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by jalbert
Sat Jun 24, 2017 5:13 am
Forum: Investing - Help with Personal Investments
Topic: Survivorship bias and Portfolio Visualizer
Replies: 24
Views: 1675

Re: Survivorship bias and Portfolio Visualizer

A couple of points: 1. NAESX has tracked three different indices. Per the Vanguard website, it tracked: Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index through January 30, 2013; CRSP US Small Cap Index thereafter. 2. The index itself will reflect total return of the index throu...
by jalbert
Mon Jun 19, 2017 11:10 pm
Forum: Investing - Theory, News & General
Topic: International's Correlation to Energy (A Real Thing? Ended? Why?)
Replies: 13
Views: 1102

Re: International's Correlation to Energy (A Real Thing? Ended? Why?)

When the US was more dependent on oil imports, there was a strong negative correlation between the US dollar and oil prices. If oil prices dropped, the dollar rallied, and non-US stocks dropped in USD terms, and vice versa. And the energy sector is not quite as large a percentage of non-US stock mat...
by jalbert
Mon Jun 19, 2017 7:53 pm
Forum: Investing - Theory, News & General
Topic: Wealthfront ignores own advice; adds Smart-Beta
Replies: 24
Views: 2443

Re: Wealthfront ignores own advice; adds Smart-Beta

Wealthfront intends to be a profit-making venture. The best way to pursue that goal is to offer what their prospective customers (currently) believe they need.
by jalbert
Sat Jun 17, 2017 1:15 pm
Forum: Investing - Theory, News & General
Topic: TREA/TIAA Real Estate - is investing without planning to "market time" ok?
Replies: 79
Views: 3895

Re: TREA/TIAA Real Estate - is investing without planning to "market time" ok?

I am not sure if this helps but remember Reits pay out 90 per cent of their income as dividends every year. So minimal effect on nav. TRE is not a REIT. I'm not aware of it ever distributing income. It is only available in tax-qualified accounts so there is no reason it needs to distribute dividend...
by jalbert
Thu Jun 15, 2017 12:06 pm
Forum: Investing - Theory, News & General
Topic: TREA/TIAA Real Estate - is investing without planning to "market time" ok?
Replies: 79
Views: 3895

Re: TREA/TIAA Real Estate - is investing without planning to "market time" ok?

It does not look like TIAA-CREF Lifecycle funds use TIAA Real Estate. In the recent past, they have used TH Real Estate: http://www.planadviser.com/TIAA-TDFs-Aim-for-Direct-Real-Estate/ a joint venture between Henderson and TIAA-CREF which TIAA-CREF now fully owns: https://realestate.ipe.com/news/fu...
by jalbert
Wed Jun 14, 2017 3:00 pm
Forum: Investing - Theory, News & General
Topic: Bogle Doubles Down on US Index Funds
Replies: 118
Views: 12079

Re: Bogle Doubles Down on US Index Funds

Right. The problem for U.S.-only investors is that our domestic companies' exposure to the fast-growing emerging market economies, including China and India, is less than 10% of revenues (S&P 500). Are you suggesting that if growth in China and India continue to be robust, S&P500 companies ...
by jalbert
Wed Jun 14, 2017 2:32 pm
Forum: Investing - Theory, News & General
Topic: TREA/TIAA Real Estate - is investing without planning to "market time" ok?
Replies: 79
Views: 3895

Re: TREA/TIAA Real Estate - is investing without planning to "market time" ok?

On the other hand, the TREA market timers seem to suggest, SELLING TREA if TREA begins to drop significantly. The Market timing idea for TRE is just based on what happened in 2008/2009. I think in every other financial downturn since TRE was created, applying this market timing procedure would have...
by jalbert
Tue Jun 13, 2017 12:49 pm
Forum: Investing - Theory, News & General
Topic: TREA/TIAA Real Estate - is investing without planning to "market time" ok?
Replies: 79
Views: 3895

Re: TREA/TIAA Real Estate - is investing without planning to "market time" ok?

This phrase caught my eye: "TIAA research showed that a 5% allocation to direct real estate improved risk-adjusted returns and retirement accumulations in most scenarios, while also reducing risk." What is the advantage of using 10% allocation, if TIAA uses a 5% allocation for their targe...
by jalbert
Tue Jun 13, 2017 3:52 am
Forum: Investing - Theory, News & General
Topic: TREA/TIAA Real Estate - is investing without planning to "market time" ok?
Replies: 79
Views: 3895

Re: TREA/TIAA Real Estate - is investing without planning to "market time" ok?

It is somewhat diversifying but not hugely so. Have to disagree with that. In 2008/2009 stocks were well into recovery mode by the time TRE was well into its downdraft. While the following is not a portfolio to hold, the diversification benefit is demonstrated by considering a 50-50 mix of VTSMX (t...
by jalbert
Mon Jun 12, 2017 10:52 pm
Forum: Investing - Theory, News & General
Topic: Are cap weighted indexes superior to float adjusted methodology
Replies: 7
Views: 725

Re: Are cap weighted indexes superior to float adjusted methodology

Float-adjusted indices better match up purchase demand of any given stock by an index fund with liquidity of the stock, and should reduce transaction costs. Pure market-cap weighted indices might capture slightly more of an illiquidity premium on smaller stocks than a float-adjusted index, but wheth...
by jalbert
Mon Jun 12, 2017 10:33 pm
Forum: Investing - Help with Personal Investments
Topic: Help Checking my Stock Allocation and Figuring Out Bond Allocation
Replies: 10
Views: 885

Re: Help Checking my Stock Allocation and Figuring Out Bond Allocation

Congratulations on starting to make these plans now. Albert Einstein once said that compound interest was our greatest invention, and by starting early you are maximally exploiting the power of compounding. LifeStrategy Growth is an excellent all-in-one fund choice for a 25-year-old retirement saver...
by jalbert
Mon Jun 12, 2017 10:10 pm
Forum: Investing - Theory, News & General
Topic: Bogle Doubles Down on US Index Funds
Replies: 118
Views: 12079

Re: Bogle Doubles Down on US Index Funds

No reason to assume a priori that the next economic crisis will originate in the US.
by jalbert
Sun Jun 11, 2017 10:42 pm
Forum: Investing - Theory, News & General
Topic: Bogle Doubles Down on US Index Funds
Replies: 118
Views: 12079

Re: Bogle Doubles Down on US Index Funds

Not much has changed in 10 years:

viewtopic.php?t=9354
by jalbert
Sun Jun 11, 2017 4:42 pm
Forum: Investing - Theory, News & General
Topic: Bogle Doubles Down on US Index Funds
Replies: 118
Views: 12079

Re: Bogle Doubles Down on US Index Funds

His main objection appears to be unnecessary currency risk, plus the worry that investors are market timing when setting an allocation including international. Unfortunately the same point applies to his own preference for U.S. stocks given the recent performance of the U.S. Dollar and domestic equ...
by jalbert
Sun Jun 11, 2017 3:18 pm
Forum: Investing - Theory, News & General
Topic: Bogle Doubles Down on US Index Funds
Replies: 118
Views: 12079

Re: Bogle Doubles Down on US Index Funds

Divergences can be long supercycles. Non-US DM overperformed US in the 1970's and 1980s. Portfoliovisualizer goes back to 1986 for non-US DM. Since then, there has been a 30-year dominance of US equities , although non-US DM overperformed the first 6 years of that. The unwinding of the 1980s Japan e...
by jalbert
Sat Jun 10, 2017 2:54 pm
Forum: Investing - Theory, News & General
Topic: Is Inflation Dying of Old Age?
Replies: 82
Views: 6858

Re: Is Inflation Dying of Old Age?

S&P500 "data" from before 1957 when the index was created is suspect, but the graph is interesting. Not surprising that stocks are doing well when inflation/deflation are tame enough not to be causing distortions from major shifts of value between creditors and debtors in real terms. H...
by jalbert
Sat Jun 10, 2017 12:10 am
Forum: Investing - Theory, News & General
Topic: Is Inflation Dying of Old Age?
Replies: 82
Views: 6858

Re: Is Inflation Dying of Old Age?

Expected inflation should priced in to most stocks and bonds whether it is expected to be 1.5% or 10%. Protecting against inflation risk is protecting against unexpected inflation regardless of where inflation expectations land. Projections about inflation being low mean expected inflation is low. I...
by jalbert
Fri Jun 09, 2017 12:08 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard Total Internaational [VXUS] & All World ex-US [VEU]: Twins separated at birth?
Replies: 14
Views: 943

Re: Vanguard Total Internaational [VXUS] & All World ex-US [VEU]: Twins separated at birth?

VXUS includes small caps, VEU does not. VSS includes what is missing in VEU from VXUS so the pair VEU/VSS enables tilting toward or away from small caps in comparison to VXUS, which holds the market cap-weight portfolio.
by jalbert
Fri Jun 09, 2017 12:01 pm
Forum: Investing - Theory, News & General
Topic: Allen Roth article on how to get 5% income
Replies: 16
Views: 2684

Re: Allen Roth article on how to get 5% income

I wasn't able to read Mr. Roth's article due to the paywall, but if this is a useful mechanism, I think it would be necessary to distinguish buybacks funded by revenue earned by the company from buybacks funded by taking on additional debt. In the low interest rate environment, there has been discus...
by jalbert
Thu Jun 08, 2017 6:46 pm
Forum: Investing - Theory, News & General
Topic: Trying to reproduce "Approximating total stock market" Wiki, slightly different results
Replies: 24
Views: 1727

Re: Trying to reproduce "Approximating total stock market" Wiki, slightly different results

my weighted ER for the stock component across all of my funds would be approximately 0.08%. The ER for CREF Stock would be 0.32%. Would the transaction costs for splitting up stocks into 4 funds: S&P 500, extended market, developed intl, and emerging intl really add up to the equivalent of 32-8...
by jalbert
Thu Jun 08, 2017 6:35 pm
Forum: Investing - Theory, News & General
Topic: Trying to reproduce "Approximating total stock market" Wiki, slightly different results
Replies: 24
Views: 1727

Re: Trying to reproduce "Approximating total stock market" Wiki, slightly different results

Yes, transaction costs contribute to lagging the index above and beyond ER. Revenue-generating activities, like securities lending and index arbitrage have a positive affect on net cost. Moreover, published ER is just a projection. You have to look at semi-annual reports to see actual accrued expens...
by jalbert
Thu Jun 08, 2017 2:58 pm
Forum: Investing - Theory, News & General
Topic: Stocks to Bonds Relationship
Replies: 23
Views: 1859

Re: Stocks to Bonds Relationship

Primary-market investors who received negative yields asked for them in the first place.

Agreed. Before they did, it was widely believed that nobody would do that.
by jalbert
Thu Jun 08, 2017 2:53 pm
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index Missing Big Names
Replies: 30
Views: 3039

Re: Emerging Markets Index Missing Big Names

In other words, there’s quite a lot missing in emerging market indexes anyway, beyond a few Chinese e-commerce stocks.

I can't find data for it, but the percentage of a country's GDP that takes place in publicly traded companies varies dramatically across different countries.
by jalbert
Thu Jun 08, 2017 2:49 pm
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index Missing Big Names
Replies: 30
Views: 3039

Re: Emerging Markets Index Missing Big Names

I don't try to predict the future. We can look at how DM and EM affect sector diversification when being added to US equities. This is a static determination, not based on predicting the future, or backtesting. I doubt it is the whole story on diversification though.
by jalbert
Thu Jun 08, 2017 12:01 pm
Forum: Investing - Theory, News & General
Topic: Stocks to Bonds Relationship
Replies: 23
Views: 1859

Re: Stocks to Bonds Relationship

I also think recent interest rate movements in countries that successfully issued bonds with negative nominal yields may corroborate NiceUnparticularMan's position. Rising rates have wiped out substantial principal in many of these bonds, and rates didn't rise that much: https://www.forbes.com/sites...
by jalbert
Thu Jun 08, 2017 11:48 am
Forum: Investing - Theory, News & General
Topic: Stocks to Bonds Relationship
Replies: 23
Views: 1859

Re: Stocks to Bonds Relationship

Larry Swedroe I think has suggested that TIPS that are at big premiums to $100 (due to past inflation) are underpriced/ have higher yields than equivalent TIPS trading at closer to $100 because of the risk of deflation There was some research sponsored by the Federal reserve that compared newly iss...
by jalbert
Thu Jun 08, 2017 11:39 am
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index Missing Big Names
Replies: 30
Views: 3039

Re: Emerging Markets Index Missing Big Names

The diversification is there no matter whether there is a concrete current benefit.

It is a good point that while some diversifications are beneficial, others can be detrimental.
by jalbert
Wed Jun 07, 2017 11:51 pm
Forum: Investing - Theory, News & General
Topic: Stocks to Bonds Relationship
Replies: 23
Views: 1859

Re: Stocks to Bonds Relationship

In June 2016 the entire yield curve of Swiss sovereign debt was negative. I generally agree that there should be practical limits to how low this can go, but only a few years ago, it was considered a given that nobody would ever buy a bond with a negative yield. Fair enough. i think the practical l...
by jalbert
Wed Jun 07, 2017 11:47 pm
Forum: Investing - Theory, News & General
Topic: Stocks to Bonds Relationship
Replies: 23
Views: 1859

Re: Stocks to Bonds Relationship

Nobody doesn't necessarily include corporate bodies, that is to say legal but not natural persons. Before some nominal sovereign rates went negative, it was widely believed that no entity would be able to issue and successfully sell a bond with negative nominal yield. We can look back in hindsight ...
by jalbert
Wed Jun 07, 2017 8:59 pm
Forum: Investing - Theory, News & General
Topic: Trying to reproduce "Approximating total stock market" Wiki, slightly different results
Replies: 24
Views: 1727

Re: Trying to reproduce "Approximating total stock market" Wiki, slightly different results

The short version is that market weight (or cap-weight) means every stock is held in an amount proportional to its total capitalization, which is its price times number of shares outstanding. Most modern indices use a free float version of this, which replaces number of shares outstanding by number ...
by jalbert
Wed Jun 07, 2017 8:12 pm
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index Missing Big Names
Replies: 30
Views: 3039

Re: Emerging Markets Index Missing Big Names

Extra diversification, being closer to the world market portfolio, and less correlation between EM and US equities? Historical sample correlations may not be relevant. In the past, EM was largely a natural resources play, but the EM tech sector has grown so much that it is no longer clear whether t...
by jalbert
Wed Jun 07, 2017 12:46 am
Forum: Investing - Help with Personal Investments
Topic: S&P 600 vs. CRSP Small Cap Index
Replies: 5
Views: 556

Re: S&P 600 vs. CRSP Small Cap Index

The CRSP small cap index actually includes smaller companies than any included in the S&P600. The issue is it also includes larger (midcap) companies. The lower ER of the Vanguard small-cap fund is preferred, but you just need to allocate more of it to achieve the tilt, which will also achieve a...
by jalbert
Tue Jun 06, 2017 7:44 pm
Forum: Investing - Theory, News & General
Topic: Trying to reproduce "Approximating total stock market" Wiki, slightly different results
Replies: 24
Views: 1727

Re: Trying to reproduce "Approximating total stock market" Wiki, slightly different results

But, it seems that of all the options, a TIAA-CREF-only option would result in the highest net ER. Thus, what benefit would there be to that option? I responded with a recommendation for TIAACREF funds because that's what you asked about. The main benefit over, say, Fidelity, would be access to TIA...
by jalbert
Tue Jun 06, 2017 6:29 pm
Forum: Investing - Theory, News & General
Topic: Trying to reproduce "Approximating total stock market" Wiki, slightly different results
Replies: 24
Views: 1727

Re: Trying to reproduce "Approximating total stock market" Wiki, slightly different results

You don't have to rebalance a market cap weighted portfolio in response to market movevements. The allocation percentages for new contributions will drift over time if you split up between funds. Another disadvantage of splitting up a market cap portfolio is that as stocks move between segments of t...
by jalbert
Tue Jun 06, 2017 4:29 pm
Forum: Investing - Theory, News & General
Topic: Stocks to Bonds Relationship
Replies: 23
Views: 1859

Re: Stocks to Bonds Relationship

In June 2016 the entire yield curve of Swiss sovereign debt was negative. I generally agree that there should be practical limits to how low this can go, but only a few years ago, it was considered a given that nobody would ever buy a bond with a negative yield.
by jalbert
Tue Jun 06, 2017 3:34 pm
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index Missing Big Names
Replies: 30
Views: 3039

Re: Emerging Markets Index Missing Big Names

With due respect, you are NOT up to date on this stuff at the level of accuracy needed/ actionable to an advanced Boglehead. 1) EEM: The one you used for comparisons. This is the old ETF from iShares. It is mostly used by traders or people who may be stuck in taxable due to capital gains. It follow...
by jalbert
Tue Jun 06, 2017 2:50 pm
Forum: Investing - Theory, News & General
Topic: Trying to reproduce "Approximating total stock market" Wiki, slightly different results
Replies: 24
Views: 1727

Re: Trying to reproduce "Approximating total stock market" Wiki, slightly different results

Do I understand correctly that the above means: (i) when setting initial allocations, you should try to match the relative weights at your initial point in time, If you want to match a market weight index, then yes. That is the preference of many investors, but there also are many investors who pre...
by jalbert
Tue Jun 06, 2017 1:58 pm
Forum: Investing - Theory, News & General
Topic: Stocks to Bonds Relationship
Replies: 23
Views: 1859

Re: Stocks to Bonds Relationship

Deflationary recession should include disinflationary recession as well, i.e. where the inflation rate decreases, but may not go negative. The assumption that nominal rates can't go below zero has been refuted in some sovereign bond markets outside the US. During actual deflation, a negative nominal...
by jalbert
Sun Jun 04, 2017 11:42 pm
Forum: Investing - Theory, News & General
Topic: Trying to reproduce "Approximating total stock market" Wiki, slightly different results
Replies: 24
Views: 1727

Re: Trying to reproduce "Approximating total stock market" Wiki, slightly different results

I get the optimal allocation based on stock style diversification at 82% TISPX, 9% TIMVX, 9% TISBX When I look at the Wiki, however: I get 80% S&P, 5% mid-cap, 15% small-cap NAESX is a small-cap and mid-cap fund despite the name. It tracks a CRSP index and CRSP draws the lines differently from ...
by jalbert
Sat Jun 03, 2017 4:17 pm
Forum: Investing - Theory, News & General
Topic: How do you fight the urge to micromanage?
Replies: 57
Views: 4172

Re: How do you fight the urge to micromanage?

If you invested at Vanguard, have them disable online access to your account, and just look at quarterly ststements they mail to you. Seriously, is this possible? Of course it is. In fact, you can do it yourself, I think. Just log in several times with the wrong password. Eventually they will lock ...
by jalbert
Sat Jun 03, 2017 4:07 pm
Forum: Investing - Help with Personal Investments
Topic: "Optimized" Bond ETFs
Replies: 14
Views: 1104

Re: "Optimized" Bond ETFs

You should be looking at optimizing your overall portfolio, not optimizing stock holdings in one bucket and optimizing bond holdings in another, as the combination of the two optimal portfolios might be a suboptimal overall portfolio. If you focus on a bond portfolio that best mitigates risk in your...
by jalbert
Fri Jun 02, 2017 2:24 pm
Forum: Investing - Theory, News & General
Topic: Trying to reproduce "Approximating total stock market" Wiki, slightly different results
Replies: 24
Views: 1727

Re: Trying to reproduce "Approximating total stock market" Wiki, slightly different results

VEXAX would be used for market completion of VFINX. NAESX would be used for market completion of VLCAX. While it is not a significant problem or error to hold NAESX with an S&P 500 fund, it is mixing indices from different index providers, who draw the lines at different places, hence the market...
by jalbert
Fri Jun 02, 2017 2:08 pm
Forum: Investing - Theory, News & General
Topic: How do you fight the urge to micromanage?
Replies: 57
Views: 4172

Re: How do you fight the urge to micromanage?

If you invested at Vanguard, have them disable online access to your account, and just look at quarterly ststements they mail to you.
by jalbert
Fri Jun 02, 2017 1:51 pm
Forum: Investing - Theory, News & General
Topic: Bogle: Even indexing can be too much of a good thing
Replies: 25
Views: 4247

Re: Bogle: Even indexing can be too much of a good thing

One development could mitigate much of the advantage that index funds enjoy and slow the rush to own them, but you’re probably not going to like it. When the market suffers a prolonged decline, active managers can gain an edge over indexers by moving large portions of assets into cash or into defen...
by jalbert
Wed May 31, 2017 2:45 pm
Forum: Investing - Theory, News & General
Topic: Using Funded Ratio to drive retirement investment plan - Part 1 of Funded Ratio series
Replies: 67
Views: 5414

Re: Using the Funded Ratio to drive your retirement investment plan

You are right about that. One needs to estimate inflation between now and the retirement date and adjust the real income target by that amount. The nominal return on a DIA from purchase date to payout date is going to be the nominal return on a bond portfolio the insurance company has matched to th...
by jalbert
Wed May 31, 2017 1:12 am
Forum: Investing - Theory, News & General
Topic: Using Funded Ratio to drive retirement investment plan - Part 1 of Funded Ratio series
Replies: 67
Views: 5414

Re: Using the Funded Ratio to drive your retirement investment plan

For example, you want to withdrawal $30,000/year ($2,500/month) from your portfolio. Before retirement price a deferred real life annuity that pays out $2,500/month beginning on your expected retirement date. Where can one find such an annuity? The only DIAs I've seen quote an initial payout in nom...
by jalbert
Tue May 30, 2017 11:09 pm
Forum: Investing - Help with Personal Investments
Topic: Intermediate vs Short Term TIPS Fund
Replies: 45
Views: 3926

Re: Intermediate vs Short Term TIPS Fund

If overall stock allocation is very low, then allocating fixed income to TIPs and matching the duration of the bonds to the duration of liabilities is sensible. If stock allocation is higher, say 40-60%, then I'm not sure a long duration liability matching TIPs portfolio is consistent with overall ...
by jalbert
Tue May 30, 2017 10:22 pm
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index Missing Big Names
Replies: 30
Views: 3039

Re: Emerging Markets Index Missing Big Names

MSCI total int'l and emerging market indices include red chips which are stocks tied to Chinese business interests that trade on the NYSE. Most or all ishares ETFs that include EM equities track MSCI indices. Veiex/vemax/vwo tracks an EM index that includes China A-shares-- stocks that trade on the ...
by jalbert
Sun May 28, 2017 10:15 pm
Forum: Investing - Theory, News & General
Topic: DON'T pay off your mortgage; instead reduce Sequence of Return Risk
Replies: 206
Views: 15368

Re: DON'T pay off your mortgage; instead reduce Sequence of Return Risk

I must be missing something because it seems like increasing expenses and thus income needs while simultaneously increasing portfolio volatility through borrowing to increase equity exposure is likely to increase sequence of return risk.
by jalbert
Sat May 27, 2017 3:11 am
Forum: Personal Consumer Issues
Topic: Should I fax or email bank info?
Replies: 18
Views: 1216

Re: Should I fax or email bank info?

Neither are acceptable as you have no control over what happens to the info after they get it, not to mention the risk of transmission. Just insist that they send a USD-denominated check or money order.

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