Search found 300 matches

by sterjs
Wed Apr 08, 2020 5:13 am
Forum: Investing - Theory, News & General
Topic: "The Murder-Suicide of the Rentier: Population Aging and the Risk Premium"
Replies: 26
Views: 3877

Re: "The Murder-Suicide of the Rentier: Population Aging and the Risk Premium"

Probably not super useful by itself for the discussion of equity risk premium though - since the next question becomes "what (if any) duration is appropriate for the equity risk premium". I actually wasn't aware that the 10 year was used in (some?) literature for that purpose - i would ha...
by sterjs
Tue Apr 07, 2020 1:32 pm
Forum: Investing - Theory, News & General
Topic: "The Murder-Suicide of the Rentier: Population Aging and the Risk Premium"
Replies: 26
Views: 3877

Re: "The Murder-Suicide of the Rentier: Population Aging and the Risk Premium"

Can you find me something from one of these people explaining why they consider 10-year Treasurys to be risk-free? If you assume that the U.S. Treasury won't default, then they are risk free. If you buy and hold to maturity, you get exactly what you were promised. The market value in the interim is...
by sterjs
Tue Apr 07, 2020 5:56 am
Forum: Investing - Theory, News & General
Topic: "The Murder-Suicide of the Rentier: Population Aging and the Risk Premium"
Replies: 26
Views: 3877

Re: "The Murder-Suicide of the Rentier: Population Aging and the Risk Premium"

Can you find me something from one of these people explaining why they consider 10-year Treasurys to be risk-free? If you assume that the U.S. Treasury won't default, then they are risk free. If you buy and hold to maturity, you get exactly what you were promised. The market value in the interim is...
by sterjs
Sat Apr 04, 2020 7:11 am
Forum: Investing - Theory, News & General
Topic: Pop quiz: Treasurys vs CDs
Replies: 14
Views: 865

Pop quiz: Treasurys vs CDs

Suppose you will hold(to maturity) a $100 1-Yr T-Bill that yields 1% annually. How much money will the T-Bill return at the end of the 1-Yr term if: a) Market yield is 1% b) Market yield is 2% c) Market yield is 0% Finally, how much will a $100 1-Yr CD that yields 1% annually return at the end of th...
by sterjs
Sat Apr 04, 2020 6:28 am
Forum: Investing - Theory, News & General
Topic: International stocks are undervalued!
Replies: 83
Views: 9597

Re: International stocks are undervalued!

The point that causes talking past each other is that the USA is currently in the list of expensive stock markets, and people want to assume it's because the USA stock market is inherently superior now and for their lifetime. Assuming USA is the market with the least risk, USA should be the most ex...
by sterjs
Fri Apr 03, 2020 6:56 am
Forum: Investing - Theory, News & General
Topic: Why don't all investors go 100% stocks
Replies: 72
Views: 5262

Re: Why don't all investors go 100% stocks

When the markets correct, you will have larger paper losses; however, in times of prosperity you will have larger gains. Losses aren't paper losses any more than gains are paper gains. This idea is just a psychological trick(albeit a useful one). Stock market returns are correlated to human capital...
by sterjs
Fri Apr 03, 2020 6:51 am
Forum: Investing - Theory, News & General
Topic: Don't like bonds? They are outperforming stocks since 1999
Replies: 63
Views: 4972

Re: Don't like bonds? They are outperforming stocks since 1999

I don't think anybody uses bonds to chase performance, especially not the intermediate term high quality bonds discussed in this thread. I strongly disagree. How many people buying intermediate term treasurys are expecting negative real returns for 10 years? That is what the treasury market is fore...
by sterjs
Fri Apr 03, 2020 6:24 am
Forum: Investing - Theory, News & General
Topic: Don't like bonds? They are outperforming stocks since 1999
Replies: 63
Views: 4972

Re: Don't like bonds? They are outperforming stocks since 1999

MishkaWorries wrote: Thu Apr 02, 2020 4:19 pm To me this smacks of performance chasing. Unless we go to negative interest rates, the 40 year bull market on bonds is coming to an end.
There seems to be an epidemic of bond performance chasing in the boglehead community combined with widespread ignorance of the mathematics of bond appreciation.
by sterjs
Fri Apr 03, 2020 5:57 am
Forum: Personal Investments
Topic: Which fixed income Bond Fund would be best to use right now?
Replies: 42
Views: 3148

Re: Which fixed income Bond Fund would be best to use right now?

I just have been hearing with the current economy, that maybe it’s not best to choose this bond or any bond and go with CD etc. just trying to make sure. Where did you hear that? Hopefully not here on bogleheads. Are you implying that bonds/bond funds are clearly better than CDs? Please explain how...
by sterjs
Thu Apr 02, 2020 11:28 am
Forum: Personal Investments
Topic: Advice for a 26 year old with $400k cash
Replies: 76
Views: 5038

Re: Advice for a 26 year old with $400k cash

BruhDLT wrote: Thu Apr 02, 2020 11:22 am The rate is 0.00% at the moment
Ah, right. When things are back to normal, I would recommend paying it off if it's > 2.5%. Otherwise, you can get risk-free 3.5% pre-tax if you hold Series EE bonds for 20 years.
by sterjs
Thu Apr 02, 2020 11:20 am
Forum: Personal Investments
Topic: Advice for a 26 year old with $400k cash
Replies: 76
Views: 5038

Re: Advice for a 26 year old with $400k cash

BruhDLT wrote: Thu Apr 02, 2020 5:16 am -Debt: $50k student loans, interest rate will be a lot lower than inflation
What is the rate? Future inflation is projected(TIPS/Nominal Spread) to be ~1.25% for the next 30 years.
by sterjs
Thu Apr 02, 2020 7:54 am
Forum: Investing - Theory, News & General
Topic: Using LEAPs to build a conservative portfolio in taxable account with a large cash reserve (SWAN)
Replies: 17
Views: 1553

Re: Using LEAPs to build a conservative portfolio in taxable account with a large cash reserve (SWAN)

I'm been interested in implementing this strategy with SPY+EFA+EEM and CDs, but I need to do my research on options math first.
by sterjs
Thu Apr 02, 2020 5:16 am
Forum: Investing - Theory, News & General
Topic: Investing in stocks in the current market conditions: how and when would you do it?
Replies: 83
Views: 6007

Re: how many Bogleheads cheating..

Curious on your thoughts - I get a 100% employer match on my first $800 of stock buys every year. Have to hold for 5 years though unless you get canned or leave the company. Is that a good deal? Absolutely. Starting with 100% profit on an investment is a good deal. The stock has to drop 50% over fi...
by sterjs
Wed Apr 01, 2020 4:09 pm
Forum: Personal Investments
Topic: Why would anyone buy Intermediate Term Treasury Bonds right now?
Replies: 34
Views: 3243

Re: Why would anyone buy Intermediate Term Treasury Bonds right now?

Institutional investors buy treasurys because they have to. Retail investors continue buying treasurys because of inertia and blind faith that past outperformance will persist into the future. The market is projecting negative real returns for treasuries going forward. The risk-free fixed income opt...
by sterjs
Tue Mar 31, 2020 1:36 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6783
Views: 651656

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

Instead, one could use long-term strips that would provide a sort of leverage (EDV for example); or TMF has an equivalent duration of 50+years. Hence, it can possibly provide a ~50% upside if 20 year rates drop to 0. For EDV, it might be about 25-30%. With 20-year at negative real yields, TMF shoul...
by sterjs
Tue Mar 31, 2020 12:56 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6783
Views: 651656

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

1) vanguard long term treasury fund VUSTX has been relatively a straight line up and to the right over the last 33+ years even though yields have fallen from ~9% to 1.4%. If it’s explained because of capital appreciation and not the dividend yield then why would we expect that to suddenly stop even...
by sterjs
Tue Mar 31, 2020 6:17 am
Forum: Investing - Theory, News & General
Topic: For a 20-year time horizon do bonds make sense any more?
Replies: 98
Views: 6073

Re: For a 20-year time horizon do bonds make sense any more?

The simple and naive answer is this: there’s a lot of discussion right now about treasuries and specifically long-term treasuries, and my limited understanding leads me to ask “why in the world would I buy a 20-year treasury for 1.2% when EE bonds yield 3.5%” without understanding what I’m asking o...
by sterjs
Tue Mar 31, 2020 6:04 am
Forum: Investing - Theory, News & General
Topic: For a 20-year time horizon do bonds make sense any more?
Replies: 98
Views: 6073

Re: For a 20-year time horizon do bonds make sense any more?

With EE bonds, you're making a bet that 3.5% today will continue to be better than anything else available on the market over the next 20 years *and* that it will beat inflation. Seems like an easy and immensely profitable bet if you believe in market efficiency at all. Institutional investors woul...
by sterjs
Tue Mar 31, 2020 4:59 am
Forum: Personal Investments
Topic: why do we have the stock market
Replies: 26
Views: 2303

Re: why do we have the stock market

so this 1.1 trillion market cap in AAPL lets say it goes down to 0 ..yes 0 however, the company is still producing 24/7 and making billions in revenue every year. how would this $0 in market cap effect the company? if at all... Once the price/book values drops below 1, theoretically shareholders wo...
by sterjs
Thu Jul 12, 2007 7:32 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Talks about his new book
Replies: 18
Views: 5217

ddb wrote: I don't like comparing investing to gambling, because gambling has a negative expected return.
Gambling isn't intrinsically -EV. Investing isn't intrinsically +EV.
by sterjs
Thu Jul 12, 2007 7:27 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Talks about his new book
Replies: 18
Views: 5217

Unfortunately cut this off at point where I explain that the equivalent of the point spread in investing is the P/E ratio (or BtM). So just as it is easy to identify the winner of Wash vs E. Wash, it is easy to identify which is the better company say Cosco or Ford. But you cannot bet on Cosco with...
by sterjs
Wed Jul 11, 2007 6:57 pm
Forum: Investing - Theory, News & General
Topic: Bill Bernstein on Value Premium
Replies: 31
Views: 12131

It only takes a short visit to Prof French's website and some counting to see that his value factor was negative over about 1/3 of the 80 years for which he shows data. So probably the best unbiased guess for value over the next decade is around a 1/3 chance of underperforming the market---albeit w...
by sterjs
Sat Jul 07, 2007 8:25 pm
Forum: Investing - Theory, News & General
Topic: Wisdomtree Negative Tracking Error
Replies: 6
Views: 3075

Sampling error doesn't concern me. How much is sampling error and how much is index reconstitution arbitrage?

Wisdomtree Arbitrage Thread
by sterjs
Sat Jul 07, 2007 3:52 pm
Forum: Investing - Theory, News & General
Topic: Wisdomtree Negative Tracking Error
Replies: 6
Views: 3075

Wisdomtree Negative Tracking Error

Anyone else noticed the large negative tracking error for so many Wisdomtree international ETFs? DEFA Fund (DWM): -1.03% compared to index (gross) DEFA High-Yielding Equity Fund (DTH): -2.55% International LargeCap Dividend Fund (DOL): -2.20% International MidCap Dividend Fund (DIM): -1.33% Internat...
by sterjs
Fri Jul 06, 2007 5:58 pm
Forum: Investing - Theory, News & General
Topic: Evenly weighting Large, Mid, Small, and Growth/Value
Replies: 34
Views: 13291

Any "strategy" that overweights midcaps(like this one) will crush everything in backtests for 1985-2007.
by sterjs
Thu Jul 05, 2007 11:36 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1200
Views: 724187

DJ-AIG Total Return (1993-2006):

Code: Select all

-.017
.166
.152
.232
-.034
-.270
.260
.301
-.195
.259
.239
.125
.177
.021
Total Return includes T-Bill rate.

Source: http://www.powershares.com/pdf/p-dbc-pc-1.pdf

Source has GSCI Total Return and DB Commodity Index Total Return.
by sterjs
Thu Jul 05, 2007 7:42 pm
Forum: Investing - Theory, News & General
Topic: DFA - Why advisor only?
Replies: 54
Views: 17448

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by sterjs
Thu Jul 05, 2007 6:44 pm
Forum: Investing - Theory, News & General
Topic: DFA - Why advisor only?
Replies: 54
Views: 17448

Unfortunately, international small-value options outside of DFA are rather weak, IMO. Is the difference between DISVX and DLS going to make a difference in your retirement goals? I actually expect the two to behave similarly: http://www.wisdomtreeindexes.com/images/WTISDI_perf_hist.GIF http://im.mo...
by sterjs
Wed Jul 04, 2007 6:28 pm
Forum: Investing - Theory, News & General
Topic: a reevaluation of the value approach
Replies: 34
Views: 11749

Valuethinker,

HmL (%)

1972: 2.1
1973: 18.0
1979: -2.2
1980: -24.6
1981: 24.6
1989: -5.6
1990: -10.6
1991: -15.1
1994: -.1
2000: 21.4
2001: 27.2
2002: 3.7

I looked back at some of the other periods and I don't see a positive confirmation of your hypothesis.
by sterjs
Sun Jul 01, 2007 6:20 pm
Forum: Personal Investments
Topic: A currencies portfolio?
Replies: 25
Views: 8134

Also, Powershares has an interesting ETF called the PowerShares DB G10 Currency Harvest Fund (DBV, fee 0.75%). It shorts the lowest yielding currencies and goes long the highest yielding. These funds would be a substitute for a US ultra-short bond fund or a money market fund. Not great returns, but...
by sterjs
Sat Jun 30, 2007 11:51 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds for the Rest of Us
Replies: 9
Views: 2828

Re: More Games

pkcrafter wrote:Also coming - hedge fund fund-of-funds.
They already have these.
by sterjs
Sat Jun 30, 2007 11:48 pm
Forum: Investing - Theory, News & General
Topic: Did someone say SV premium? YTD returns:
Replies: 14
Views: 4188

I hate silly threads like this. Why not reduce your sample to a day or a minute where small growth beats small value?
by sterjs
Sat Jun 30, 2007 5:25 pm
Forum: Personal Investments
Topic: Vanguard 130/30 Fund?
Replies: 33
Views: 11057

Why is a 130/30 fund considered so much more dangerous than a normal equity fund? I doubt Vanguard is going to put out any products that unduly endanger their investors.
by sterjs
Sat Jun 30, 2007 5:00 pm
Forum: Investing - Theory, News & General
Topic: where does Bogle get his data?
Replies: 32
Views: 10328

Iirc Dreman once demonstrated this (in one of his books or articles) for small caps going back to 1920's and the inclusions of these impact costs, at fairly modest levels, absolutely decimated the small cap premium touted at the time (not F/F iirc). His conclusion, very much the opposite of yours, ...
by sterjs
Sat Jun 30, 2007 4:29 pm
Forum: Personal Investments
Topic: SSgA files G-TIPS ETF
Replies: 13
Views: 4970

Those are both interesting. I'd only be interested in a hedged international treasury bond index, though.
by sterjs
Sat Jun 30, 2007 1:20 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1200
Views: 724187

IFA Small Value 1987-2006 Source: http://www.ifa.com/pdf/IFA_periodic_Table_shuffle.pdf Use International Value for 85-86 I guess. .528 .336 .372 -.177 .045 -.219 .446 .211 .012 .009 -.227 .053 .190 -.031 -.046 .058 .665 .348 .232 .284 I'm loathe to use their data(their Emerging Markets construction...
by sterjs
Fri Jun 29, 2007 11:30 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree efficiency
Replies: 14
Views: 3283

Australian companies pay out a much larger percentage of earnings as dividends than U.S. companies do, for tax reasons IIRC. Therefore a 4% dividend yield may be deceptive as a value indicator. iShares right now shows EWA with P/E 20.35 and P/Book 4.42. Morningstar shows EWA with P/E 16.6, P/B 2.9 ...
by sterjs
Fri Jun 29, 2007 6:45 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1200
Views: 724187

Re: What gives?

sterjs, thanks for the data! I added this data (see end of post) were FFLV and FFSV are benchmarks with 2006 returns of the DFA funds and used your D9-10 and MSCI-SCV. For 1972-2006: 25% each S&P500, D9-10, FFLV, FFSV - CAGR 14.03% STDEV 20.01%. 25% each S&P500, NAESX, VIVAX, SCV - CAGR 13....
by sterjs
Fri Jun 29, 2007 4:39 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree efficiency
Replies: 14
Views: 3283

3) At least in US divs have been by far weakest value indicator. The dividend premium has been robust globally, right? I did a quick and dirty analysis of the French's International High Dividend-Low Dividend. IIRC, High Dividends provided a premium in 21/32 years compared to 22/32 for Earnings and...
by sterjs
Thu Jun 28, 2007 9:12 pm
Forum: Investing - Theory, News & General
Topic: Will Value outperform Growth? should we have a value tilt?
Replies: 18
Views: 4908

Depends how you definte Value. If you define it as something like Price/Book or Price/Earnings, then yes I think Value will have higher returns then Growth.
by sterjs
Thu Jun 28, 2007 7:25 pm
Forum: Investing - Theory, News & General
Topic: TIAA-CREF White Paper on Reverse Asset Allocation
Replies: 2
Views: 1712

I don't like it. 1. No mention of the time period the data is derived from? I shouldn't have to dig up another paper for something that simple. No mention of the indeces used for the various categories either. 2. Assumes Std Dev=Risk. This is especially foolish when considering hedge funds, etc... 3...
by sterjs
Thu Jun 28, 2007 2:29 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1200
Views: 724187

Another dataset I think is useful: Decile 9-10 Stocks (1972-2005 + DFA Micro for 2006) -1.0 -40.7 -29.3 69.9 54.5 22.1 21.8 44.2 34.7 7.8 27.6 34.3 -13.9 28.4 3.2 -13.8 21.8 8.2 -27.4 50.3 27.7 20.2 -3.2 33.3 19.1 24.1 -7.9 32.2 -13.4 34.2 -14.1 78.4 16.8 3.5 16.2 Probably closer to the microcap fun...
by sterjs
Wed Jun 27, 2007 11:28 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1200
Views: 724187

FWIW, I created a synthetic MSCI 1750 Value Index(the index that VISVX/VBR follow). I used MSCI's data from 1996-2006 and from 1972-1995 I used ( 1.0 * Market + .40 * SmB + .80 * HmL - .18 ) = return as per Robert T's regression and the Kenneth French Annual Factor Returns. Edit: I think there is so...
by sterjs
Wed Jun 27, 2007 10:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe – PCRIX question
Replies: 21
Views: 6936

First, PCRIX is not the return the of the DJ-AIG plus TIPS. It is the return of the DJ-AIG minus one-month tbill plus the return on TIPS I think the normal DJAIG index doesn't include collateral: The DJ-AIGCI family of indexes includes both the DJ-AIGCI (which is calculated on an excess return basi...
by sterjs
Wed Jun 27, 2007 8:14 pm
Forum: Investing - Theory, News & General
Topic: New Yorker article: The Boglehead of hedge funds? :)
Replies: 6
Views: 2320

Yeah, that roulette comment is terrible, but synthetic hedge funds are an interesting development.
by sterjs
Wed Jun 27, 2007 4:55 pm
Forum: Investing - Theory, News & General
Topic: tax efficiency of ETFs
Replies: 16
Views: 4855

No it not the same. You are misinterpreting my example. Take an example of muni's vs taxable bonds in a low tax bracket. You pay less tax with the muni but your return is lower than the taxable bond with the same credit/duration risks. It is the after tax return that is important not the taxes paid...
by sterjs
Wed Jun 27, 2007 3:20 pm
Forum: Investing - Theory, News & General
Topic: Reliable index fundamentals?
Replies: 18
Views: 4886

"Data provided by Morningstar, Inc." in disclosure section. Compare foreign ETFs on morningstar.com to ETFs on etrade.com... for whatever reason morningstar.com omits or distorts the metrics. Example: VWO (Vanguard Emerging Markets) is listed at Price/Book 2.8. Does it make sense to you t...
by sterjs
Wed Jun 27, 2007 3:19 pm
Forum: Personal Investments
Topic: slice and dice, available indexes/funds, and overlap
Replies: 1
Views: 1145

I don't understand the slice and dice mindset... why not just use total market+small or mid value to achieve your desired factor loadings? Robert T made a nice chart of the factor loadings for various indeces here.
by sterjs
Wed Jun 27, 2007 3:09 pm
Forum: Investing - Theory, News & General
Topic: tax efficiency of ETFs
Replies: 16
Views: 4855

Tax cost is the wrong metric. Would you rather have an investment that had a tax cost of three percent on an investment that returns 13% or an investment with a tax cost of only two percent on a return of 11%? It's not how much tax you pay that counts it's what you have left after tax that is relev...
by sterjs
Wed Jun 27, 2007 3:03 pm
Forum: Investing - Theory, News & General
Topic: tax efficiency of ETFs
Replies: 16
Views: 4855

larryswedroe wrote:stersj
Data came from DFA we had asked them to provide this
I would trust iShares numbers more... the DFA numbers look to be the same as Morningstar's numbers. Morningstar frequently overstates tax cost ratio (ignoring Qual. Dividends for example).