Search found 1631 matches

by longinvest
Sun Feb 07, 2016 5:52 pm
Forum: Investing - Theory, News & General
Topic: How to calculate annual standard deviation from monthly returns
Replies: 17
Views: 323

Re: How to calculate annual standard deviation from monthly returns

Kevin,

The spreadsheet reports annualized returns monthly. The appropriate measure is annualized monthly standard deviation. For periods smaller than one year, the spreadsheet provides cumulative returns (and should appropriately report N-month-ised standard deviation).
by longinvest
Sun Feb 07, 2016 5:08 pm
Forum: Investing - Theory, News & General
Topic: How to calculate annual standard deviation from monthly returns
Replies: 17
Views: 323

Re: How to calculate annual standard deviation from monthly returns

I'm trying to get annualized standard deviation to go along with annualized returns. If I hold a portfolio for a single year, and I have 12 monthly returns, I will have experienced volatility along the way. I want to express this volatility beside the annual return. It would make no sense to say tha...
by longinvest
Sun Feb 07, 2016 2:48 pm
Forum: Investing - Theory, News & General
Topic: How to calculate annual standard deviation from monthly returns
Replies: 17
Views: 323

Re: How to calculate annual standard deviation from monthly returns

"Expected" doesn't mean expected. It is stat-speak for average value of monthly returns. Strictly speaking that is in the sense of an estimate of the average value both past and future based on the actual monthly average in a historical sample of monthly returns. In short, plug in the his...
by longinvest
Sun Feb 07, 2016 2:47 pm
Forum: Investing - Theory, News & General
Topic: How to calculate annual standard deviation from monthly returns
Replies: 17
Views: 323

Re: Volatility vs. possible loss

I believe that " annual volatility " is meaningless for most investors. Much more significant is the decline of a portfolio during a bad bear market. This figure is easy to estimate: A portfolio should be expected to decline at least 1/2 its stock allocation during the next bad bear marke...
by longinvest
Sun Feb 07, 2016 2:35 pm
Forum: Personal Finance (Not Investing)
Topic: World-class Worrier Trying to Reassure Another
Replies: 22
Views: 958

Re: World-class Worrier Trying to Reassure Another

Here's this couple's situation: both are 62. Neither qualifies for a pension. They have accumulated about $4M and have a 50%/50% allocation. Show her this, maybe it will help her realize how fortunate they are. https://dl.dropboxusercontent.com/u/22386610/DistributionOfNetWorth.jpg Interesting. I s...
by longinvest
Sun Feb 07, 2016 2:24 pm
Forum: Investing - Theory, News & General
Topic: How to calculate annual standard deviation from monthly returns
Replies: 17
Views: 323

Re: How to calculate annual standard deviation from monthly returns


Dbr,

Thanks. Do you know how to get/calculate "Mm" in the correct formula? (See my post, above.)
by longinvest
Sun Feb 07, 2016 2:14 pm
Forum: Investing - Theory, News & General
Topic: How to calculate annual standard deviation from monthly returns
Replies: 17
Views: 323

Re: How to calculate annual standard deviation from monthly returns

FYI: Calculate Annual Volatility :happy http://www.fool.com/knowledge-center/2015/09/12/how-to-calculate-annualized-volatility.aspx They're just using the square root approximation. I've found What’s Wrong with Multiplying by the Square Root of Twelve which seems to explain the problem, but I have ...
by longinvest
Sun Feb 07, 2016 2:02 pm
Forum: Investing - Theory, News & General
Topic: How to calculate annual standard deviation from monthly returns
Replies: 17
Views: 323

How to calculate annual standard deviation from monthly returns

Hi, I'd like to calculate the annual volatility of my portfolio. I have monthly return data. I've read that one approach it to calculate the monthly standard deviation of returns then multiply by the square root of 12, but that this is just an approximation. Does anyone know where I could find an ea...
by longinvest
Sun Feb 07, 2016 11:53 am
Forum: Investing - Theory, News & General
Topic: Otar Retirement Myth - overfitting, methods flaw
Replies: 8
Views: 672

Re: Otar Retirement Myth - overfitting, methods flaw

Out of curiosity, why do you say that the VPW is best used with a Three-Fund Portfolio? I doubt I will ever have a portfolio that simple (10-Fund or 11-Fund is more likely). And the words "Three-Fund Portfolio" don't appear anywhere in the wiki article. I say so because the VPW backtestin...
by longinvest
Sun Feb 07, 2016 10:38 am
Forum: Investing - Theory, News & General
Topic: "Picking Individual Stocks is a Loser's Game"
Replies: 56
Views: 3666

Re: "Picking Individual Stocks is a Loser's Game"

I have a profession, business appraiser, where doing what you say actually increases my proficiency at what I do. I also think there are probably other professions where this is true. Also, the folks that have this hobby also enjoy this type of work. I have yet to meet someone who is in category 4,...
by longinvest
Sun Feb 07, 2016 10:16 am
Forum: Investing - Theory, News & General
Topic: Otar Retirement Myth - overfitting, methods flaw
Replies: 8
Views: 672

Re: Otar Retirement Myth - overfitting, methods flaw

Greenalfalfa, Otar's book is very good at presenting the challenge of retirement funding. I don't know if you are aware that there exists an approach to eliminate "sequence of return" risk. This approach consists on forgetting about fixed, inflation-adjusted withdrawals from a portfolio of...
by longinvest
Sun Feb 07, 2016 9:50 am
Forum: Investing - Help with Personal Investments
Topic: Disappointed in International Funds
Replies: 33
Views: 2372

Re: Disappointed in International Funds

Right, but the frightening thing is that international still looks as bad when you look at the last 16 years, not just 3 years. Extremely high volatility with little return after many years. VG, Extremely high volatility? Here's what Morningstar.com tells us: Vanguard Total International Stock Inde...
by longinvest
Sun Feb 07, 2016 9:20 am
Forum: Investing - Help with Personal Investments
Topic: 3-fund portfolio for non-US citizens? [Singapore]
Replies: 7
Views: 393

Re: 3-fund portfolio for non-US citizens? [Singapore]

The usual 3-fund portfolio has the US market, international stock, and international bond. For non-US citizens, should we still select the US market? Or, how would you guys suggest a 3-fund portfolio for non-US citizens like myself? LS, As a Canadian investor, my Three-Fund Portfolio is composed of...
by longinvest
Sun Feb 07, 2016 8:20 am
Forum: Investing - Theory, News & General
Topic: "Picking Individual Stocks is a Loser's Game"
Replies: 56
Views: 3666

Re: "Picking Individual Stocks is a Loser's Game"

I probably will if you can post your purchases as well. I will probably do the stock and the price holding off quantity. That is more than I am willing to share. I want this tracked over long periods of time (decades) not years. The last thing I want to do is this sharing influencing my stock picki...
by longinvest
Sun Feb 07, 2016 7:53 am
Forum: Investing - Theory, News & General
Topic: "Picking Individual Stocks is a Loser's Game"
Replies: 56
Views: 3666

Re: "Picking Individual Stocks is a Loser's Game"

Some indices are sector-only and others don't hold companies at all. [...] An index investor can use up lots of time to research index funds and hold many funds which takes time to monitor. Wearahat, I disagree. We recommend investing in total-market index funds using a Three-Fund Portolio . We do ...
by longinvest
Sat Feb 06, 2016 11:21 pm
Forum: Personal Finance (Not Investing)
Topic: What growth rate would you use?
Replies: 75
Views: 3418

Re: What growth rate would you use?

While it's nice to to say we "save the most we can," the reality is most people -- no matter how much you're saving -- could save a little more. Few of us are living at 100% efficiency and almost all of us could trim somewhere if we absolutely needed to. So, the whole purpose of planning ...
by longinvest
Sat Feb 06, 2016 10:44 pm
Forum: Investing - Help with Personal Investments
Topic: Rebalancing without selling
Replies: 15
Views: 1017

Re: Rebalancing without selling

I never understood the logic behind never selling to rebalance. Let's take two investors, A and B, with identical starting portfolios and target allocations. Every year, investor A makes sizeable contributions to his portfolio and uses these contributions, as well as dividends and interest, to keep ...
by longinvest
Sat Feb 06, 2016 10:25 pm
Forum: Personal Finance (Not Investing)
Topic: What growth rate would you use?
Replies: 75
Views: 3418

Re: What growth rate would you use?

UADM wrote:Why use guesswork? It won't make it so. Save the most you can, while trying to maintain a balance in your life.

:thumbsup
by longinvest
Sat Feb 06, 2016 11:59 am
Forum: Investing - Theory, News & General
Topic: The Gravy Train Departed?
Replies: 54
Views: 5182

Re: The Gravy Train Departed?

Ok, first off I'm 29. I graduated HS in '09 to put time into perspective I grew up in the 90's which seems to have been the last generation that was half hard. All I have ever heard about and read throughout the years is that consistency and patience pays off with investing long term. Of course, th...
by longinvest
Sat Feb 06, 2016 8:30 am
Forum: Investing - Theory, News & General
Topic: Case for Bull Market Next 15-20 Years
Replies: 18
Views: 2330

Re: Case for Bull Market Next 15-20 Years

From a recent post:

"No one knows what future stock fund and bond fund returns will be. In my opinion, guesses are more likely to be wrong than right. We get what the market gives." -- Taylor Larimore, author of The Bogleheads' Guide to Investing
by longinvest
Sat Feb 06, 2016 12:26 am
Forum: Investing - Theory, News & General
Topic: Bogleheads investment philosophy at huge risk?
Replies: 29
Views: 3150

Re: Bogleheads investment philosophy at huge risk?

I read this article that brings up the point that by blindly just buying index funds and holding without considering whether they are overpriced etc (i.e. bogleheads investment philosophy) is recipe for long term disaster. Curious to see what others think. Caliguy, First, let's restate the 10 princ...
by longinvest
Wed Feb 03, 2016 8:06 pm
Forum: Investing - Theory, News & General
Topic: What is a Tontine?
Replies: 5
Views: 1439

Re: What is a Tontine?

It's a great way to become target of an assassination. Novels were written about it.
by longinvest
Wed Feb 03, 2016 3:27 pm
Forum: Personal Finance (Not Investing)
Topic: Retirement number calculation
Replies: 6
Views: 1066

Re: Retirement number calculation

Goru, It's a starting point. Here are a couple of additional things to consider to improve the plan. Unless the plan is to retire at 67, money is missing to fill the gap between retirement and the start of social security payments. This money should be kept safe in CDs or a high-interest savings acc...
by longinvest
Sun Jan 31, 2016 8:51 pm
Forum: Personal Finance (Not Investing)
Topic: Retirement - Ten key years + Summary
Replies: 64
Views: 10095

Re: Retirement - Ten key years

Peter, I'd like to invite you to read a recent post I wrote about "Developing a workable plan" (Principle 1 of the Bogleheads Investment Philosophy ) for retirement: https://www.bogleheads.org/forum/viewtopic.php?f=2&t=182995&p=2780914#p2775552 That post is really too long to copy ...
by longinvest
Sun Jan 31, 2016 8:01 pm
Forum: Investing - Theory, News & General
Topic: Bogle vs. Vanguard on International Funds
Replies: 27
Views: 3587

Re: Bogle vs. Vanguard on International Funds

After reading Bogle's chapter, I'm inclined to admit he's influenced me into thinking that 60/40 is too high - though I'm admittedly, still learning quite a bit about this and figuring out my comfort zones.Where do most of you fall on your intentional stock holdings? Do you tend to lean more toward...
by longinvest
Sun Jan 31, 2016 4:37 pm
Forum: Investing - Help with Personal Investments
Topic: VG International Bond Index Fund?
Replies: 11
Views: 813

Re: VG International Bond Index Fund?

Personally, I don't care much about it. International bonds are probably the biggest asset sub-class*, bigger than each of the domestic bonds, domestic stocks, and international stocks sub-classes. So, there might be good theoretical reasons to diversify a portfolio into them (using currency hedging...
by longinvest
Sun Jan 31, 2016 11:09 am
Forum: Investing - Theory, News & General
Topic: What are you up YTD? [Year To Date]
Replies: 753
Views: 110798

Longinvest's Uniform Returns -- January 2016 edition

It's that time of the month, again! :happy Here are my personal portfolio returns * for January 2016. My portfolio has a 50/50 (stocks/bond) target asset allocation using Taylor Larimore's fantastic Three Fund Portfolio : ⋅ 25% in total-market domestic stock index ETF (VCN) ⋅  25...
by longinvest
Sun Jan 31, 2016 9:35 am
Forum: Investing - Theory, News & General
Topic: Does net worth and age determine % bond allocation?
Replies: 52
Views: 5114

Re: Does net worth and age determine % bond allocation?

I'd also be interested to hear your thoughts on a related thought experiment: [...] Rahas, As you are asking for opinions, here is my opinion. There are mostly three types of securities that pay investors to hold them: ⋅  Cash, which pays interests. (Savings accounts and CDs). ⋅ ...
by longinvest
Sun Jan 31, 2016 8:58 am
Forum: Investing - Theory, News & General
Topic: Graham's "margin of safety" for US stocks (1-29-16)
Replies: 61
Views: 9823

Re: Graham's "margin of safety" for US stocks (1-29-16)

In 2008-2009 stock prices were extremely low, but the earnings yield was low, too. So according to Graham you should not have bought stocks when they were dirt cheap? I'm trying to understand when you should buy stocks with this model. Can anyone point me to a chart that would show when to buy stoc...
by longinvest
Sun Jan 31, 2016 8:47 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1078
Views: 116418

Re: QSPIX - thoughts on interesting fund

AQR is probably not worried one iota, because QSPIX has no index to be compared to. No investor will ever be able to complain about a tracking error.

That's a perfect fund for its managers with a sweet expense ratio to reward them for their cleverness. :moneybag
by longinvest
Sun Jan 31, 2016 8:10 am
Forum: Investing - Theory, News & General
Topic: Equal weight index funds
Replies: 46
Views: 3184

Re: Equal weight index funds

Bogleheads portfolios include both stocks and bonds (see the Bogleheads investment philosophy ). A better way to increase risk and potential returns is simply to increase the stock allocation within the portfolio, while still using total-market index funds. The advantages of doing so are many: &sdot...
by longinvest
Sat Jan 30, 2016 11:28 pm
Forum: Investing - Theory, News & General
Topic: Equal weight index funds
Replies: 46
Views: 3184

Re: Equal weight index funds

All I'm wondering is there a better way to index. We all get so focused on tracking the S&P perhaps there is a better way to index that no one is talking about. It is best to index using total-market index funds. The following might help you: ⋅  Taylor Larimore's awesome The Three-Fun...
by longinvest
Sat Jan 30, 2016 11:19 pm
Forum: Investing - Theory, News & General
Topic: Equal weight index funds
Replies: 46
Views: 3184

Re: Equal weight index funds

perhaps I'm missing something but the returns long term seem to be much much higher in the equal weight fund. RSP soundly beats vfinx long term on every chart I've seen. Jack Bogle: " The biggest mistake investors make is looking backward at performance and thinking it’ll recur in the future. ...
by longinvest
Sat Jan 30, 2016 10:44 pm
Forum: Investing - Theory, News & General
Topic: Equal weight index funds
Replies: 46
Views: 3184

Re: Equal weight index funds

First, there's an entry about Equal weighted indices in our wiki: https://www.bogleheads.org/wiki/Equal_weighted_indices Second, instead of repeating previous discussions on the matter, I'll cite an October 2015 post by Advisory Board member Nisiprius: Why is Apple so heavy in VTSAX? Equal weighting...
by longinvest
Sat Jan 30, 2016 7:51 pm
Forum: Investing - Theory, News & General
Topic: Who else is holding in cash? [For future investing]
Replies: 66
Views: 4058

Re: Who else is holding in cash?

Kelli28 wrote:I know market timing is a bad idea but[...]


Obviously, this thread is about holding cash as in market timing.

Why are we still discussing this?
by longinvest
Sat Jan 30, 2016 7:43 pm
Forum: Investing - Theory, News & General
Topic: Graham's "margin of safety" for US stocks (1-29-16)
Replies: 61
Views: 9823

Re: Graham's "margin of safety" for US stocks (1-29-16)

Disclosure: I am continuing to "hold" my US stock funds, but have stopped D-C-A in my 401-K as a result of the signal. I am now directing my D-C-A ing into cash, US intermediate bonds, and international stocks. I will re-think my current 50% -S / 50% -B allocations if the US ratio would f...
by longinvest
Wed Jan 27, 2016 5:46 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing, another study
Replies: 94
Views: 7340

Re: Rebalancing, another study

I am currently reading "A Mathematician Plays the Stock Market " by John Allen Paulos which was published in 2003. So far it is all about psychology and behavioral finance. In other words, there may be no mathematical sanity when it comes to rebalancing. "Bogleheads" rebalancing...
by longinvest
Wed Jan 27, 2016 5:10 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing, another study
Replies: 94
Views: 7340

Re: Rebalancing, another study

Apologies if this has been pointed out already, but isn't there a contradiction between their "direct all dividends, contributions and withdrawals toward rebalancing" maxim and their "don't shoot til you see the whites of their 3% drift" maxim? The first has you nudging the port...
by longinvest
Tue Jan 26, 2016 12:35 pm
Forum: Investing - Theory, News & General
Topic: John Bogle's telltale charts revisited
Replies: 28
Views: 4279

Re: John Bogle's telltale charts revisited

In other words, SCV's returns make up only 6% of the overall returns of the market. All SCV investors (including total market investors!) get to divide, among themselves, this 6% portion of total market returns. There's not a penny more available for them to get from SCV. Ok... Well, 6% of total ma...
by longinvest
Tue Jan 26, 2016 10:55 am
Forum: Investing - Theory, News & General
Topic: John Bogle's telltale charts revisited
Replies: 28
Views: 4279

Re: John Bogle's telltale charts revisited

I forgot to write: Out of the $597 absolute returns of SCV, the "premium" over the total market is only $97, as an initial investment of $500 (the size of SCV) in the total market would have grown to $1,000 (instead of $1,097 for SCV). That's 0.97% of total market returns ($97 / $10,000). ...
by longinvest
Tue Jan 26, 2016 10:24 am
Forum: Investing - Theory, News & General
Topic: John Bogle's telltale charts revisited
Replies: 28
Views: 4279

Re: John Bogle's telltale charts revisited

Siamond, What's missing in all these graphs is the overall view of market returns. Small caps make up 15% of the total market. Small-cap Value is a subset of this, let's say 5% of the market. (I simply selected the third of the small-cap capitalization which has the best value attributes). Assume th...
by longinvest
Tue Jan 26, 2016 8:13 am
Forum: Personal Finance (Not Investing)
Topic: Did the bears eat my retirement? - Sequence of Returns Risk
Replies: 70
Views: 5904

Re: Did the bears eat my retirement? - Sequence of Returns Risk

You are correct that market timing could have helped and it might still help. It could also hurt. But yes, stay the course is not always the best option after a 5 year bull market . Tough call Sambb, I must disagree. Our philosophy is quite clear: 1 Develop a workable plan 2 Invest early and often ...
by longinvest
Mon Jan 25, 2016 1:34 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing, another study
Replies: 94
Views: 7340

Re: Rebalancing, another study

I note that the author found that checking weekly was better than less frequently and referenced a study that found that daily was better than weekly. I presume that in this study the rebalancing occurred on the next trading day at the next day's prices. If one had an automatic rebalancing capabili...
by longinvest
Mon Jan 25, 2016 10:07 am
Forum: Investing - Theory, News & General
Topic: Rebalancing, another study
Replies: 94
Views: 7340

Re: Rebalancing, another study

longinvest wrote:An investor has spread his allocation across accounts, as it is often recommended for tax efficiency reasons. Real life being what it is, contributions to various accounts are not symmetric or even regular.

How would this investor rebalance using only distributions and new contributions?

Bump!
by longinvest
Mon Jan 25, 2016 9:56 am
Forum: Investing - Theory, News & General
Topic: Is Smart-Beta tilting just a marketing ploy?
Replies: 117
Views: 5530

Re: Is Smart-Beta tilting just a marketing ploy?

Longinvest, You're stretching the argument too far. The arithmetic of active management doesn't prove that you cannot beat, or should hold, the market. What? I didn't write that! I'm sorry, what did you want to say then? I just said it was possible for everyone to hold something other than the mark...
by longinvest
Mon Jan 25, 2016 9:21 am
Forum: Investing - Theory, News & General
Topic: Rebalancing in Retirement.
Replies: 28
Views: 1964

Re: Rebalancing in Retirement.

Rodc wrote:How did the $350K go to $370K and the %710K go to $690K?


They shouldn't! I'll go fix that. :oops:
by longinvest
Mon Jan 25, 2016 8:40 am
Forum: Investing - Theory, News & General
Topic: Is Smart-Beta tilting just a marketing ploy?
Replies: 117
Views: 5530

Re: Is Smart-Beta tilting just a marketing ploy?

Longinvest, You're stretching the argument too far. The arithmetic of active management doesn't prove that you cannot beat, or should hold, the market. What? I didn't write that! Actually, Sharpe is pretty explicit about it in his proof: It is, of course, possible for the average professionally or ...
by longinvest
Mon Jan 25, 2016 8:05 am
Forum: Investing - Theory, News & General
Topic: Is Smart-Beta tilting just a marketing ploy?
Replies: 117
Views: 5530

Re: Is Smart-Beta tilting just a marketing ploy?

Please read the footnote too. Note specifically that the required conditions for the proof are unlikely to be met in the real world. This is misleading! Let's read the footnote: 3. Events such as mergers, new listings and reinvestment of dividends that take place during the period require more comp...
by longinvest
Mon Jan 25, 2016 7:07 am
Forum: Investing - Theory, News & General
Topic: Is Smart-Beta tilting just a marketing ploy?
Replies: 117
Views: 5530

Re: Is Smart-Beta tilting just a marketing ploy?

Here's a link to William Sharpe's theorem: The Arithmetic of Active Management If "active" and "passive" management styles are defined in sensible ways, it must be the case that (1) before costs, the return on the average actively managed dollar will equal the return on the aver...

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