Search found 104 matches

by sean.mcgrath
Mon Jul 24, 2017 3:27 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1018
Views: 567236

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

Since many in this thread are interested in historical stock information, here's a new (July 2017) source. This paper presents new monthly capital gain, dividend yield, and total return indices for common equities quoted on British exchanges during 1869-1929. I construct indices for 25 domestic sec...
by sean.mcgrath
Sat Jul 15, 2017 4:58 pm
Forum: Investing - Theory, News & General
Topic: Is now time to move into international stocks?
Replies: 57
Views: 6775

Re: Is now time to move into international stocks?

I am waiting for the "What the heck do we need US Stocks for anyway?" threads to pop up as the International markets start to do better. Much of this has to do with the relative strength of the US Dollar to other major currencies such as the Yen, the Euro, and the Pound. The under-performance of th...
by sean.mcgrath
Sun Jul 09, 2017 3:44 pm
Forum: Investing - Theory, News & General
Topic: US citizens abroad - more on PFICs
Replies: 6
Views: 1413

Re: US citizens abroad - more on PFICs

Do you think it's better if I start a new thread with the same question? If so please let me know! You certainly got my attention with the PFICs header! -- an eternal point of interest for me. It's not clear to me: is your post related to PFICs? If not, I'd suggest you start a new thread. cheers, S...
by sean.mcgrath
Sun Jul 09, 2017 3:37 pm
Forum: Investing - Theory, News & General
Topic: Retirement is Risky Business
Replies: 41
Views: 7090

Re: Retirement is Risky Business

nisiprius wrote:"Fear is a much more effective motivator than greed."
Love the Screwtape Letters reference -- it's spot on.
by sean.mcgrath
Fri Jul 07, 2017 9:21 am
Forum: Investing - Theory, News & General
Topic: Should Indexers give up their voting rights? Bill McNabb says "No"
Replies: 8
Views: 1068

Re: Should Indexers give up their voting rights? Bill McNabb says "No"

Actions speak louder than words Vanguard's voting history is generally along the lines of the companies management (like a train :-) )..... How did you conclude that? I opened Total Stock Market, and in the first four companies listed Vanguard had three against votes. That's a lot. Personally, I'd ...
by sean.mcgrath
Fri Jun 30, 2017 1:39 pm
Forum: Investing - Theory, News & General
Topic: Recent factor loadings?
Replies: 4
Views: 857

Re: Recent factor loadings?

I noticed something strange regarding factor loadings - when you go to portfoliovisualizer and check out lets say WisdomTree International SmallCap Fund (DLS) which should have nice size and value loadings, then you can see that for the date range 2006-2017 they are fine (size loading 0.34 value lo...
by sean.mcgrath
Mon Jun 19, 2017 4:39 pm
Forum: Investing - Theory, News & General
Topic: A bit more on Tontines
Replies: 8
Views: 1393

Re: A bit more on Tontines

I can't read the article as I don't subscribe to Economist and am getting blocked by its pay-wall (and didn't feel like taking the time for finding ways around it) Not sure why -- I got to the article on two computers where I wasn't subscribed. I think you get three views a week without subscribing...
by sean.mcgrath
Mon Jun 19, 2017 9:04 am
Forum: Investing - Theory, News & General
Topic: A bit more on Tontines
Replies: 8
Views: 1393

Re: A bit more on Tontines

anonenigma wrote:Note the episode of The Wild, Wild West: "The NIght of the Tottering Tontine"


That's what happens when you don't use blockchains. :wink:
by sean.mcgrath
Mon Jun 19, 2017 5:23 am
Forum: Investing - Theory, News & General
Topic: A bit more on Tontines
Replies: 8
Views: 1393

Re: A bit more on Tontines

Yep, the Simpsons were mentioned in the last thread as well The basic idea that tontines served a purpose, but were flawed by conflicts of interest makes sense to me: it is risk pooling just like insurance. It also seems to make sense that you could anonymize the tontines with a big enough pool. The...
by sean.mcgrath
Sun Jun 18, 2017 12:16 pm
Forum: Investing - Theory, News & General
Topic: A bit more on Tontines
Replies: 8
Views: 1393

A bit more on Tontines

I remember a couple of forum topics on tontines (including one covering Milevsky -- who's quoted in this one), and thought I'd share this Economist article. Interesting idea for me that a tontine could turn DC plans back into DB. In any case a fun read: http://www.economist.com/news/finance-and-econ...
by sean.mcgrath
Thu Jun 15, 2017 5:50 am
Forum: Investing - Theory, News & General
Topic: A Current Perspective on Global Growth
Replies: 24
Views: 2543

Re: A Current Perspective on Global Growth

I'm a bit surprised by the difference in the two tables. Where is China's energy coming from -- I didn't think they were self-sufficient. The biggest source of energy for China is still coal. And it is still c. 80% reliant on domestically produced coal I checked, and you are right: 15% net external...
by sean.mcgrath
Wed Jun 14, 2017 10:54 am
Forum: Investing - Theory, News & General
Topic: A Current Perspective on Global Growth
Replies: 24
Views: 2543

Re: A Current Perspective on Global Growth

I'm a bit surprised by the difference in the two tables. Where is China's energy coming from -- I didn't think they were self-sufficient.
by sean.mcgrath
Wed Jun 14, 2017 10:50 am
Forum: Investing - Theory, News & General
Topic: The amount of mined gold is increasing fairly rapidly, IMO
Replies: 22
Views: 1723

Re: The amount of mined gold is increasing fairly rapidly, IMO

So, let's take a loose average of these numbers as about 175K available, 2,600/year added, for a growth rate of about (2600/175000=) ~1.5%/year. That's a fairly significant amount of new gold being mined, IMO. Actually, that seems like exactly the right amount of growth for a currency -- giving a n...
by sean.mcgrath
Wed May 31, 2017 8:40 am
Forum: Investing - Theory, News & General
Topic: "Four Timeless Lessons" by Mark Hulbert
Replies: 8
Views: 2537

Re: "Four Timeless Lessons" by Mark Hulbert

Can't really agree with no. 3. If one can beat the market in the long run by more then a few percentage points they should have a statue erected in their name or should be on the front of a cereal box or maybe a holiday named after them. It is probably as often as any of those situations happening ...
by sean.mcgrath
Sun May 14, 2017 3:08 pm
Forum: Investing - Theory, News & General
Topic: Home Country Bias...makes sense?
Replies: 235
Views: 11135

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: 11135

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: 3842

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 (with the hope to use more when we ret...
by sean.mcgrath
Fri May 12, 2017 5:13 am
Forum: Investing - Help with Personal Investments
Topic: Buying vacation home
Replies: 29
Views: 3842

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: 5257

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: 5257

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: 1385

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: 1385

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: 1385

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: 1102

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: 8606

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: 692

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 , 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: 8606

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: 1018
Views: 567236

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: 1394

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: 1394

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: 1018
Views: 567236

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?
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: 1018
Views: 567236

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: 1058

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: 990

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: 990

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: 2668

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: 990

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: 217
Views: 41729

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: 575

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: 575

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: 575

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: 54
Views: 155053

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: 1018
Views: 567236

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: 1018
Views: 567236

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: 3445

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: 7020

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: 3445

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

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 risk prem...
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: 7020

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: 7020

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: 3445

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...