annualized return of 0.02% and a total return (not a ...

Does anyone know of a free source for historical Japanese earnings or P/E data.

BUT, it repeatedly has been stated that it was not until 1956 that the stock market returned to its 1929 levels. It also repeatedly has been stated that the stock market, adjusted for inflation, wa ...

Another interesting fact: P/E10 was 15 in Aug 31 (index down 55%), it dropped to 5 10 months later (index down 85%). It is around 11 at present.

very interesting. if i understand correctly, real return for each security class is intended to reflect the CAGR of this class in excess of inflation for each time period, correct?

nicely done.
...

The S&P 500 index is down about 55% from its high. I thought it would be interesting to see how an investment made when markets crashed this much previously performed. The below tables show the su ...

Sorry -wrong category.

The S&P 500 index is down about 55% from its high. I thought it would be interesting to see how an investment made when markets crashed this much previously performed. The below tables show the su ...

http://www.hussmanfunds.com/html/trancost.htm

The following data is for the Hussman Strategic Growth Fund (HSGFX). For the fiscal year ended June 30,2007, the Fund's gross expense ratio was 1.11%, ...