Bogleheads

Interesting that the Wikipedia entry presents not only Shiller's work on cross-temporal valuation (in the form of a graph) but also the "value premium" as "problems" for EMH:

...

EMH needs to prove its own case on its own merits.

1) There are green spiders on Venus. (Fama)
2) Show me a green spider on Venus (Reporter)
3) Prove to me there are not green spiders on Venus (F ...

Bonds Outperforming Socks For The Long Run

Keep in mind that socks are a lagging indicator, not only insofar as dress socks track employment but in that people tend to buy more exercise socks in go ...

Hi Oneleaf,

I think the two pieces of evidence about potential fund changes are:

1) A survey that, IIRC, Mudfud and maybe one other person participated in asking for feedback on hypothetical cha ...

Cool! I'd never heard of this, but I'd always kind of wondered whether we should assume something on the low side when people say, "I have an X digit portfolio . . ." Though in that case ...

5) You are predicting the ten's digit as customarily presented in the financial press, not the ten's digit in hex or base twelve or Roman numerals or the Mayan system or anything like that.

Thi ...

6a. In general when one uses too many X variables one gets garbage. But in the regressions I did in the Vanguard index versus managed paper, http://econ.duke.edu/Papers/PDF/0419CHAPTER_12_TOWER_work ...

Hi Alex,

For some reason I can't get that thread to open and I don't doubt that many of us who were heavily into the fund said some dumbly bullish things based on the past performance of TREA and/o ...

Everyone is talking about cap rate, but unless I've missed it, no one has reported TREA's current cap rate.

Does the following give its current cap rate? I multiply net investment income for the ...

I believe SmallHi left for a community around Fama's blog at DFA's site.

In general I think there's always going to be a tension here between professional advisors and those Bogleheads who take Jac ...

Landy, the way I think of it is that a cap rate is basically an "E/P ratio" for real estate, i.e., "annual rental income / building price". So when cap rates get very low (just as ...

Hi All,

Ray posted the new 10-Q over on the TIAA M* Board. Here's the link to the report itself:

http://www.secinfo.com/dScj2.s5j8.htm#1stPage

Landy, the way I think of it is that a cap rate ...

I've recently wondered this as it applies to Target Retirement funds. It would seem more beneficial to rebalance periodically rather than daily. If you rebalance bonds to stocks every day during a d ...

yeah, in bernstein's own words, it's "rather amazing".

In light of the above, it is rather amazing that when CLM looked for momentum in individual stocks, none was found. In other words, ...

peter,

The only reason he gets those results is because his data set includes more bull markets than bears. However the statistical results are deceiving. When you actually run the momentum backt ...

I've done the backtesting on this one. During a bear market, the day after a down day has better chances of being up relative to the day after an up day, but during a bull market, it's the opposite: ...

The day after a down day isn't necessarily any more likely to be up as the day after an up day.
Do you have evidence for that statement?

I think the day/week after a big down day is more likely to ...

Hi Rod,

I think I mean the latter -- i.e., given low enough SD for the riskier asset you can (in theory) eventually stop worrying about less risky assets. I can't find the most extensive discussio ...

Hi Rod,

I already have a headache so I'm not going to make much of an effort to articulate a position here, but I guess my first reaction to your post is that if "Modern Portfolio Theory" ...

Hi Rod,

I already have a headache so I'm not going to make much of an effort to articulate a position here, but I guess my first reaction to your post is that if "Modern Portfolio Theory" ...

Hi,

I haven't read the article, and I'm not defending MPT, but remember that the standard deviation figures were for a) a small sample of b) calendar years in c) a single historically outperforming ...

I am still looking for a quote about the normal distribution. Did you forget to include it?

As a random walker, you should recognize the normal distribution, especially when it determines where yo ...

TIAA uses different accounting rules from the rules used by the National Council of Real Estate Fiduciaries, and this is the reason for much of the abnormal returns. The link below explains the diffe ...

Hi Linux,

I expressed my position "mostly" disagreeing with the Wiki in several of the various threads mentioned in this language on the Wiki:

The Wiki says:

"It has been regul ...

As discussed on many previous threads here TIAA RE's unique structure allowed perhaps thousands of novices (including many on this board) to successfully sell during the approximately six month-long t ...

Hated it. In part because I've been a waiter and can't imagine having this guy as a manager/owner, in part because it's just not that hard to enjoy yourself while people kiss your ass and bring you f ...

Stock indexes are easy to understand because stock prices are published each day and do not have the hidden (non publicly available) issues such as valuation, vacancy rates and leverage factors that p ...

peter71 wrote. I don't really know but the below chart does seem to show that real interest rates change a lot.It's true. Real interest rates move around. But except for exposure to reinvestment risk ...

Hi Rod,

I couldn't get your link to work (too many clicks at once?) but interesting post . . . on a related note I've been worrying about whether people overestimate the extent to which inflation-l ...

Hi All,

A couple possible reasons why the schools on this particular list are even more expensive than the norm:

1) Really expensive locations -- New York / DC vs., say, Williamstown, Mass.

2 ...

Haven't we had this discussion about 15 times already?

On a related note, how many posters here have Ivy League degrees besides me and Jack Bogle?

Hi Petro,

Agreed we've had this discussion a ...

This thread got me curious about gold price charts in different currencies, so if anyone else is curious, here they are . . . up more than 100% in dollars, pounds, euros and swiss francs, not so much ...

Hi All,

Wow, can't believe no one's really made the EMH case yet! As someone who kinda sorta believes some of it sometimes, here goes: Very Happy

Unlike say, undiscovered US small cap stock A, a whol ...

Hi All,

A few general thoughts . . .

Agreed that the Buffet quote about the mattress/matches allocation is weirdly hyperbolic.

I really like the CXO Advisory Group site and beyond the " ...

Eric, thanks for posting this info. It's much more useful and informative than criticisms of FAJ articles that consist of simply saying "don't believe everything you read" and rude suggestio ...

$99.95 plus expenses might be an ok price for some people.

Rick,

is it possible to skip the 30 day (free?) credit card registration to join in the webinar?

Best regards, Tet

Too rich for m ...

"Altruist" Advisor Guy,

Um, yeah. The dates may well not line up at M* but a) don't believe everything you read in FAJ, b) if you don't want to listen to me, maybe ask one of your old MB ...

Hi Eric,

While I know it's common I'm not a huge fan of using regression analysis to measure how small or valuey a stock fund is given the vagaries of how regression analysis works (particularly wh ...

There's an Seeking Alpha (yeah, I know; I try not to take them too seriously either) on Shiller's PE10, now apparently known as CAPE10 ("cyclically adjusted P/E 10"). I know that's been of ...

Paper discussed in depth in this thread for anyone interested . . .

http://www.bogleheads.org/forum/viewtopic.php?t=39620&highlight=data+snooping+bootstrapping

All best,
Pete

By definition, mass produced wine is plonk. They are not aged in small barrels, etc. Kick it up to $25+ and you will see a huge difference.

While I've heard that a small harvest means a better w ...

As you may recall, investor returns are calculated by adjusting returns for flows in and out of funds in order to arrive at an estimate of the average investor's return in the fund.

Isn't this just ...

Yep, these papers on equal weighting and skewness and kurtosis get really dense (below is a link to a discussion of some previous ones) but I don't doubt the basic claim that you can easily replace th ...

I haven't kept up too closely with the "new" appraisal system but to add to what Ray said, I used to be under the impression that, under the old system, only 1/12 of the properties in the ac ...

Until recently, I believe TIAA RE properties were reassessed once per year. It was changed (after the decline, unfortunately, for the buy-and-holders) to once per quarter. My recollection is that the ...

Pete-
I know what you're saying -- Aikman played on better teams -- but it's not that Favre choked, it's just that he tried to do it all himself and made poor decisions. That's my issue with Favre. ...

. . .playing mistake-free football (his one int this year was off a hail mary at the end of half-time vs the Patriots) has definitely helped a lot.

People forget this all the time. In football, i ...

Hi VT,

Thanks. Yeah, I realized after writing the post that I was basically describing "real interest rate risk" and it would be interesting to see how those rate-sensitivity duration ca ...

Bonds prices go down when interest rates go up and would "crash" if rates were to soar. The usual reasons for interest rates to go up are (1) expectations of higher real rates and (2) expec ...

Disclaimer: I am not a fan of any team mentioned in this post. Just a sports fan who wants to see a good game and for the losing team, and their fans, to admit they are beat and not make excuses.
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