Search found 41 matches

by rhe
Wed Mar 13, 2019 7:51 pm
Forum: Non-US Investing
Topic: Canadian moving from US to Japan
Replies: 13
Views: 1024

Re: Canadian moving from US to Japan

Yes, move the Vanguard assets to someplace else - I'd recommend Interactive Brokers. Do NOT sell them yet. Take up Japanese residency and do NOT bring the assets into Japan. If you do this then you get a 5 year window in which you don't have to pay Japanese taxes on these assets as long as the proc...
by rhe
Wed Mar 06, 2019 5:57 pm
Forum: Non-US Investing
Topic: Anyone has experience with Vanguard Hong Kong ETFs?
Replies: 6
Views: 646

Re: Anyone has experience with Vanguard Hong Kong ETFs?

I previously used HK based ETFs for some index investing. I no longer do. At one point someone on twitter called HK "the world's largest joke-ass market," which seems harsh but fair. As an example, at one point I became an accidental arbitrageur, selling 2805.HK at several percent above it's NAV an...
by rhe
Mon Mar 04, 2019 11:16 pm
Forum: Non-US Investing
Topic: Anyone has experience with Vanguard Hong Kong ETFs?
Replies: 6
Views: 646

Re: Anyone has experience with Vanguard Hong Kong ETFs?

I previously used HK based ETFs for some index investing. I no longer do. At one point someone on twitter called HK "the world's largest joke-ass market," which seems harsh but fair. As an example, at one point I became an accidental arbitrageur, selling 2805.HK at several percent above it's NAV and...
by rhe
Mon Mar 04, 2019 12:25 am
Forum: Investing - Theory, News & General
Topic: Lifecycle Investing - Leveraging when young
Replies: 184
Views: 11554

Re: Lifecycle Investing - Leveraging when young

It seems like the fundamental problem is that positions in a brokerage account (futures, options, leveraged etfs) do not accept your future income stream as collateral, and so will close you out if there are large losses, even if you could actually pay them off from your future income. LETFs are no...
by rhe
Sun Mar 03, 2019 6:43 pm
Forum: Investing - Theory, News & General
Topic: Lifecycle Investing - Leveraging when young
Replies: 184
Views: 11554

Re: Lifecycle Investing - Leveraging when young

I believe that out of the people here who actually hold some sort of leveraged position, mine is among the most conservative. I understand the basic argument that a secure future income stream should be considered when deciding on investments. The problem, as many posters (and paul samuelson) have p...
by rhe
Sun Mar 03, 2019 7:42 am
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 196
Views: 15510

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

This fund has still only attracted 5 million dollars. That *seems* low, but I’ll admit that I don’t know what a reasonable expectation would be at this point. My guess would be that anyone who understands why this fund would be useful also understands how to do this themselves at an even lower cost...
by rhe
Sun Mar 03, 2019 6:41 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 59
Views: 3288

Re: Understanding using treasury futures for leverage to implement risk parity

Well, if you have 50k to invest, and you put 49k in stocks, I'd say that's close to a 100% allocation to stocks! It's actually more challenging to put a "percentage allocation" on bonds once you're taking leveraged positions. A 100k position with ten year duration is more or less the same risk as a ...
by rhe
Sun Mar 03, 2019 2:08 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 59
Views: 3288

Re: Understanding using treasury futures for leverage to implement risk parity

One contract of ZF ("five year" treasury futures) would give you 100k of exposure to something like a 4.2 year maturity treasury. Looking at the CME treasury analytics website, it looks like this is a quarter of a ZB contract. If you had 50k, you could hold 49k of some stock ETF, and then one ZF con...
by rhe
Wed Feb 27, 2019 6:08 pm
Forum: Non-US Investing
Topic: Canadian moving from US to Japan
Replies: 13
Views: 1024

Re: Canadian moving from US to Japan

In general the japanese national tax agency takes a dim view of foreign "tax free" accounts. There seem to be some exceptions for accounts where you are prohibited from withdrawing the money, and accounts that look like annuities. You may be better off minimizing the amount you have left in the 401k...
by rhe
Wed Feb 27, 2019 6:18 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 59
Views: 3288

Re: Understanding using treasury futures for leverage to implement risk parity

Given the current size of my portfolio I think holding a strip of eurodollars would be far too much. But yes, point taken about minimizing trading costs. Well, you could hold only every second or third quarter instead of holding a contract for every quarter like a "real" strip. Adjacent eurodollar ...
by rhe
Tue Feb 26, 2019 11:50 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 59
Views: 3288

Re: Understanding using treasury futures for leverage to implement risk parity

perhaps the 5 year (ZF) rather than ZB. Keep in mind that although ZN is a "ten year" treasury future, it actually currently behaves like a 6.5 year treasury. I think this is because rates are below the conversion formula rate and so generally the lowest duration treasury is delivered. The cost of ...
by rhe
Tue Feb 26, 2019 8:44 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 59
Views: 3288

Re: Understanding using treasury futures for leverage to implement risk parity

perhaps sell or buy an extra ES or ZB contract Are you sure you want to be using ZB (treasury bond) rather than ZN (treasury note)? Based on what I've read, you're getting really minimal returns on average for the extra duration risk. Also, I believe ZN is the most liquid of these futures, which co...
by rhe
Mon Feb 25, 2019 6:36 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 59
Views: 3288

Re: Understanding using treasury futures for leverage to implement risk parity

A while back I started out doing basically what is being proposed here. Once you take a position in treasury futures, though, the historical sharpe ratio of short term treasuries has been substantially better than the 10 year treasuries... so if you're going to use leverage anyways, you might as we...
by rhe
Sat Feb 23, 2019 6:52 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 59
Views: 3288

Re: Understanding using treasury futures for leverage to implement risk parity

Are you still using the strategy? If not, what caused you to stop? I'm currently long 2 year bonds in a variety of currencies. It's a position that I'm reasonably confident will a be a good one to hold long term, based both on academic research and some more practitioner-oriented things I've read. ...
by rhe
Sat Feb 23, 2019 2:32 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 59
Views: 3288

Re: Understanding using treasury futures for leverage to implement risk parity

A while back I started out doing basically what is being proposed here. Once you take a position in treasury futures, though, the historical sharpe ratio of short term treasuries has been substantially better than the 10 year treasuries... so if you're going to use leverage anyways, you might as wel...
by rhe
Fri Dec 28, 2018 10:19 am
Forum: Investing - Theory, News & General
Topic: Buying dips not recommended?
Replies: 52
Views: 3840

Re: Buying dips not recommended?

I suppose one could write out a formal plan to buy the dips, which would include a specific rule--not to be deviated from--that spells out the exact conditions that count as a dip and what you should do. Thus, there could be a "course" that called for "buying the dips," and if it can be spelled out...
by rhe
Tue Dec 11, 2018 6:07 pm
Forum: Personal Consumer Issues
Topic: Teachers, Professors, and others with lots of vacation days: what do you do in the summer?
Replies: 49
Views: 4396

Re: Teachers, Professors, and others with lots of vacation days: what do you do in the summer?

In the winter, the weather in much of east asia is still quite nice, and you may be able to get deals because it is "off season".
by rhe
Thu Dec 06, 2018 7:39 pm
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 196
Views: 15510

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

I evaluated investing in Treasury futures directly, since I don't really need a fund to do that for me. My conclusion is that buying Treasury futures provide most of the interest rate risk with only a small yield, with the yield curve as flat as it is right now. I don't think this fund should be ow...
by rhe
Wed Nov 21, 2018 6:35 pm
Forum: Non-US Investing
Topic: Can I pay income tax on income that doesn't actually exist? [US ex-pat in Japan]
Replies: 7
Views: 875

Re: Can I pay income tax on income that doesn't actually exist? [US ex-pat in Japan]

I don't know the answer to your question, but another issue here seems to be that after five years, the Japanese government may want to tax all your foreign accounts. I *think* you are ok if you only hold annuities (e.g. TIAA real estate), but if you have mutual funds they might want their money. Th...
by rhe
Thu Aug 30, 2018 5:48 pm
Forum: Investing - Theory, News & General
Topic: Can margin be beneficial for long-term investing?
Replies: 61
Views: 4113

Re: Can margin be beneficial for long-term investing?

Using futures you can borrow at around libor, or maybe better. As has been mentioned above, from a theoretical perspective, the "right" way to manage a leveraged portfolio is to sell into losses and buy into gains, keeping the leverage ratio constant. This comes from the Kelly criterion. A portfolio...
by rhe
Tue Aug 21, 2018 5:42 pm
Forum: Personal Finance (Not Investing)
Topic: Do Universities "Bait and Switch" Financial Aid?
Replies: 16
Views: 1484

Re: Do Universities "Bait and Switch" Financial Aid?

For schools that have an independent student newspaper, it should be easy to verify that this is not happening: just search the archives for any stories about financial aid.
by rhe
Thu Aug 16, 2018 12:37 am
Forum: Non-US Investing
Topic: Do we change our self-managed investments/brokerage today assuming we might move to India in future?
Replies: 14
Views: 1191

Re: Do we change our self-managed investments/brokerage today assuming we might become non-USA residents in future?

Now that it sounds like I should just stick with Vanguard until I have a reason to move away, should I leave everything as mutual funds, or should I transfer as much as possible to ETFs based on (1) in my original post? Any ideas on that? Holding mutual funds after you leave the US will likely be a...
by rhe
Wed Aug 15, 2018 8:20 pm
Forum: Non-US Investing
Topic: Do we change our self-managed investments/brokerage today assuming we might move to India in future?
Replies: 14
Views: 1191

Re: Do we change our self-managed investments/brokerage today assuming we might become non-USA residents in future?

Didn't know about the dividend withholding part: thank you. For now, what do you think might be the best approach? Continue investing as is and only deal with it when I am actually moving out of the USA? Or do you think its worth taking the extra hassle/cost now itself even though I have no plans o...
by rhe
Wed Aug 15, 2018 6:44 pm
Forum: Non-US Investing
Topic: Do we change our self-managed investments/brokerage today assuming we might move to India in future?
Replies: 14
Views: 1191

Re: Do we change our self-managed investments/brokerage today assuming we might become non-USA residents in future?

An important question is whether the brokerage will handle your dividend withholding correctly, at the appropriate tax treaty rate. Interactive Brokers does, but I suspect that TD Ameritrade, for example, might keep your US social security number on your account, and let you sort out the mess when t...
by rhe
Thu Aug 09, 2018 6:13 pm
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 196
Views: 15510

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

Futures do not provide perfect exposure to the underlying asset. For one thing, you're paying something for the leverage, 3 month LIBOR as a rule of thumb. So the leverage is cheap, but is not free. I believe you need a Bloomberg terminal to know exactly what you are paying. Someone will be along s...
by rhe
Sun Jul 01, 2018 5:01 am
Forum: Investing - Theory, News & General
Topic: Levering a portfolio to a 60/40 equivalent
Replies: 15
Views: 2233

Re: Levering a portfolio to a 60/40 equivalent

"Most of the gains realized by a yield curve carry portfolio over the past 20 years are explained by riding the yield curve and not by falling interest rates;" https://www.google.com/url?sa=t&source=web&rct=j&url=https://coexpartnersaig.files.wordpress.com/2015/03/alternativeedge-yield-curve-carry.p...
by rhe
Sun Jul 01, 2018 4:49 am
Forum: Investing - Theory, News & General
Topic: Are options, futures good investments?
Replies: 19
Views: 2014

Re: Are options, futures good investments?

There was a previous thread on futures that had a lengthy discussion of the potential tax advantages of treasury futures versus holding bonds directly. If i remember correctly, futures were particularly advantageous for people with capital losses from previous years.
by rhe
Sat Jun 30, 2018 7:39 pm
Forum: Investing - Theory, News & General
Topic: Levering a portfolio to a 60/40 equivalent
Replies: 15
Views: 2233

Re: Levering a portfolio to a 60/40 equivalent

I agree that bond performance has been unusually good since the 1980s, but people have looked at longer periods where interest rates have gone through several cycles, and there is still a substantial benefit to holding both stocks and bonds. One interesting thing about bonds is that once you have de...
by rhe
Thu Jun 28, 2018 7:20 pm
Forum: Investing - Theory, News & General
Topic: Levering a portfolio to a 60/40 equivalent
Replies: 15
Views: 2233

Re: Levering a portfolio to a 60/40 equivalent

...but the issue is that we don't choose to "own everything "! For example, I don't have any gold, uranium, or venezuelan bank loans in my portfolio. For some reason i've decided that those assets are not going to help, but on what basis have I made that decision ?
by rhe
Thu Jun 28, 2018 6:50 pm
Forum: Investing - Theory, News & General
Topic: Levering a portfolio to a 60/40 equivalent
Replies: 15
Views: 2233

Re: Levering a portfolio to a 60/40 equivalent

I agree with the basic idea, which is that you should hold both stocks and bonds, and then use leverage to take the amount of risk that you want. This approach comes directly from modern portfolio theory. I disagree with the idea of implementing this using margin. If you use treasury futures, the im...
by rhe
Mon Jun 25, 2018 9:15 am
Forum: Non-US Investing
Topic: Starting out, in Japan
Replies: 34
Views: 4027

Re: Starting out, in Japan

The vanguard fund looks like it's less than a year old. A couple of years back I did a fairly careful investigation of what was available, and I didn't see anything that looked as good as this one. One thing to keep in mind is that if you already have money it will become taxable if you bring it int...
by rhe
Sat Jun 16, 2018 11:01 am
Forum: Non-US Investing
Topic: Starting out, in Japan
Replies: 34
Views: 4027

Re: Starting out, in Japan

Yes, there is something weird about japanese mutual funds, because some of them appear to accumulate dividends rather than distribute them. One of the unusual features of the japanese tax system is that capital gains and dividends are both taxed at the same rate, and this is fixed regardless of your...
by rhe
Sat Jun 16, 2018 6:39 am
Forum: Non-US Investing
Topic: Starting out, in Japan
Replies: 34
Views: 4027

Re: Starting out, in Japan

Regarding mutual funds like the emaxis slim series, you have to put a lot of faith in the fact that there are no fees taken out anywhere further down the line. I don't think you can ask anybody about this, because there are too many places where the money could disappear. As far as I can see, the on...
by rhe
Sat Jun 16, 2018 6:23 am
Forum: Non-US Investing
Topic: Starting out, in Japan
Replies: 34
Views: 4027

Re: Starting out, in Japan

The stated expense ratios for some of the international etfs do look good, but the problem is that the benchmark they track is the net return index, not the gross return index. If you look at vanguard international funds in other countries that track a net return index, they actually outperform thei...
by rhe
Thu Jun 14, 2018 10:41 am
Forum: Non-US Investing
Topic: Starting out, in Japan
Replies: 34
Views: 4027

Re: Starting out, in Japan

A couple of years back I looked at the etfs that were available in japan. I concluded that there were very good domestic etfs, but that the options for foreign investment were not so good. I think you are better off opening an account with interactive brokers for all your non-japanese investing. The...
by rhe
Fri Jan 26, 2018 8:21 pm
Forum: Non-US Investing
Topic: Investing in index funds as a US citizen living in Japan
Replies: 6
Views: 884

Re: Investing in index funds as a US citizen living in Japan

Interactive brokers will happily open an account for residents of Japan. They will send registered mail to the address on your official Japanese ID, but that is basically the only hoop you need to jump through. You will be allowed to trade everything except Japanese stocks. If you are a recent arriv...
by rhe
Fri Jan 26, 2018 9:01 am
Forum: Investing - Theory, News & General
Topic: Long Term Use Of A Leveraged ETF
Replies: 32
Views: 4416

Re: Long Term Use Of A Leveraged ETF

With regards to options, I agree that they are probably cheap in the same way that futures are, but I think there is a problem because your (effective?) leverage ratio changes as the market moves. A deep in the money option has a different response to market movements than one that's far out of the ...
by rhe
Fri Jan 26, 2018 8:54 am
Forum: Investing - Theory, News & General
Topic: Long Term Use Of A Leveraged ETF
Replies: 32
Views: 4416

Re: Long Term Use Of A Leveraged ETF

I have an allocation somewhat similar to what is being discussed, but I don't use leveraged ETFs. I think the right way to take these sorts of positions is with treasury futures. My portfolio is a basic 60/40 portfolio leveraged out 1.5 times, so you could call it 90/60. I hold the 90% stock in plai...
by rhe
Sun Mar 12, 2017 9:10 pm
Forum: Non-US Investing
Topic: Japanese Investment/Brokerage Firms?
Replies: 4
Views: 652

Re: Japanese Investment/Brokerage Firms?

If you have specific ETFs in mind, you would want to check that the brokerage you choose has access to the market where your desired ETF is traded. For example, Rakuten lets you buy stocks in Hong Kong, so if you want to buy the Vanguard 2805.HK then you would prefer Rakuten to kabu.com. As far as I...
by rhe
Sat Mar 11, 2017 10:43 pm
Forum: Non-US Investing
Topic: Japanese Investment/Brokerage Firms?
Replies: 4
Views: 652

Re: Japanese Investment/Brokerage Firms?

The market is very competitive in terms of commissions: all the major online brokerages (rakuten, kabu.com, and so forth) have very cheap trades. Opening an account generally involves them calling you at some point and talking to you in Japanese. If this poses a problem then your options may be more...
by rhe
Sun Feb 26, 2017 3:25 am
Forum: Non-US Investing
Topic: Investing in Japan: ETF and Funds, fees and hurdles
Replies: 5
Views: 1077

Re: Investing in Japan: ETF and Funds, fees and hurdles

Long time lurker, first time poster. Hello from Kansai. . If you are a permanent employee (seishain), you may not need an emergency fund at all. My employer offers an unsecured personal loan equal to six months salary at a very reasonable interest rate. I am currently 110% equities (the extra 10% is...