Search found 2301 matches

by longinvest
Tue Jul 04, 2017 7:47 pm
Forum: Investing - Theory, News & General
Topic: Using a 5y moving average to smooth withdrawals in VPW?
Replies: 21
Views: 1561

Re: Using a 5y moving average to smooth withdrawals in VPW?

Let me add that I'm not alone in generally considering smoothness in nominal terms, separately from inflation. Typically, retirees living on the dividends paid by their 100% (selected) stocks portfolio are proud to claim that their dividend stream is much smoother than the income of retirees taking ...
by longinvest
Tue Jul 04, 2017 6:21 pm
Forum: Investing - Theory, News & General
Topic: Using a 5y moving average to smooth withdrawals in VPW?
Replies: 21
Views: 1561

Re: Using a 5y moving average to smooth withdrawals in VPW?

Stlutz, Using a balanced portfolio (e.g. 50/50 stocks/bonds) will deliver a much smoother ride than a 70/30 or 80/20 portfolio when looking (rightfully) at the nominal withdrawal path. Looking at a CPI-adjusted withdrawal path is a mistake, as CPI is only an indirect measure of inflation, and it is ...
by longinvest
Mon Jul 03, 2017 5:49 pm
Forum: Investing - Theory, News & General
Topic: Using a 5y moving average to smooth withdrawals in VPW?
Replies: 21
Views: 1561

Re: Using a 5y moving average to smooth withdrawals in VPW?

The simplicity of VPW is very important. I cannot imagine explaining to my wife how to go and lookup CPI numbers and calculate complex ratios (or use a spreadsheet) after my death . But, I would have no trouble explaining to her how to use the following table which would be easy to include in my wil...
by longinvest
Mon Jul 03, 2017 5:30 pm
Forum: Investing - Theory, News & General
Topic: Using a 5y moving average to smooth withdrawals in VPW?
Replies: 21
Views: 1561

Re: Using a 5y moving average to smooth withdrawals in VPW?

Mortal, I'm entirely ok withdrawing lower amounts for a longer time period provided the individual yearly adjustments aren't as severe or volatile. Using a balanced portfolio (e.g. 50/50 stocks/bonds) will deliver a much smoother ride than a 70/30 or 80/20 portfolio when looking (rightfully) at the ...
by longinvest
Sat Jun 17, 2017 8:31 pm
Forum: Investing - Theory, News & General
Topic: Variable Percentage Withdrawal (VPW)
Replies: 730
Views: 218454

Re: Variable Percentage Withdrawal (VPW)

Gilgamesh, You're lucky* that I was subscribed to the other thread, so I got notice of your reply. * If you didn't notice, I am taking a leave from the Bogleheads forums, except for answering questions on some subscribed threads, when I get notice of a post. In another thread: https://www.bogleheads...
by longinvest
Fri Jun 16, 2017 10:43 pm
Forum: Investing - Theory, News & General
Topic: Variable Percentage Withdrawal (VPW)
Replies: 730
Views: 218454

Re: Variable Percentage Withdrawal

Gilgamesh, Internally, VPW does calculate a long-term, asset-allocation-specific expected return rate, using the last century's real asset returns on US Stocks (5%) and Bonds (2%). This does not need to be precise at all. It just needs to give an approximate very long-term tangent of the graph. I've...
by longinvest
Sun Apr 09, 2017 8:35 am
Forum: Investing - Theory, News & General
Topic: A Returns Spreadsheet for Bogleheads
Replies: 214
Views: 39907

Re: A Returns Spreadsheet for Bogleheads

Sean, One suggestion to the excel version: my currency is Euros, so I'll be changing the $ formats everywhere in the sheets. When I look in the "Number" box with the excel format icons, I see that the cells are formatted "custom." If you change the format to "currency,"...
by longinvest
Sat Mar 11, 2017 7:26 pm
Forum: Investing - Theory, News & General
Topic: A Returns Spreadsheet for Bogleheads
Replies: 214
Views: 39907

Re: A Returns Spreadsheet for Bogleheads

Ancho, -What do I select as the starting month? Do I just start all accounts at the most recent month for which ALL statements available (i.e. Jan 2016 in the example above)? Or do I start each account with the earliest available statement, knowing that it won't represent my complete portfolio retur...
by longinvest
Sat Mar 11, 2017 7:08 pm
Forum: Investing - Theory, News & General
Topic: A Returns Spreadsheet for Bogleheads
Replies: 214
Views: 39907

Re: A Returns Spreadsheet for Bogleheads

Basically, added a column to the 'Portfolio' tab called 'Enabled', in which a value of 1 means enabled, and 0 means disabled. ... That makes it easy to turn on and off individual accounts. This is INCREDIBLY useful. Perhaps the site administrators would consider adding this functionality to the dow...
by longinvest
Mon Feb 06, 2017 6:42 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

I have uploaded version 1.15 of the spreadsheet.

It is available online and to download from the links in the first post.

Main changes:
  • Added FRED January 2017 data.

As usual, comments are welcome.

Enjoy!
by longinvest
Tue Jan 24, 2017 5:17 pm
Forum: Investing - Theory, News & General
Topic: Variable Percentage Withdrawal (VPW)
Replies: 730
Views: 218454

Re: Actual withdrawal

Why does the spreadsheet ask you to enter your actual withdrawal? It doesn't seem used anywhere. You already enter your starting balance the next year, which seems to be what matters, so it's not clear why it asks for your actual withdrawal. Billthecat, It serves no other purpose than to keep track...
by longinvest
Mon Jan 02, 2017 4:16 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

I have uploaded version 1.14 of the spreadsheet. It is available online and to download from the links in the first post: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=179425#p2717165 Main changes: ⋅  Added NBER 20-year yield data (1942-1961). ⋅  Moved approximate yie...
by longinvest
Fri Dec 23, 2016 2:27 pm
Forum: Investing - Theory, News & General
Topic: How to model TIPS rates (and returns) pre-1997
Replies: 93
Views: 6588

Re: How to model TIPS rates (and returns) pre-1997

Any other idea? I'd like to reach a conclusion before the end of the year, and the next Simba update. How about letting the spreadsheet user set a replacement security for missing years of an asset? This way, it becomes transparent and under the total responsibility of the user. It could be a setti...
by longinvest
Fri Dec 23, 2016 10:11 am
Forum: Investing - Theory, News & General
Topic: Is rebalacing only about risk?
Replies: 66
Views: 4425

Re: Is rebalacing only about risk?

The Wizard wrote:A METHOD or ALGORITHM for rebalancing is...

Here's a practical method that takes care of annoying things such as maintaining a portfolio balanced across multiple accounts and wash sales: Two-Step Rebalancing.
by longinvest
Fri Dec 23, 2016 8:32 am
Forum: Investing - Theory, News & General
Topic: Is rebalacing only about risk?
Replies: 66
Views: 4425

Re: Is rebalacing only about risk?

Here's an additional angle to consider. Logarithm of Wealth Rebalancing Bonus Here's a telltale chart of U.S. stocks and bonds against an annually rebalanced 50/50 portfolio from 1871 to 2016, a 145-year period: https://s24.postimg.org/62mk2lac5/telltale.png (Data source: VPW spreadsheet ) The yello...
by longinvest
Thu Dec 22, 2016 9:24 am
Forum: Investing - Theory, News & General
Topic: How to model TIPS rates (and returns) pre-1997
Replies: 93
Views: 6588

Re: How to model TIPS rates (and returns) pre-1997

I don't see what puzzles you. Is it the difference between annual returns and 10-year rates, or the difference between annual returns and annual inflation? Sorry, should have been more explicit, and maybe I confused the point while adding too much data. (stlutz, I added STTs after seeing your post,...
by longinvest
Thu Dec 22, 2016 9:00 am
Forum: Investing - Theory, News & General
Topic: How to model TIPS rates (and returns) pre-1997
Replies: 93
Views: 6588

Re: How to model TIPS rates (and returns) pre-1997

PS. I may have another approach, actually, kind of blunt... Let me check a few numbers... Oh boy. I was playing with the idea of bluntly approximating TIPS returns as IT bonds returns for the 1985-1996 period. I changed my mind. This is... ridiculous. I'll let you appreciate what I mean. The indice...
by longinvest
Thu Dec 22, 2016 7:52 am
Forum: Investing - Theory, News & General
Topic: How to model TIPS rates (and returns) pre-1997
Replies: 93
Views: 6588

Re: How to model TIPS rates (and returns) pre-1997

Dcabler, Reading through as much as I've been able to digest, I can appreciate the difficulty of creating a model for this as there does appear to be some sort of mutual dependence between regular treasuries and Tips. No, there does not appear to be an obvious mutual dependence between nominal and r...
by longinvest
Wed Dec 21, 2016 9:13 pm
Forum: Investing - Theory, News & General
Topic: How to model TIPS rates (and returns) pre-1997
Replies: 93
Views: 6588

Re: How to model TIPS rates (and returns) pre-1997

8. Oh, and longinvest seems to have some qualms about the logic of his own spreadsheet (just when I was starting to like it!). I'll let him elaborate if he feels like it. There are two parts, to the Synthetic TIPS spreadsheet. One part for which the logic works really well . That part is the TIPS f...
by longinvest
Mon Dec 12, 2016 6:01 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

I did change the working version of Simba recently in this respect, it used to splice the 30-11 fund straight with VUSTX, but I figured that there is solid history with the Barclays index, and gave it the priority over synthetic returns since this is the VUSTX benchmark. I did a similar change for ...
by longinvest
Mon Dec 12, 2016 5:00 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

As the 30-year data starts in 1978, do you have a telltale chart which starts in 1978 (or December 31, 1977)? Here it is. I also extended the chart to 2015, and added the Barclays index (subtracting the same ER as the other series). This is... a tad puzzling. I double-checked my numbers, no apparen...
by longinvest
Mon Dec 12, 2016 4:00 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

siamond wrote:And the same chart starting in 1973.

Siamond,

As the 30-year data starts in 1978, do you have a telltale chart which starts in 1978 (or December 31, 1977)?

Thanks.
by longinvest
Sun Dec 11, 2016 10:27 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

Here's a comparison (telltale) of the spreadsheet's fund (30-11) to a new fund (20) (in the newly uploaded version 1.13 of the spreadsheet): https://s24.postimg.org/u0f8slx91/30_11vs20.png Differences were pretty small during the 10 to 30-year flat-curve period (due to missing 20 and 30-year yields)...
by longinvest
Sun Dec 11, 2016 5:51 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

AlohaJoe wrote:But I did make partial progress by (re-)implementing the bond fund simulator that longinvest describes. It is in python, not a spreadsheet. You can see it here on github (as a jupyter notebook)

AlohaJoe,

How does one execute this notebook and try various funds?
by longinvest
Sun Dec 11, 2016 5:27 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

I took the NBER numbers and created spliced series akin to what AlohaJoe did with his own simulator, but directly modifying longinvest 1.12 latest Excel spreadsheet (30-11 fund). I hope I didn't mess it up (I will let the author did the final change!). Then I compared against SBBI LTT, while applyi...
by longinvest
Thu Dec 08, 2016 8:30 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

I am sure you have a solid rationale behind your '50 basis points' suggestion. Is it the same as what I just computed, or some other reasoning? Unfortunately, no I don't. It's was only a suggestion based on the difference in returns between SBBI and our synthetic returns extending the curve flatly ...
by longinvest
Thu Dec 08, 2016 7:08 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

MachineGhost, Okay, I've now read it twice. :wink: So correct me if I'm wrong, but you want to calculate a total return series based on riding the yield curve and not constant maturity to determine the capital gains or losses for each year? Not really. Just imagine you're in the late 1800's. There a...
by longinvest
Thu Dec 08, 2016 6:11 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

Siamond, Our Bond Fund (30-11), representing long Treasuries, suffers from estimating 30-year yields as equal to the 10-year yield, for pre-FRED years. Would it be OK to cheat a little and bump it up, let's say by a constant 50 basis points relative to the 10-year yield, and compare the results to y...
by longinvest
Thu Dec 08, 2016 5:53 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

If that is not suitable, then what is the TL;DR for this thread so far? MachineGhost, I would suggest reading the first post of this thread in its entirety. I explained, in details, why we do things differently, and how we do them. As a bonus, we gain some interesting self-correcting returns proper...
by longinvest
Thu Dec 08, 2016 5:49 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

Bootstrapping the Ladder ... Why do we have a different face value for each one? Why not just $50 for each? Good question. I don't know. But that's what longinvest did in the spreadsheet, so I'm assuming there was a good reason for it :) Imagine, for a moment, that the yield curve was flat and that...
by longinvest
Thu Dec 08, 2016 5:24 pm
Forum: Investing - Theory, News & General
Topic: Historical Bond Returns - Shiller: From Rates to Returns
Replies: 235
Views: 24074

Re: Historical Bond Returns - Shiller: From Rates to Returns

AlohaJoe, I haven't (yet) got around to monthly returns (though looking back through this thread it looks like Kevin M and gordoni have independently done this already?) But I did make partial progress by (re-)implementing the bond fund simulator that longinvest describes. It is in python, not a spr...
by longinvest
Tue Dec 06, 2016 11:30 pm
Forum: Investing - Theory, News & General
Topic: How to model TIPS rates (and returns) pre-1997
Replies: 93
Views: 6588

Re: How to model TIPS rates (and returns) pre-1997

Siamond, Thanks for the analysis. Here's one thing I have been thinking about. It is to simply do the reverse calculation on FRED TIPS yields. In other words, extract zero-coupon TIPS yields out of them (like I did with nominal yields) and then recover the inflation expectation across maturities to ...
by longinvest
Tue Dec 06, 2016 10:37 pm
Forum: Investing - Theory, News & General
Topic: Sequence of returns risk. Using puts to hedge.
Replies: 26
Views: 2207

Re: Sequence of returns risk. Using puts to hedge.

In our wiki: https://www.bogleheads.org/wiki/Variable_percentage_withdrawal Variable percentage withdrawal (VPW) is a withdrawal method that adapts to the retiree's retirement horizon, asset allocation, and portfolio returns during retirement. It combines the best ideas of the constant-dollar, const...
by longinvest
Tue Dec 06, 2016 7:44 pm
Forum: Investing - Theory, News & General
Topic: Sequence of returns risk. Using puts to hedge.
Replies: 26
Views: 2207

Re: Sequence of returns risk. Using puts to hedge.

Just a little reminder that "sequence of returns risk" is very easy to avoid, in retirement. One can simply use a flexible withdrawal method, instead of the 4% SWR which was never meant as a withdrawal method in the first place! (SWR is a way to calculate how much one needs to retire at 6...
by longinvest
Tue Dec 06, 2016 11:11 am
Forum: Investing - Theory, News & General
Topic: How to model TIPS rates (and returns) pre-1997
Replies: 93
Views: 6588

Re: How to model TIPS rates (and returns) pre-1997

I have uploaded a new version (0.2) of the TIPS simulator spreadsheet. The links are in the following post: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=203092&p=3138674#p3132364 Here's a summary of the changes: ⋅  Use December BLS CPI numbers. ⋅  Use 2-years tra...
by longinvest
Mon Dec 05, 2016 10:51 pm
Forum: Investing - Theory, News & General
Topic: Sequence of returns risk. Using puts to hedge.
Replies: 26
Views: 2207

Re: Sequence of returns risk. Using puts to hedge.

Just a little reminder that "sequence of returns risk" is very easy to avoid, in retirement. One can simply use a flexible withdrawal method, instead of the 4% SWR which was never meant as a withdrawal method in the first place! (SWR is a way to calculate how much one needs to retire at 65...
by longinvest
Mon Dec 05, 2016 10:07 pm
Forum: Investing - Theory, News & General
Topic: How to model TIPS rates (and returns) pre-1997
Replies: 93
Views: 6588

Re: How to model TIPS rates (and returns) pre-1997

Just to simplify my question, let's assume for the moment that interest is paid and inflation adjustments occur once per year instead of twice. Suppose I buy a TIPS at $100 and it pays a coupon of 2%. In year 1, inflation is 5%. Is the interest payment in year 1 100*.02 = $2 or is it $100 * 1.05 *....
by longinvest
Mon Dec 05, 2016 9:24 am
Forum: Investing - Theory, News & General
Topic: What was your Asset Allocation before and after retirement?
Replies: 91
Views: 10728

Re: What was your Asset Allocation before and after retirement?

Comforting for a guy at 50/50. No. The problem is using SWR as a withdrawal method (!!!), when we know that no reasonable retiree would keep taking out an inflation-indexed withdrawal out of a melting portfolio during a severe bear market . Just imagine! You retire at age 65 in year 1966 with a $1,...
by longinvest
Mon Dec 05, 2016 7:23 am
Forum: Investing - Theory, News & General
Topic: Forget the 4% safe withdrawal rule -- use RMDs instead.
Replies: 46
Views: 6496

Re: Forget the 4% safe withdrawal rule -- use RMDs instead.

Here's a more realistic VPW backtest, starting in one of the worst historical retirement start years (1966): https://www.bogleheads.org/w/images/6/65/VPW.jpg (Source: wiki: Variable percentage withdrawal ) Note how when combined with Social Security (inflation-indexed) and a pension (fixed nominal),...
by longinvest
Mon Dec 05, 2016 7:16 am
Forum: Investing - Theory, News & General
Topic: Forget the 4% safe withdrawal rule -- use RMDs instead.
Replies: 46
Views: 6496

Re: Forget the 4% safe withdrawal rule -- use RMDs instead.

AlohaJoe, About your data: https://monosnap.com/file/qnLIWa0gkjbEou1hGSXsFiKAmDiLAw.png ⋅  What is the asset allocation of the portfolio that you backtested? ⋅  What are the start age and last withdrawal age? ⋅  What data set are you using? (Historical? Which country? W...
by longinvest
Sat Dec 03, 2016 12:45 pm
Forum: Investing - Theory, News & General
Topic: Forget the 4% safe withdrawal rule -- use RMDs instead.
Replies: 46
Views: 6496

Re: Forget the 4% safe withdrawal rule -- use RMDs instead.

Here's a really nice calculator for RMD. At 70-1/2, spouse <10 years younger, initial withdrawal is 3.6%. At age 73, it is 4%. Play with the Rate of Return slide and watch the chart at the bottom chance shape. https://www.dinkytown.net/java/RetireDistrib.html Paul, Where do you find a constant annu...
by longinvest
Fri Dec 02, 2016 9:17 pm
Forum: Investing - Theory, News & General
Topic: Forget the 4% safe withdrawal rule -- use RMDs instead.
Replies: 46
Views: 6496

Re: Forget the 4% safe withdrawal rule -- use RMDs instead.

You might want to search this site for "variable withdrawal rate" for some related research. Look for a very long thread. Rodc, I think you meant "Variable Percentage Withdrawal" (VPW). Here are the links: ⋅  Wiki page: Variable percentage withdrawal ⋅  Forum...
by longinvest
Thu Dec 01, 2016 1:41 pm
Forum: Investing - Help with Personal Investments
Topic: Aren't rising rates good for bond funds?
Replies: 14
Views: 1547

Re: Aren't rising rates good for bond funds?

I wrote "in a continuously increasing yield scenario" when I said 2 times duration. Yes you did, and you were right. My apologies. But I'm the one who benefitted because I learned something today. You already knew that! :) I guess I just had to see it with my own eyes. I would have guesse...
by longinvest
Thu Dec 01, 2016 1:20 pm
Forum: Investing - Help with Personal Investments
Topic: Aren't rising rates good for bond funds?
Replies: 14
Views: 1547

Re: Aren't rising rates good for bond funds?

But if rates are "rising" meaning continually going up, no, that's not good for the returns of bonds or their funds, because they're continually taking capital losses. White Coat Investor, Not really. If I remember correctly, the investor will be in as good as a position as if rates had n...
by longinvest
Thu Dec 01, 2016 12:51 pm
Forum: Investing - Help with Personal Investments
Topic: Aren't rising rates good for bond funds?
Replies: 14
Views: 1547

Re: Aren't rising rates good for bond funds?

But if rates are "rising" meaning continually going up, no, that's not good for the returns of bonds or their funds, because they're continually taking capital losses. White Coat Investor, Not really. If I remember correctly, the investor will be in as good as a position as if rates had n...
by longinvest
Thu Dec 01, 2016 7:13 am
Forum: Investing - Help with Personal Investments
Topic: The new normal: 2%, 3%?
Replies: 72
Views: 5289

Re: The new normal: 2%, 3%?

Put "VPW" in the search box and stop worrying. For planning, 25 times generous residual expenses above lifelong non-portfolio base income (such as Social Security and pension) is good enough.

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