Livesoft: Worst day?

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Re: Livesoft: Worst day?

Postby xram » Mon Jan 28, 2013 11:14 pm

rr2 wrote:
xram wrote:How do apply a RBD calculation to a mutual fund? Just run the numbers for the corresponding ETF?


For the Fund you are looking to buy see the corresponding ETF.

1. Has the ETF dropped in value today?
2. Is this drop greater than 2.5%?
3. Is this drop greater than the 4th largest drop in the past 151 trading days (including today)?

-- If ALL of the above are true, then buy the fund.

It is best to check as close to end of day. Have your mutual fund buy order ready to go.

Livesoft -- is this correct?


If you buy a mutual fund during market hours, you get the price at the end of THAT day, correct?

If you buy a fund after close, you get the price at the end of the NEXT DAY, correct?

Thanks
Xram
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Re: Livesoft: Worst day?

Postby spanky123 » Tue Jan 29, 2013 1:56 am

xram wrote:
rr2 wrote:
xram wrote:How do apply a RBD calculation to a mutual fund? Just run the numbers for the corresponding ETF?


For the Fund you are looking to buy see the corresponding ETF.

1. Has the ETF dropped in value today?
2. Is this drop greater than 2.5%?
3. Is this drop greater than the 4th largest drop in the past 151 trading days (including today)?

-- If ALL of the above are true, then buy the fund.

It is best to check as close to end of day. Have your mutual fund buy order ready to go.

Livesoft -- is this correct?


If you buy a mutual fund during market hours, you get the price at the end of THAT day, correct?

If you buy a fund after close, you get the price at the end of the NEXT DAY, correct?

Thanks
Xram

That's correct for mutual funds.
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Re: Livesoft: Worst day?

Postby xram » Tue Jan 29, 2013 7:41 am

rr2 wrote:
xram wrote:How do apply a RBD calculation to a mutual fund? Just run the numbers for the corresponding ETF?


For the Fund you are looking to buy see the corresponding ETF.

1. Has the ETF dropped in value today?
2. Is this drop greater than 2.5%?
3. Is this drop greater than the 4th largest drop in the past 151 trading days (including today)?

-- If ALL of the above are true, then buy the fund.

It is best to check as close to end of day. Have your mutual fund buy order ready to go.

Livesoft -- is this correct?


How do you deal with several days in a row with a decrease in value? Seems like the loss should be Added up and treated like a single possible RBD according to the rules stated above?

Thanks
Xram
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Re: Livesoft: Worst day?

Postby livesoft » Tue Jan 29, 2013 10:09 am

xram wrote:Seems like the loss should be Added up and treated like a single possible RBD according to the rules stated above?

You didn't understand the rules.

But that said, you are completely free to make your own rules or modifications.
It's all about short-term opportunistic rebalancing due to a short-term change in one's asset allocation, uh, I mean opportunistic rebalancing, uh I mean rebalancing, uh I mean market timing.
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Re: Livesoft: Worst day?

Postby xram » Tue Jan 29, 2013 10:38 am

livesoft wrote:
xram wrote:Seems like the loss should be Added up and treated like a single possible RBD according to the rules stated above?

You didn't understand the rules.

But that said, you are completely free to make your own rules or modifications.


Thanks. Just asking. If you have 4 days in a row with 1% drop per day, mathematically as well as logically (IMHO) I think that would be the same as a 1 day 4% drop? Using your example of someone that invests 1 million dollars before the 4 day drop compared to someone that invests same money after the drop....the first would always be 4 % behind the second forever, correct?

In particular VWO Has had The following drops last 4 days.....not quite 2.5% yet....but getting there.....

2013-1-28 44.23 -(0.74%)
2013-1-25 44.56 -(0.25%)
2013-1-24 44.67 -(0.29%)
2013-1-23 44.8 -(0.64%)


Just asking what u guys think?

Xram
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Re: Livesoft: Worst day?

Postby bottomfisher » Tue Jan 29, 2013 10:46 am

xram, you would have no idea of knowing whether the market was in for 4 days in a row of losses. Yes, those 4 days of losses would be a better opportunity for buying - but you would have no way to anticipate it. If you wait 4 days for the losses to materialize and it doesn't - then you missed out on the opportunity to buy into the market at one of the more prominent dips in market prices (as per livesoft's more straightforward approach). Its all market timing. You're gonna win some and you're gonna lose some. Hopefully, if you attempt the strategy you don't drift to far from you fundamental investment plan and incur more losses and trading costs than its worth.
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Re: Livesoft: Worst day?

Postby The Wizard » Tue Jan 29, 2013 10:49 am

xram wrote:...Using your example of someone that invests 1 million dollars before the 4 day drop compared to someone that invests same money after the drop....the first would always be 4 % behind the second forever, correct?

I don't think too many of us are putting in $1M on a RBD or any other day.
This isn't about market timing.
It's about opportunistic rebalancing, combined perhaps with a bit of play money or "dry powder".
I'd guess less than 5% of total portfolio gets shifted into stocks by most folks here on a RBD, so at most a $50K purchase for a $1M portfolio.
Someone correct me if I'm wrong...
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Re: Livesoft: Worst day?

Postby xram » Tue Jan 29, 2013 10:55 am

The Wizard wrote:
xram wrote:...Using your example of someone that invests 1 million dollars before the 4 day drop compared to someone that invests same money after the drop....the first would always be 4 % behind the second forever, correct?

I don't think too many of us are putting in $1M on a RBD or any other day.
This isn't about market timing.
It's about opportunistic rebalancing, combined perhaps with a bit of play money or "dry powder".
I'd guess less than 5% of total portfolio gets shifted into stocks by most folks here on a RBD, so at most a $50K purchase for a $1M portfolio.
Someone correct me if I'm wrong...



I only used that example because it was used in a previous thread
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Re: Livesoft: Worst day?

Postby rr2 » Tue Jan 29, 2013 1:14 pm

Xram -- These are good questions but unfortunately there is no perfect system. You are looking for order and perfection in what is essentially a chaotic system. As livesoft said, you can make your own rules. Maybe look for an RBW instead. If you backtest enough, something will pop up which has done better than the RBD. Just remember that past performance is no guarantee of the future.

I do not use the RBD system, I just invest according to my AA and keep checking if rebalancing is needed. I am just curious and being a nerd, I keep a spreadsheet to see when RBDs occur.

Good luck.
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Re: Livesoft: Worst day?

Postby xram » Tue Jan 29, 2013 2:11 pm

bottomfisher wrote:xram, you would have no idea of knowing whether the market was in for 4 days in a row of losses. Yes, those 4 days of losses would be a better opportunity for buying - but you would have no way to anticipate it. If you wait 4 days for the losses to materialize and it doesn't - then you missed out on the opportunity to buy into the market at one of the more prominent dips in market prices (as per livesoft's more straightforward approach). Its all market timing. You're gonna win some and you're gonna lose some. Hopefully, if you attempt the strategy you don't drift to far from you fundamental investment plan and incur more losses and trading costs than its worth.


I am no expert but what I was thinking was the following. You could see 3 days of losses in retrospect and then as you are watching the ETF throughout the day on the fourth day, if the loss on the 4th day puts you over your cutoff for a RBD then go ahead and buy according to your plan. There is no cost to trading as far as per trade cost etc. And I usually have some money in my account that I need to invest anyway so I am lucky in that respect....

If you look at VWO for the last four days it is down nearly 2% so if today it goes down another .5% and your RBD cutoff is 2.5% then I would say go ahead and buy some extra VWO...because for someone who has a nice chunk to invest each month (I am lucky to have that) I know that I will need to buy some in the near future anyway just to keep everything at the AA so I would go ahead and buy a little extra now at the 2.5 dip (over 4 days)........that seems completely logical and mathematically accurate to me ... at the very least I do not think it will do any harm......

....just checked VWO.....so far it is up today so not looking like its gonna be a cRBD (cumulative Really Bad Day.....first coined by xram today :happy )
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