Bogleheads.org

unknownfuture

Rent an RV! Yes, you can still rent them in CA. And RV parks are reopening on June 1st.

unknownfuture

I could see your justification for a 100% equity plus leveraged bond exposure outperforming, such as PSLDX (I prefer pure treasuries though) but at 90% equity and current bond yields I would bet against you here. On a risk-adjusted basis though, sure. Even if PSLDX was tax-efficient, I would person...

unknownfuture

caklim00 wrote: ↑Mon Jan 20, 2020 10:30 am Just curious why you didn't just keep VTSAX and buy 2 ZN 10 year Futures contracts (or 1 5 year and 1 10 Year)?

Because that doesn't do automatic tax-efficient rebalancing, like NTSX does.

unknownfuture

Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume :shock: Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry. What was your VTSAX taxable gain? Interesting move. Only 1...

unknownfuture

One way to check whether the market is overvalued is to look at total shareholder yield (dividends+buybacks) relative to total market cap. Shareholder yield of the S&P 500 has been steady around 4% of market cap for many years:
https://twitter.com/JeremyDSchwartz/sta ... 88288?s=20

unknownfuture

How much gain are you talking about and are they LTSG or STCG (at what rate)? One option is a QOZ fund which can let you offset/avoid the paying the tax gain entirely. It's a long term play. Highest bracket in CA, and it's both long term and short term gains. STCG 54.10% (!!) LTCG 37.10% I'll take ...

unknownfuture

Hi all, Earlier in January 2020 I sold shares in my taxable account, with capital gains. Naturally, to avoid taxes, I'd like to end 2020 without any capital gains. I just thought up the following trick to generate an almost guaranteed tax loss for 2020: With new money, instead of buying an index ETF...

unknownfuture

Got it, thanks. Why do you think this is true over 30+ years rather than 10+ years? (e.g. empirical evidence?)

unknownfuture

Added "So a portfolio with predominantly broad-based equity index funds is reasonably protected against inflation, in the long run." to my post above.

unknownfuture

Theory: gold is unnecessary as an inflation hedge with a long enough (10+ years) investment horizon, since in the long run and in aggregate, inflation will affect revenues and costs to equal degree. So a portfolio with predominantly broad-based equity index funds is reasonably protected against infl...

unknownfuture

You can check out the ES=F ticker on Yahoo Finance: https://finance.yahoo.com/quote/ES=F?p= ... c=fin-srch

unknownfuture

Today I bought 400k worth of NTSX, replacing my taxable VTSAX position. Which was almost all of today's trading volume

Happily, I bought close to NAV, despite doing a buy order at market. I guess due to ETF basket creation wizardry.

unknownfuture

My net worth progress
2012: ~ -$50,000
2013: ~ $50,000
2017: ~$500,000
2019: ~$2,500,000

unknownfuture

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unknownfuture

In taxable, instead of using futures one could also simply use less than 3x leverage, by using a combination of 1x, 2x and 3x leveraged ETFs. With e.g. 1.5x leverage it's much easier to rebalance in a tax-friendly way (tax loss harvesting etc.).

unknownfuture

In our current situation, our taxable account holds a balanced portfolio of ETFs where I try to maximize risk-adjusted returns. I try to rebalance through aggressive tax-cost harvesting and through new money, but due to the high tax cost, the extend to which we can rebalance is pretty limited. What...

unknownfuture

There are definitely pros and cons to all-in-one funds. I personally believe that the potentially most important pro is that they may foster good behavior. I'm slightly skeptical about the good behavior argument for balanced funds. It's entirely psychological -- they don't physically prevent you in...

unknownfuture

There are definitely pros and cons to all-in-one funds. I personally believe that the potentially most important pro is that they may foster good behavior. I'm slightly skeptical about the good behavior argument for balanced funds. It's entirely psychological -- they don't physically prevent you in...

unknownfuture

Hi all, In our current situation, our taxable account holds a balanced portfolio of ETFs where I try to maximize risk-adjusted returns. I try to rebalance through aggressive tax-cost harvesting and through new money, but due to the high tax cost, the extend to which we can rebalance is pretty limite...

unknownfuture

I'm in a very similar situation as OP and what I do is I buy the iShares Short Treasury Bond ETF (SHV). The yield is >2% and virtually tax free, which is very important is our case. As you can see the swings in principle are tiny, since the bonds have such short duration.

unknownfuture

Days like today are what worry me for this strategy, granted your stocks did well, but long term yields went up 3 bps while short term went down 10 bps. Somebody please come out with a leveraged 2 yr treasury ETF so I can run a risk parity strategy with it. If you're willing to use futures instead ...

unknownfuture

Awesome, thanks! That was very helpful.

unknownfuture

Hi all, I'm trying to better understand the expected long-term returns on long-term treasury bond funds such as VUSTX (Vanguard's LTT fund), TLT and TMF. I found these blog posts interesting in that respect: https://www.blackrockblog.com/2019/01/16/debunking-great-bond-bull-market/ https://www.black...

unknownfuture

Mildly interesting: USMV (min vol ETF) has, so far moved similarly as a 50/50 portfolio of SPY/IEF (S&P500 / intermediate term treasuries) with 1.6x leverage: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned...

unknownfuture

My point is volatility decay precisely. Volatility is a factor in decay but so is return. Flatter assets like bonds will hurt more due to flat or declining trends. Example is how UPRO has returned ~>5x the S&P500’s return while 3x LTT’s did far worse than 3x the 1955-1982 return. You raised an exce...

unknownfuture

"Close to risk parity" is certainly arbitrary. You're as close to risk parity as a 50/50 stock/ITT portfolio is which, IMO, is far from risk parity. True risk parity would be achieved at around 25/75 stocks/ITTs. I would say your portfolio is significantly far from that. But again, "far" is an arbi...

unknownfuture

The philosophy of this thread is to achieve the highest risk-adjusted return via risk parity. Your portfolio is very far from risk parity though. I should increase my exposure to ITT, but besides that, I have a close to risk parity portfolio. Risk parity can be combined with any amount of leverage:...

unknownfuture

The philosophy of this thread is to achieve the highest risk-adjusted return via risk parity. Your portfolio is very far from risk parity though. I should increase my exposure to ITT, but besides that, I have a close to risk parity portfolio. Risk parity can be combined with any amount of leverage:...

unknownfuture

... EDV gives similar exposure as TYD but without the hefty ER or volatility decay issue. This is unsupported by facts, as far as I know. Do you have evidence that supports the hypothesis that a portfolio with EDV results in better risk-adjusted returns than TYD? While EDV and TYD have similar "eff...

unknownfuture

MotoTrojan wrote: ↑Thu Jul 04, 2019 12:13 am ...
EDV gives similar exposure as TYD but without the hefty ER or volatility decay issue.

Do you have evidence that supports the hypothesis that a portfolio with EDV results in better risk-adjusted returns than TYD?

unknownfuture

Three more datapoints in support of using ITT instead of LTT, this time in terms of monthly correlations: ... Correlation isn’t the full story. LTT will move further as well which provides a bigger diversification bonus for similar correlations. This is why those that use short term treasuries need...

unknownfuture

Three more datapoints in support of using ITT instead of LTT, this time in terms of monthly correlations: - Since 2000, ITT and LTT have been equally good diversifiers: https://www.portfoliovisualizer.com/asset-correlations?s=y&symbols=VFINX%2CVUSTX%2CVFITX&startDate=01%2F01%2F2000&timePeriod=2&trad...

unknownfuture

What's a good risk parity strategy for a taxable account? I think it's still somewhat of an open question that I've been trying to answer. To somewhat approximate the limited possibility of rebalancing in a taxable account, I ran simulations withy yearly (instead of quarterly) rebalancing. Specifica...

unknownfuture

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unknownfuture

I just started a similar risk parity strategy and now own $220k in TMF, which is more than 0.1% of it's AUM. Strange to own so much, but OK. I wonder how much these forum members have added to its AUM. Care to elaborate on your variation? Good luck! My situation: - I'm young (mid-30's) and willing ...

unknownfuture

I just started a similar risk parity strategy and now own $220k in TMF, which is more than 0.1% of it's AUM. Strange to own so much, but OK. I wonder how much these forum members have added to its AUM.

unknownfuture

https://www.amusingplanet.com/2018/08/the-17th-century-bond-thats-still.html?m=1 Interesting article on 370 year old bonds that are still paying interest today. "[...] There are some bonds issued way back in the 17th century that are still paying out interest. These bonds were issued by Hoogheemraa...

unknownfuture

Non-profits can be high-paying, if you're competent and your skill is sought after.

unknownfuture

ETFs can be MUCH more tax efficient than mutual funds: if there is turnover, an ETF can avoid capital gains almost completely through the fund redemption/creation process. For example, I like to invest in minimum volatility funds. Vanguard's VMNVX has about 20% turnover, which results in significant...

unknownfuture

https://www.forbes.com/sites/maddieberg/2019/02/19/the-greatest-investor-youve-never-heard-of-an-optometrist-who-beat-the-odds-to-become-a-billionaire/ EDIT: as pointed out below, the article is misleading: besides investor he was also a succesful entrepeneur, which might have been a bigger contribu...

unknownfuture

Pezblanco, I assume your graph shows estimated real returns (i.e. inflation-adjusted), like your previous posts? Yes ... I only have been using real data. Great! Did, with the new formula, the estimated variance also improve? (Or, at least, the probability of negative returns...) In any case, thank...

unknownfuture

Pezblanco, I assume your graph shows estimated real returns (i.e. inflation-adjusted), like your previous posts?

unknownfuture

OK .... let me think about that. What I could do is just delete years from the 50years that have high T-bill rates. That would just take a couple of IF statements in the (bad) Matlab code that I write. Give me some parameters that you might like to see and I'll see if I can get around to it. So, le...

unknownfuture

OK, interesting. One limitation of the model is that you include years with very different T-bill rates. To get a more realistic estimate of returns and dispersion, without changing the model: you could limit the dataset to past years that were similar to the current lending environment. For example...

unknownfuture

1) Does your model take into account the depdencies between returns of the S&P 500, LTT, and short term T-bill rates? Or did you assume independence? (E.g. the negative correlations between stocks and LTT in times of sharp bear markets can obviously positively affect the return of the 40/60 portfoli...

unknownfuture

Interesting... If I understand correctly, you estimate the yearly return based on a 40/60 portfolio at the start of the year? So, the equivalent of yearly rebalancing?

Thanks.

unknownfuture

First of all, thank you for this thread; I appreciate it. 1) Some people in this thread have expressed fear that if too many people pile on this strategy, it will stop working. How realistic is this fear? The underlying S&P 500 stocks and LTT bonds have enormous market cap, so changing the UPRO and ...

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