Search found 342 matches

by Tyler9000
Sun May 20, 2018 2:36 pm
Forum: Investing - Theory, News & General
Topic: Three-fund portfolio returns and variance drain
Replies: 106
Views: 9468

Re: Three-fund portfolio returns and variance drain

As the original poster of this topic, let me try to summarize what I've learned, so far: ... Seeking higher returns by trying to bet on future asset correlations , as promoted by author Larry Swedroe (who has an awful track record), is a form of speculation , mostly driven by greed (e.g. the hope t...
by Tyler9000
Sun May 20, 2018 11:08 am
Forum: Investing - Theory, News & General
Topic: Three-fund portfolio returns and variance drain
Replies: 106
Views: 9468

Re: Three-fund portfolio returns and variance drain

I noticed in reading the Wiki that there might already be an ambiguity in the first line where average return is mentioned without the qualifier that the term refers to the arithmetic average. The reason this is important is that the conventional data published for returns of investments are actual...
by Tyler9000
Sat May 12, 2018 1:03 am
Forum: Investing - Theory, News & General
Topic: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?
Replies: 195
Views: 41792

Re: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?

I accidentally tripped over your collapsible panel at the bottom of the page. Not knowing what the "+" link did, I clicked on it and was unexpectedly presented with the Google translate widget. Google translate is a very useful feature that will help you reach world-wide readers. It needs to be eas...
by Tyler9000
Fri May 11, 2018 9:27 pm
Forum: Investing - Theory, News & General
Topic: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?
Replies: 195
Views: 41792

Re: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?

Fundamental question about the 3x3 box. If I want to choose something that looks like, say, the SP500, do I fill in the 3x3 matrix with the same percentages as I might see on Morningstar? Or would I just use the large cap blend box in the top row, center, and the underlying data auto-magically hand...
by Tyler9000
Fri May 11, 2018 10:29 am
Forum: Investing - Theory, News & General
Topic: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?
Replies: 195
Views: 41792

Re: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?

And I think my use case is very important, actually, people (notably in the US) really need to learn to think 'out of sample' I agree. One of the things I really like about the new World ex-US and Europe data is the ability to see how various portfolios performed with no US data in the mix. It's no...
by Tyler9000
Thu May 10, 2018 10:39 pm
Forum: Investing - Theory, News & General
Topic: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?
Replies: 195
Views: 41792

Re: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?

Thanks for the feedback, Siamond. I also think it would be great to have a full 3x3 grid for every country. Unfortunately, while I originally had the same reaction you did it turns out IIA is far more comprehensive than Fama-French in that regard (FF's country-specific total market data is great but...
by Tyler9000
Thu May 10, 2018 6:46 pm
Forum: Investing - Theory, News & General
Topic: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?
Replies: 195
Views: 41792

Re: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?

You're welcome! Are you aware of fund options for international (ex US) SCV other than the one provided by DFA? Good question. Updating my index fund research for all of the new assets is on my to-do list, and I still have a lot of work to do on that front. And I'm certainly aware that not every ass...
by Tyler9000
Thu May 10, 2018 2:40 pm
Forum: Investing - Theory, News & General
Topic: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?
Replies: 195
Views: 41792

Re: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?

For anyone interested in exploring lots of different asset types in portfolio modeling, I just finished a major update of the site that massively increases the number of assets to choose from. So whether you're looking to model portfolios including things like international SCV, test US-centric port...
by Tyler9000
Thu May 10, 2018 1:25 pm
Forum: Investing - Theory, News & General
Topic: New Source For Older Stock Data
Replies: 9
Views: 914

Re: New Source For Older Stock Data

siamond wrote:
Sun Apr 29, 2018 2:05 pm
Note that PortfolioCharts already allows to do something like that for a few countries, and I'm sure Tyler has plans for this IIA data...
Yep! :D

viewtopic.php?f=10&t=171019&p=3921803#p3921803
by Tyler9000
Sun Apr 29, 2018 11:28 am
Forum: Investing - Theory, News & General
Topic: New Source For Older Stock Data
Replies: 9
Views: 914

Re: New Source For Older Stock Data

The part I personally find most interesting is the level of size and value factor data for World and Europe, but I admit that's more from a non-US perspective. European investors have different needs and index offerings from their US counterparts, and good historical data is even more difficult to f...
by Tyler9000
Mon Apr 23, 2018 2:59 pm
Forum: Investing - Theory, News & General
Topic: New Source For Older Stock Data
Replies: 9
Views: 914

New Source For Older Stock Data

As part of my ongoing personal research into historical data sources for backtesting purposes, I stumbled across a data source I've never seen before that I thought I'd share. It was compiled by Independence International Associates and includes monthly country and market segment indices from 1975 t...
by Tyler9000
Sun Apr 22, 2018 5:36 pm
Forum: Investing - Theory, News & General
Topic: Emerging Markets - Extending historical returns
Replies: 22
Views: 3353

Re: Emerging Markets - Extending historical returns

Actually, now that I look at the two charts again they look more similar than I thought. (Maybe I was looking at the MSCI World Index line last time? I dunno.) It would better if the IFCI index were rebased to end-88 IFCG (index of end-88 MSCI World)... Using a bit of image editing, here's the same...
by Tyler9000
Fri Apr 20, 2018 8:59 am
Forum: Investing - Theory, News & General
Topic: We crush stock indexes, Yale claims
Replies: 98
Views: 11934

Re: We crush stock indexes, Yale claims

Unfortunately this analysis doesn't really tell us anything because it assumes that Yale's asset allocation was unchanged for 40 years. If you download their annual report from 2 or 3 years to see that they change it. The Swensen Portfolio data in the article is indeed a fixed & annually rebalanced...
by Tyler9000
Tue Apr 17, 2018 12:38 pm
Forum: Investing - Theory, News & General
Topic: NAESX - is not really Small Cap?! [Vanguard Small-Cap Index]
Replies: 41
Views: 3663

Re: NAESX - is not really Small Cap?!

I think the charts and the text in the link infer that all four of these methods depend on the number of stocks in each group. Yeah, the CRSP link over-simplifies a bit. I've read their full methodology documents and they definitely use capitalization percentage and not company count. FTSE is the s...
by Tyler9000
Tue Apr 17, 2018 12:24 pm
Forum: Investing - Theory, News & General
Topic: We crush stock indexes, Yale claims
Replies: 98
Views: 11934

Re: We crush stock indexes, Yale claims

One big question in my mind, Tyler, is whether the performance results you're working with are net of fees. As others have mentioned, it's hard to know whether Yale fully accounts for the various fees they pay, from the in-house staff to the private equity people. Even if it's less than 2 and 20, i...
by Tyler9000
Tue Apr 17, 2018 11:50 am
Forum: Investing - Theory, News & General
Topic: NAESX - is not really Small Cap?! [Vanguard Small-Cap Index]
Replies: 41
Views: 3663

Re: NAESX - is not really Small Cap?!

Dive into the taxonomy of CRSP indices and you will find it much more surprising than just drawing lines in different places. They have a megacap index, largecap index, midcap index, and smallcap index. The large cap index corresponds to the combination of the midcap and megacap indices. This means...
by Tyler9000
Mon Apr 16, 2018 9:54 pm
Forum: Investing - Theory, News & General
Topic: We crush stock indexes, Yale claims
Replies: 98
Views: 11934

Re: We crush stock indexes, Yale claims

Maybe passive doesn't always beat active? At least for institutional investors. https://www.institutionalinvestor.com/article/b17qpx3nyyqywd/we-crush-stock-indexes,-yale-claims Thanks for the link. Very interesting. I started writing a reply, but it quickly got out of hand and I realized I had way ...
by Tyler9000
Sat Apr 14, 2018 5:23 pm
Forum: Investing - Theory, News & General
Topic: NAESX - is not really Small Cap?! [Vanguard Small-Cap Index]
Replies: 41
Views: 3663

Re: NAESX - is not really Small Cap?!

The primary driving effect behind the difference is that Morningstar changed the breakpoints for what they consider mid and small. I wasn't aware of that. Thanks for the info. Yeah, one needs to be careful about using the Morningstar breakpoints for evaluating index funds that may use different con...
by Tyler9000
Sat Apr 07, 2018 4:00 pm
Forum: Investing - Theory, News & General
Topic: Bond Index Calculator
Replies: 20
Views: 1757

Re: Bond Index Calculator

Tyler, I use different approach with my spreadsheets. While I protect calculation fields in my spreadsheets, I don't set up a password. This way, people can easily unprotect the fields if they need to. Cool -- thanks for pointing that out. It helped me finish my thought and check both calculation m...
by Tyler9000
Sat Apr 07, 2018 2:36 pm
Forum: Investing - Theory, News & General
Topic: Bond Index Calculator
Replies: 20
Views: 1757

Re: Bond Index Calculator

Could you release the password ? Can't add annual data without it. I like to keep it moderately protected so that I can stand behind the calculations by preventing multiple versions from floating around. But I also like to make things useful. I updated the spredsheet so that you can change the star...
by Tyler9000
Fri Apr 06, 2018 6:43 pm
Forum: Investing - Theory, News & General
Topic: Bond Index Calculator
Replies: 20
Views: 1757

Re: Bond Index Calculator

Now this begs the question... In layman's terms, what are the main differences between this new simulator and Longinvest's original bond fund simulator? I am not asking about inner mechanics or usability, but more about the quality of the outcome? Why would one be more accurate than the other, and ...
by Tyler9000
Thu Apr 05, 2018 10:45 pm
Forum: Investing - Theory, News & General
Topic: Bond Index Calculator
Replies: 20
Views: 1757

Re: Bond Index Calculator

FYI -- the calculator explanation and associated spreadsheet have been updated with the feedback from Longinvest. The spreadsheet itself is now dead simple and in my experience the results are impressively accurate for a DIY data series. I'm a big believer in continuous improvement, so feel free to ...
by Tyler9000
Wed Apr 04, 2018 11:43 pm
Forum: Investing - Theory, News & General
Topic: Bond Index Calculator
Replies: 20
Views: 1757

Re: Bond Index Calculator

Also, I think that the yields we use are, for each year, the "January average" yield, but reported index and fund returns are as of December 31st. It depends on the source. FYI -- all of my numbers above use end-of-month December par yields from the US treasury: https://www.treasury.gov/resource-ce...
by Tyler9000
Wed Apr 04, 2018 11:00 pm
Forum: Investing - Theory, News & General
Topic: Bond Index Calculator
Replies: 20
Views: 1757

Re: Bond Index Calculator

I think I should have clarified my formula: TR_Rung_X (Total return, 1 rung, 1 year) = SY - PV(EY,M-1,SY,1) - 1 Where: SY (start yield): is the yield of a bond of maturity M at the start of the first year EY (end yield): is the yield of a bond of maturity M-1 at the start of the second year M (matu...
by Tyler9000
Wed Apr 04, 2018 10:32 pm
Forum: Investing - Theory, News & General
Topic: Bond Index Calculator
Replies: 20
Views: 1757

Re: Bond Index Calculator

Great feedback, Longinvest. Just as I hoped you'd offer. :D The first formula seems to be calculating an annual interest payment. Why use the average of the start and end yields? In a bond/CD ladder, the coupon payment isn't affected by changes in yields, only the value of the rung is affected. Well...
by Tyler9000
Wed Apr 04, 2018 12:00 am
Forum: Investing - Theory, News & General
Topic: Bond Index Calculator
Replies: 20
Views: 1757

Bond Index Calculator

I've long been a fan of Longinvest's Bond Fund Simulator and how it has contributed so much to Simba's Backtesting Spreadsheet , but for my own purposes I needed something a little easier to modify to quickly model different types of funds from varying markets and maturity ranges. So I built my own ...
by Tyler9000
Sun Apr 01, 2018 2:14 pm
Forum: Investing - Theory, News & General
Topic: Is backtesting worthless? Are there ANY insights you can get from it?
Replies: 69
Views: 4776

Re: Is backtesting worthless? Are there ANY insights you can get from it?

As the author of my own portfolio backtesting site , I've thought a lot about this topic. :D In my opinion backtest ing as an exercise is extremely valuable when applied properly. What backtesting is useful for Evaluating the performance claims of investing "experts" Understanding how portfolios per...
by Tyler9000
Tue Mar 27, 2018 10:24 am
Forum: Investing - Theory, News & General
Topic: Seasoned bogleheads repressing the thought of lower expected returns
Replies: 178
Views: 12524

Re: Seasoned bogleheads repressing the thought of lower expected returns

Best low-key comment in the thread: P.S. The Fidelity Retirement Income Planner, silly and overprecise, nevertheless did all the planning assuming 10th percentile market returns, i.e. returns that historically would have been exceeded 90% of the time. I think that's conservative enough to include th...
by Tyler9000
Thu Mar 15, 2018 5:44 pm
Forum: Investing - Theory, News & General
Topic: Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others
Replies: 31
Views: 3627

Re: Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others

I've got nothing much to add to your analysis, but the visuals are simply terrific. Great work!
by Tyler9000
Tue Mar 13, 2018 6:16 pm
Forum: Investing - Theory, News & General
Topic: CAPE in the Context of Real Rates & Inflation, 1880-2018
Replies: 37
Views: 3511

Re: CAPE in the Context of Real Rates & Inflation, 1880-2018

Just to add: My interest in the OP analysis was not to be forecasting expected returns for stocks, but rather to reinforce the point that macroeconomic conditions (especially real rates and inflation) have a large impact on stock valuations. Too often, Forum posters compare CAPE values across time,...
by Tyler9000
Mon Feb 26, 2018 8:41 pm
Forum: Investing - Theory, News & General
Topic: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?
Replies: 195
Views: 41792

Re: www.portfoliocharts.com ... "The Coolest Portfolio Tool on the Web"?

Thanks for the plug, Siamond. I'm always excited to get the attention of a fellow data aficionado. :) I wonder if Tyler could do the same sort of thing with the long-term returns display? The advantage with comparing on that display is the linear vertical axis would become less of a problem. That's ...
by Tyler9000
Thu Feb 15, 2018 10:25 pm
Forum: Investing - Theory, News & General
Topic: Morningstar's SWR study
Replies: 44
Views: 3890

Re: Morningstar's SWR study

On paper, the difference between a 4.5% SWR and a 5% SWR seems massive. In the real world it means going from a portfolio of 20x to 22x. It obviously depends on your personal savings rate, investment performance, etc, etc. But for a lot of people on Bogleheads that means "work 6-18 months more". (A...
by Tyler9000
Thu Feb 15, 2018 10:17 pm
Forum: Investing - Theory, News & General
Topic: Morningstar's SWR study
Replies: 44
Views: 3890

Re: Morningstar's SWR study

For sure, but this chart only addresses the 1970-now time period, right? Hence missing the really painful starting years like in the mid-60s. Hard to say what would have really happened to those 'lazy' portfolios by then. I would *guess* some of them would have made a true difference, but this is o...
by Tyler9000
Thu Feb 15, 2018 9:46 pm
Forum: Investing - Theory, News & General
Topic: Morningstar's SWR study
Replies: 44
Views: 3890

Re: Morningstar's SWR study

So AA does have an impact on the SWR, but whether this is 'substantial' is a matter of opinion. Indeed. And I think it is not substantial :D . Taking Australia as one of the more extreme examples, the difference between 100% bonds and 100% equities is what, 0.5%? Fair enough, but start looking at m...
by Tyler9000
Tue Feb 13, 2018 7:08 pm
Forum: Investing - Theory, News & General
Topic: Morningstar's SWR study
Replies: 44
Views: 3890

Re: Morningstar's SWR study

The interesting bit I found was the longer the retirement timeframe (ie 40 years) the higher the equity allocation did not provide a higher SWR rate at 99% probability of success. Thanks for the links. I find this topic very interesting. From my own research, it's pretty clear that the common assum...
by Tyler9000
Tue Feb 13, 2018 12:18 pm
Forum: Investing - Theory, News & General
Topic: SWR — Can You Include Real Estate as Part of Your Portfolio
Replies: 24
Views: 1691

Re: SWR — Can You Include Real Estate as Part of Your Portfolio

I assume you dont include the value of your primary residence in your portfolio but what if you have a $1mm home and could easily downsize to a $500k home in the future if needed? Can you include the $500k difference in calculating SWR? How about vacation houses that could be sold or rented later i...
by Tyler9000
Tue Feb 13, 2018 12:02 pm
Forum: Investing - Help with Personal Investments
Topic: 4% rule and early retirement?
Replies: 69
Views: 9502

Re: 4% rule and early retirement?

Is there research / recommendations on the 4% safe withdrawal rule and early retirement? If I understand correctly the 4% rule was done with a 30-year time horizon. What happens if one has potentially 40 or 50 years in retirement? The 4% rule still applies? For very long retirements, I recommend re...
by Tyler9000
Fri Jan 05, 2018 8:03 pm
Forum: Investing - Help with Personal Investments
Topic: As a German: Should I go 100% US stocks?
Replies: 62
Views: 5254

Re: As a German: Should I go 100% US stocks?

Care to point out any place in the article that compares diversified portfolio to ones with home country biases cause I don't see it. I do see a lot of evidences that Intermediate bonds were good investments in the 70s and 80s:) And yeah I can see a much stronger argument for local currency bonds. ...
by Tyler9000
Fri Jan 05, 2018 4:02 pm
Forum: Investing - Help with Personal Investments
Topic: As a German: Should I go 100% US stocks?
Replies: 62
Views: 5254

Re: As a German: Should I go 100% US stocks?

What evidence do you have that inflation and home country returns are linked? In pretty much every case where inflation hits that I am aware of, you would have been better off investing in other countries securities. See the US in the 70s or any of the emerging markets that had high inflation for a...
by Tyler9000
Fri Jan 05, 2018 3:32 pm
Forum: Investing - Help with Personal Investments
Topic: As a German: Should I go 100% US stocks?
Replies: 62
Views: 5254

Re: As a German: Should I go 100% US stocks?

How would you invest if you’d be European? Currency aside, I personally think it's important to invest a good amount in your home country to make sure the engine of your returns properly tracks the local inflation it needs to account for. To explore the numbers for yourself I recommend checking out...
by Tyler9000
Tue Jan 02, 2018 6:49 pm
Forum: Investing - Help with Personal Investments
Topic: Asset Allocation during retirement and Safe Withdrawal Rates
Replies: 8
Views: 1132

Re: Asset Allocation during retirement and Safe Withdrawal Rates

2. I am currently at 42% bonds and 58% equities allocation (Core Four) Also, keep in mind that if you're invested in the Core Four then your portfolio contains two assets that the Trinity Study never even considered in its analysis. Not all stocks and bonds are created equal! This is a complicated ...
by Tyler9000
Mon Jan 01, 2018 1:47 pm
Forum: Investing - Help with Personal Investments
Topic: VBR
Replies: 8
Views: 988

Re: VBR

Mutual fund VBR is suppose to be small cap value. How can this be a value fund if the P/E is 27.63? The short story is that VBR covers the top cap-weighted half of the small cap market as sorted by value and does not simply sell and sit in cash if the market as a whole is overvalued. In fact, it al...
by Tyler9000
Wed Dec 27, 2017 10:13 pm
Forum: Investing - Theory, News & General
Topic: Is anyone putting money aside into Gold?
Replies: 148
Views: 15206

Re: Is anyone putting money aside into Gold?

Tyler, are gold prices and stock returns actually negatively correlated or just uncorrelated? Looking at the last 14 years of data, the correlation between GLD and VTSMX is .04, which is essentially zero. According to my best current year-end data, the correlation of gold to US stocks since 1972 (t...
by Tyler9000
Tue Dec 26, 2017 10:03 pm
Forum: Investing - Theory, News & General
Topic: Is anyone putting money aside into Gold?
Replies: 148
Views: 15206

Re: Is anyone putting money aside into Gold?

https://portfoliocharts.com/portfolio/drawdowns/ FYI - The website developer is a forum member (Tyler9000). I asked him to review the website entry. I'm on it! :D Here are the two charts for discussion purposes. Note that it's set to Australia and to All-World per Wombatty's calculations. (That set...
by Tyler9000
Mon Dec 11, 2017 6:33 pm
Forum: Investing - Theory, News & General
Topic: What are your thoughts on the "Golden Butterfly" portfolio?
Replies: 115
Views: 21420

Re: What are your thoughts on the "Golden Butterfly" portfolio?

The whole point is that it is a top-down portfolio linked to local economic conditions. I always appreciate succinct explanations. Well said. BTW, for anyone considering the Golden Butterfly I also recommend this book on the Permanent Portfolio. It goes through a lot of the macroeconomic background...
by Tyler9000
Mon Dec 11, 2017 5:54 pm
Forum: Investing - Theory, News & General
Topic: What are your thoughts on the "Golden Butterfly" portfolio?
Replies: 115
Views: 21420

Re: What are your thoughts on the "Golden Butterfly" portfolio?

Living in the UK (as a British citizen with no plans to move abroad any time soon), what are the downsides (if any) to investing in a US portfolio like this? If you're building a Golden Butterfly for the UK or any other smaller market, splitting the stocks between half local and half All-World migh...
by Tyler9000
Wed Dec 06, 2017 6:17 pm
Forum: Investing - Help with Personal Investments
Topic: Asset Allocation & The 4% Rule
Replies: 8
Views: 837

Re: Asset Allocation & The 4% Rule

If you have a little time, I recommend reading through each of these articles. They discuss things like how asset allocation (including investment options never considered by most retirement studies) affects SWRs and how your home country also affects the numbers in ways that might surprise you. htt...
by Tyler9000
Sat Nov 11, 2017 3:52 pm
Forum: Investing - Theory, News & General
Topic: Volatility and Risk relationship
Replies: 29
Views: 2575

Re: Volatility and Risk relationship

If interested, I started a thread in the past on the issue of volatility drag. If two portfolios have the same average annual return but different volatilities, the portfolio with less volatility will have a higher terminal wealth. It’s compounded return will be greater. To me, this is a strong rea...
by Tyler9000
Fri Nov 10, 2017 2:42 pm
Forum: Investing - Help with Personal Investments
Topic: Any red flags all stocks no bonds...
Replies: 64
Views: 4212

Re: Any red flags all stocks no bonds...

I personally think 100% stocks can work fine for the right person in the right situation, but there's so much more to wise financial management than simply maximizing hopeful long-term returns. By choosing that path you're sacrificing a lot of benefits that an intelligently diversified asset allocat...
by Tyler9000
Thu Nov 02, 2017 9:15 pm
Forum: Investing - Help with Personal Investments
Topic: what % return do you use?
Replies: 62
Views: 5089

Re: what % return do you use?

Basically, most sites you read say 7% is a fairly common number to use for returns over the long haul, and I tend to agree. But, when you are less than 10 years away from your number, the accuracy of that 7% return seems to be much more volatile. How many that have less than 10 years till FIRE are ...