Search found 300 matches
- 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: 4283
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 have defaulted to the 1-3 month. The risk free rate is just a frame of reference. You can choose a constant rate that you think is appropriate as long as you are consistent in your calculations across valuations of different assets. Ex: Damodaran uses 10-year T-Note yield as risk free rate (0.75%) and projects an ERP of 6.02% for US equities. Therefore, we can expect 6.77% nominal/5.78% real returns(deduced from TIPS/Nominal spread) on US equities....
- 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: 4283
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 irrelevant. Couldn't you use the same logic on 30 year bonds, and call that the "risk free rate"? That doesn't seem reasonable to me, except in a very specific model that only had a 30 year time horizon (so niche as to be of little to no utility). Yes. You can use a 30-year treasury bond for the risk-free rate. You can use TIPS yields for a real risk-free rate instead of nominal. There is not one clear-cut answer for the value of the r...
- 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: 4283
Re: "The Murder-Suicide of the Rentier: Population Aging and the Risk Premium"
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 irrelevant.
- Sat Apr 04, 2020 7:11 am
- Forum: Investing - Theory, News & General
- Topic: Pop quiz: Treasurys vs CDs
- Replies: 14
- Views: 1147
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 the year?
If you can answer these correctly, maybe you can explain to me why most posters on this forum recommend treasurys and total bond market (44% treasurys) over CDs which are yielding >1% more than treasurys of the same duration.
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 the year?
If you can answer these correctly, maybe you can explain to me why most posters on this forum recommend treasurys and total bond market (44% treasurys) over CDs which are yielding >1% more than treasurys of the same duration.
- Sat Apr 04, 2020 6:28 am
- Forum: Investing - Theory, News & General
- Topic: International stocks are undervalued!
- Replies: 122
- Views: 15644
Re: International stocks are undervalued!
Assuming USA is the market with the least risk, USA should be the most expensive stock market. Dr. Aswath Damodaran (NYU) provides a lot of good information on equity risk premiums by country:whodidntante wrote: ↑Sat Apr 04, 2020 12:27 amThe 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.
https://www.youtube.com/watch?v=S_bq0D5h5jU
Slides/Spreadsheets in description.
- Fri Apr 03, 2020 6:56 am
- Forum: Investing - Theory, News & General
- Topic: Why don't all investors go 100% stocks
- Replies: 72
- Views: 6485
Re: Why don't all investors go 100% stocks
Losses aren't paper losses any more than gains are paper gains. This idea is just a psychological trick(albeit a useful one).tvubpwcisla wrote: ↑Fri Apr 03, 2020 6:32 am When the markets correct, you will have larger paper losses; however, in times of prosperity you will have larger gains.
Stock market returns are correlated to human capital for most investors. Besides, if every investor went 100% stocks, the equity risk premium would approach 0%.
- 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: 6051
Re: Don't like bonds? They are outperforming stocks since 1999
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 forecasting. The performance chasing is worse with long term treasuries. There are numerous threads that even advocate leveraged treasuries despite negative real yields.Triple digit golfer wrote: ↑Fri Apr 03, 2020 6:42 am I don't think anybody uses bonds to chase performance, especially not the intermediate term high quality bonds discussed in this thread.
- 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: 6051
Re: Don't like bonds? They are outperforming stocks since 1999
There seems to be an epidemic of bond performance chasing in the boglehead community combined with widespread ignorance of the mathematics of bond appreciation.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.
- 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: 4187
Re: Which fixed income Bond Fund would be best to use right now?
Are you implying that bonds/bond funds are clearly better than CDs?UpperNwGuy wrote: ↑Thu Apr 02, 2020 6:55 pmWhere did you hear that? Hopefully not here on bogleheads.solidsimpson wrote: ↑Thu Apr 02, 2020 6:53 pm 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.
Please explain how a 5-Year T-Note @ 0.38% yield will return more than a brokered 5-Year CD @ 1.45% yield if both are held to maturity.
- Thu Apr 02, 2020 11:28 am
- Forum: Personal Investments
- Topic: Advice for a 26 year old with $400k cash
- Replies: 76
- Views: 6407
- Thu Apr 02, 2020 11:20 am
- Forum: Personal Investments
- Topic: Advice for a 26 year old with $400k cash
- Replies: 76
- Views: 6407
- 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: 3036
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.
- 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: 7324
Re: how many Bogleheads cheating..
Absolutely. Starting with 100% profit on an investment is a good deal. The stock has to drop 50% over five years before your principal is at risk.justsomeguy2018 wrote: ↑Wed Apr 01, 2020 11:28 pm 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?
- Wed Apr 01, 2020 4:09 pm
- Forum: Personal Investments
- Topic: Why would anyone buy Intermediate Term Treasury Bonds right now?
- Replies: 34
- Views: 5218
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 options (Series I Bonds, Series EE Bonds, Bank CDs) available for retail investors are a free lunch. Why buy 5-year treasuries @ 0.37% when you can buy a 5-year brokered CD at @ >1.6% or bank cd at > 1.85% w/ put option included? Negative correlation is not a good answer, especially @ 5-years where falling interest rates have limited upside. Neither is liquidity/rebalancing when you can ladder cds and still get superior rates.
The risk-free fixed income options (Series I Bonds, Series EE Bonds, Bank CDs) available for retail investors are a free lunch. Why buy 5-year treasuries @ 0.37% when you can buy a 5-year brokered CD at @ >1.6% or bank cd at > 1.85% w/ put option included? Negative correlation is not a good answer, especially @ 5-years where falling interest rates have limited upside. Neither is liquidity/rebalancing when you can ladder cds and still get superior rates.
- Tue Mar 31, 2020 1:36 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
- Replies: 14343
- Views: 1970343
Re: HEDGEFUNDIE's excellent adventure Part II: The next journey
With 20-year at negative real yields, TMF should be expected to provide negative real returns before expenses. Of course, if you are sure that interest rates will fall and/or that we will enter prolonged deflation, then leverage away. At least EDV can be expected to offer a real return of 0.07% for the next 30 years.timewizard wrote: ↑Tue Mar 31, 2020 1:08 pm 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%.
- Tue Mar 31, 2020 12:56 pm
- Forum: Investing - Theory, News & General
- Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
- Replies: 14343
- Views: 1970343
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 at negative yields? Id add a screen shot but can’t figure out how... 2) how could we then expect LTTs to suddenly “hit a wall” when they get to 0% yield? Why would the market allow a risky asset to have no expected return? Nobody would buy it. Treasurys appreciate when yields fall. If 20-year treasury bond yields fall to 0% tomorrow, they will appreciate by ~22%. A $100 20-year treasury bond with 1.1% yield will return $122, so it is equivalent ...
- 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: 100
- Views: 7479
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 or why I’m even asking it. You are right. There is little reason to buy treasuries or tips over EE Bonds, I Bonds and CDs for retail investors. They all offer superior returns compared to the risk-free options available to institutional investors. Check out tipswatch if you want to learn more: https://seekingalpha.com/article/4289926-ridiculous-fact-ee-bonds-are-now-stellar-long-term-investment https://seekingalpha.com/article/4330526-i-bond-inves...
- 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: 100
- Views: 7479
Re: For a 20-year time horizon do bonds make sense any more?
Seems like an easy and immensely profitable bet if you believe in market efficiency at all. Institutional investors would sell their own mother for a risk-free return of 2.5% over treasuries and you get a free put option in the bargain.
20-year treasuries are yielding 1.1%, so the market is forecasting low yields for the foreseeable future. The breakeven inflation rate on TIPS/Treasuries is 1.2%, so the market is forecasting prolonged disinflation.
- Tue Mar 31, 2020 4:59 am
- Forum: Personal Investments
- Topic: why do we have the stock market
- Replies: 26
- Views: 2768
Re: why do we have the stock market
Once the price/book values drops below 1, theoretically shareholders would vote to liquidate the company's assets since they are worth more than the shares.
- Thu Jul 12, 2007 7:32 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe Talks about his new book
- Replies: 18
- Views: 5454
- Thu Jul 12, 2007 7:27 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe Talks about his new book
- Replies: 18
- Views: 5454
This is a pretty good analogy, but it should be noted that there is no underdog premium in sports betting. 8)larryswedroe wrote: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 without giving a point spread--in other words you have to pay a much higher P/E, which equalilzes the risk of investing in either company in the same way the point spread equalizes risk of betting on either team. Cosco is Wash and E. Wash is Ford.
- Wed Jul 11, 2007 6:57 pm
- Forum: Investing - Theory, News & General
- Topic: Bill Bernstein on Value Premium
- Replies: 31
- Views: 12494
If the value premium is negative 1/3 years, the chance that it is negative over a decade is not 1/3--it is much smaller than 1/3.asset_chaos wrote: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 with rather large errorbars around that estimate.
- Sat Jul 07, 2007 8:25 pm
- Forum: Investing - Theory, News & General
- Topic: Wisdomtree Negative Tracking Error
- Replies: 6
- Views: 3318
Sampling error doesn't concern me. How much is sampling error and how much is index reconstitution arbitrage?
Wisdomtree Arbitrage Thread
Wisdomtree Arbitrage Thread
- Sat Jul 07, 2007 3:52 pm
- Forum: Investing - Theory, News & General
- Topic: Wisdomtree Negative Tracking Error
- Replies: 6
- Views: 3318
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%
International Dividend Top 100 Fund (DOO): -1.32%
Europe Total Dividend Fund (DEB): -3.59%
Europe High-Yielding Equity Fund (DEW): -1.05%
Expenses are 48 or 58 bps.
I think Wisdomtree has gotten a free pass because their ETFs have had such high returns. Anyone know if they're taking measures to reduce their tracking error? Something is amiss when several of their ETFs are trailing their benchmarks by >2%/year net of expenses.
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%
International Dividend Top 100 Fund (DOO): -1.32%
Europe Total Dividend Fund (DEB): -3.59%
Europe High-Yielding Equity Fund (DEW): -1.05%
Expenses are 48 or 58 bps.
I think Wisdomtree has gotten a free pass because their ETFs have had such high returns. Anyone know if they're taking measures to reduce their tracking error? Something is amiss when several of their ETFs are trailing their benchmarks by >2%/year net of expenses.
- Fri Jul 06, 2007 5:58 pm
- Forum: Investing - Theory, News & General
- Topic: Evenly weighting Large, Mid, Small, and Growth/Value
- Replies: 34
- Views: 14314
- Thu Jul 05, 2007 11:36 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1367
- Views: 821153
DJ-AIG Total Return (1993-2006):
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.
Code: Select all
-.017
.166
.152
.232
-.034
-.270
.260
.301
-.195
.259
.239
.125
.177
.021
Source: http://www.powershares.com/pdf/p-dbc-pc-1.pdf
Source has GSCI Total Return and DB Commodity Index Total Return.
- Thu Jul 05, 2007 7:42 pm
- Forum: Investing - Theory, News & General
- Topic: DFA - Why advisor only?
- Replies: 54
- Views: 18115
- Thu Jul 05, 2007 6:44 pm
- Forum: Investing - Theory, News & General
- Topic: DFA - Why advisor only?
- Replies: 54
- Views: 18115
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.morningstar.com/Graph/Growth10K10Year/USA_DISVX.png DLS has a Price/Cash Flow of 5.4, which is quite low. Price/Cash Flow has been just as good as Price/Book for capturing the value premium internationally. The market cap on DLS is higher, so the correlation to U.S./International market will probably be somewhat higher. If, like me, you're holding ISV in taxable, I think DLS is a flat out better choice. DISVX tax cost ratio is 1.2% over the last de...
- Wed Jul 04, 2007 6:28 pm
- Forum: Investing - Theory, News & General
- Topic: a reevaluation of the value approach
- Replies: 34
- Views: 12124
- Sun Jul 01, 2007 6:20 pm
- Forum: Personal Investments
- Topic: A currencies portfolio?
- Replies: 25
- Views: 8520
Is DBV really an appropriate substitute for a money market fund? It seems like it could have some brutal downers if currencies move the wrong way.Rick Ferri wrote: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 currency diversification on the short-end of the yield curve.
- Sat Jun 30, 2007 11:51 pm
- Forum: Investing - Theory, News & General
- Topic: Hedge Funds for the Rest of Us
- Replies: 9
- Views: 2979
Re: More Games
They already have these.pkcrafter wrote:Also coming - hedge fund fund-of-funds.
- Sat Jun 30, 2007 11:48 pm
- Forum: Investing - Theory, News & General
- Topic: Did someone say SV premium? YTD returns:
- Replies: 14
- Views: 4374
- Sat Jun 30, 2007 5:25 pm
- Forum: Personal Investments
- Topic: Vanguard 130/30 Fund?
- Replies: 33
- Views: 11465
- Sat Jun 30, 2007 5:00 pm
- Forum: Investing - Theory, News & General
- Topic: where does Bogle get his data?
- Replies: 32
- Views: 10761
It may be that individual investors cannot capture the small cap premium because of transaction costs, but is the same true for institutional investors? All the major index fund/ETF companies have transaction advantages.subrosa wrote: 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, was that investors could NOT earn the returns that the academics calculated were there one attention to basic costs was paid.
- Sat Jun 30, 2007 4:29 pm
- Forum: Personal Investments
- Topic: SSgA files G-TIPS ETF
- Replies: 13
- Views: 5152
- Sat Jun 30, 2007 1:20 am
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1367
- Views: 821153
IFA Small Value 1987-2006
Source: http://www.ifa.com/pdf/IFA_periodic_Table_shuffle.pdf
Use International Value for 85-86 I guess.
I'm loathe to use their data(their Emerging Markets construction is completely bogus, for example), but it's the only source I know of for this asset class.
Source: http://www.ifa.com/pdf/IFA_periodic_Table_shuffle.pdf
Use International Value for 85-86 I guess.
Code: Select all
.528
.336
.372
-.177
.045
-.219
.446
.211
.012
.009
-.227
.053
.190
-.031
-.046
.058
.665
.348
.232
.284
- Fri Jun 29, 2007 11:30 pm
- Forum: Investing - Theory, News & General
- Topic: WisdomTree efficiency
- Replies: 14
- Views: 3535
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 and P/Sales 1.8. That's one problem with dividend weighting without some kind of fixed country allocation. I believe that the FF High Div-Low Div held the countries in their proportion to their MSCI EAFE weighting and then took a weighted average of High Div-Low Div for each country. Wisdomtree seems to just dump stocks from all countries together andthen dividend weight, leading to countries like Australia making up a disproportionate share of t...
- Fri Jun 29, 2007 6:45 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1367
- Views: 821153
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 13.75% STDEV 17.32% If I were to chose between those two I chose the second. Still that does not seem right as the difference is the opposite of what I expected what gives? Two reasons: 1. CRSP Decile 9 was a dog from 1972-2006. D6-8 outperformed D9-10 over that period with lower variance: D6-8 CAGR: 13.48% SD: 22.36% D9-10 CAGR: 12.92% SD: 26.65% From a portfolio perspective, D9-10 weren't quite that bad because they had lower correlations with bot...
- Fri Jun 29, 2007 4:39 pm
- Forum: Investing - Theory, News & General
- Topic: WisdomTree efficiency
- Replies: 14
- Views: 3535
The dividend premium has been robust globally, right?larryswedroe wrote:3) At least in US divs have been by far weakest value indicator.
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 25/32 for Book Value. That ignores magnitude of the premium for each, of course.
- 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: 5094
- Thu Jun 28, 2007 7:25 pm
- Forum: Investing - Theory, News & General
- Topic: TIAA-CREF White Paper on Reverse Asset Allocation
- Replies: 2
- Views: 1844
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. Many of the asset classes listed are expensive or inaccessible for most investors. Does TIAA CREF really offer venture capital, private equity, etc access?
That said, I don't really mind the idea of incorporating alternative asset classes, just the execution in this paper.
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. Many of the asset classes listed are expensive or inaccessible for most investors. Does TIAA CREF really offer venture capital, private equity, etc access?
That said, I don't really mind the idea of incorporating alternative asset classes, just the execution in this paper.
- Thu Jun 28, 2007 2:29 am
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1367
- Views: 821153
Another dataset I think is useful:
Decile 9-10 Stocks (1972-2005 + DFA Micro for 2006)
Probably closer to the microcap funds out there than the D10 that is used currently. I believe D10 is around 150 million market cap at the moment.
Decile 9-10 Stocks (1972-2005 + DFA Micro for 2006)
Code: Select all
-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
- Wed Jun 27, 2007 11:28 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1367
- Views: 821153
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 something fishy with the result--MSCI SV is superior to FF SV using that methodology. 13.39% -20.12% -20.04% 51.68% 51.62% 11.46% 10.08% 29.39% 15.10% 19.01% 34.88% 42.81% 15.88% 32.58% 19.91% -4.80% 31.73% 19.23% -20.67% 29.07% 31.48% 27.23% -0.16% 29.96% 23.52% 34.73% -5.12% -2.17% 21.22% 12.95% -6.63% 44.43% 23.72% 6.28% 19.44% I also assembled data on U.S. Rm-Rf (Market), SmB (Size), Mom (Momentum) and HmL (Value) factors from the French Librar...
- Wed Jun 27, 2007 10:50 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe – PCRIX question
- Replies: 21
- Views: 7283
I think the normal DJAIG index doesn't include collateral:larryswedroe wrote: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
SourceThe DJ-AIGCI family of indexes includes both the DJ-AIGCI (which is calculated on an excess return basis) and a total return index based on the DJ-AIGCI (the DJ-AIGCITRSM). While the former reflects the return of its underlying commodity price movements only, the latter reflects the return on a fully collateralized investment in the index.
- Wed Jun 27, 2007 8:14 pm
- Forum: Investing - Theory, News & General
- Topic: New Yorker article: The Boglehead of hedge funds? :)
- Replies: 6
- Views: 2469
- Wed Jun 27, 2007 4:55 pm
- Forum: Investing - Theory, News & General
- Topic: tax efficiency of ETFs
- Replies: 16
- Views: 5176
Muni Bond vs. Taxable Bond is totally out of context of the thread, which is DFA TM Funds vs. iShares ETFs. When comparing equity funds in the same asset class, tax cost is a lot more reliable than after tax returns. With bonds you can actually compare yields so it's far more clear cut. Not to mention tax savings are to be favored over increased returns via size/value loading since tax savings are true alpha.Doc wrote: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 that counts.
- Wed Jun 27, 2007 3:20 pm
- Forum: Investing - Theory, News & General
- Topic: Reliable index fundamentals?
- Replies: 18
- Views: 5152
Compare foreign ETFs on morningstar.com to ETFs on etrade.com... for whatever reason morningstar.com omits or distorts the metrics.mas wrote:
"Data provided by Morningstar, Inc." in disclosure section.
Example: VWO (Vanguard Emerging Markets) is listed at Price/Book 2.8. Does it make sense to you that Emerging Markets would trade at higher multiples than the S&P 500?
On ETrade, VWO P/B is 2.1, which makes more sense.
- Wed Jun 27, 2007 3:19 pm
- Forum: Personal Investments
- Topic: slice and dice, available indexes/funds, and overlap
- Replies: 1
- Views: 1266
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.
- Wed Jun 27, 2007 3:09 pm
- Forum: Investing - Theory, News & General
- Topic: tax efficiency of ETFs
- Replies: 16
- Views: 5176
You could use an identical argument to justify higher ER active management over passive management. "It's not the costs you pay, it's what you earn after costs."Doc wrote: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 relevant.
Tax Cost is an important metric because it's much easier to forecast future tax cost than it is to forecast future returns. Also, saving on taxes is true alpha, whereas higher returns are usually due to higher risk.
- Wed Jun 27, 2007 3:03 pm
- Forum: Investing - Theory, News & General
- Topic: tax efficiency of ETFs
- Replies: 16
- Views: 5176