Search found 545 matches

by robertmcd
Wed Oct 23, 2019 2:47 pm
Forum: Personal Investments
Topic: Bond funds: Additional yield per year of duration
Replies: 8
Views: 777

Re: Bond funds: Additional yield per year of duration

The additional yield per year of duration rule of 20 bps or whatever was in Larry’s bond book is antiquated. Not to mention it has failed for the past 30 yrs. The people holding bonds with greater interest rate risk to reduce the volatility of their stock heavy portfolio have been well rewarded wit...
by robertmcd
Wed Oct 23, 2019 1:48 pm
Forum: Investing - Theory, News & General
Topic: [Paul Merriman: This strategy beats a total stock market fund]
Replies: 173
Views: 15701

Re: [Paul Merriman: This strategy beats a total stock market fund]

I'm just a layman but I'm unconvinced. 1. If I own Total Stock Market and Total Int'l Stock Market then I already own every single equity in Merriman's more complicated portfolio, just in somewhat different weights. 2. The market has already valued every single equity at their current values. Any o...
by robertmcd
Wed Oct 23, 2019 10:47 am
Forum: Personal Investments
Topic: Bond funds: Additional yield per year of duration
Replies: 8
Views: 777

Re: Bond funds: Additional yield per year of duration

The additional yield per year of duration rule of 20 bps or whatever was in Larry’s bond book is antiquated. Not to mention it has failed for the past 30 yrs. The people holding bonds with greater interest rate risk to reduce the volatility of their stock heavy portfolio have been well rewarded with...
by robertmcd
Tue Oct 22, 2019 5:10 pm
Forum: Investing - Theory, News & General
Topic: Investing for the "great sag" - Dalio
Replies: 65
Views: 11191

Re: Investing for the "great sag" - Dalio

Here is my “great sag” investment plan:

Take a lot more risk on the bond side (duration not credit) because if stocks drop, treasury yields will drop.
by robertmcd
Mon Oct 21, 2019 12:48 pm
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 115
Views: 13717

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

Can someone help explain how to earn interest on the cash margin requirements for treasury futures? I contacted scwhab again as I was skeptical that you could use money market fund to satisfy margin requirements. They said it counts as a marginable security, but then whatever cash i don't have woul...
by robertmcd
Mon Oct 21, 2019 9:16 am
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 115
Views: 13717

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

Im considering this scheme for some collateral money, so targeting a low drawdown (<10%). Risk parity of SPY and SHY is about 10/90, then leveraging this 3x. Cheers :greedy After a second look, I no longer believe this maturity is the most apt. Even though you maximize sharp ratio, you miss on the ...
by robertmcd
Fri Oct 18, 2019 1:14 pm
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 115
Views: 13717

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

In regards to Eurodollars, this is the response I got from Eric Hickman at Kessler: "I have done a lot of back-testing work with these shorter instruments, not trying to eliminate the negative carry, but to possibly capture more movement. The negative carry cannot be eliminated because what you don...
by robertmcd
Fri Oct 18, 2019 11:37 am
Forum: Investing - Theory, News & General
Topic: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures
Replies: 115
Views: 13717

Re: A gentle alternative to HEDGEFUNDIE's excellent adventure with 2-Year Treasury Futures

In regards to Eurodollars, this is the response I got from Eric Hickman at Kessler: "I have done a lot of back-testing work with these shorter instruments, not trying to eliminate the negative carry, but to possibly capture more movement. The negative carry cannot be eliminated because what you don’...
by robertmcd
Fri Oct 18, 2019 10:39 am
Forum: Personal Investments
Topic: Best Brokerage for Equity ETF/Treasury Futures combo
Replies: 0
Views: 307

Best Brokerage for Equity ETF/Treasury Futures combo

With all the new commission cuts and talks about risk parity, I am curious as to what brokerage people are using for trading futures. Here is what I am looking to do: -Use T-bills as collateral for treasury futures purposes (I don't want to be subjected to the lower interest rates on cash) -low cost...
by robertmcd
Wed Oct 16, 2019 11:21 am
Forum: Investing - Theory, News & General
Topic: [Deleted]
Replies: 21
Views: 1273

Re: Improving Withdrawal Rates in a Low-Yield World

All you can really do is backtest, and for me, nothing increases SWR better in recent time periods with low expected equity returns than taking more duration risk and zero credit risk. You do expose yourself to more tail risk in the form of inflation though. If you don't want that inflation risk, yo...
by robertmcd
Wed Oct 16, 2019 9:53 am
Forum: Investing - Theory, News & General
Topic: Bank of America declares 'the end of the 60-40' standard portfolio
Replies: 88
Views: 16250

Re: New research claiming the reasons to invest in bonds have mostly disappeared.

[Post merged into here, see below. --admin LadyGeek] Marketwatch is reporting on new research from Bank of America claiming the traditional reasons for investing in bonds are largely no longer valid. From what I gather from the article, the researchers - Derek Harris and Jared Woodard - argue that ...
by robertmcd
Mon Oct 14, 2019 4:40 pm
Forum: Personal Consumer Issues
Topic: Seiko Watch
Replies: 37
Views: 4250

Re: Seiko Watch

Seiko is by far my favorite watch brand, but unfortunately they are headed in the wrong direction as far as price vs. features go. The JDM models for sub $400, and their sub $200 iso divers were really something special. Seiko can do watch cases and dial finishing better at any price point than othe...
by robertmcd
Mon Oct 14, 2019 11:42 am
Forum: Personal Finance (Not Investing)
Topic: 401k Provider with Mega Backdoor Roth IRA Ability
Replies: 3
Views: 495

401k Provider with Mega Backdoor Roth IRA Ability

All,

Our company is growing and we will be starting a 401k for its employees. We are very small (8-10 employees) maybe get up to 20 or so. Does anyone know of any of the low cost 401k providers that allow for the MBR?
by robertmcd
Mon Oct 14, 2019 11:38 am
Forum: Investing - Theory, News & General
Topic: Intermediate bonds vs 50/50 ST/LT bonds in retirement portfolio
Replies: 15
Views: 1558

Re: Intermediate bonds vs 50/50 ST/LT bonds in retirement portfolio

Personally I am against the bond barbell of ST and LT to approximate intermediate term. Pick the bond duration you want to hold based on your stock allocation (higher stock % - hold higher duration bond fund) and hold the shortest term bonds to get that duration. Long term treasuries have a lower sh...
by robertmcd
Mon Oct 14, 2019 11:23 am
Forum: Personal Investments
Topic: How much to hold in cash?
Replies: 54
Views: 8746

Re: How much to hold in cash?

No cash other than a couple thousand for credit cards/rent, etc before it goes straight into stocks and bonds in taxable account. IMO At a certain point, a sizeable taxable portfolio makes it unnecessary to hold cash if you are holding a portfolio with the proper amount of risk. But for a 100% stock...
by robertmcd
Fri Oct 11, 2019 10:02 am
Forum: Investing - Theory, News & General
Topic: [Deleted] [Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund]
Replies: 652
Views: 68392

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Unfortunately NTSX doesn't have enough duration exposure for risk parity. Something like NTSX in taxable + EDV in tax advantaged could be good. Need to see what the stock allocation could get up to for risk parity. Limited to 60% VTI, 40% EDV without leverage.
by robertmcd
Fri Oct 11, 2019 9:52 am
Forum: Personal Investments
Topic: Bond Allocation Choices at Retirement
Replies: 10
Views: 1980

Re: Bond Allocation Choices at Retirement

Thanks dbr. I greatly value your thoughts and read your posts daily. Yes. All bonds are in 401k space. I wanted to keep it simple. If there is a pitfall here please let me know. And thanks again. Looks pretty good. I would not hesitate to be 100% treasuries in your case with a 50% stock allocation....
by robertmcd
Fri Oct 11, 2019 9:17 am
Forum: Investing - Theory, News & General
Topic: If Charles Schwab et al. drop commissions to zero, can we build our own index funds?
Replies: 68
Views: 8205

Re: If Charles Schwab et al. drop commissions to zero, can we build our own index funds?

"Direct Indexing" really serves no purpose anymore IMO. Sure it allows stock level TLH but do you really need that? I can TLH between dozens of highly liquid ETF's with ER's of like .05 and below. This forum can get too obsessed with single basis point ER differences when the most important factor i...
by robertmcd
Thu Oct 10, 2019 5:09 pm
Forum: Investing - Theory, News & General
Topic: If Charles Schwab et al. drop commissions to zero, can we build our own index funds?
Replies: 68
Views: 8205

Re: If Charles Schwab et al. drop commissions to zero, can we build our own index funds?

You can get pretty good tracking with just 30 stocks, as illustrated by how strongly correlated the Dow is with the S&P500. You wouldn't need to hold all 500 stocks in the S&P500, and certainly not all 3500+ in TSM. Pick 50-100 representative stocks. If you did this at M1, you can auto-rebalance in...
by robertmcd
Wed Oct 09, 2019 10:44 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4906
Views: 424047

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

This article mentions that a lot of times when the yield curve is inverted it is generally followed by the Fed lowering rates and thus not necessarily a bad time to be in leveraged 2 year futures. https://www.advisorperspectives.com/articles/2018/08/13/the-case-for-leveraged-u-s-treasury-bonds I've...
by robertmcd
Wed Oct 09, 2019 10:27 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 18800
Views: 2628255

Re: U.S. stocks in free fall

Yields tell the real story. 10 yr is 1.7% lower than it was a year ago. Only reason stocks are at their current levels. 2 rate cuts already, another 25 bps cut priced in for October, QE on the way. What happens when stocks struggle when we are at a 0% Fed funds rate and the 10 yr is sub 1%? That is ...
by robertmcd
Tue Oct 08, 2019 11:59 am
Forum: Personal Investments
Topic: Excellent Adventure in Taxable?
Replies: 33
Views: 5586

Re: Excellent Adventure in Taxable?

What if someone did something like 100% vti or spy and equivalent amount of 30 year bond futures? Seems like this might be a tax efficient way to do this with slightly less leverage. How can you be 100% equity via unleveraged fund and also hold futures? You need some allocation for the futures and ...
by robertmcd
Tue Oct 08, 2019 11:50 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4906
Views: 424047

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Treasury futures are rolled quarterly. Why not do something like the following at each roll date: If yield curve is inverted such that the roll rate on 2y futures is negative then use the appropriate number of longer term futures (whose roll rates are not negative) for the duration desired. If yiel...
by robertmcd
Tue Oct 08, 2019 11:21 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4906
Views: 424047

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Treasury futures are rolled quarterly. Why not do something like the following at each roll date: If yield curve is inverted such that the roll rate on 2y futures is negative then use the appropriate number of longer term futures (whose roll rates are not negative) for the duration desired. If yiel...
by robertmcd
Tue Oct 08, 2019 10:23 am
Forum: Personal Investments
Topic: Excellent Adventure in Taxable?
Replies: 33
Views: 5586

Re: Excellent Adventure in Taxable?

What if someone did something like 100% vti or spy and equivalent amount of 30 year bond futures? Seems like this might be a tax efficient way to do this with slightly less leverage. The most tax efficient way to do this right now would be to hold S&P 500 ETF for majority of stocks, then T bills as...
by robertmcd
Fri Oct 04, 2019 5:00 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks continue to soar!
Replies: 5625
Views: 481458

Re: U.S. stocks continue to soar!

I don't see the necessity of a positive yield curve in the event of protracted negative rates. My intuitive notion is that the yield curve should naturally flatten approaching zero, then mirror itself about the x-axis as rates go negative. In other words, in a regime where rates are negative and ex...
by robertmcd
Fri Oct 04, 2019 4:53 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks continue to soar!
Replies: 5625
Views: 481458

Re: U.S. stocks continue to soar!

Like clockwork. A quick dip and voila! Another rate cut priced in. Equities rally back to near ATH's due to multiple expansion as earnings continue to deteriorate. Rinse and repeat for the next 12 months. What happens when earnings continue their decline with stocks at all time highs, the Fed funds...
by robertmcd
Fri Oct 04, 2019 4:06 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks continue to soar!
Replies: 5625
Views: 481458

Re: U.S. stocks continue to soar!

Like clockwork. A quick dip and voila! Another rate cut priced in. Equities rally back to near ATH's due to multiple expansion as earnings continue to deteriorate. Rinse and repeat for the next 12 months. What happens when earnings continue their decline with stocks at all time highs, the Fed funds...
by robertmcd
Fri Oct 04, 2019 2:47 pm
Forum: Personal Investments
Topic: Commission free dividend stock portfolio
Replies: 15
Views: 1456

Re: Commission free dividend stock portfolio

You can do this, but the time to maintain it will not be worth it. You will need about 40 different stocks to be diversified. Everytime you add money do you want to have to buy/sell 40 stocks to rebalance? Just buy a value or high dividend yield ETF
by robertmcd
Fri Oct 04, 2019 2:11 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks continue to soar!
Replies: 5625
Views: 481458

Re: U.S. stocks continue to soar!

Like clockwork. A quick dip and voila! Another rate cut priced in. Equities rally back to near ATH's due to multiple expansion as earnings continue to deteriorate. Rinse and repeat for the next 12 months. What happens when earnings continue their decline with stocks at all time highs, the Fed funds ...
by robertmcd
Fri Oct 04, 2019 11:28 am
Forum: Personal Investments
Topic: Stellar Bond Fund Returns - What does this mean?
Replies: 13
Views: 1382

Re: Stellar Bond Fund Returns - What does this mean?

I read commentary about people debating dodging bond funds in lieu of Money Market funds and CD's as the long term outlook on bonds is tepid. I support money market funds and CDs replacing short term bond allocations, but not intermediate/long. People have been shunning bonds for the past 10 yrs an...
by robertmcd
Wed Oct 02, 2019 12:48 pm
Forum: Personal Investments
Topic: What is the least expensive way to get access to DFA funds?
Replies: 10
Views: 1603

Re: What is the least expensive way to get access to DFA funds?

ScubaHogg wrote:
Wed Oct 02, 2019 11:49 am
White Coat Investor wrote:
Sat Sep 28, 2019 10:07 pm
Utah 529. https://my529.org/

Also FPL Capital. http://www.fplcapital.com/
Does FPL charge a one time fee for ongoing access or a reoccurring? It wasn’t clear to me from their website. Thanks
FPL charges 1k a year
by robertmcd
Tue Oct 01, 2019 1:24 pm
Forum: Personal Investments
Topic: UPRO s and p 3x leverage or NTSX 1.5 leverage w bonds in a brokerage account...
Replies: 14
Views: 1753

Re: UPRO s and p 3x leverage or NTSX 1.5 leverage w bonds in a brokerage account...

NSTX unfortunately does not hold the proper allocation of bonds in their strategy IMO. 90% equities, the 60% bonds should be all be in 20-30 STRIPS for risk parity, not possible since strips futures don't exist. I wish it was an 80% equity, 120% 20-30 yr treasury futures ETF. Still a well constructe...
by robertmcd
Mon Sep 30, 2019 2:19 pm
Forum: Personal Investments
Topic: How doe the TYPICAL investor balance against interest And inflation spike risk?
Replies: 24
Views: 2131

Re: How doe the TYPICAL investor balance against interest And inflation spike risk?

Unfortunately anyone who has not taken huge inflation and interest rate risk for the past 10 yrs has done very poorly on a relative basis (broad stock market exposure has done great obviously). Mainly because there has been very little growth. I believe we will see the same thing pan thru the next r...
by robertmcd
Mon Sep 30, 2019 11:00 am
Forum: Investing - Theory, News & General
Topic: 80/20 vs 100% stocks, Long Term Treasuries, Can I get a primer?
Replies: 11
Views: 1441

Re: 80/20 vs 100% stocks, Long Term Treasuries, Can I get a primer?

Long-term Treasuries are certainly the best diversification for a77n equity portfolio, and you know I agree that the first 20% in bonds should be long-term Treasuries (or long-term TIPS if unexpectedly high inflation is a risk you face). Would this still be your recommendation even if someone had a...
by robertmcd
Sat Sep 28, 2019 7:16 pm
Forum: Personal Investments
Topic: 1000 extra stocks in VTSAX vs FZROX: what's their use?
Replies: 28
Views: 2704

Re: 1000 extra stocks in VTSAX vs FZROX: what's their use?

Negligible. But as long as they are efficient, and VTI and other funds have proved they are, don’t worry about it. There are better places to focus your investing.
by robertmcd
Fri Sep 27, 2019 5:11 pm
Forum: Investing - Theory, News & General
Topic: 80/20 vs 100% stocks, Long Term Treasuries, Can I get a primer?
Replies: 11
Views: 1441

Re: 80/20 vs 100% stocks, Long Term Treasuries, Can I get a primer?

Ignore the dollar cost averaging.

EDV packs a bigger punch than TLT or VGLT. At any equity allocation 60% or above EDV is the best diversifier (historically)

60% VTI and 40% EDV is risk parity.

An 80/20 portfolio of vti/edv would be a great option
by robertmcd
Tue Sep 24, 2019 5:22 pm
Forum: Investing - Theory, News & General
Topic: Permanent Portfolio without cash allocation?
Replies: 65
Views: 5502

Re: Permanent Portfolio without cash allocation?

I would not want to hold 25% cash (3 mo T bills) and 25% long term treasuries. Long term treasuries have a lower sharpe ratio than shorter term treasuries, so you would be better off using as short of treasury bonds as possible to balance out the equity risk. Some cite data indicating that long-ter...
by robertmcd
Tue Sep 24, 2019 5:13 pm
Forum: Investing - Theory, News & General
Topic: Permanent Portfolio without cash allocation?
Replies: 65
Views: 5502

Re: Permanent Portfolio without cash allocation?

I would not want to hold 25% cash (3 mo T bills) and 25% long term treasuries. Long term treasuries have a lower sharpe ratio than shorter term treasuries, so you would be better off using as short of treasury bonds as possible to balance out the equity risk. 25% US stocks 75% intermediate term trea...
by robertmcd
Tue Sep 24, 2019 11:34 am
Forum: Investing - Theory, News & General
Topic: Bond bubble
Replies: 22
Views: 2178

Re: Bond bubble

You wanna see a bond bubble? Oh boy just wait till the 10 yr goes sub 1%
by robertmcd
Tue Sep 24, 2019 11:13 am
Forum: Investing - Theory, News & General
Topic: Article: Value has been on a losing streak for over 30 years now
Replies: 32
Views: 2502

Re: Article: Value has been on a losing streak for over 30 years now

I just don't see how value can perform well in the future. All I see is a demographic disaster across all developed markets, masked by asset purchases by central banks to push yields lower. There is simply no real growth anymore. If you want to hold value I strongly suggest you extend duration on th...
by robertmcd
Thu Sep 19, 2019 4:50 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 4906
Views: 424047

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I'd be shocked if this made a big difference in the long-term. If the market on average opened higher/lower than it closed then traders would buy/sell the open and do the opposite at close, arbitraging away this effect. M1 trades 30 minutes after the market open so highly liquid funds such as UPRO/...
by robertmcd
Thu Sep 19, 2019 11:28 am
Forum: Personal Investments
Topic: Type of bond fund to hold for 90/10 AA
Replies: 35
Views: 1920

Re: Type of bond fund to hold for 90/10 AA

I would suggest EDV. Perfect for equity allocations 60% and higher, and even better as you get to 80% and higher.
by robertmcd
Fri Sep 13, 2019 10:33 am
Forum: Investing - Theory, News & General
Topic: Multifactor vs specialized factor funds
Replies: 15
Views: 1091

Re: Multifactor vs specialized factor funds

If I was going to buy a US factor fund. VFMF would be my top choice. Low ER, only ETF with daily rebalancing, solid # of stocks across market cap, positive momentum loading. Would be comfortable holding it as my sole US holding.
by robertmcd
Fri Sep 13, 2019 9:32 am
Forum: Investing - Theory, News & General
Topic: What does "Yankee/Foreign" mean?
Replies: 12
Views: 1938

Re: What does "Yankee/Foreign" mean?

It is a foreign bond issued by a bank or company that is denominated in US dollars.
by robertmcd
Thu Sep 12, 2019 11:40 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 1475
Views: 119415

Re: Small Cap Value heads Rejoice !!!

IMO the reason for the value rally was simply due to the duration unwind and some lagging inflation. I see no rebound in growth/higher interest rates that should help value in the long run. Even lower growth in the next business cycle, with even lower interest rates. The inflation we are seeing is n...
by robertmcd
Thu Sep 12, 2019 11:30 am
Forum: Investing - Theory, News & General
Topic: Long duration is the "Sharpe" choice for aggressively positioned portfolios
Replies: 57
Views: 3007

Re: Long duration is the "Sharpe" choice for aggressively positioned portfolios

There's an article on Morningstar.com this morning that articulates the rationale for investors with equity-heavy portfolios to be using long-duration bonds as diversifiers. How to Diversify Assets Like a Pro When You Own a Lot of Equities Some excerpts: Clearly, long duration has been as hot as th...
by robertmcd
Thu Sep 12, 2019 10:19 am
Forum: Investing - Theory, News & General
Topic: Long duration is the "Sharpe" choice for aggressively positioned portfolios
Replies: 57
Views: 3007

Re: Long duration is the "Sharpe" choice for aggressively positioned portfolios

Those of us who are serious about this use Extended Duration funds. Substitute PEDIX for VUSUX and the drawdown decreases to -31%. Leveraged short term treasuries have been even sharper since 1991: And are the "top allocation teams" at Fidelity, T. Rowe Price, and elsewhere using STRIPS and leverag...