Search found 90 matches

by sean.mcgrath
Sun May 14, 2017 3:08 pm
Forum: Investing - Theory, News & General
Topic: Home Country Bias...makes sense?
Replies: 235
Views: 8336

Re: Home Country Bias...makes sense?

willthrill81 wrote:Correlation does not equal causation.


Um, GDP per capita is a pretty well-recognized mechanism. You're going to have to do some impressive econometrics before you convince people that having more people doesn't tend to grow the GDP. :happy
by sean.mcgrath
Sun May 14, 2017 2:23 pm
Forum: Investing - Theory, News & General
Topic: Home Country Bias...makes sense?
Replies: 235
Views: 8336

Re: Home Country Bias...makes sense?

I'm about 95% U.S., though I would like to own more international SC. It isn't in my 401k, so I only access it currently through my IRA. Considering that over the last 45 years, the U.S. market has earned over 3% more than the rest of the world, I'm not interested in owning the global ex-U.S. marke...
by sean.mcgrath
Fri May 12, 2017 4:53 pm
Forum: Investing - Help with Personal Investments
Topic: Buying vacation home
Replies: 29
Views: 3379

Re: Buying vacation home

Thanks Sean. I can really relate what you are saying here. Based on your experience, how frequent you have to use the vacation home to make it worth the cost? Um, this is where I think we have a fairly unique situation. We bought it to use three weeks per year :shock: (with the hope to use more whe...
by sean.mcgrath
Fri May 12, 2017 5:13 am
Forum: Investing - Help with Personal Investments
Topic: Buying vacation home
Replies: 29
Views: 3379

Re: Buying vacation home

Hi BHs, I would like to get your opinion on buying vacation home? Here's some background. Age: 41, married with 2 kids Net worth: ~$2 millions Primary residence: worth $770k, mortgage: $335k at 2.5% Portfolio: ~$1.6 millions Vacation home: $250k - $300k range Questions: 1. Can I afford it? 2. I pla...
by sean.mcgrath
Thu May 11, 2017 8:52 am
Forum: Investing - Help with Personal Investments
Topic: Maximum Gain,swinging for the fences
Replies: 65
Views: 4559

Re: Maximum Gain,swinging for the fences

I just want to say that I completely understand the OP's point of view on this. As an example...let's say you're well on your way to a comfortable retirement, and you suddenly get a $50,000 inheritance from a long-lost uncle. Well $50k could buy a nice car, or some other toys, but it isn't going to...
by sean.mcgrath
Wed May 10, 2017 2:43 pm
Forum: Investing - Help with Personal Investments
Topic: Maximum Gain,swinging for the fences
Replies: 65
Views: 4559

Re: Maximum Gain,swinging for the fences

Hold $20 in your pocket while taking all the rest to the roulette wheel at your nearest Casino. Put it all on Red. If you win - repeat a 2nd and then a 3rd time before cashing out. If you lose - well - you said "Without regard for loss". Take the $20 from your pocket to grab dinner on you...
by sean.mcgrath
Wed May 10, 2017 2:19 pm
Forum: Investing - Help with Personal Investments
Topic: When switch fund for lower ER?
Replies: 14
Views: 1111

Re: When switch fund for lower ER?

I would not bother to switch for $100 per year. I wouldn't waste time thinking about it. Also the effect of a few hundredths of a percent in expense ratio is likely to be less important than the index used, tracking error, skill in running the funds, and policy on security lending. A tenth of a per...
by sean.mcgrath
Wed May 10, 2017 10:04 am
Forum: Investing - Help with Personal Investments
Topic: When switch fund for lower ER?
Replies: 14
Views: 1111

Re: When switch fund for lower ER?

I'd switch for, say, > $100/year if I though the difference in cost seemed likely to persist. Thanks, that's an interesting perspective. Yes, the "likely to persist" is part of the question -- don't really want to be frantically shifting from fund to fund each time there's a 0.01% drop, b...
by sean.mcgrath
Wed May 10, 2017 3:54 am
Forum: Investing - Help with Personal Investments
Topic: When switch fund for lower ER?
Replies: 14
Views: 1111

When switch fund for lower ER?

As I happily watch ERs drop between the big index funds, I'm starting to wonder what drop is enough to make me switch funds. I'm curious what others do: assuming a non-taxable account and two funds from big names (e.g., Schwab, iShares, Vanguard) who track the same or extremely similar indexes, what...
by sean.mcgrath
Tue May 02, 2017 7:11 am
Forum: Investing - Help with Personal Investments
Topic: Do you count lock-up shares part of your AA?
Replies: 18
Views: 913

Re: Do you count lock-up shares part of your AA?

I don't count them toward my AA, but they definitely influence my desire and need to take risk; hence, they affect my target AA. If I understand your meaning, I would say that mathematically those two things are the same. When I have had significant amount locked up for a longer period I have at le...
by sean.mcgrath
Tue May 02, 2017 7:05 am
Forum: Personal Finance (Not Investing)
Topic: Convince me that I'm holding too much cash
Replies: 62
Views: 7775

Re: Convince me that I'm holding too much cash

Nothing hidden here. I have extra money here from the sale of my home and am on the fence about investing it or keeping it safe....am inclined to leave it alone. Ah, I see. As I said, in the past I have held large amounts in cash, for various "soft" reasons. Tough to give advice unless yo...
by sean.mcgrath
Mon May 01, 2017 4:35 pm
Forum: Investing - Theory, News & General
Topic: Asset allocation tools for investors around the world
Replies: 4
Views: 593

Re: Asset allocation tools for investors around the world

Tyler, I'm off to bed because we also have different time zones in other parts of the world :P , but this looks very nice. I've enjoyed your graphical representations, but indeed worked them into a spreadsheet to see what it means for the Euro zone -- looking forward to checking it out. Regards, Sean
by sean.mcgrath
Mon May 01, 2017 4:25 pm
Forum: Personal Finance (Not Investing)
Topic: Convince me that I'm holding too much cash
Replies: 62
Views: 7775

Re: Convince me that I'm holding too much cash

Tennis, There is something behind your question that you are not sharing -- smacks of a hidden agenda, or a conflict between spouses. My advice to you: either be open with yourself and us about your real question, or deal with it yourself. I personally kept about four years' expenses in "cash&q...
by sean.mcgrath
Thu Apr 27, 2017 10:54 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 990
Views: 543003

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Hi siamond,

I believe cells C105 and C106 of the "Compare Portfolios" tab should read "real," rather than "nominal." This is what the comments state, and looks to be the case.

cheers,
Sean
by sean.mcgrath
Sun Apr 16, 2017 10:07 am
Forum: Personal Finance (Not Investing)
Topic: Solar panels for residence economics
Replies: 10
Views: 1212

Re: Solar panels for residence economics

To make it like for like, you have to have a terminal value. I think I accounted for this, I have done it with a terminal value of zero. The actual real return is 9.3% or so, the 8% I mentioned compensates for the fact that the terminal value is nothing. Without much calculation, it's easy to see t...
by sean.mcgrath
Sun Apr 16, 2017 7:26 am
Forum: Personal Finance (Not Investing)
Topic: Solar panels for residence economics
Replies: 10
Views: 1212

Re: Solar panels for residence economics

The economics are clearly fine: you'd make something like an 8% real return assuming they save $155 / mo. for 25 years. Fantastic return compared to bonds, and hopefully much less volatile than stocks. I doubt there is any reasonable risk that realistically would bring you under 4%, so clearly worth...
by sean.mcgrath
Sat Apr 15, 2017 4:28 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 990
Views: 543003

Re: Investing Without a Spreadsheet.

Bogleheads: With my simple Vanguard 3-fund portfolio I manage to retire comfortably withou t a spreadsheet. Best wishes. Taylor :-) I would struggle to retire comfortably without a spreadsheet, Taylor. It would be like retiring without a boat -- I'm sure it's possible, but then where's the fun? :mr...
by sean.mcgrath
Sat Apr 15, 2017 11:17 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 990
Views: 543003

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Thanks for the link, Siamond. I like the glossary -- it's clear, and I think I would have looked there with my question. Yes, the chart is useful. I made something similar in my own version, and expect other people do as well. This avoids double work. Speaking of double work, I do understand that yo...
by sean.mcgrath
Sat Apr 15, 2017 4:18 am
Forum: Forum Issues and Administration
Topic: How to download your own Bogleheads posts
Replies: 4
Views: 664

Re: How to download your own Bogleheads posts

Hi travel, That's pretty neat -- I tried it and it works well. To underline Lady's point, I'd suggest that you edit your original post to make clear that the information you mention contains the only things that need to be filled in, and that personal information is not required. I did not need to r...
by sean.mcgrath
Thu Apr 13, 2017 2:45 pm
Forum: Investing - Theory, News & General
Topic: Value factor shrinking in ETFs?
Replies: 5
Views: 897

Re: Value factor shrinking in ETFs?

Is this from a 3-factor regression or what? The numbers I posted are actually from a six factor regression of the three indexes (1/3 each) vs. monthly F-F data (six factor because I have US and International factors in one regression, since I think that makes more sense statistically and it's a nic...
by sean.mcgrath
Thu Apr 13, 2017 9:34 am
Forum: Investing - Theory, News & General
Topic: Value factor shrinking in ETFs?
Replies: 5
Views: 897

Re: Value factor shrinking in ETFs?

The factor exposure varies over time for any fund. That's why its a good idea to use data over a long stretch rather than incremental blocks. 2010-2015 was terrible for value, just about everywhere. US midcaps are high valuations right now, many times even higher than the small caps. Thanks, but it...
by sean.mcgrath
Tue Apr 11, 2017 12:26 am
Forum: Investing - Theory, News & General
Topic: Assuming a random walk for retirement planning
Replies: 17
Views: 2507

Re: Assuming a random walk for retirement planning

Interesting result. Re. the method, you're sort of re-inventing Monte Carlo simulations. :-)
by sean.mcgrath
Mon Apr 10, 2017 2:02 pm
Forum: Investing - Theory, News & General
Topic: Value factor shrinking in ETFs?
Replies: 5
Views: 897

Value factor shrinking in ETFs?

I tried searching on this, but kept getting posts about the return to the value factor shrinking. However, my question is about the size of the factor in ETFs. If I look at the value factor load (HmL) for three indexes in five year buckets, I get: 95-99 00-04 05-09 10-14 15-16 0.68 0.64 0.41 0.27 0....
by sean.mcgrath
Sun Apr 09, 2017 7:45 am
Forum: Investing - Theory, News & General
Topic: A Returns Spreadsheet for Bogleheads
Replies: 214
Views: 39074

Re: A Returns Spreadsheet for Bogleheads

Hi longinvest, Thanks for the spreadsheet -- it looks useful, and I'm in the process of transferring my data into it. 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...
by sean.mcgrath
Thu Apr 06, 2017 8:32 am
Forum: Investing - Theory, News & General
Topic: Downloading Index fund data and a regression question
Replies: 5
Views: 445

Re: Downloading Index fund data and a regression question

Yes, the MSCI End of Day Index Data Search page has historical data for every MSCI index. You can use the filters on the page to find an index you’re interested in, then click its name in the “MSCI Index” column to view charts and download data (requires the Adobe Flash Player plugin). That's perfe...
by sean.mcgrath
Tue Apr 04, 2017 4:45 am
Forum: Investing - Theory, News & General
Topic: Downloading Index fund data and a regression question
Replies: 5
Views: 445

Re: Downloading Index fund data and a regression question

Theoretical wrote:Also, For MSCI, look for end of day historical data.


Thanks. Do you go to their website, or places like Yahoo?
by sean.mcgrath
Mon Apr 03, 2017 4:42 pm
Forum: Investing - Theory, News & General
Topic: Downloading Index fund data and a regression question
Replies: 5
Views: 445

Downloading Index fund data and a regression question

Hi all, I'm pretty sure I have read all of Robert T's 2,412 posts, the wiki, and various searches, including on the indexer sites themselves. But most of the replies are out of date, so I'm looking for a refresh. How do you download monthly index data? I have Russell US indices (a very nice download...
by sean.mcgrath
Sun Apr 02, 2017 3:13 am
Forum: Investing - Theory, News & General
Topic: Collective thoughts [investing mini-reference]
Replies: 52
Views: 144107

Re: Collective thoughts [investing mini-reference]

For Non-US Developed Market - SmB factor We're on our own Hi Robert, The quote is from a mere ten years ago, and I'm wondering whether you have found better sources for SmB and international in general. Fwiw, I found a nice spreadsheet on the AQR site under data . It has HmL calculated both their w...
by sean.mcgrath
Sun Apr 02, 2017 1:16 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 990
Views: 543003

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

I'm making my way through the spreadsheet, and it is really a work of art -- beautiful! This is documented (maybe too succinctly?) in the README tab, around line 45. It is a bit tricky to get it right though, and I'd rather not duplicate Wiki material in this spreadsheet! Still, this type of feedba...
by sean.mcgrath
Sat Apr 01, 2017 4:44 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 990
Views: 543003

Re: Simba's backtesting spreadsheet [a Bogleheads community project]

Hi Siamond, I'm making my way through the spreadsheet, and it is really a work of art -- beautiful! I do have a question on the naming of "SD vs. MAR" cell: I had expected that MAR refers to market, but digging deeper discovered it's the 30 day T-bill. Is MAR a standard abbreviation for th...
by sean.mcgrath
Fri Mar 31, 2017 1:48 am
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

There are places to use the 30 day rate but not in this case. The formula you gave is to determine the correct and fundamental P/E ratio. That is the correct long term value of a stock. For that you need the correct long term rates. See my prior post, and the 10 year treasury is one of the better p...
by sean.mcgrath
Thu Mar 30, 2017 2:37 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 6226

Re: What do you expect to achieve with your Tilt?

Small cap and value factors both have historical evidence as well as theoretical justification going for them. Are you looking for a mathematical model? I'm not quite sure where we have a disconnect. My purpose of the OP was, since was I thinking about moving from a total market approach to S&D...
by sean.mcgrath
Thu Mar 30, 2017 2:13 pm
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

:idea: It is just Supply & Demand from ECON 101. Supply has been shrinking, Demand has been growing -> P/E increases. Nice! I had thought about this from the money supply side, but not from the stock availability perspective. To go back to my formula, either of those effects could reduce the ri...
by sean.mcgrath
Thu Mar 30, 2017 10:01 am
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 6226

Re: What do you expect to achieve with your Tilt?

I'm not sure why you want a "quantifiable expectation of an improvement" when we don't even know what the returns of the TSM (assumed 'baseline') will be going forward. You seem to be wanting a prediction of the future. For me "expected" in probability theory is the median or av...
by sean.mcgrath
Thu Mar 30, 2017 6:38 am
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 6226

Re: What do you expect to achieve with your Tilt?

So thanks all for the replies. While it was disappointing to get so few concrete answers to my OP, I've gotten a lot of what I was after. My tentative top level conclusion is that I'm going to shift my portfolio from three funds to something like: 85/15 Stock/Bond 50/50 Total market/Mid&SmValue ...
by sean.mcgrath
Thu Mar 30, 2017 1:56 am
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

It sounds like we are mostly on board with the notion we have basically rediscovered the equity premium puzzle. Nice summary! Sean There are many books, papers and web articles on the "equity risk premium" perhaps being too conservative and irrational. Nisiprius gave a good pointer on the...
by sean.mcgrath
Wed Mar 29, 2017 2:17 pm
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

For the formula you gave at the top, convention is to use a high quality 10 year government bond. 10 year yield is crystal clear. 10 year expected inflation is fuzzy that must be deduced. Equity Risk Premium can only be deduced after you estimated what future growth is going to be. You sometimes ha...
by sean.mcgrath
Wed Mar 29, 2017 1:22 pm
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

Well now your talking about a "real risk free rate" but the "risk free rate" is usually used as a nominal figure. Inflation risk is not accounted for in the risk free rate. I buy a zero coupon 10 yr treasury bond and I know EXACTLY what I will receive at maturity in nominal doll...
by sean.mcgrath
Wed Mar 29, 2017 1:03 pm
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

I don't know if I accept that. My understanding of the risk free rate is that it represents a guaranteed rate of return, known in advance, with no default risk, over a given period of time (which can change). For pricing an asset you can't assume you know how long someone will want to hold it. But ...
by sean.mcgrath
Wed Mar 29, 2017 12:39 pm
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

This took me a while to really grasp what you are saying here. I don't think the historical P/E ratios are all that off at all. They make alot of sense to me. Since 1900 the average interest rate on the 10 yr treasury is close to 5% (I don't think that's a CAGR number, just the average annual inter...
by sean.mcgrath
Wed Mar 29, 2017 10:57 am
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

AlohaJoe wrote:Mehra published a summary of some of that in 2008, "The Equity Puzzle Premium: A Review"


Thanks as always, Joe. I'll have a look tonight. And do you have a view on the answer to the puzzle?
by sean.mcgrath
Wed Mar 29, 2017 10:49 am
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

In any case, we shouldn't write off "Dow 36,000" merely as a ludicrously failed prediction. We should ask exactly what it was that they got wrong. My belief is that the main false assumption is that "the stock market is no more risky than the market for Treasury bonds." How does...
by sean.mcgrath
Wed Mar 29, 2017 10:43 am
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

I'd just note, as many others have, that all this also implies that the real return on stocks may be lower going forward than it has been in the past. And in fact if you were feeling strongly about this sort of analysis, it might imply you might want to leverage up more, at least to the extent you ...
by sean.mcgrath
Wed Mar 29, 2017 10:01 am
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

I think there is something basically right about what you are saying, and I think it is reflected in another long-standing observation in academic research, which is basically that as far as anyone can tell, the historic equity premium ended up way too high (Shiller, incidentally, has been a large ...
by sean.mcgrath
Wed Mar 29, 2017 9:00 am
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Re: Doubting Shiller -- what is the "correct" P/E?

Where does the interest rate show up in this formula and in your calculations? Is it baked into one of the explicit numbers? Growth and required return are both nominal values (and required return is in theory risk premium + risk free), so inflation expectations are baked in. Not sure: does that an...
by sean.mcgrath
Wed Mar 29, 2017 8:45 am
Forum: Investing - Theory, News & General
Topic: Doubting Shiller -- what is the "correct" P/E?
Replies: 44
Views: 2906

Doubting Shiller -- what is the "correct" P/E?

Ok, to be clear, this is not a market timing question -- I'm not worried about whether this is a good time to be in stocks (it is!). It's more a general economics question driven by the comment of Boglegrappler in another post: Price = Earnings*(1+g) / (k-g) where g is the growth rate and k is the r...
by sean.mcgrath
Fri Mar 17, 2017 8:23 am
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 6226

Re: What do you expect to achieve with your Tilt?

I guess I shouldn't travel when I have an open topic -- I get behind! In any case, it looks like the thread as run its course. Thanks for all the helpful inputs. A couple of replies to the last posts. Just to add to my previous post, you need to additionally model two things 1) Tax drag from re bala...
by sean.mcgrath
Tue Mar 14, 2017 3:23 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 6226

Re: What do you expect to achieve with your Tilt?

I have a more serious/ operational question in terms of learning from you guys. How do you guys actually implement this in terms of accumulation or withdrawals? If there are lets say 2 assets in one's portfolio and they zig and zag and are uncorrelated, then on paper this doesn't help you, unless y...
by sean.mcgrath
Tue Mar 14, 2017 1:31 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 6226

Re: What do you expect to achieve with your Tilt?

Sure, I try to quantify it. Or, maybe "quantify" isn't quite the right word because it implies boiling it down to single, simple numbers. Thanks, Joe! Funny enough I was just on that site before I posted, took a brief look at the drawdown, and thought "that's a dumb graph, I want the...
by sean.mcgrath
Sun Mar 12, 2017 1:39 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 6226

Re: What do you expect to achieve with your Tilt?

dbr wrote:The OP suggested at least the expected mean and expected SD, the usefulness of SD being a point for discussion.


Indeed. I'm happy to broaden my question to "expected mean and variation," where posters are free to use a more useful measure than SD for variation.

Go to advanced search