Search found 1874 matches

by Anon9001
Mon Oct 16, 2023 11:12 am
Forum: Personal Investments
Topic: Global investing vs US investing
Replies: 17
Views: 1912

Re: Global investing vs US investing

In 2017, 60% of the world economy was in the Western hemisphere (predominately US). By 2040, it is predicted that 60% of the world economy will be Africa and Asia (Eastern Hemisphere). On this point I am pretty sure that this is GDP Nominal. In case you don't know GDP Nominal tends to Over-estimate the Size of Rich Countries Economics and Underestimate the Size of Poor Countries Economies as it doesn't Adjust for the fact that Prices of Goods and Services Are Not The Same Across the World. So with GDP Nominal you are not actually looking only at Quantity Differences (i.e. whether Country A has Produced More Goods than Country B) when you compare GDP across countries but also Price Differences (i.e. If Country A has Higher Prices than Count...
by Anon9001
Tue May 16, 2023 10:30 am
Forum: Investing - Theory, News & General
Topic: International Stocks return will be superior to US
Replies: 480
Views: 42656

Re: International Stocks return will be superior to US

watchnerd wrote: Tue May 16, 2023 10:23 am Excellent point.

How much of inflation in India is tied into non-imported goods (food, services, shelter) vs imported (oil), as measured by the government?
Majority of CPI weightage is to Food and Services (46%+24%=70%). Source:https://theprint.in/macrosutra/differen ... s/1376125/

Image
by Anon9001
Tue May 16, 2023 10:19 am
Forum: Investing - Theory, News & General
Topic: International Stocks return will be superior to US
Replies: 480
Views: 42656

Re: International Stocks return will be superior to US

watchnerd wrote: Tue May 16, 2023 10:10 am Interesting, thanks!
Sure. I want to state even ignoring Taxation Differences there is a good argument for Home Bias in that Domestic Stocks better reflect Domestic Inflation than Int Stocks for everyone. People assume that the Exchange Rate will adjust to reflect the Inflation Differences between the Two Countries (Relative Purchasing Power Parity) but the Exchange Rate only reflects the Value of Traded Goods between Country A and B so it will only protect you against Inflation of the Traded Goods that you consume. If you are consumption is majority done on Services which tend to be Non-Tradeable across countries then the Exchange Rate will not protect you if there is significant inflation there.

Regards,
Anon9001.
by Anon9001
Tue May 16, 2023 10:08 am
Forum: Investing - Theory, News & General
Topic: International Stocks return will be superior to US
Replies: 480
Views: 42656

Re: International Stocks return will be superior to US

watchnerd wrote: Tue May 16, 2023 10:04 am Wow, mandatory 35% exposure to India is a lot.

I wonder if the Indian stock market has enough liquidity to deal with that without a lot of distortions of the market?
It might seem like that if you are just reading here and assuming everyone in the World is putting money into VT/VWRA but I am involved with various Indian Financial Forums and typically most investors in India don't invest into International Stocks so the AUM of these Ex-Indian Funds are very small relative to other Mutual Funds which are available in India such that if all of them were to change to Hybrid Funds having 35% Exposure to Indian Stocks it won't distort the Local Market at all.

Regards,
Anon9001.
by Anon9001
Tue May 16, 2023 9:38 am
Forum: Investing - Theory, News & General
Topic: International Stocks return will be superior to US
Replies: 480
Views: 42656

Re: International Stocks return will be superior to US

I feel it is kind of useless to look at the performance of Ex-US Index as a reflection of the performance of the entire Ex-US markets as due to Cap-Weighting the performance of European and Japanese stocks will heavily effect the Performance of the Ex-US Index and both Europe and Japan have not done that well recently. Just to prove my point there is one "International" Market which has actually outperformed US Stocks the Domestic Market (for me) India. Although it is not doing so well against the Nasdaq Index. Personally this comparison kind of makes it very hard for me to see the value in owning US/Foreign stocks as recently Government has put a very high Taxation on Mutual Funds/ETF's having <35% Exposure to Indian Equities. I ...
by Anon9001
Sun May 14, 2023 2:20 pm
Forum: Investing - Theory, News & General
Topic: Who should not invest in the market portfolio
Replies: 466
Views: 32344

Re: Who should not invest in the market portfolio

The Sharpe and Sortino ratios are an attempt to measure whether the extra return was worth the risk. And by both measures, if we adjust for risk, the S&P 500 and total market funds did better than the small-cap value fund. Not much better--if you want to say "about the same," fine. But it is misleading to talk only about return, without saying anything about risk. What these results mean is that for any hypothetical portfolio using a total market fund, if we are willing to take more risk, it should be slightly better to do so simply by increasing our stock allocation than by adding a small-cap value tilt. Its interesting to me how you keep clinging to these Ratios I believe because you think that these Ratios are somehow valu...
by Anon9001
Sun Apr 30, 2023 10:49 am
Forum: Investing - Theory, News & General
Topic: Investing in Japan from 1991 to Today
Replies: 70
Views: 9932

Re: Investing in Japan from 1991 to Today

Not to take up too much room with a detailed elaboration of the theory, but let’s pretend that the US stock market experiences something like what occurred in Japan in 1991. Peak of Japanese Large Caps occurred in December 1989 not 1991 and that is without considering Dividends and also assuming a person done a Lumpsum at the Peak which is quite unrealistic. If you are look at the Real Return of Japanese Investor who done Annual Contributions in the MSCI Japan JPY Gross Returns Index from Dec 1989-Now the IRR is equal to 3.9% compared to a IRR of 8.4% for MSCI World Ex-Japan JPY Net Returns Index and 6.5% for MSCI EASEA JPY Net Returns Index (EAFE Index excluding Japan so basically this Index is just majority European Stocks with some smal...
by Anon9001
Sat Apr 29, 2023 8:13 am
Forum: Investing - Theory, News & General
Topic: AQR: International Diversification—Still Not Crazy after All These Years
Replies: 295
Views: 18556

Re: AQR: International Diversification—Still Not Crazy after All These Years

https://www.pm-research.com/content/iijpormgmt/early/2023/04/27/jpm20231489 The link is paywalled so I can't comment on the findings of AQR but just looking at the backtesting I done I feel the case for Global Index over USA is quite weak.(I believe the meh results below is due to the fact that these Global Indexes are literally just US Large Caps and EAFE Large Caps which tend to be highly correlated with each other. Their weightage in EM and Frontier Markets is too small to make a difference): The Median 20 Year Rolling DCA Return of MSCI World USD, MSCI World Ex-Japan USD and MSCI USA USD is 5.8%, 7.4% and 7.7% respectively. So the USA Index is only having 4% higher Long Term Return than MSCI World Index once you exclude Japan. Median 1...
by Anon9001
Thu Apr 27, 2023 12:26 pm
Forum: Personal Investments
Topic: VT vs VTI vs VOO
Replies: 22
Views: 7024

Re: VT vs VTI vs VOO

Which do you prefer and why? I hold all three but noticed I had the most in VTI. VTI and VOO are basically same due to both of them being Cap-Weighted Indexes so the extra thousand stocks in the former is not going to make a meaningful difference. There is more of a difference between choosing VTI/VOO and VT but due to the high correlation between US and EAFE stocks (which are the only meaningful Ex-US exposure that these Global Indexes have as their weightages in EM and Frontier Markets are only 10%) the difference is not meaningful. I can confirm this by looking at 20 Year Rolling DCA Return of MSCI World Net USD, MSCI World Ex-Japan Net USD and MSCI USA Gross USD the Median Rolling Return of these three is 5.8%, 7.4% and 7.7% respective...
by Anon9001
Sat Apr 22, 2023 10:40 am
Forum: Personal Investments
Topic: VOO vs QQQ with 20+ years horizon
Replies: 34
Views: 10294

Re: VOO vs QQQ with 20+ years horizon

It is funny to me how negative the site is on NASDAQ even though that is where most of the US outperformance over Ex-US is coming from but anyway to answer the thread title if you are doing DCA over 20 Year Investment Horizons NASDAQ was always better than MSCI USA. Median 20 Year Rolling IRR of Nasdaq is 10.9% vs 7.7% for MSCI USA. However over 10 Year Investment Horizons the outperformance is not as clear cut but still the Median 10 Year Rolling IRR of Nasdaq is 12.3% vs 9.2% Median 10 Year Rolling IRR of MSCI USA. What I find surprising is how the Minimum 10 Year Rolling DCA Return of NASDAQ is slightly higher than MSCI USA (-9.2% vs -9.5%) (It is however having much better Minimum 20 Year Rolling Return of 3.7% vs 0.4% of MSCI USA) desp...
by Anon9001
Wed Apr 19, 2023 2:02 pm
Forum: Investing - Theory, News & General
Topic: SPY had a much higher rate of return than QQQ over a long-term investment period.
Replies: 53
Views: 7378

Re: SPY had a much higher rate of return than QQQ over a long-term investment period.

From 2000 through 2022, all of the full years of QQQ's history, total stock outperformed QQQ. This isn't really a "QQQ sucks" story. It's certainly not a "dividends" story, nothing to do with dividends. It's an "endpoint sensitivity" story. The backtesting comparison is useless, but you would expect a "market" fund like the S&P 500 to outperform QQQ over long periods as QQQ tends to be heavy in growth stocks which underperform the broad market over long periods. Interestingly if you look at how a DCA Investor performed over 20 Years it was always better to go with NASDAQ than to go with MSCI USA. https://i.imgur.com/OHBIKGo.png Total Sample Size of 20 Year Rolling Returns is 360 but that is not a...
by Anon9001
Wed Apr 19, 2023 8:05 am
Forum: Investing - Theory, News & General
Topic: SPY had a much higher rate of return than QQQ over a long-term investment period.
Replies: 53
Views: 7378

Re: SPY had a much higher rate of return than QQQ over a long-term investment period.

I recently saw some amazing results. It turns out that the S&P 500 SPY had a much higher rate of return than QQQ over a long-term investment period. If you take a look at the chart since 1999, you'll see the stark contrast. Could this be because it includes dividend reinvestment? It seems like many investors are unaware of this. The devil is in the details. You are talking about CAGR which assumes you done a Lumpsum back in Jan 2000 and left it since (not adding or withdrawing money). If you are doing DCA the MWRR (Money Weighted Rate of Return) for the same time period for QQQ is 31% higher than SPY:https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2022&last...
by Anon9001
Mon Apr 17, 2023 9:10 am
Forum: Non-US Investing
Topic: Is 50% of Equities too much in Domestic Stocks (India)?
Replies: 41
Views: 5422

Re: Is 50% of Equities too much in Domestic Stocks (India)?

Like you mentioned, the recent tax changes in India have made foreign equities significantly less attractive compared to domestic equities. But I have been researching about the changes, and am confused about which types of investments would be impacted by these changes. For example, a quote in this article implies that "direct foreign equity/ETFs through LRS mode" will remain under the old taxation rules. So I just asked Galactic Advisors about this through email and I got a confirmation that Direct Foreign Equity will be taxed at 20% with Indexation if you sell after 24 months (Before 24 months it is STCG hence it is Taxed at Slab Rates) but Foreign Domiciled ETF's/Mutual Funds will be taxed at Slab Rates even if you sell them ...
by Anon9001
Fri Apr 14, 2023 11:05 am
Forum: Non-US Investing
Topic: Investing in India for Indian Citizens
Replies: 11
Views: 3465

Re: Investing in India for Indian Citizens

Anon9001 Thanks for bringing this recent change to our attention. So does this mean funds such as Motilal Oswal may change their S&P 500 index fund to also include 35% Indian equities just to get around this tax issue ? They can give some catchy name to the fund such as 'Apna S&P' or something :) This is simply penalizing investors who seek international exposure. Hopefully Indian mutual fund market will react to this and come up with some product. Taking the risk to invest in equities and paying income tax rates on dividends and capital gains is a bit painful but what do we do ? Altho the post says "Indian citizens", I suppose the recent change you highlighted would also apply to OCI cardholders who return for good ? Suc...
by Anon9001
Fri Apr 14, 2023 3:29 am
Forum: Non-US Investing
Topic: Investing in India for Indian Citizens
Replies: 11
Views: 3465

Re: Investing in India for Indian Citizens

I figured that all of their living expenses would be met by their Fixed Deposit portfolio. Equity portion is for any future unforeseen expenses or left to inheritance. I did not bother with US ETFs due to tax issues. But with your clarification on Navi, perhaps I should look into it. You might want to know that recently the Taxation for Funds which are having <35% Exposure to Indian Equities is changed . Now they are Taxed at Slab Rates (Same Taxation as FD) even if you hold them Long Term. However considering your parents are elderly this change in Taxation might not be that harmful. Regardless due to the Equity allocation only being 10% of their Portfolio I would advice against having International exposure as it probably won't make a me...
by Anon9001
Fri Apr 14, 2023 1:35 am
Forum: Investing - Theory, News & General
Topic: International Exposure: 100% EM?
Replies: 203
Views: 13224

Re: International Exposure: 100% EM?

The problem is that to move the needle, you probably need 5% of your equity portfolio in these things. But a weighting of more than 1-2% is really starting to get into the risk category. Even a 10% allocation to Frontier Markets as part of the Equity Allocation doesn't make a meaningful difference. I notice you tend to underestimate the risk of US and overestimate the risk of Emerging and Frontier Markets. You seem to think there is a "big" risk in underweighting US if you are living outside US when in reality it could go either way. US Stock Market could continue to outperform most of the Ex-US Stock Markets like it did from 1994-2022 (IRR or DCA Return. Interestingly it had Lower DCA Return than Domestic Market in this Time Per...
by Anon9001
Thu Apr 13, 2023 12:13 pm
Forum: Investing - Theory, News & General
Topic: International Exposure: 100% EM?
Replies: 203
Views: 13224

Re: International Exposure: 100% EM?

Speaking just for myself, I don't believe in using backtesting like this, nor for that matter do I define risk in that way. That said, it is true that my way of thinking led me to not just using an EAFE fund. Hmm care to elaborate? Is the problem using Rolling Returns or using IRR instead of CAGR? I understand Rolling Returns have High Autocorrelation but its not as High as people here think which I can confirm looking at the ACF Plot of the Rolling Returns as the Confidence Bands suggest that the Lag 32-33 Autocorrelation is Not Statistically Significant from 0 which means the Number of Independent 20 Year Rolling Returns (400/32=12) is much higher than the Number of Non-Overlapping 20 Year Returns which in this case is 2. As per CAGR vs ...
by Anon9001
Thu Apr 13, 2023 8:46 am
Forum: Investing - Theory, News & General
Topic: International Exposure: 100% EM?
Replies: 203
Views: 13224

Re: International Exposure: 100% EM?

I don’t know if I said anything about a 100% US weighting? Since I’m a world weight type of guy that’s not something I would likely advocate for. Personally though wouldn’t place my entire foreign exposure on EM for the reasons cited earlier I was referring to the OP who is wanting to have 30% exposure to Ex-US stocks. Regardless I do want to point out MSCI ACWI is having 60% weightage in US stocks, 30% weightage in EAFE Stocks and 10% weightage in EM stocks. You might argue it is having 40% exposure to Ex-US stocks which is "meaningful" but the issue it is having most of the Ex-US exposure in EAFE stocks which tend to have higher correlation with US stocks than EM is having. Back-testing wise I can confirm this by looking at the...
by Anon9001
Tue Apr 11, 2023 3:04 pm
Forum: Investing - Theory, News & General
Topic: International Exposure: 100% EM?
Replies: 203
Views: 13224

Re: International Exposure: 100% EM?

rob wrote: Tue Apr 11, 2023 2:30 pm Great map... although I think Arkansas might be shrinking from when they made this one ;-)
Wonder what it would like with GDP PPP. That is much more accurate IMO as it takes into account the fact that Developing Countries have much lower Prices for Non-Traded Goods and Services Compared to Developed Countries. However GDP Nominal could be more useful if you want to see how Globally Important a Country is as Global Trade is done in Market Exchange Rates.

Regards,
Anon9001.
by Anon9001
Tue Apr 11, 2023 2:53 pm
Forum: Non-US Investing
Topic: Is 50% of Equities too much in Domestic Stocks (India)?
Replies: 41
Views: 5422

Re: Is 50% of Equities too much in Domestic Stocks (India)?

Like you mentioned, the recent tax changes in India have made foreign equities significantly less attractive compared to domestic equities. But I have been researching about the changes, and am confused about which types of investments would be impacted by these changes. For example, a quote in this article implies that "direct foreign equity/ETFs through LRS mode" will remain under the old taxation rules. Does anyone here have clarity on taxation for different foreign investment options for Indian residents, after the recent changes? For example, a non-exhaustive list of different options that may or may not have different tax treatments: Direct equity: for example AAPL or GOOG, bought through IBKR, Vested, etc. ETFs listed in o...
by Anon9001
Tue Apr 11, 2023 2:37 pm
Forum: Investing - Theory, News & General
Topic: International Exposure: 100% EM?
Replies: 203
Views: 13224

Re: International Exposure: 100% EM?

I did and I agree with you. They aren’t slam dunks. I wouldn’t avoid EM, but the above might give me pause at going 100% EM for my international which the OP was asking about. Emerging economies are voracious for capital and it’s gotta come from somewhere and go somewhere. Earlier you told me that using IRR over CAGR is equivalent to throwing out poor returns of Asset and keeping Good Returns only. I don’t think this was me I would be more concerned about the US weightage in the Equity Portfolio more than the 30% weightage to EM stocks but I am a Foreigner so I am not prone to the thinking here that the US stocks are Low Risk Asset compared to Ex-US stocks. I can confirm this also with back-testing as a 60 USA 40 EM Portfolio is less risky...
by Anon9001
Tue Apr 11, 2023 12:46 am
Forum: Investing - Theory, News & General
Topic: International Exposure: 100% EM?
Replies: 203
Views: 13224

Re: International Exposure: 100% EM?

https://joi.pm-research.com/content/14/4/17 Hmm did you actually read what you linked here? I skimmed the paper and it only has data on EM markets going back to 1992. I believe the Jeremy Seigel quote was referring to the Correlation between GDP Per Capita Growth and Long Term CAGR of Stock Market of Various Developed Countries from 1900-2013. There are two flaws with this data. It includes outlier events like WW1 and WW2 which are quite unlikely to happen again and it is assuming you care about 100 Year Return of Asset when your Investment Horizon is not going to last that long. Using a Shorter Horizon though like 30 Years while it is much more realistic it is still unrealistic if you are comparing 30 Year CAGR to 30 Year GDP Growth of Va...
by Anon9001
Mon Apr 10, 2023 12:42 pm
Forum: Investing - Theory, News & General
Topic: International Exposure: 100% EM?
Replies: 203
Views: 13224

Re: International Exposure: 100% EM?

Hi everyone, I'm always looking for ways to improve my portfolio from a diversification standpoint. Recently I've been focusing on the international portion of my portfolio (~30% of stocks) and I'm thinking it may not even be worth holding international developed markets. My reasoning is basically this, since DM are highly correlated to US stocks, they aren't a great diversifier. I believe Bogle himself used this as one of his reasons for not investing in international stocks. However, emerging markets are a stronger diversifier since they have demonstrated a lower correlation to US stocks. Therefore, why not 100% EM for the international portion of stocks? Median 20 Year Rolling Internal Rate of Return (or DCA Return) of MSCI USA, 60 MSCI...
by Anon9001
Wed Apr 05, 2023 11:12 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

It might be too complicated to explain here, but how can one get 14 independent 20-year rolling returns out of 2 non-overlapping 20-year periods (with any confidence I’m not just measuring the exact same thing repeatedly)? Said differently, how do we have confidence we are measuring different things with those 14 periods? Forgot to mention if you don't believe in Bartlett's Formula for calculating the Confidence Intervals what we can do alternatively is just assume that the Autocorrelation is not there for a Particular Lag if the Value is <0.3 (0.3 is generally considered to be a Poor Correlation. R-Squared Value is 9%). Here is the values of the Autocorrelations at all the Lags shown in the prior ACF Plot. We can see by Lag 11 that the Au...
by Anon9001
Wed Apr 05, 2023 6:58 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

It might be too complicated to explain here, but how can one get 14 independent 20-year rolling returns out of 2 non-overlapping 20-year periods (with any confidence I’m not just measuring the exact same thing repeatedly)? Said differently, how do we have confidence we are measuring different things with those 14 periods? https://i.imgur.com/Rxd6FhG.png Looking at the ACF Plot again you can see the Lag 8 Autocorrelation (The value of this Autocorrelation is 0.46) of the MSCI China 20 Year Rolling Returns is inside the 95% Confidence Intervals meaning its Not Statistically Significant so we can’t say that the Lag 8 Autocorrelation is actually different from 0. To simplify this means that we can’t be certain that the Correlation between the ...
by Anon9001
Tue Apr 04, 2023 7:18 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

Bingo. visualguy seems so jingoistically convinced of US superiority he seems oblivious to evidence showing ex-US diversification is beneficial. What can we do? Last I checked Broad Ex-US Index only has 20% weightage to EM. Median 20 Year Rolling IRR (DCA) of MSCI World Ex-USA (EAFE with Canada included (Excluding/Including Canada makes little difference so we can just say that EAFE and this Index are the same)) is 5.5% which is 30% lower than the Median MSCI USA Rolling IRR of 7.9% and it's 36% lower than the Median MSCI EM Rolling IRR of 8.6%. However recently from 2022 EAFE outperformed MSCI EM in regards to 20 Year Rolling IRR so i understand why the board is pessimistic on EM and more optimistic on EAFE now (i.e. Recency Bias). The 20...
by Anon9001
Tue Apr 04, 2023 12:26 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

visualguy wrote: Mon Apr 03, 2023 11:10 pm I would stay far away from EM indexing. I don't like ex-US indexing in general; EM is one of my least favorite parts of it.
I am suprised considering how much emphasis you put on Past Performance of Ex-US stocks that you choose to ignore the evidence I present in this thread showing that MSCI EM had slightly higher returns than MSCI USA over Long Term. Median 20 Year Rolling DCA Return of MSCI EM from Dec 1987-March 2023 is 8.6% compared to 7.9% for MSCI USA.

I guess your preconcieved notions are too strong to change your mind if presented with contradictory evidence? You are not alone here I am afraid :wink:

Regards,
Anon9001.
by Anon9001
Mon Apr 03, 2023 3:12 pm
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

We always say that people rarely lump sum, but that’s only kinda true. On any given day you are basically lump summing your current balance into the future. So I don’t think it’s pointless to at least observe what would have happened, unless we all agree we can just throw out the bad return years and focus on the good return years (I’m also not mathematically smart enough to see the value of ~115 overlapping autocorrelation adjusted month to month returns—maybe someone can explain it to me…?) Its just matter of what is more realistic return. Assuming a person is making a Initial Investment at the Start Date chosen and not adding Money to the Investment for 30 Years or assuming a person is making Contributions Annually to the Portfolio. I b...
by Anon9001
Mon Apr 03, 2023 9:56 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

Nathan Drake wrote: Mon Apr 03, 2023 1:32 am Japan was still in a bubble well into the 2000s.

It has taken 3 decades for the CAPE to become normal. It’s revaluation was a major headwind for exUS investors
Lucky for us I can just look at the MSCI EASEA Index which excludes Japan to see whether the bad return of Developed Ex-US is just due to that and its not. Median 20 Year Rolling DCA Return of MSCI EASEA Index is 6.0% compared to Median 20 Year Rolling DCA Return of 8.7% for MSCI China and 8.0% for MSCI EM.

Image

Effective Sample Size of 20 Year Rolling DCA Returns of MSCI EASEA is 18 (124/7) after adjusting for Autocorrelation of the Rolling Returns.

Image

Regards,
Anon9001.
by Anon9001
Mon Apr 03, 2023 8:42 am
Forum: Non-US Investing
Topic: Is 50% of Equities too much in Domestic Stocks (India)?
Replies: 41
Views: 5422

Re: Is 50% of Equities too much in Domestic Stocks (India)?

A Canadian is best advised to hold a global portfolio. This would be true for any investor resident in "small stock market" countries. Which, other than the USA, is basically all of them. :confused Strange how you are adament on the Global Portfolio even though I told you right now that any fund which is having less than 35% exposure to Domestic Equities is having Capital Gains taxable up to 42% with no Inflation Adjustment for Principal Amount whereas Domestic Equities are Taxed at 10% without Inflation Adjustment for Principal. Only Funds which are having >35% exposure to Indian Equities are now taxed at 20% with Inflation Adjustment for Principal Amount. Like I said before though this rule only applies to new investments made ...
by Anon9001
Mon Apr 03, 2023 8:16 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

ScubaHogg wrote: Mon Apr 03, 2023 6:33 am But has it?

viewtopic.php?t=372896

(granted that post is a year old)
Note I am talking about Median 20 Year Rolling "DCA" Return when I am saying Long Term Return. You are talking about the return if someone done Lumpsum in MSCI China in Dec 1992 and never added any money to it since. Most if not all people don't invest like this so this Return is useless to look at compared to the DCA Return. In this case China done poorly early on so the DCA Return is significantly higher than the Lumpsum Return.

Also its kinda funny that you posted to this to me as if its a new information even though I already read the thread and necrobumped it recently :wink:

Regards,
Anon9001
by Anon9001
Mon Apr 03, 2023 12:42 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

visualguy wrote: Sun Apr 02, 2023 8:51 pm Geopolitical risk is a huge problem with China, particularly for US investors. That's more than a third of EM right there.
Despite the Geopolitical Risk Historically it paid off as MSCI China USD had a 55% higher Long Term Return than MSCI World Ex-USA USD. China's Median 20 Year Rolling IRR is 8.7% compared to 5.6% for MSCI World Ex-USA. Minimum 20 Year Rolling IRR is 3.6% which is slightly higher than MSCI World Ex-USA Minimum 20 Year Rolling IRR of 3.5%.

I don't know why EAFE/World Ex-USA is such a dud here in terms of performance as even though it had high weight in Japan historically doing DCA would have avoided investing at the top of the Japanese Bubble so that cant solely be the reason.

Regards,
Anon9001.
by Anon9001
Sun Apr 02, 2023 3:15 pm
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

Another interesting thing I found is that China's Long Term Return seems to be quite higher than MSCI World Ex-USA Return even though it is sort of famous as the Stock Market with Long Term Return of 0%. Median 20 Year Rolling IRR for China, MSCI World Ex-USA and MSCI EM is 8.7%, 5.6% and 8.0% respectively. Minimum 20 Year Rolling IRR is 3.6%, 3.5% and 4.2% respectively. https://i.imgur.com/BW6VVBF.png Rolling Returns are calculated Every Month as noted previously. Total Sample Size not adjusted for Autocorrelation is 124. Adjusting for Autocorrelation the Effective Sample Size of 20 Year Returns of MSCI China is 15 (124/8), MSCI EM is 21 (124/6) and MSCI World Ex USA is 21 (124/6). https://i.imgur.com/Rxd6FhG.png https://i.imgur.com/L8zMwC...
by Anon9001
Sun Apr 02, 2023 11:49 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

Another interesting thing is that despite EM being viewed as riskier than EAFE and MSCI USA the Minimum 20 Year Rolling IRR is 4.2% for MSCI EM, 3.6% for MSCI USA and 1.5% for MSCI World Ex-USA. Maximum 20 Year Rolling IRR is 14.8%, 12.3% and 8.8% respectively.

Regards,
Anon9001.
by Anon9001
Sun Apr 02, 2023 11:38 am
Forum: US Chapters
Topic: Nisiprius has 49,000 posts
Replies: 112
Views: 15003

Re: Nisiprius has 49,000 posts

:sharebeer Despite our disagreements I do find that you along with Nedsaid, Siamond, Valuethinker, HomerJ and Vineviz are the highest quality posters on this site.
by Anon9001
Sun Apr 02, 2023 10:58 am
Forum: Non-US Investing
Topic: Is 50% of Equities too much in Domestic Stocks (India)?
Replies: 41
Views: 5422

Re: Is 50% of Equities too much in Domestic Stocks (India)?

Let's leave it that I am against home country bias. You posed the question in the title to the thread "Is 50% too much?" I answered "yes". And you have answered your own question ie "no". It makes me wonder why you posed the question. Geopolitical speculations are... geopolitical speculations. I didn't see the Ukraine war coming, nor Russian assets (for foreign funds) going to zero. Yet that war had been in progress since 2014. Doubtless the world will throw up other surprises. Okay so with the recent taxation changes I think a update is due here. To simplify now any fund which is having less than 35% exposure to Indian Equities will be taxed at Income Tax Slab Rates which can go up to 42% (Including Surcharge...
by Anon9001
Sun Apr 02, 2023 10:37 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

Not in the Advisory business and I tread lightly regarding investment recommendations. Once upon a time, I was pretty enthusiastic about Emerging Markets and would have recommended overweighting this asset class relative to market weights but my enthusiasm has cooled in recent years. I would now say that an allocation to Emerging Markets in the proportion of its market weight within an ex-US Global Index would be fine but to very cautious about going beyond that. I have often discussed "Tiger in the Tank" investments, high volatility and higher risk investments to add excitement and hopefully a performance boost to a portfolio, enough to add octane to a portfolio but not so much to blow up the gas tank! I put Emerging Markets in ...
by Anon9001
Sun Apr 02, 2023 10:16 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

Anon9001, I asserted that over the time period February 1, 2011 – December 31, 2022, the addition of emerging markets as represented by VEIEX, to a portfolio of developed markets as represented by VTMGX, would not have improved the risk-adjusted return of VTMGX. Of course I used the Sharpe ratio as my measure of "risk-adjusted return." But I note that it did not improve the Sortino ratio, either. So I would like to ask you, using whatever you think is the appropriate measure of risk-adjusted return, would you have gotten a different result? Do you think that 70% VTMGX + 30% VEIEX would have had a higher risk-adjusted return, by your preferred methodology , than 100% VTMGX? What I am saying is due to the Sharpe Ratio being unstabl...
by Anon9001
Sun Apr 02, 2023 9:32 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

I'm aware that you don't agree with the standard methods for annualizing standard deviation over multiple time periods, but I don't think you should flatly say "incorrectly" without more explanation. Both the Mean and Standard Deviation are Annualized incorrectly. You can only multiply Mean of Monthly Returns by 12 and Standard Deviation of Monthly Returns by Square Root of 12 to Annualize them if you are using Log Returns (Or to be more precise Log Gain Factors). The assumption behind these formulas are that Annual Return is the Sum of Monthly Returns and that Annual Variance is the Sum of Monthly Variance and both of these are only true if you are using Log Returns . Another issue is the fact that people seem to think the Sharp...
by Anon9001
Sun Apr 02, 2023 7:39 am
Forum: Investing - Theory, News & General
Topic: AQR: Re-Emerging Equities - EM Positioned for Higher Returns
Replies: 128
Views: 9596

Re: AQR: Re-Emerging Equities - EM Positioned for Higher Returns

The diversification benefit did show up, but only in emerging markets being less of a drag than naïvely expected. If you have a portfolio in which 70% has a Sharpe ratio of 0.30 and 30% has a Sharpe ratio of 0.11, then without any low-correlation diversification benefit, the Sharpe ratio of the portfolio would be 70% of 0.30 + 30% of 0.24. The difference between 0.24 and 0.25 represents the amount of diversification benefit contributed by the imperfect (but high!) correlation. Interesting you are still quoting these Sharpe Ratios as if they mean anything. I have to come to the conclusion that optimizing based on Sharpe Ratio is just a sophisticated way to chase past performance due to how unstable they are. Not to mention how they are ofte...
by Anon9001
Thu Mar 30, 2023 12:57 pm
Forum: Non-US Investing
Topic: Do Rolling Returns increase the number of 10 and 20 Year Returns after adjusting for Autocorrelation?
Replies: 1
Views: 761

Re: Do Rolling Returns increase the number of 10 and 20 Year Returns after adjusting for Autocorrelation?

Just to see if this holds for other assets. I looked at the Autocorrelation of the 10 and 20 Year Rolling Returns of DFSCX and VFINX (Total Sample Size of 10 and 20 Year Rolling Returns for VFINX and DFSCX from Feb 1986-March 2023 is 326 and 206 respectively) (Rolling Returns are calculated every Month) and the Effective Sample Size of 10 Year Returns of VFINX and DFSCX respectively is 13 (326/24) and 25(326/13). The Effective Sample Size of 20 Year Returns of these two are 15 (206/14) and 23 (206/9) respectively. Like before the Effective Sample Size for the two assets are much higher than 3 10 Year and 2 20 Year Non-Overlapping Time Periods would suggest. https://i.imgur.com/YLthYOZ.png https://i.imgur.com/AzXYw0v.png https://i.imgur.com/...
by Anon9001
Fri Mar 24, 2023 7:19 am
Forum: Investing - Theory, News & General
Topic: S&P 500 concentration risk: Should we be worried?
Replies: 245
Views: 24672

Re: S&P 500 concentration risk: Should we be worried?

Today I ran across the following post on Twitter: "This is the most unstable situation I've ever seen in public equity markets. 7 companies - $AAPL $MSFT $AMZN $GOOGL $TSLA $NVDA $META - make up 24.22% of $SPX and 51.13% of $NDX. That's concentration risk that's off the charts." I'm curious about how to properly think about this situation (including whether it might make sense to consider switching from market cap-weighted to equal weight index funds or ETFs, such as Invesco S&P 500 Equal Weight ETF). I'm aware that equal weight funds / ETFs imply slightly different sector exposures, slightly higher volatility, and some tilt toward small-cap stocks. For the context, my investing horizon is 15-20 years. Please share your thoug...
by Anon9001
Thu Mar 23, 2023 2:43 pm
Forum: Non-US Investing
Topic: Do Rolling Returns increase the number of 10 and 20 Year Returns after adjusting for Autocorrelation?
Replies: 1
Views: 761

Do Rolling Returns increase the number of 10 and 20 Year Returns after adjusting for Autocorrelation?

I calculated Rolling 10 Year and 20 Year Returns of Sensex based on Overlapping Monthly Time Periods from April 1979-Nov 2022 (i.e. First 10 Year Return is calculated from April 1979-April 1989, Second May 1979-May 1989 and First 20 Year Return is calculated from April 1979-April 1999, Second from May 1979-May 1999) and I want to know what is the Effective Sample Size for these two. The Total Sample Size of Rolling 10 and 20 Year Returns is 404 and 284 respectively but this is not adjusted for Autocorrelation of the samples. A general rule is to assume Rolling Returns are useless at improving the Sample Size and just assume the Number of Samples is Equal to the Number of Independent Returns so for 10 Year Returns this means I have 4 samples...
by Anon9001
Wed Mar 22, 2023 10:31 am
Forum: Investing - Theory, News & General
Topic: What does Bogle mean in this quote? It seems wrong
Replies: 45
Views: 5835

Re: What does Bogle mean in this quote? It seems wrong

Apparently he believed there was no increase in returns long term from holding SC? This is clearly wrong even for the time period outside of 73-83. Does he not believe in the basic idea of CAPM? In the quote below, he states that the reuts of SC vs LC have essentially been the same in the last 100 years, outside of 73-83. I take a look at the charts and they tell a completely different story. For example, since 1984, the S&P 400 has nearly doubled the returns of the S&P 500. Little confused on the quote. “Few investment principles,” he said, “have been as unchallenged as the now-perennial assertion that over the long run, small-cap stocks have outperformed large-cap stocks”. Apart from the period 1973 to 1983, when small-caps comfo...
by Anon9001
Sat Mar 18, 2023 12:00 pm
Forum: Investing - Theory, News & General
Topic: Ben Felix: International Diversification.
Replies: 475
Views: 28558

Re: Ben Felix: International Diversification.

The behavioral benefits of MCW may actually be the biggest boon. This can actually go both ways. A Swedish/Danish Investor would have done much better in the past just having 0% exposure to Int stocks rather than following MCW Portfolio. The primary issue I have with the MCW Portfolio is that for anyone other than Americans its having some peanut like exposure to Domestic Stocks so essentially you are gambling that your Domestic Market won't outperform massively Global Index. Sure it could also under-perform the Global Index massively but people here act like Home Bias can go in only one direction (negative) when it can go in either direction. Below is Log-Chart of MSCI Sweden, MSCI Denmark and MSCI World from Dec 1969-March 2023. 53 Year ...
by Anon9001
Sat Mar 18, 2023 2:55 am
Forum: Investing - Theory, News & General
Topic: Ben Felix: International Diversification.
Replies: 475
Views: 28558

Re: Ben Felix: International Diversification.

No-one here can predict the future but I will state my opinions on this anyway. Whether it is wise to own Ex-US stocks or not depends on whether you are outside or inside US. If you are outside US there is no reason for you to own US stocks only as there is literally no advantage or a minor advantage to doing so. My approach is I own the US and Domestic Market (India) Equal Weight as I don't want to underperform the Domestic Market severely if it takes off like a rocket like I most certainly would if I were to own the Domestic Market in cap-weights but I do understand that if Domestic Market under-performs this portfolio will do worse than Global Index and I am willing to take the risk. My objective is to reduce the left tail of Home Countr...
by Anon9001
Sat Mar 18, 2023 12:17 am
Forum: Investing - Theory, News & General
Topic: Ben Felix: International Diversification.
Replies: 475
Views: 28558

Re: Ben Felix: International Diversification.

Fryxell wrote: Fri Mar 17, 2023 11:44 pm A 24% loss in China/Taiwan due to expropriation would be a permanent loss. Whereas your typical 50% market decline is usually temporary.
I am not sure I understand your definition of "permanent" as after China/Taiwan go to 0 their weightage in the EM Index will be 0% and the other countries in the Index would get higher weightage as a result and if those other countries do well the EM Index would recover this loss after some period of time as a result.

What you are saying makes sense to me only if we assume the EM Index is just composed of these two countries.

Regards,
Anon9001.
by Anon9001
Wed Mar 15, 2023 8:37 pm
Forum: Investing - Theory, News & General
Topic: Ben Felix: International Diversification.
Replies: 475
Views: 28558

Re: Ben Felix: International Diversification.

While Chinese companies may post good returns, it doesn't appear the largess is widely dispersed among shareholders. I suppose 8.4% of a small number is an even smaller number. https://www.morningstar.ca/ca/news/225163/china-stocks-the-road-to-nowhere.aspx https://www.morningstar.com/articles/1085524/chinese-stocks-what-went-wrong I find it funny how people here are obsessed about their tiny (Greater) China allocation when even if you invest 50% into EM China+Taiwan will only make up 24% of your Total Equity Allocation. If it goes to 0 thats a 24% loss which while noticeable is still much less than the 50% loss that people here are trained to expect from Equities and that is assuming a person is investing 50% into EM which most here don't....
by Anon9001
Mon Mar 13, 2023 12:28 pm
Forum: Investing - Theory, News & General
Topic: Long-term Returns: Value Index vs Growth Index
Replies: 18
Views: 1935

Re: Long-term Returns: Value Index vs Growth Index

Value outperforming growth is thought to be a risk-based phenomenon. You could show a 30 year graph of some time period where high yield bonds underperform intermediate treasuries. That doesn't mean it's "reversion to the mean" and that high yield ("junk") bonds no longer have a risk premium. Risk can and does show up. If you want to present the value premium as a behavioral phenomenon that has likely gone away after Fama and French factor models, that is certainly a valid perspective. Likely it is a bit of both. :confused Other than LCV Premium being MIA since the 1990s in every region other than World Ex US (presumably due to Japan Bubble bursting), I was stating in my post that SCV Premium is still there for regions ...
by Anon9001
Mon Mar 13, 2023 10:14 am
Forum: Investing - Theory, News & General
Topic: Long-term Returns: Value Index vs Growth Index
Replies: 18
Views: 1935

Re: Long-term Returns: Value Index vs Growth Index

Note I am using MSCI Growth and Value USD Indexes for calculating these Premiums for all the regions and time periods considered below. I do this because MSCI Indexes are investable so the SCV Premiums are more realistic than the academic papers which tend to over-estimate the SCV Premium due to them presumably not excluding illiquid stocks. As per LCV “Premium”: From Dec 1974(Inception Date)- Feb 2023 USA LCV and LCG returned the same 11.6% return thus making for a US LCV Premium of 0% for this time period. World Ex-USA LCV and LCG returned 10.8% and 8.4% respectively making for a World Ex-US LCV Premium of 2.2% . The EASEA (EAFE Index Excluding JAP stocks) LCG and LCV Indexes for the same time period returned 10.9% and 9.9% respectively m...