Search found 76 matches

by sean.mcgrath
Sun Apr 16, 2017 10:07 am
Forum: Personal Finance (Not Investing)
Topic: Solar panels for residence economics
Replies: 10
Views: 1142

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: 1142

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: 985
Views: 536295

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: 985
Views: 536295

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: 554

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: 851

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: 851

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: 2437

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: 851

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: 38505

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: 404

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: 404

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: 404

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: 141766

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: 985
Views: 536295

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: 985
Views: 536295

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: 2764

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: 5909

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: 2764

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: 5909

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: 5909

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: 2764

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: 2764

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: 2764

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: 2764

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: 2764

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: 2764

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: 2764

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: 2764

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: 2764

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: 2764

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: 2764

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: 5909

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: 5909

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: 5909

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: 5909

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.
by sean.mcgrath
Sun Mar 12, 2017 1:37 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 5909

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

I agree that people are often selectively dismissive about past returns. Just because I don't like standard deviation doesn't mean there aren't other measures out there that I like better. I mentioned one: length & breadth of drawdown. Semideviation is an improvement on standard deviation, espe...
by sean.mcgrath
Sun Mar 12, 2017 6:58 am
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 5909

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

. Target = 75:25 stock:bond portfolio, with 0.2/0.4 size/value load in equities, and 0.5 term load in bonds. Actual performance over last 14 years in comparison to two 'market' portfolios with the same stock:bond split 2003-2016: Annualized return / 2008 return 9.3% / -28.7 = Actual portfolio 7.5% ...
by sean.mcgrath
Sun Mar 12, 2017 4:12 am
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 5909

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

Obviously whether this or Strict Rules of Bogle outperforms will be known only in the fullness of time, so we're throwing darts blindfolded. (We're real close to the board though. :happy ) I kind of enjoy all the finoodling it requires, and am capable of doing it. Hi Johnnie, yes that's a bit why I...
by sean.mcgrath
Sat Mar 11, 2017 5:09 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 5909

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

I'm expecting to beat the Vanguard LifeStrategy Moderate Growth fund performance by about 1% on average over the years. I'm also expecting to beat the tilted DFA Global Allocation 60/40 Portfolio Institutional Class mutual fund as well, but by a lesser percentage. I don't know about standard deviat...
by sean.mcgrath
Sat Mar 11, 2017 3:27 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 5909

What do you expect to achieve with your Tilt?

Hi all, So I've been reading the famous Fama and French out of pure curiosity. In principle I can buy the idea that a reasonable risk/return model could have more than one variable, and that Value and Size might significantly improve the predictive behavior of the model. However, when I estimate how...
by sean.mcgrath
Fri Mar 10, 2017 12:01 pm
Forum: Personal Consumer Issues
Topic: How much do you spend on "stuff" for kids?
Replies: 53
Views: 3872

Re: How much do you spend on "stuff" for kids?

Books is actually the big spend category at $900. DD is a voracious reader and DS is getting there. Between Amazon, 3 library sales and some bookstore trips our total books spend last year was $1860, and I would say half was for her. This is the one area I am seriously prone to impulse purchasing, ...
by sean.mcgrath
Fri Mar 10, 2017 3:46 am
Forum: Investing - Help with Personal Investments
Topic: Austrian Bogle needs help with first Vanguard ETF
Replies: 9
Views: 706

Re: Austrian Bogle needs help with first Vanguard ETF

Hi, first of all let me thank you for your support. I thought that I was already somewhat prepared to start investing. But as you have proven me there is still a long way to go. In regard to the portfolio positioning I might have a closer look at the advice given by sean.mcgrath. Following setup lo...
by sean.mcgrath
Thu Mar 09, 2017 7:00 am
Forum: Personal Finance (Not Investing)
Topic: Wedding cash gift
Replies: 68
Views: 4004

Re: Wedding cash gift

I was hoping that some people in this forum could tell me a little bit about what they did during wedding planning to cut costs and how much they ended up spending. Any arguments against having a wedding at all are also welcome. Just a young couple looking for some advice. Good news! All the best w...
by sean.mcgrath
Tue Mar 07, 2017 9:03 am
Forum: Investing - Help with Personal Investments
Topic: Austrian Bogle needs help with first Vanguard ETF
Replies: 9
Views: 706

Re: Austrian Bogle needs help with first Vanguard ETF

Hi Jonathan, Hi Sean, thanks for your reply. The links are very useful. Lets see if I understood the information fully: Currency risk: As understood you will always have the currency risk when underlying assets are traded in foreign currency. My example: I bought a USD traded fund in EUR. So therefo...
by sean.mcgrath
Mon Mar 06, 2017 4:12 pm
Forum: Investing - Help with Personal Investments
Topic: Austrian Bogle needs help with first Vanguard ETF
Replies: 9
Views: 706

Re: Austrian Bogle needs help with first Vanguard ETF

Welcome, AB I can't comment on the specific situation in Austria, but +1 for Interactive Brokers. From the Netherlands they are very convenient. Personally, I would worry about currency risk with your strategy. Having the S&P 500 quoted in Euros does nothing to change it being predominantly doll...
by sean.mcgrath
Mon Feb 27, 2017 12:53 pm
Forum: Investing - Help with Personal Investments
Topic: Resident in Netherlands, South american citizen / Portfolio Checkup
Replies: 2
Views: 187

Re: Resident in Netherlands, South american citizen / Portfolio Checkup

Broker / Bank: Given our case, it would be worth considering an offshore bank who isn't dependent on the country we choose to live, especially if/when we move back to Latin America. If I knew about a safe and cost-mindful alternative… but so far I haven’t found any concrete options that met both re...
by sean.mcgrath
Fri Feb 24, 2017 10:38 am
Forum: Investing - Help with Personal Investments
Topic: Absolute newbie, 29/f dual-citizen of Netherlands and the US
Replies: 3
Views: 468

Re: Absolute newbie, 29/f dual-citizen of Netherlands and the US

Hi! I want to invest a sizeable chunk of the 30,000 and 15,000 into mutual funds/index funds. I think my choices may be somewhat limited in the Netherlands due to my American citizenship. So I have been pointed to Vanguard. I've found that I can't open an account there, or at Fidelity, or possibly ...
by sean.mcgrath
Fri Feb 24, 2017 4:24 am
Forum: Investing - Help with Personal Investments
Topic: S&P at 22 times multiple
Replies: 40
Views: 4772

Re: S&P at 22 times multiple

I would take this with a HUGE grain of salt based on real data. The primary problem with this well known equation is that it ignores share dilution. The returns a company gets or a country's stock market gets are irrelevant: what matter is the return you get. That comes from EARNINGS PER SHARE. Hi ...
by sean.mcgrath
Thu Feb 23, 2017 1:45 pm
Forum: Investing - Help with Personal Investments
Topic: Investment [determining risk tolerance?]
Replies: 6
Views: 420

Re: Investment [determining risk tolerance?]

Buddtholomew wrote:Thanks for the ^ link.
I'm sure someone has computed the CAGR for the various allocations over the time period in the article.
Does it produce different results, higher, lower?
Interested to know.


Hi Bud,

David's link has historical CAGRs.

cheers,
Sean

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