Search found 1485 matches

by acegolfer
Tue Dec 03, 2019 12:48 pm
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

If SCV has the same risk-adjusted return as TSM (you agree to that), and it also has other higher risks due to factor exposures (in a Multifactor world), then it must have a higher Sharpe to make up for it so its overall risk-adjusted return is similar to TSM. That will be true only if SCV is on EF...
by acegolfer
Tue Dec 03, 2019 12:03 pm
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

305pelusa wrote:
Tue Dec 03, 2019 11:42 am
Does it matter? 0_o the point was that Larry was clearly linking Sharpe as the "risk-adjusted" benchmark.
If Larry claims similar Sharpe ratio implies same risk-adjusted expected return, then I fully disagree with him.
by acegolfer
Tue Dec 03, 2019 11:51 am
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

305pelusa wrote:
Tue Dec 03, 2019 11:42 am
it must have a higher Sharpe to make up for it so its overall risk-adjusted return is similar to TSM.
That will be true, only if SCV is on EF. But in FF 3 factor model, SCV is not on EF. MKT, SMB, HML are.
by acegolfer
Tue Dec 03, 2019 11:30 am
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

305pelusa wrote:
Tue Dec 03, 2019 11:25 am
In terms of Sharpe specifically, then SCV has the highest Sharpe of them all (and TSM last).
Any source?

M* says otherwise for DFSVX vs VTSAX
https://www.morningstar.com/funds/xnas/dfsvx/quote
https://www.morningstar.com/funds/xnas/vtsax/quote
by acegolfer
Tue Dec 03, 2019 11:26 am
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

Swedroe says they all should have similar Sharpes (call it X). I remember him saying all should have similar risk adjusted expected return. I agree with this. But did he also say "they all should have similar Sharpes"? If so, I fully disagree. 0_o So SV risk-adjusted expected return must be similar...
by acegolfer
Tue Dec 03, 2019 11:10 am
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

305pelusa wrote:
Tue Dec 03, 2019 10:41 am

Swedroe says they all should have similar Sharpes (call it X).
I remember him saying all should have similar risk adjusted expected return. I agree with this. But did he also say "they all should have similar Sharpes"? If so, I fully disagree.
by acegolfer
Tue Dec 03, 2019 11:07 am
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

If that fund had higher Sharpe than its individual components, then wouldn't money flow into it until it didn't? Your statement would be true in Markowitz world, where all investors are mean-variance investors. Only in such world, all investors will go after the highest Sharpe ratio fund. However, ...
by acegolfer
Tue Dec 03, 2019 10:03 am
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

Hi ace, Yes I understand that there are many types of risk, but I guess my question boils down to whether, when generating portfolios, is it potentially better (at least to some extent) to keep the individual sources of risk/return separate within the portfolio ? I know we generally combine them as...
by acegolfer
Tue Dec 03, 2019 10:00 am
Forum: Personal Finance (Not Investing)
Topic: High income and college costs question
Replies: 317
Views: 13406

Re: High income and college costs question

Students can get $5500 in federal loans freshman year, up to $7500 by senior year. They can't get any more loans without co-signers. So if you don't co-sign, they can't take out those loans. TY. Didn't know this. Your statement suggests when ppl say they have a $100k student loan, most are private ...
by acegolfer
Tue Dec 03, 2019 9:54 am
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

So, it makes sense to me that in efficient market Size and Value, which are uncorrelated, would each have similar Sharpe ratio. Also makes sense to me that SV would have similar Sharpe ratio because the market prices risk. Not Larry Sharpe ratio only considers stdev as a risk measurement. A multi-f...
by acegolfer
Tue Dec 03, 2019 9:11 am
Forum: Investing - Theory, News & General
Topic: When a company repurchases its shares, does the company become less valuable?
Replies: 61
Views: 3911

Re: When a company repurchases its shares, does the company become less valuable?

Surprised no one yet mentioned the "signaling" effect of stock repurchase. The seminal paper is Vermaelen (1981). Simply speaking, firms repurchase their shares to signal the shares are undervalued.
by acegolfer
Tue Dec 03, 2019 8:47 am
Forum: Personal Finance (Not Investing)
Topic: High income and college costs question
Replies: 317
Views: 13406

Re: High income and college costs question

I told them how much I could help and if they wanted to go private the difference was on them. This is exactly what I have in mind for my kids in future. If I were in their shoe, I'd pick in-state (w/ 0 debt) over mid-tier private school (w/ debt). But I don't know how kids think these days. If you...
by acegolfer
Mon Dec 02, 2019 9:23 pm
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

I'm not asking if it's Multifactor efficient, or even on the regular efficient frontier. Just if its Sharpe will be higher or lower than TSM. That paper seems to imply it would have higher Sharpe, but "paid for" by opening yourself to other unrelated risks no? Is SCV Sharpe ratio higher than TSM? C...
by acegolfer
Mon Dec 02, 2019 7:35 pm
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

Nice paper. Will finish reading later but right off the bat, it seems like having a market beta of 1 while having exposure to other factors, should increase the Sharpe ratio. But it brings additional risks unrelated to beta. Is that correct? So the SCV fund should have, on average, higher Sharpe th...
by acegolfer
Mon Dec 02, 2019 6:23 pm
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

Nice paper. Will finish reading later but right off the bat, it seems like having a market beta of 1 while having exposure to other factors, should increase the Sharpe ratio. But it brings additional risks unrelated to beta. Is that correct? So the SCV fund should have, on average, higher Sharpe th...
by acegolfer
Mon Dec 02, 2019 4:32 pm
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

So what, he says TSM is on the efficient frontier, but it's not the most efficient portfolio on the efficient frontier ? I'm not Dave but I can answer that using Cochrane's paper: https://faculty.chicagobooth.edu/john.cochrane/research/papers/ep3Q99_4.pdf In CAPM world, there's only 1 risk measured...
by acegolfer
Mon Dec 02, 2019 1:55 pm
Forum: Investing - Theory, News & General
Topic: Question for Swedroe - Black Swans book
Replies: 45
Views: 2185

Re: Question for Swedroe - Black Swans book

But market, size, and value are each independent RISK factors. Size and value are additional risk factors and SV is just plain more risky than S&P 500. Yes, DFSVX is more diversified across risk factors than S&P 500, but it is also just plain more risky. Of course being more risky, it also has high...
by acegolfer
Mon Dec 02, 2019 7:45 am
Forum: Personal Finance (Not Investing)
Topic: Quicken 2019 and forward
Replies: 177
Views: 14751

Re: Quicken 2019 and forward

I was starting to worry with MS Money that one more Windows upgrade and I would be out of luck. I am starting to worry about these platforms as I see the young folk, who are not privacy freaks, are using Mint, Personal Capital and others. I worry about abandonment with these older school platforms ...
by acegolfer
Sun Dec 01, 2019 8:34 am
Forum: Personal Finance (Not Investing)
Topic: How much are you saving for retirement in 2019?
Replies: 82
Views: 5294

Re: How much are you saving for retirement in 2019?

Every penny that we don't spend. Roughly 55% of total income. (not inclined to share $ figure)
by acegolfer
Wed Nov 27, 2019 10:40 am
Forum: Investing - Theory, News & General
Topic: Are You Measuring and Comparing Correctly?
Replies: 40
Views: 2784

Re: Are You Measuring and Comparing Correctly?

I can tell you that my vanguard account generates dozens of transactions a month (dividends, moves between money markets, etc.), but I just ignore them in and spend a few minutes typing in the end of month balances and details on net contributions and withdrawals and get a very solid return number....
by acegolfer
Wed Nov 27, 2019 10:09 am
Forum: Investing - Theory, News & General
Topic: Are You Measuring and Comparing Correctly?
Replies: 40
Views: 2784

Re: Are You Measuring and Comparing Correctly?

Here's a link to our wiki page on Calculating personal returns . It provides a calculator that can be used online or be downloaded. The spreadsheet in wiki calculates DWR (dollar/money weighted return) is a weird method. First, one needs to manually enter the account balances for every period. Then...
by acegolfer
Wed Nov 27, 2019 9:41 am
Forum: Personal Finance (Not Investing)
Topic: Quicken workarounds to export transactions as CSV
Replies: 2
Views: 257

Re: Quicken workarounds to export transactions as CSV

chemocean wrote:
Tue Nov 26, 2019 8:15 pm
The format of .txt file exported using "Export to Excel compatible file" in Quicken is a tab delineated file.
I think you are right. I should have called it TXT not CSV.
by acegolfer
Tue Nov 26, 2019 8:11 am
Forum: Personal Finance (Not Investing)
Topic: Quicken workarounds to export transactions as CSV
Replies: 2
Views: 257

Quicken workarounds to export transactions as CSV

When I read https://www.bogleheads.org/forum/viewtopic.php?f=2&t=234157, I thought Quicken didn't allow CSV export. It's true that there's no CSV export option in File>File Export menu. Previously, I exported as QIF and convert QIF into spreadsheet format. But there are a few workarounds to export d...
by acegolfer
Tue Nov 26, 2019 7:54 am
Forum: Investing - Theory, News & General
Topic: Is there a Total Market Index point system like the S&P?
Replies: 10
Views: 987

Re: Is there a Total Market Index point system like the S&P?

I thought the CRSP U.S. Total Market Index was widely used: http://www.crsp.com/products/investment-products/crsp-us-total-market-index I expect it will be similar, or close to identical, to the Wilshire 5000. Does anyone know which is "better"? Is there a difference? From: https://investor.vanguar...
by acegolfer
Fri Nov 22, 2019 4:02 pm
Forum: Investing - Theory, News & General
Topic: What does bond yield mean?
Replies: 10
Views: 1112

Re: What does bond yield mean?

For example, if it is a Treasury bond and you buy it at auction, you might pay $101 for the bond (buying at a premium) or $99 (buying at a discount). When you purchase a bond at the Treasure auction does it have a coupon rate or is that determined by the price you pay for the bond or something else...
by acegolfer
Fri Nov 22, 2019 8:44 am
Forum: Investing - Theory, News & General
Topic: What does bond yield mean?
Replies: 10
Views: 1112

Re: What does bond yield mean?

For example, if it is a Treasury bond and you buy it at auction, you might pay $101 for the bond (buying at a premium) or $99 (buying at a discount). When you purchase a bond at the Treasure auction does it have a coupon rate or is that determined by the price you pay for the bond or something else...
by acegolfer
Thu Nov 21, 2019 11:01 am
Forum: Personal Investments
Topic: Dollar Cost Averaging or: how I learned to stop worrying and love the Lump Sum
Replies: 38
Views: 3282

Re: Dollar Cost Averaging or: how I learned to stop worrying and love the Lump Sum

In your case, you made the right decision not because you lumpsum sold all your shares but because you sold IPO'ed stocks early. IPO stocks have worse long term returns than average.
by acegolfer
Thu Nov 07, 2019 5:26 pm
Forum: Personal Finance (Not Investing)
Topic: Mortgage to prepay or not prepay
Replies: 83
Views: 6749

Re: Mortgage to prepay or not prepay

This is something I am considering. With the 2019 tax law changes, the amount of my mortgage deduction no longer makes a difference with the 24k deduction. The rate and balance are low (2.875%, 53K), with about 8.5 years to go... so maybe it is time to pay it off early next year (I have enough cash...
by acegolfer
Mon Nov 04, 2019 7:14 am
Forum: Personal Finance (Not Investing)
Topic: Does leasing make sense in this case?
Replies: 48
Views: 2967

Re: Does leasing make sense in this case?

One advice: research how negotiated price affects residual value. Holding all other factors constant, you can't lower both at the same time because residual value is calculated out of a fixed MSRP. Lower negotiated price increases residual value. In other words, if you lease + purchase at the end, ...
by acegolfer
Sun Nov 03, 2019 6:22 am
Forum: Investing - Theory, News & General
Topic: How do you reconcile these two opposing views
Replies: 42
Views: 3727

Re: How do you reconcile these two opposing views

UberGrub wrote:
Sat Nov 02, 2019 9:40 pm
Those who truly believe markets are efficient and no predictions of future events can be done,
I'm afraid you have a misunderstanding of EMH. For example, analysts can make predictions on a company's EPS or FOMC's next move. EMH says these expectations are already reflected in the price.
by acegolfer
Sun Nov 03, 2019 6:12 am
Forum: Personal Finance (Not Investing)
Topic: Does leasing make sense in this case?
Replies: 48
Views: 2967

Re: Does leasing make sense in this case?

In your situation, lease. One advice: research how negotiated price affects residual value. Holding all other factors constant, you can't lower both at the same time because residual value is calculated out of a fixed MSRP. Lower negotiated price increases residual value. In other words, if you leas...
by acegolfer
Wed Oct 30, 2019 3:27 pm
Forum: Personal Finance (Not Investing)
Topic: Tax implications when transferring real estate
Replies: 6
Views: 512

Re: Tax implications when transferring real estate

Passing it before death is generally bad for tax. Because you need to pay gains tax, depreciation recapture, and possible gift tax.
by acegolfer
Sat Oct 26, 2019 7:01 pm
Forum: Personal Finance (Not Investing)
Topic: Is principal portion of mortgage counted for savings rate purposes?
Replies: 126
Views: 6797

Re: Is principal portion of mortgage counted for savings rate purposes?

You mean this... As you can see, like most problems in economics, the answer is “it depends”. Economics is at its core a social science dealing with very complex human behaviour. It tries to do so using mathematics, logic, and quantifiable arguments. This methodology requires the economist to make ...
by acegolfer
Sat Oct 26, 2019 3:11 pm
Forum: Personal Finance (Not Investing)
Topic: Is principal portion of mortgage counted for savings rate purposes?
Replies: 126
Views: 6797

Re: Is principal portion of mortgage counted for savings rate purposes?

Threads like this are what make me realize that savings isn't a real concept. It's just storing money for later use. That use may be in 50 years, 30 years, 10 years, 6 months or next week. And if you die without having spent all of it, someone else gets to use it. This is why economists view saving...
by acegolfer
Fri Oct 25, 2019 9:14 pm
Forum: Personal Finance (Not Investing)
Topic: Is principal portion of mortgage counted for savings rate purposes?
Replies: 126
Views: 6797

Re: Is principal portion of mortgage counted for savings rate purposes?

aristotelian wrote:
Fri Oct 25, 2019 3:29 pm
Paying off car loans are also savings! If you could mortgage your art and wine collection, so would paying down those debts.
I totally agree. But apparently others disagree.
by acegolfer
Thu Oct 24, 2019 7:44 am
Forum: Investing - Theory, News & General
Topic: Vanguard now supports Yubikey 5 and 5C
Replies: 54
Views: 9619

Re: Vanguard now supports Yubikey 5 and 5C

The security key option is pointless since you can not select this as the only log in option. i think i agree with you but i hope someone can tell me i'm wrong. if you don't have a key, you can still access your account with the security code. if someone wanted to hack my account -- they won't have...
by acegolfer
Thu Oct 24, 2019 7:38 am
Forum: Investing - Theory, News & General
Topic: Why would someone buy a currency pair future when they could just buy the currency pair directlly?
Replies: 9
Views: 978

Re: Why would someone buy a currency pair future when they could just buy the currency pair directlly?

There are 3 reasons for trading EURO FX futures instead of underlying EUR/USD:
1. hedging (to protect against future uncertainty)
2. speculating (because of leverage, your return will get magnified)
3. arbitrage (to instantly exploit apparent mis-pricing)
by acegolfer
Wed Oct 23, 2019 10:13 am
Forum: Investing - Theory, News & General
Topic: [Paul Merriman: This strategy beats a total stock market fund]
Replies: 173
Views: 13631

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

2. are you measuring all the risks by stdev? Yes. I'm sure there is a better way, but this is the best way that I understand. Under multi-factor asset pricing model, it is certainly possible to have higher expected return than the market without increasing stdev. IOW, higher Sharpe ratio is possibl...
by acegolfer
Wed Oct 23, 2019 9:33 am
Forum: Investing - Theory, News & General
Topic: [Paul Merriman: This strategy beats a total stock market fund]
Replies: 173
Views: 13631

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

Uncorrelated wrote:
Wed Oct 23, 2019 8:11 am
It is also possible to get the same returns as TSM with less risk, or higher returns than TSM with the same risk.
1. consistently?
2. are you measuring all the risks by stdev?
by acegolfer
Wed Oct 23, 2019 9:29 am
Forum: Personal Finance (Not Investing)
Topic: Is principal portion of mortgage counted for savings rate purposes?
Replies: 126
Views: 6797

Re: Is principal portion of mortgage counted for savings rate purposes?

The same goes for buying a car. The buying the car event isn't a spending event. It has no net impact on net worth. You are trading one asset (cash) for another asset (a car) and debt if you took a loan. The spending comes from the operating cost of the car which includes the depreciation of the as...
by acegolfer
Wed Oct 23, 2019 7:43 am
Forum: Investing - Theory, News & General
Topic: [Paul Merriman: This strategy beats a total stock market fund]
Replies: 173
Views: 13631

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

I'm surprised there is no single mentioning of "risk" in OP. Isn't it possible to beat TSM by taking more risk? Seems that what this strategy is.
by acegolfer
Wed Oct 23, 2019 7:35 am
Forum: Personal Finance (Not Investing)
Topic: Is principal portion of mortgage counted for savings rate purposes?
Replies: 126
Views: 6797

Re: Is principal portion of mortgage counted for savings rate purposes?

Savings = Income - Expense

Answer to your question depends on whether you consider principal pmt as expense/spending or not. Ppl have different opinion so there's no one answer. If you consider principal pmt as expense, then it's not savings. Otherwise, it counts for savings rate.
by acegolfer
Sat Oct 12, 2019 6:36 pm
Forum: Personal Finance (Not Investing)
Topic: Anyone want to share their monthly budget? Here's ours
Replies: 153
Views: 32442

Re: Anyone want to share their monthly budget? Here's ours

I find it interesting that most responders are singles or couples with no kids. The rest of us are too busy to budget or don't really want to know. :mrgreen: Since you asked, family of 4 (2 kids) Auto: $540 Food/Dining: $1240 Household/clothing/cash: $1220 Home/tax/HOI/HOA/maintenance/util: $1060 E...
by acegolfer
Tue Aug 06, 2019 7:49 am
Forum: Investing - Theory, News & General
Topic: Factors, tilting, and efficient markets
Replies: 55
Views: 3611

Re: Factors, tilting, and efficient markets

If you accept that factor tilts are real and increase returns in a portfolio, is that a rejection (at least implicitly) of EMH? It's a rejection of CAPM. Not necessarily a rejection of EMH. To learn more, Google "joint hypothesis problem" do those that accept factors as real regard them as having b...
by acegolfer
Sat Jul 13, 2019 7:06 am
Forum: Personal Finance (Not Investing)
Topic: At What Age or Point in your Career did your investments start outweighing your regular paychecks?
Replies: 85
Views: 12271

Re: At What Age or Point in your Career did your investments start outweighing your regular paychecks?

Let's assume
annual income = $100k
saving rate = 50%
expected return = 7%
dividend yield = 2%

Then it will take 30 yrs for dividend income > paycheck.

investment = -FV(7%,30,50k,0,1) = $5.05MM
dividend = $5.05MM * 2% = $101k

Change the inputs, as you wish.
by acegolfer
Thu Jun 27, 2019 7:12 am
Forum: Personal Finance (Not Investing)
Topic: Budgeting/Expense tracking
Replies: 39
Views: 2732

Re: Budgeting/Expense tracking

My spreadsheet dashboard generates the following charts from raw transaction data 1. current account balances, net worth 2. net worth time series chart 3. income/ expense / saving rate time series chart 4. current asset allocation pie chart 5. asset allocation % (stacked) time series chart 6. portfo...
by acegolfer
Sun Jun 23, 2019 8:13 am
Forum: Personal Finance (Not Investing)
Topic: "Quitten" - Replacing Quicken with Google Sheets
Replies: 39
Views: 4561

Re: "Quitten" - Replacing Quicken with Google Sheets

2. Originally, I considered creating a separate tab for each account (like you did). But decided against that because of too many accounts. Instead, I have 1 master tab with all bank/CC/mortgage transactions. This tab has "account name" column. Since I use Pivot Table to generate reports, I can ord...
by acegolfer
Wed Jun 19, 2019 9:18 am
Forum: Personal Finance (Not Investing)
Topic: "Quitten" - Replacing Quicken with Google Sheets
Replies: 39
Views: 4561

Re: "Quitten" - Replacing Quicken with Google Sheets

What are you guys actually using Quicken for? Tracking investments or tracking checking/credit card accounts. I use the auto-download features in Quicken to pull all the checking and credit card data from my financial institutions so Quicken is very automated for me. I haven't used Google sheets fo...
by acegolfer
Thu Jun 06, 2019 6:29 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 20726

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

Fama says The market portfolio is always efficient That snippet is devoid of all the context that surrounded it. I know, because I've been in the the room with Fama when he said something similar. The list of assumptions and conditions necessary for that result to apply would fill a notebook. Not l...
by acegolfer
Wed Jun 05, 2019 9:07 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 20726

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

The market factor is easy to understand and simple to invest. The other factors are academic constructs which help to better explain asset pricing. FYI, all FF factors are academic. The difference is MKT is derived theoretically by Sharpe and Lintner in 60s. SMB and HML factors are derived empirica...