Search found 3552 matches

by BlueEars
Mon Feb 19, 2018 1:01 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value Benchmarks (related to Mid cap,too)
Replies: 13
Views: 1003

Re: Small Cap Value Benchmarks (related to Mid cap,too)

I only compare VG funds which admittedly is pragmatic and not the whole picture if you use other funds/etfs. My data shows that over 25 years MV has done better then SV. Before VG had a midcap value offering (started in 2009) I have used the msci index to compare these. For example: From June 1992 t...
by BlueEars
Sun Feb 18, 2018 5:15 pm
Forum: Investing - Theory, News & General
Topic: Why investors shouldn’t panic over falling bond prices
Replies: 35
Views: 5562

Re: Why investors shouldn’t panic over falling bond prices

https://www.marketwatch.com/story/why-investors-shouldnt-panic-over-falling-bond-prices-2018-02-13 This is the main point “Since 1993, the Bloomberg Barclays US Aggregate Index, dominated by government and investment-grade corporate bonds, fell 1.2% on average during months when yields increased by...
by BlueEars
Fri Feb 16, 2018 7:21 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value Benchmarks (related to Mid cap,too)
Replies: 13
Views: 1003

Re: Small Cap Value Benchmarks (related to Mid cap,too)

I have over weighted vmvax (MCV) for years. Very recently I moved all my vsiax (SCV) to it. The reason is simply better performance over extended time periods.
by BlueEars
Tue Feb 13, 2018 7:41 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 228
Views: 42417

Re: Dual Momentum Investing

Of course the outcome of monthly moving average methods is going to be somewhat dependent on the day of the month chosen. One only has to look at very sharp market declines like Oct 19 1987 (something like a -20% decline on that Black Monday). Selecting a mid-month day might well give a different ou...
by BlueEars
Mon Feb 05, 2018 5:09 pm
Forum: Investing - Theory, News & General
Topic: Treasury term premium estimate: negative in most of 2017, now 2018 too (NY Fed Adrian, Crump, Moench model)
Replies: 31
Views: 2936

Re: Treasury term premium estimate: negative in most of 2017, now 2018 too (NY Fed Adrian, Crump, Moench model)

One thing I track is the spread between the 10 year and 3 month Treasury. At the end of January 2018 it was 104 basis points. The median from 1987 to now is 183 bp.

So it's anemic. But I guess this is not necessarily a good indicator of forward yield differentials.
by BlueEars
Wed Jan 31, 2018 1:36 pm
Forum: Investing - Theory, News & General
Topic: How did you guys do in 1966 - 1980?
Replies: 34
Views: 3262

Re: How did you guys do in 1966 - 1980?

George, you are right on. One can run VPW for that period and see that the AA didn't make much difference. With current low real rates in bonds and high PE's in stocks, could we see a similar bad paper asset class return period? I don't know the answer, just hoping not. But I do remember watching Wa...
by BlueEars
Sun Jan 28, 2018 5:00 pm
Forum: Investing - Theory, News & General
Topic: Is it likely we return to historical real bond yields?
Replies: 17
Views: 1807

Re: Is it likely we return to historical real bond yields?

Here is another theory. Bond investors have been enjoying high returns since about 1980 because rates have trended down. But we are at the end or near the end of that gift. In the future bond investors will need higher real rates because capital gains (due to declining rates) will not bail them out....
by BlueEars
Sat Jan 27, 2018 10:07 am
Forum: Investing - Theory, News & General
Topic: Diary of a Bear Market
Replies: 24
Views: 2885

Re: Diary of a Bear Market

If I look at the VG growth minus value indexes, they are nowhere as extreme as in 2000. In 2000 we had high real rates. But we could still see a major crack in the markets as in 1962 not associated with a recession.
by BlueEars
Fri Jan 26, 2018 2:08 pm
Forum: Investing - Theory, News & General
Topic: Is it likely we return to historical real bond yields?
Replies: 17
Views: 1807

Re: Is it likely we return to historical real bond yields?

saltycaper wrote:
Fri Jan 26, 2018 1:40 pm
I don't think so, not in the near future at least. The flattening curve does not look promising. Something very unexpected would have to happen. I do hope I'm wrong though and would welcome 2% real on the 10-year.
That TIPS chart shows a flattened state in 2005 with rising rates.
by BlueEars
Fri Jan 26, 2018 1:45 pm
Forum: Investing - Theory, News & General
Topic: Is it likely we return to historical real bond yields?
Replies: 17
Views: 1807

Re: Is it likely we return to historical real bond yields?

lack_ey wrote:
Fri Jan 26, 2018 1:26 pm
Do you mean ever, as a central tendency, in the near future (few years), or what?
I guess this question refers to maybe the next 5 years or so. Definitely not to 15 years out.
by BlueEars
Fri Jan 26, 2018 1:22 pm
Forum: Investing - Theory, News & General
Topic: Is it likely we return to historical real bond yields?
Replies: 17
Views: 1807

Is it likely we return to historical real bond yields?

In the past bond real yields for 5 year and 10 year Treasuries averaged 2.3% . This is according to Larry Swedroe for the period 1926 - 2010. The current 10 year TIPS are at 0.56%. See chart below for some history on this. I'm wondering if it is pretty likely we will return to about 2% on the 10 yea...
by BlueEars
Fri Jan 26, 2018 11:11 am
Forum: Investing - Theory, News & General
Topic: Diary of a Bear Market
Replies: 24
Views: 2885

Re: Diary of a Bear Market

... Tremendous events happening at that time, as I recall it: Huge fiscal and monetary policy changes [wage controls, price controls, going off gold standard], concluding a very long war [Vietnam], a massive demobilization [result of said conclusion of war], the Arab Oil Boycott [the aftermath of Y...
by BlueEars
Thu Jan 25, 2018 8:16 pm
Forum: Investing - Theory, News & General
Topic: Diary of a Bear Market
Replies: 24
Views: 2885

Re: Diary of a Bear Market

Nice article. Left out the fact that in June 1973 the yield curve inverted. Maybe some Wall Street types would have seen that as a red flag? I was hired from college in August 1972 at a midsize company called Hewlett Packard. It did OK partly because of the new handheld HP 35 Scientific Calculator. ...
by BlueEars
Thu Jan 25, 2018 11:38 am
Forum: Investing - Theory, News & General
Topic: Dalio says bonds have entered a bear market
Replies: 96
Views: 9397

Re: Dalio says bonds have entered a bear market

To me the issue is at what slope rates rise. Dalio thinks it will be faster then consensus.

Short term investment grade or intermediate bonds? I have both.
by BlueEars
Sat Jan 13, 2018 7:02 pm
Forum: Investing - Theory, News & General
Topic: Year 2000 retirees using the '8% rule' - Where are they now?
Replies: 40
Views: 6608

Re: Year 2000 retirees using the '8% rule' - Where are they now?

Also, it is not clear to me what kind of stocks he used in 1994. The paper just says common stocks. And he uses date from Ibbotson Associates, "Stock, Bonds, Bills and Inflation: 1992 Yearbook" (Chicago: Ibbotson Associates, 1993). . I'm pretty sure SBBI in 1992 was U.S. stocks. Yes, it was. As I m...
by BlueEars
Sat Jan 13, 2018 1:43 pm
Forum: Investing - Theory, News & General
Topic: Year 2000 retirees using the '8% rule' - Where are they now?
Replies: 40
Views: 6608

Re: Year 2000 retirees using the '8% rule' - Where are they now?

Looking at the OP's link brought back memories of the year 2000. That was a wild time in the markets and the media. At one lunchtime I was sitting across from a guy who was retiring. I asked him what his withdrawal % might be and he said 7% . Sounded a bit high to me but I didn't know enough to ques...
by BlueEars
Tue Jan 09, 2018 6:44 pm
Forum: Personal Consumer Issues
Topic: Fertilize dormant plants in winter?
Replies: 13
Views: 957

Re: Fertilize dormant plants in winter?

Here in Northern California it is recommended to wait until the danger of frosts passes. That might be mid-February at the earliest. I'm kind of interested in this because we have a drip water irrigation system. Using a fertilizer like Osmacoat which last for 3 to 4 months, I'd prefer to catch a li...
by BlueEars
Tue Jan 09, 2018 6:22 pm
Forum: Investing - Theory, News & General
Topic: Which Intermediate Bond Fund Will Perform Best With Rising Rates
Replies: 13
Views: 1877

Re: Which Intermediate Bond Fund Will Perform Best With Rising Rates

The last period of rising rates was April 2004 to June 2006. 5yr Treasuries rose from 2.8% to 5.1%. Here are some CAGR's for that period: VFIUX 0.6% intermediate Treasury VFIDX 1.2% intermediate IG VBTLX 1.4% Intermediate total stk mkt VFIRX 1.2% short term Treasury VFSUX 1.8% short term IG
by BlueEars
Tue Jan 09, 2018 6:11 pm
Forum: Investing - Theory, News & General
Topic: Which Intermediate Bond Fund Will Perform Best With Rising Rates
Replies: 13
Views: 1877

Re: Which Intermediate Bond Fund Will Perform Best With Rising Rates

I had a chart of comparing intermediate and short term Treasuries during the rising rate environment of the 1950-1980 period.
See: viewtopic.php?f=10&t=234213&e=1&view=unread#unread
by BlueEars
Tue Jan 09, 2018 6:05 pm
Forum: Personal Consumer Issues
Topic: Fertilize dormant plants in winter?
Replies: 13
Views: 957

Re: Fertilize dormant plants in winter?

Here in Northern California it is recommended to wait until the danger of frosts passes. That might be mid-February at the earliest. I'm kind of interested in this because we have a drip water irrigation system. Using a fertilizer like Osmacoat which last for 3 to 4 months, I'd prefer to catch a lit...
by BlueEars
Wed Jan 03, 2018 1:34 pm
Forum: Investing - Theory, News & General
Topic: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.
Replies: 56
Views: 3661

Re: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.

... * In it's most simple form, the strategy can be summarized as follows (pg. 21 of the paper): BUY RULE Buy when monthly price > 10-month SMA. SELL RULE Sell and move to cash when monthly price < 10-month SMA. In order to avoid some whipsaws, I would favor some pruning rules. That is, sell only i...
by BlueEars
Wed Jan 03, 2018 12:43 pm
Forum: Investing - Theory, News & General
Topic: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.
Replies: 56
Views: 3661

Re: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.

... * In it's most simple form, the strategy can be summarized as follows (pg. 21 of the paper): BUY RULE Buy when monthly price > 10-month SMA. SELL RULE Sell and move to cash when monthly price < 10-month SMA. In order to avoid some whipsaws, I would favor some pruning rules. That is, sell only i...
by BlueEars
Wed Jan 03, 2018 12:05 pm
Forum: Investing - Theory, News & General
Topic: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.
Replies: 56
Views: 3661

Re: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.

To the OP: is the CAPE ratio used to modify the trend following or just as a separate variable to consider in the decumulation phase? Since the CAPE ratio has poor 1 year predictive value, I'd imagine that it doesn't do much for the trend following algorithm employed. Because of huge changes in mark...
by BlueEars
Wed Jan 03, 2018 11:50 am
Forum: Investing - Theory, News & General
Topic: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.
Replies: 56
Views: 3661

Re: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.

I think there is a place for alternative ideas of investing in this forum. It is best to discuss these things in a collegial fashion with a focus on the methodology. Attacks that border on religious dogma (invoking well known investor names, for example) are off base I think. So often on this forum ...
by BlueEars
Wed Jan 03, 2018 10:55 am
Forum: Investing - Theory, News & General
Topic: Treasury term premium estimate: negative in most of 2017, now 2018 too (NY Fed Adrian, Crump, Moench model)
Replies: 31
Views: 2936

Re: Treasury term premium estimate: negative this year (NY Fed Adrian, Crump, Moench model)

Thanks for the update. From another thread, David Swensen has cut duration: as rate came down, we systematically reduced the duration of our bond portfolio. And today it’s probably nine months or a year. And so we don’t think there is any point in—hey, Marty. (Laughter.) My first boss from Salomon ...
by BlueEars
Sat Dec 30, 2017 7:22 pm
Forum: Investing - Theory, News & General
Topic: How did you guys do in 1966 - 1980?
Replies: 34
Views: 3262

Re: How did you guys do in 1966 - 1980?

My first professional job was with Hewlett Packard in 1972. Did not have much to invest until the later 1970's. We saved for a house down payment first as inflation was going up and that was a sensible thing to do with our money. Bought a house in 1975 ... in what is now referred to as Silicon Valle...
by BlueEars
Thu Dec 28, 2017 6:47 pm
Forum: Investing - Theory, News & General
Topic: Conceptually: *Why* does the Yield Curve invert?
Replies: 27
Views: 2597

Re: Conceptually: *Why* does the Yield Curve invert?

My questions are: Why does the yield curve invert? If short term rates are higher than long-term rates, wouldn't you want to "lock in" the HIGHER rates that are available with less duration? * Is this a play for Capital Gains, due to the price changes of longer duration bonds when interest rates dr...
by BlueEars
Sun Dec 17, 2017 11:54 am
Forum: Investing - Theory, News & General
Topic: The "Natural" Interest Rate vs. The Fed, 1990-2017
Replies: 7
Views: 780

Re: The "Natural" Interest Rate vs. The Fed, 1990-2017

Interesting. This feels like more of a economic policy set of data than what an investor would use to make portfolio decisions. Am I wrong?
by BlueEars
Wed Dec 13, 2017 5:05 pm
Forum: Investing - Theory, News & General
Topic: Jim Simons Medalion fund averages 71.8% annual return
Replies: 26
Views: 4228

Re: Jim Simons Medalion fund averages 71.8% annual return

Things I've read about the Medallion Fun: it is not a compounded return, most of the gains are not reinvested, it can only make 70% a year on a fairly small amount due to the type of trades they do. Exactly. Commenters seem to be missing this point. The size of Medallion is strictly capped so it is...
by BlueEars
Wed Dec 13, 2017 12:23 pm
Forum: Investing - Theory, News & General
Topic: Jim Simons Medalion fund averages 71.8% annual return
Replies: 26
Views: 4228

Re: Jim Simons Medalion fund averages 71.8% annual return

I have seen no information on this other than a results mention in Bloomberg. Unconfirmed and unaudited. Possible baloney.
by BlueEars
Mon Dec 11, 2017 12:29 pm
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

If it were me, I would hold a mix such that the combined duration was similar to the duration of a ladder of bonds maturing over a time period I might expect to need the money. i.e. If was looking at a ladder of individual bonds/CDs maturing over the next 5 years, I would be looking at a fund durat...
by BlueEars
Mon Dec 11, 2017 10:54 am
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

I went back to my notes on some bond topics here. Some very well versed investors were stating that ST bonds might be the better alternative going forward. I mention this for completeness. They might have just been too early. Perhaps in the next decade we will see interest rate risk? For instance th...
by BlueEars
Mon Dec 11, 2017 10:15 am
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

I am asking myself what mix of intermediate term bonds (IT) versus short term bonds (ST) to hold? Many here hold intermediate term and since the early 1980's that has been a good position. I use a 1-10 Gov/credit bogey and break up the portfolio into four components - short & intermediate, and Trea...
by BlueEars
Mon Dec 11, 2017 10:00 am
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

TIPS are also pretty low right now. VIPSX has a 0.2% SEC yield. FWIW, in the FI portion of my portfolio I have 50% intermediate bonds (IG IT, using VFIDX). The other 50% is less inflation sensitive: short term investment grade (VFSUX) and older iBonds keepers. Total average duration = 3.7 years. Wh...
by BlueEars
Sun Dec 10, 2017 10:24 pm
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

Bogleheads say dont time the market (except in bonds??) People here have speculated that interest rates were going up for years and years This thread is not really keyed on MT nor speculation. Just trying to find a happy medium. There has to be some basis for selecting your FI. That is what I am tr...
by BlueEars
Sun Dec 10, 2017 2:00 pm
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

In a rising rate environment, even the slowly rising rate structure which is anticipated, short term bonds are attractive IMO. This is especially so now when interest rate spreads between short and intermediate term bonds have narrowed considerably. You get paid very little these days to take on du...
by BlueEars
Sun Dec 10, 2017 1:39 pm
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

Regarding market timing, I am not adverse to it. But for me, the rules have to be stated very clearly ahead of time. Data has to be presented rigorously. It cannot be a daily endeavor as I might be on vacation or something, maybe use monthly data. For me, I have used monthly data going way back and ...
by BlueEars
Sun Dec 10, 2017 1:28 pm
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

TIPS are also pretty low right now. VIPSX has a 0.2% SEC yield.

FWIW, in the FI portion of my portfolio I have 50% intermediate bonds (IG IT, using VFIDX). The other 50% is less inflation sensitive: short term investment grade (VFSUX) and older iBonds keepers. Total average duration = 3.7 years.
by BlueEars
Sun Dec 10, 2017 1:07 pm
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

Re: What mix of intermediate and short term bonds?

I think you should hold IT and not try to predict interest rates. Why? Is it that we should just assume the term premium will always be there (on average) for us? Also, what about the somewhat flat yield curve? We know rates are very low as compared to the last 70 years. I totally agree that there ...
by BlueEars
Sun Dec 10, 2017 12:12 pm
Forum: Investing - Theory, News & General
Topic: What mix of intermediate and short term bonds?
Replies: 45
Views: 3336

What mix of intermediate and short term bonds?

I am asking myself what mix of intermediate term bonds (IT) versus short term bonds (ST) to hold? Many here hold intermediate term and since the early 1980's that has been a good position. But in the 1950's through the 1970's, ST bonds actually did somewhat better then IT. For some perspective, I us...
by BlueEars
Tue Nov 21, 2017 9:51 pm
Forum: Investing - Theory, News & General
Topic: Treasury term premium estimate: negative in most of 2017, now 2018 too (NY Fed Adrian, Crump, Moench model)
Replies: 31
Views: 2936

Re: Treasury term premium estimate: negative this year (NY Fed Adrian, Crump, Moench model)

Speaking of the Treasury term premium, I recently took the Simba data and looked at how the short term Treasuries did versus the intermediate Treasuries in the 1950's through the early 1970's. Seems that the short term Treasuries returned more then the intermediates more often then not as rates rose...
by BlueEars
Sun Nov 05, 2017 7:21 pm
Forum: Investing - Theory, News & General
Topic: Vanguard changed their way of computing PE ratios
Replies: 24
Views: 3590

Re: Vanguard changed their way of computing PE ratios

I got in the habit of recording VG's PE data roughly annually. Here is the data: https://s6.postimg.org/v4e7cooa9/VG_pe_data.jpg Just saw this thread and now I know why the major changes occurred. Thanks. It looks like this really affected the SV and SG funds. Maybe this illustrates the difficulty i...
by BlueEars
Sun Nov 05, 2017 11:19 am
Forum: Personal Consumer Issues
Topic: Anyone planning on getting the new Pixel phone?
Replies: 141
Views: 11035

Re: Anyone planning on getting the new Pixel phone?

I would eventually like to replace my Nexus 6P with a Pixel 2XL. The trade in value right now says about $150 for the Nexus 6P. So the pricing sounds reasonable. So I'm reading this and other reviews with interest. A bit concerned about the screen issues and I'm hoping for more clarity in the coming...
by BlueEars
Sun Nov 05, 2017 9:39 am
Forum: Investing - Theory, News & General
Topic: Leading indicators [published] from the FED
Replies: 17
Views: 1251

Re: Leading indicators [published] from the FED

... Even *after* a Yield Curve inversion the stock market can have 12+ months of positive equity performance. But I'd still consider it a useful signal of economic/market conditions. That is an important caveat. The previous stock market high was in November 2007 as I recall. Looking it up I see th...
by BlueEars
Sat Nov 04, 2017 3:21 pm
Forum: Investing - Theory, News & General
Topic: Leading indicators [published] from the FED
Replies: 17
Views: 1251

Re: Leading indicators [published] from the FED

... Does anyone here have familiarity with what these indicators *are*, and what they *mean*? (And which components could be leading to a lower reading?). I know the Yield curve is "flattening" as a trend at the moment, and that is a component. ... I would agree with nisprius that the current pictu...
by BlueEars
Sat Nov 04, 2017 2:34 pm
Forum: Investing - Theory, News & General
Topic: Leading indicators [published] from the FED
Replies: 17
Views: 1251

Re: Leading indicators [published] from the FED

Here is the explanation for the Leading Indicators for the US: The leading index for each state predicts the six-month growth rate of the state's coincident index. In addition to the coincident index, the models include other variables that lead the economy: state-level housing permits (1 to 4 units...