Search found 2784 matches

by siamond
Thu Mar 23, 2017 5:02 pm
Forum: Investing - Theory, News & General
Topic: Blog on emerging Markets, and investors underweighting them
Replies: 63
Views: 3494

Re: Blog on emerging Markets, and investors underweighting them

A lot of people have a number of reservations about directly comparing valuation metrics between markets to predict relative [...] I wouldn't disagree that it looks like EM is meaningfully priced lower now overall, and I would also predict (on average) higher future returns there in the medium term...
by siamond
Tue Mar 21, 2017 7:32 pm
Forum: Investing - Theory, News & General
Topic: How to intelligently choose AA - Montecarlo?
Replies: 27
Views: 2141

Re: How to intelligently choose AA - Montecarlo?

Yeah, this is true, and it means that my montecarlo simulation is projecting futures that are systematically slightly better off than the past would indicate. Is there a way to model this that you know of? I don't know about the 'slightly better' qualifier. The problem with extreme stock and bonds ...
by siamond
Tue Mar 21, 2017 4:27 pm
Forum: Investing - Theory, News & General
Topic: Safe Withdrawal Rate Timing Problem
Replies: 20
Views: 1589

Re: Safe Withdrawal Rate Timing Problem

For early retirees, what you describe is probably especially true. For more regular retirees, they may not choose their date of retirement, so maybe this is less true. Anyhoo, do you really think it is acceptable to play roulette and have a 5% (or 10% or whatever) chance of ruin? I don't. Nobody in ...
by siamond
Tue Mar 21, 2017 2:23 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

The Federal Reserve tracks the "Foreign Exchange Value of the Dollar" where the weights of the currencies of a "large group of major U.S. trading partners" is turned into an index. "The index weights, which change over time, are derived from U.S. export shares and from U.S....
by siamond
Mon Mar 20, 2017 11:50 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

Then, I removed MSCI USA to make room on the graph, and added MSCI World (USD currency, nominal), which is a cap-weighted portfolio. And I added an 'adjusted' MSCI World portfolio, adjusting by the difference between the equal-weighted global portfolios (the USD one and the local-currencies one). ht...
by siamond
Mon Mar 20, 2017 10:56 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

How about adjusting a non-US index by the US dollar index over time or just comparing the non-US index in local currency versus a dollar denominated index. [...] As AlohaJoe said, trying to determine if the USD was weakening or strengthening at times implies to compare to a basket of other currenci...
by siamond
Mon Mar 20, 2017 5:25 pm
Forum: Local Chapters and Bogleheads Community
Topic: Master Thread for Metro Boston's Chapter
Replies: 259
Views: 44158

Re: Master Thread for Metro Boston's Chapter

Here are the dates for the next Metro-Boston meetings, please mark your calendars:

- June 3rd, 10am to noon (Lincoln Library), then social lunch (probably Bertucci/Waltham)
- September 9th, 1pm to 4pm (Lincoln library)
by siamond
Mon Mar 20, 2017 9:30 am
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

As to other risks, I hope to address interest rates (and domestic bond returns) in a follow-up article, but the historical information is harder to gather than stock returns, inflation rates and currency rates. Working on it... Thank you for the feedback! Quick update on this. We're actually in muc...
by siamond
Mon Mar 20, 2017 9:27 am
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

How about adjusting a non-US index by the US dollar index over time or just comparing the non-US index in local currency versus a dollar denominated index. When picking a giving currency, we pick a given country. That is basically what I did for the Sweden against US example I provided in the previ...
by siamond
Mon Mar 20, 2017 1:04 am
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

The performance of the US dollar against what? Against foreigners. I don't think Bogle was very precise at the time. He was speaking about whether the dollar was "strong" or "weak", so I guess measured against a basket of other currencies? "The inordinate weakness in the do...
by siamond
Sun Mar 19, 2017 11:33 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

To add to Larry's point, way back in Bogle's early book, the 1994 version of Common Sense on Mutual Funds, one of the arguments he makes for avoiding foreign investing was that even though foreign stocks had outperformed recently, he said it was entirely due to the performance of the US dollar. In ...
by siamond
Sun Mar 19, 2017 6:58 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

I have been puzzling over the chart that shows exchange rates vs. inflation. What is puzzling to me is why exchange rate does not have inflation built into it. I would expect to see a positive correlation between the two but it is just the opposite - they seem to be inversely related. I guess that ...
by siamond
Sun Mar 19, 2017 11:28 am
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

This being said, please hold for Part 2 of the write-up before discussing too much US vs. International! I know it is very tempting to jump to this discussion (many of us are passionate about it, and... well... may have deeply ingrained pre-conceptions about it!), but the data I provided in Part 1 o...
by siamond
Sun Mar 19, 2017 11:23 am
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

Thanks a lot for the help, Ladygeek. Clickable images are certainly much better! About per-country market caps, I had included the following graph in the Japanese study , but you're right, I should have included it again for proper context. The one which is truly useful, I believe, is the historical...
by siamond
Sun Mar 19, 2017 12:30 am
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

As usual great work! Thanks for both the time and the insights. Have you cross checked this against the similar work by others? In particular the Credit Suisse Yearbook work by Dimson et al.? Yes, I am well aware of the Credit Suisse work, but I could never put my hands on their underlying numbers ...
by siamond
Sun Mar 19, 2017 12:13 am
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

Add to that that over the very long term, as in over 100+ years by one dataset, the U.S. has had returns over 2% higher than the rest of the world. The future may look very different from the past, and there have certainly been periods where international kept pace or even outpaced the U.S., but ov...
by siamond
Sat Mar 18, 2017 10:45 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

I think many folks miss Bogle's correct insight about international investing for the long-term. It is no coincidence when you look at the countries with the largest historical gains per year has a strong sense of free markets as a part of their culture and had little state/government interference ...
by siamond
Sat Mar 18, 2017 10:36 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

A new article was published on Financial Page Feedback welcome. Can you tell us more about Financial Page, who owns it, who writes for it, how the writers are chosen, how it is related to Bogleheads.org and how it is related to the John C. Bogle Financial Literacy Center? The blog was originally an...
by siamond
Sat Mar 18, 2017 6:07 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

US only investing induces the currency risk--currency risk isn't a one way risk, it's two way, reflecting both economic and geopolitical risks. That is a very nice quote, Larry. I took the liberty of paraphrasing it while tuning a bit my conclusion, I hope this is ok. This is really what I am tryin...
by siamond
Sat Mar 18, 2017 5:59 pm
Forum: Investing - Theory, News & General
Topic: Reproducing S&P 500 and Bonds rolling correlation
Replies: 9
Views: 733

Re: Reproducing S&P 500 and Bonds rolling correlation

I am curious what historical data do other people use to plot monthly correlations between stocks and bonds? Because historical bond yields can be easily found on the Internet, but not returns. You found AlohaJoe's model, which is the best we have if you want to go back far in time. If you prefer t...
by siamond
Sat Mar 18, 2017 5:51 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Re: Investing in the World - Part 1 [Financial Page blog article]

The only concern I have about international investing is that it introduces currency risk, and I don't see how the market rewards you for that extra risk. Also, one could argue that many US firms do business globally, so you are getting exposure indirectly. Yes, currency risk is a more severe threa...
by siamond
Sat Mar 18, 2017 3:14 pm
Forum: Investing - Theory, News & General
Topic: Investing in the World - Part 1 [Financial Page blog article]
Replies: 37
Views: 2247

Investing in the World - Part 1 [Financial Page blog article]

A new article was published on Financial Page, the Bogleheads blog site. Here is the introduction: True Bogleheads know the power of diversification. And yet, many such investors (and John Bogle himself!) are reluctant to diversify beyond domestic investments. Japanese investors could have perceived...
by siamond
Fri Mar 17, 2017 6:24 pm
Forum: Investing - Theory, News & General
Topic: DALBAR report methodological flaws - Prof. Pfau
Replies: 29
Views: 2321

Re: DALBAR report methodological flaws - Prof. Pfau

pkcrafter wrote:Do you suspect DALBAR may have a hidden agenda?

Oh no, I wouldn't dare... :mrgreen:
by siamond
Fri Mar 17, 2017 4:52 pm
Forum: Investing - Theory, News & General
Topic: DALBAR report methodological flaws - Prof. Pfau
Replies: 29
Views: 2321

Re: DALBAR report methodological flaws - Prof. Pfau

Yes, and most of the entire population is going to end up with lower returns, first because of behavior, and secondly because of costs, or is using high cost funds a behavioral error? In many cases, yes, but many investors have little choice in company plans. I see your point. Well, it really depen...
by siamond
Fri Mar 17, 2017 2:39 pm
Forum: Investing - Theory, News & General
Topic: Fama-French Factor Premiums for Planning
Replies: 12
Views: 780

Re: Fama-French Factor Premiums for Planning

Just saw in William Bernstein's Rational Expectations that historic average has been 2% for small and 3% for value. He recommends cutting each of these to less than half. So he recommends about 0.7% for small, 1% for value, 1.7% for SV. Yes, this is basically what I do, cutting past premiums in hal...
by siamond
Fri Mar 17, 2017 12:57 pm
Forum: Investing - Theory, News & General
Topic: DALBAR report methodological flaws - Prof. Pfau
Replies: 29
Views: 2321

Re: DALBAR report methodological flaws - Prof. Pfau

This is the key to the difference, so I will ask, what do Bogleheads feel is the proper definition of "neutral return"? Obviously, the S&P 500 will outperform the average of equity funds--read active funds. This is about the entire population of investors, not only 'enlightened' inves...
by siamond
Fri Mar 17, 2017 10:10 am
Forum: Investing - Theory, News & General
Topic: DALBAR report methodological flaws - Prof. Pfau
Replies: 29
Views: 2321

Re: DALBAR report methodological flaws - Prof. Pfau

A follow-up piece by Morningstar, explaining their own way of assessing investors returns, and comparing to Dalbar... I have to marvel at the fact that the author succeeded to stay fairly polite. :wink: http://beta.morningstar.com/articles/798145/just-how-bad-is-fund-investors-timing.html
by siamond
Wed Mar 15, 2017 11:43 pm
Forum: Investing - Theory, News & General
Topic: Reproducing S&P 500 and Bonds rolling correlation
Replies: 9
Views: 733

Re: Reproducing S&P 500 and Bonds rolling correlation

Soter, as lack_ey pointed out, you need to compare return to return, not return to interest rate.

If you check the Simba spreadsheet, you will find a bunch of historical returns in the Data_TR_USD tab, and then you can compute any rolling correlations you want... Any question, send me a PM.
by siamond
Wed Mar 15, 2017 11:33 am
Forum: Investing - Theory, News & General
Topic: DALBAR report methodological flaws - Prof. Pfau
Replies: 29
Views: 2321

Re: DALBAR report methodological flaws - Prof. Pfau

Maybe the Dalbar data is overweighted by the "individual investors" who move money around on the advice of their advisors. That's the likely source of the "bunch of idiots". :D Yep, I had the very exact same thought when reading the (obviously very biased) Dalbar report. I'd lov...
by siamond
Wed Mar 15, 2017 9:21 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 967
Views: 527749

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

Using win10, MS2007 excel and Monday's 16c, when I go to the Compare_Portfolios sheet, beta row 114 (and alpha row 97) shows as #Name?. If I then transfer the file via thumb drive to my decrepit linux laptop, with libreoffice v5.3 installed, and save as ods, the calculations are then completed corr...
by siamond
Tue Mar 14, 2017 2:52 pm
Forum: Investing - Theory, News & General
Topic: How to intelligently choose AA - Montecarlo?
Replies: 27
Views: 2141

Re: How to intelligently choose AA - Montecarlo?

By the way, one simple thing you may want to do is to download the very latest version of the Simba spreadsheet (v16c), which I shared yesterday. Then add a new tab, and assemble a simple Excel data table gathering a few key metrics from Compare_Portfolios (say CAGR, Std-deviation, Drawdowns, SSR an...
by siamond
Tue Mar 14, 2017 2:39 pm
Forum: Investing - Theory, News & General
Topic: How to intelligently choose AA - Montecarlo?
Replies: 27
Views: 2141

Re: How to intelligently choose AA - Montecarlo?

Hi David, Well, at the ripe-old age of 28, you understood a very fundamental point that many experienced people seem to completely miss. I don't know about the exact details of your study, but the outcome makes a lot of sense, as well as the conclusion you're drawing. People tend of over-obsess abou...
by siamond
Tue Mar 14, 2017 2:26 pm
Forum: Investing - Theory, News & General
Topic: DALBAR report methodological flaws - Prof. Pfau
Replies: 29
Views: 2321

Re: DALBAR report methodological flaws - Prof. Pfau

PS. I am eagerly waiting for the DALBAR report on the performance of financial advisors. What? There is not such a thing? How could that be... :twisted: Here is the older article that Prof. Pfau quoted in his own writeup, making a similar point: https://www.advisorperspectives.com/articles/2014/06/1...
by siamond
Tue Mar 14, 2017 2:18 pm
Forum: Investing - Theory, News & General
Topic: DALBAR report methodological flaws - Prof. Pfau
Replies: 29
Views: 2321

DALBAR report methodological flaws - Prof. Pfau

I must say I never paid attention to the DALBAR reports, although they have been discussed on this forum multiple times. The primary claim of those reports is to provide quantitative 'evidence' that individual investors sorely lag market returns. Prof. Pfau recently wrote a thought-provoking article...
by siamond
Mon Mar 13, 2017 12:13 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 967
Views: 527749

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

I finally made official the last version (v16c). You can find highlights and download details in this post . Quite a few changes occurred, mostly under the hood, plus some new functionality. Many thanks to MachineGhost, Dcabler, Tyler9000, LadyGeek, Chas3 and others for very useful feedback on early...
by siamond
Sun Mar 12, 2017 9:57 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 967
Views: 527749

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

Got it. The title is changed to: "Simba's backtesting spreadsheet [a Bogleheads community project]" Fine with me. I like the 'community' wording. I guess I will add more emphasis on the historical returns aspect in the Wiki page then -- when I get to rework it, due to the structural chang...
by siamond
Sun Mar 12, 2017 12:49 am
Forum: Investing - Theory, News & General
Topic: How Bad was 2008, really?
Replies: 224
Views: 18252

Re: How Bad was 2008, really?

What has really happened? Is it just the share price that has dropped or do I lose shares as well? Yes, it is 'just' the share price that dropped. So yes, it is entirely recoverable if you stay the course, and fact is it did recover in the past decade. But emotionally, this is pretty hard on your n...
by siamond
Sat Mar 11, 2017 11:57 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 967
Views: 527749

Re: Simba's backtesting spreadsheet

I would tend to agree with Ladygeek that we should keep the moniker 'Simba'. I do agree that the title of the thread (and also the Simba Wiki page) should be reworked towards something more explicit, and more 'official looking'. This spreadsheet only performs some basic backtesting, there are many t...
by siamond
Sat Mar 11, 2017 5:58 pm
Forum: Local Chapters and Bogleheads Community
Topic: Master Thread for Metro Boston's Chapter
Replies: 259
Views: 44158

Re: Master Thread for Metro Boston's Chapter

Yes, the meeting went really well, more than 25 attendees, very interactive discussions, cool. Next meeting will be early June, exact date TBD.
by siamond
Fri Mar 10, 2017 11:03 pm
Forum: Local Chapters and Bogleheads Community
Topic: Master Thread for Metro Boston's Chapter
Replies: 259
Views: 44158

Re: Master Thread for Metro Boston's Chapter

Hello everyone. I just joined the site and may be interested in joining this chapter. I don't yet have the ability to PM apparently, which is why I am posting this. Whitey, why don't you come to join us at the Lincoln Public Library this Saturday, at 1PM, and we'll take it from there? There will be...
by siamond
Fri Mar 10, 2017 12:27 pm
Forum: Local Chapters and Bogleheads Community
Topic: Master Thread for Metro Boston's Chapter
Replies: 259
Views: 44158

Re: Master Thread for Metro Boston's Chapter

Ongoing roll call for our coming meeting. We have quite the contingent this time, cool. Saturday March 11th, 2017 (1pm to 4pm) : Metro-Boston Bogleheads chapter quarterly meeting (agenda was shared by e-mail). Location: Lincoln Public Library (MA). Please let me know (e-mail, private message, or pos...
by siamond
Thu Mar 09, 2017 11:43 am
Forum: Investing - Theory, News & General
Topic: Rekenthaler: My Asset Allocation
Replies: 21
Views: 2098

Re: Rekenthaler: My Asset Allocation

Very few people think of 'risk' as a mid/long-term consideration directly related to (loss of) purchasing power, and I think this is a really big flaw in what 'common wisdom' seems to suggest nowadays. On the contrary all the discussion about safe withdrawal rates and the modeling of same directly ...
by siamond
Wed Mar 08, 2017 5:38 pm
Forum: Local Chapters and Bogleheads Community
Topic: Master Thread for Metro Boston's Chapter
Replies: 259
Views: 44158

Re: Master Thread for Metro Boston's Chapter

Ongoing roll call for our coming meeting. Saturday March 11th, 2017 (1pm to 4pm) : Metro-Boston Bogleheads chapter quarterly meeting (agenda was shared by e-mail). Location: Lincoln Public Library (MA). Please let me know (e-mail, private message, or post on this thread) who is planning to come, and...
by siamond
Wed Mar 08, 2017 1:51 pm
Forum: Investing - Theory, News & General
Topic: Rekenthaler: My Asset Allocation
Replies: 21
Views: 2098

Re: Rekenthaler: My Asset Allocation

Well, I think the guy makes pretty clear in his write-up that he's quite wealthy. In general, I am not a big fan of John R's writings, but here I thought this was well articulated, and I largely agree with his reasoning, as I went through very similar thoughts in the past few years, while I was play...
by siamond
Mon Mar 06, 2017 1:22 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 967
Views: 527749

Re: Simba's backtesting spreadsheet

I use LibreOffice for everything. Used to use OpenOffice for years until I found it became dormant. The changes in rev16c (March 2) are quite an improvement. I found a calc issue with rev16b in the Not-Rebalanced total of the Analyze Tab and then found the 16c fixed it. The reformatting you did is ...
by siamond
Sun Mar 05, 2017 3:55 pm
Forum: Local Chapters and Bogleheads Community
Topic: Master Thread for Metro Boston's Chapter
Replies: 259
Views: 44158

Re: Master Thread for Metro Boston's Chapter

For 3/11 meeting, wondering if anyone wants to help me "be green" by giving me a ride from electric car charging station 3 miles north of library. Please message me if so. Also, I've requested agenda but haven't seen. I'm interested in reviewing Retirement Optimizer & long term care. ...
by siamond
Sun Mar 05, 2017 3:51 pm
Forum: Investing - Help with Personal Investments
Topic: Portfolio Review: Newbie w/ $2.8M
Replies: 58
Views: 6150

Re: Portfolio Review: Newbie w/ $2.8M

He could do something like the Larry Portfolio. 30% stock is arguably enough to keep up with inflation and a conservative withdrawal rate. Think of the Wellesley fund, which is 35% stock. Almost 10% since inception, and down only 8% in 2008. 10% of $2.8M would be $280K expected annual income. One c...
by siamond
Sun Mar 05, 2017 1:55 pm
Forum: Investing - Theory, News & General
Topic: claim: stock/bond allocation should be independent of investment horizon
Replies: 54
Views: 4180

Re: claim: stock/bond allocation should be independent of investment horizon

Papers like this make me roll my eyes (I did skim through it). A mathematical model only makes sense if it actually models the underlying mechanisms. I find "permabull" Buffett's numerous letters over the decades (including this year's letter and interview) explaining stocks vs. bonds vs....
by siamond
Sun Mar 05, 2017 1:16 pm
Forum: Investing - Help with Personal Investments
Topic: Portfolio Review: Newbie w/ $2.8M
Replies: 58
Views: 6150

Re: Portfolio Review: Newbie w/ $2.8M

Good point, but I also think the amount of money changes the calculus some. He has no need for his nest egg to grow the way that most of us do. He can sit back and for the most part live off the income -- as long as he does not make himself vulnerable to a stock crash. Isn't capital preservation a ...
by siamond
Sun Mar 05, 2017 9:54 am
Forum: Investing - Help with Personal Investments
Topic: Portfolio Review: Newbie w/ $2.8M
Replies: 58
Views: 6150

Re: Portfolio Review: Newbie w/ $2.8M

Ps. OP, Let me suggest you carefully read the excellent 'Deep Risk' booklet from Dr. Bernstein. An excellent way to frame the various types of risk you will face, short-term and long-term.

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