Search found 315 matches

by camontgo
Tue Oct 10, 2017 4:33 pm
Forum: Personal Consumer Issues
Topic: Best weight loss resources?
Replies: 54
Views: 2263

Re: Best weight loss resources?

I lost over 80lbs in 2014, and I've kept it off since. I watched my diet very carefully (tracked all food and exercise in the myfitnesspal app) while losing the weight. I've also become a bit of a triathlon fanatic over the past few years, and that has helped with maintaining my weight. I read quite...
by camontgo
Fri Jan 06, 2017 6:03 pm
Forum: Investing - Theory, News & General
Topic: Research Paper Request: Active Manager Performance
Replies: 8
Views: 664

Re: Research Paper Request: Active Manager Performance

A very clearly written paper is Bogle's "Selecting Equity Mutual Funds" from the Journal of Portfolio Management (1992). Unfortunately, I can't find a link to an un-gated link to this paper...but here are some of my notes. ⋅ Bogle uses the annual Honor Roll published by Forbes as...
by camontgo
Tue Nov 22, 2016 6:26 pm
Forum: Investing - Theory, News & General
Topic: Fama-French factors, "financials," and DFA funds
Replies: 6
Views: 1005

Re: Fama-French factors, "financials," and DFA funds

This is a good question. I don't know the answer, but I don't think it is inconsistent that the best process for constructing a "small" or "value" investment portfolio may be different from the process of constructing the FF factors (HML and SMB). Fama and French sort stocks usin...
by camontgo
Fri Oct 21, 2016 9:18 am
Forum: Investing - Theory, News & General
Topic: Humble Giants - Interview with Vanguard's Gerry O'Reilly and Jim Rowley
Replies: 3
Views: 674

Humble Giants - Interview with Vanguard's Gerry O'Reilly and Jim Rowley

Excellent podcast interview with Vanguard Index Portfolio managers. http://investorfieldguide.com/vanguard/ Some very interesting discussion on variety of topics frequently discussed on this forum such as: liquidity in smaller stocks, index construction, market structure, high frequency trading, Van...
by camontgo
Thu Oct 13, 2016 9:19 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness - Turning Over Accepted Wisdom with Turnover
Replies: 29
Views: 3437

Re: Cliff Asness - Turning Over Accepted Wisdom with Turnover

My take-aways: 1. In Sharpe's analysis, passive investors don't rely on active investors for indexing to work well. 2. In Pedersen's analysis, some trading is always necessary for a cap weighted index of the "the market". The cost of this trading may be quite small if there is a large pool...
by camontgo
Wed Apr 01, 2015 11:23 am
Forum: Personal Consumer Issues
Topic: Pull-ups and Push-ups
Replies: 395
Views: 88301

Re: Pull-ups and Push-ups

I've managed to go from zero pull-ups to 4 pull-ups in about a month after being inspired by some of the earlier discussions on this thread. Still an embarrassingly low number, but things are moving in the right direction. I think I'm still in the stage where gains come relatively easy! My fitness g...
by camontgo
Mon Jan 26, 2015 10:52 pm
Forum: Investing - Theory, News & General
Topic: Effect of 0.79 correlation: fantasy vs. reality
Replies: 58
Views: 6434

Re: Effect of 0.79 correlation: fantasy vs. reality

For those who are skilled at this sort of thing, would it be possible/practical to create something along the lines of an efficient frontier time-lapse video (or gif)? Or is that the sort of thing that would take a huge amount of time? If not, I think it'd be super neat as a way to get across the m...
by camontgo
Mon Jan 26, 2015 3:38 pm
Forum: Investing - Theory, News & General
Topic: Effect of 0.79 correlation: fantasy vs. reality
Replies: 58
Views: 6434

Re: Effect of 0.79 correlation: fantasy vs. reality

Beliavsky wrote:
camontgo wrote:Actually, in theory, alpha can be less than 1, but then you'd need to short the fund to increase your Sharpe Ratio.


I think "alpha can be less than 0" was meant.


Yes, thanks, fixed it.
by camontgo
Mon Dec 22, 2014 12:33 pm
Forum: Investing - Theory, News & General
Topic: Asness response to value redundancy
Replies: 47
Views: 7605

Re: Asness response to value redundancy

Very interesting read and nice to see that value isn't dead and that there are sort of investment products that capture all 5 of those metrics. (mkt, smb, hml, rmw, umd). In a recent interview, Gene Fama said the following... "...once you get beyond two dimensions of expected returns, the thir...
by camontgo
Sat Dec 20, 2014 1:50 pm
Forum: Investing - Theory, News & General
Topic: Effect of 0.79 correlation: fantasy vs. reality
Replies: 58
Views: 6434

Re: Effect of 0.79 correlation: fantasy vs. reality

People are apt to say "well, the lower the better, but anything that isn't 1.0 is still helpful ." I think that if the goal is maximizing Sharpe Ratio, any fund added needs to have a positive alpha (relative to the benchmark) to be "helpful"....not just a correlation less than 1...
by camontgo
Thu Aug 14, 2014 11:38 am
Forum: Investing - Help with Personal Investments
Topic: Good Harbor and F-Squared
Replies: 17
Views: 2315

Re: Good Harbor and F-Squared

There are some earlier discussion on Good Harbor: My thoughts are included in this one : http://www.bogleheads.org/forum/viewtopic.php?f=1&t=115155 There was also some discussion around a WSJ article suggesting that traders were front running GH's trades... http://www.bogleheads.org/forum/viewto...
by camontgo
Tue Jul 01, 2014 11:02 am
Forum: Personal Consumer Issues
Topic: burning 1 lb is how many calories?
Replies: 69
Views: 7893

Re: burning 1 lb is how many calories?

I've lost 50lbs+ over the past 7 months through exercise and counting calories with a fitness app. Back at my high school weight now Calorie tracking involves a lot of estimating and there are many complicating factors, but I've nevertheless found the rule that a 3500 calorie deficit equals 1 lb of ...
by camontgo
Tue Apr 22, 2014 10:55 am
Forum: Investing - Theory, News & General
Topic: Is 1800s stock market data even relevant?
Replies: 63
Views: 6113

Re: Is 1800s stock market data even relevant?

The current situation is never an especially close match with any historical time. As we go back further, the differences are greater, and the data accuracy is more suspect. The 1800s data may be irrelevant for calculating a "Siegel Constant" or running a PE10 expected return regression. A...
by camontgo
Wed Apr 09, 2014 1:15 pm
Forum: Investing - Theory, News & General
Topic: BH Greatest Hits: PE10 predictive power
Replies: 39
Views: 6659

Re: BH Greatest Hits: PE10 predicitive power

I believe this maps to my interpretation of DeLong in http://www.bogleheads.org/forum/viewtopic.php?p=2023098#p2023098 Do you disagree with that post? Following the link: He's (DeLong) saying the only possible choices are (1) p/e predicts returns, (2) p/e predicts earnings/dividend growth, (3) the ...
by camontgo
Wed Apr 09, 2014 11:31 am
Forum: Investing - Theory, News & General
Topic: BH Greatest Hits: PE10 predictive power
Replies: 39
Views: 6659

Re: BH Greatest Hits: PE10 predicitive power

If we combine the two adjustments of 1 for the lower dividend payout and 4 for the FSB 142 change, the current CAPE 10 at 24.9 which looks way above the mean, doesn’t look so overvalued at a now 19.9. In fact, that’s right about in line with it’s average since 1960. Which begs the questions: a) Are...
by camontgo
Wed Apr 09, 2014 10:49 am
Forum: Investing - Theory, News & General
Topic: BH Greatest Hits: PE10 predictive power
Replies: 39
Views: 6659

Re: BH Greatest Hits: PE10 predicitive power

One major difference between the two cases is that in the first instance we had a constant underlying distribution while in the later case the underlying distribution could change over time. Yes, it will change over time. It could be that the market is more risky at some times than others, and this...
by camontgo
Wed Apr 09, 2014 9:31 am
Forum: Investing - Theory, News & General
Topic: BH Greatest Hits: PE10 predictive power
Replies: 39
Views: 6659

Re: BH Greatest Hits: PE10 predicitive power

How does one prove dividend growth has not been forecastable by the market? Perhaps the price of risk has changed? Assuming dividend growth is not forecastable, does that necessarily mean that returns are forecastable? Why? Example: Suppose I purchase the opportunity to draw a "payoff" fr...
by camontgo
Fri Apr 04, 2014 11:39 am
Forum: Investing - Theory, News & General
Topic: Gordon equation-stock buybacks
Replies: 11
Views: 1307

Re: Gordon equation-stock buybacks

I would be interested to hear how Bernstein and others think buybacks factor into the expected return on stocks under the Gordon equation. Bernstein wrote a paper with Robert Arnott in 2003 that had a very good discussion on the net effect of buybacks and dilution. m Most of the analysis I've seen ...
by camontgo
Mon Jan 06, 2014 11:26 am
Forum: Investing - Theory, News & General
Topic: Expected Future Market Returns
Replies: 32
Views: 3692

Re: Expected Future Market Returns

According to a Vanguard study, PE and Shiller's 10 year PE are the best forecasts of future market returns. Vanguard says they have done equally well, but only explain about 40%. In other words, they are the best methods but are not very good. I've run the regressions myself, and, as Vanguard's res...
by camontgo
Mon Jan 06, 2014 10:29 am
Forum: Investing - Theory, News & General
Topic: Expected Future Market Returns
Replies: 32
Views: 3692

Re: Expected Future Market Returns

Here is a free collection of papers discussing the equity risk premium. Includes papers from prominent academics and practitioners. It is a couple years old now, but still an interesting read:

http://www.cfainstitute.org/learning/pr ... emium.aspx
by camontgo
Sun Dec 22, 2013 9:36 pm
Forum: Investing - Theory, News & General
Topic: The Single Greatest Predictor of Future Stock Market Returns
Replies: 23
Views: 5828

Re: The Single Greatest Predictor of Future Stock Market Ret

The author has now posted a new post which includes a critique of his earlier post...another interesting read :happy

http://philosophicaleconomics.wordpress ... e-fitting/
by camontgo
Sun Dec 22, 2013 3:33 pm
Forum: Investing - Theory, News & General
Topic: Interesting article about CAPE/ PE10
Replies: 16
Views: 3180

Re: Interesting article about CAPE/ PE10

Wow--that was perhaps the most interesting finance article I've read all year. A purely mathematical way of thinking about what returns one can reasonably expect apart from any judgement as to what level the market "should" trade at. I'd like to use the numbers he was using from FRED and ...
by camontgo
Sat Dec 21, 2013 12:14 pm
Forum: Investing - Theory, News & General
Topic: Interesting article about CAPE/ PE10
Replies: 16
Views: 3180

Re: Interesting article about CAPE/ PE10

This is a very interesting blog. The Shiller PE post is excellent, but the newest post is even more thought provoking. It presents a new indicator of "future returns" that I had not seen before, and it has a very interesting (and extremely long) explanation of why it works. m Ultimately, t...
by camontgo
Tue Dec 17, 2013 2:21 pm
Forum: Personal Consumer Issues
Topic: Mega Millions jackpot to $636 million
Replies: 82
Views: 5791

Re: Mega Millions jackpot to $636 million

According to this analysis, the expected value of a ticket actually goes down when the jackpot is at record levels....because the number of tickets sold grows super-linearly vs. jackpot size so the probability of ties increases more rapidly than the expected payout. m I tried to estimate the value o...
by camontgo
Sun Dec 08, 2013 6:11 pm
Forum: Investing - Theory, News & General
Topic: Math q's about "rotated" eff. front. charts like Rick's
Replies: 2
Views: 464

Re: Math q's about "rotated" eff. front. charts like Rick's

I think the arithmetic mean to geometric mean change results in something more complex than a simple rotation of the standard efficient frontier. In my approximation of Rick's curve in the previous thread, I subtracted 0.5*sigma^2 from each return...which is subtracting a parabola shape. The 0.5*sig...
by camontgo
Fri Dec 06, 2013 4:24 pm
Forum: Investing - Theory, News & General
Topic: Math question about Rick Ferri's efficient frontier curve
Replies: 45
Views: 4592

Re: Math question about Rick Ferri's efficient frontier curv

By the way, in your chart, to my eyeball it looks as if there is just the tiniest bit of actual decline in return at the 100%-US end? That is, the return for 85% U.S. 15% foreign is higher, not just in risk-adjusted return (tangent line), but in just plain old return? Yes, there is a small decline ...
by camontgo
Fri Dec 06, 2013 3:04 pm
Forum: Investing - Theory, News & General
Topic: Math question about Rick Ferri's efficient frontier curve
Replies: 45
Views: 4592

Re: Math question about Rick Ferri's efficient frontier curv

That's basically correct. The total rate of return is calculated by using an IRR on the ending value of each $10,000 portfolio over the Jan 1970 - October 2013 period. The standard deviation is annualized using monthly returns for each portfolio over the same period. Rick Ferri So, the IRR is givin...
by camontgo
Wed Dec 04, 2013 3:47 pm
Forum: Investing - Theory, News & General
Topic: Math question about Rick Ferri's efficient frontier curve
Replies: 45
Views: 4592

Re: Math question about Rick Ferri's efficient frontier curv

The textbook Markowitz efficient frontier is a single period model which uses arithmetic mean returns. It is symmetric about a horizontal line through the minimum variance portfolio. It is true that the single period analysis can be misleading if not interpreted carefully (for example, the high vari...
by camontgo
Wed Dec 04, 2013 12:01 pm
Forum: Investing - Theory, News & General
Topic: Math question about Rick Ferri's efficient frontier curve
Replies: 45
Views: 4592

Re: Math question about Rick Ferri's efficient frontier curv

If calculated by the textbook method, the efficient frontier plot should be symmetric about a horizontal line going with the minimum variance portfolio. Bill Sharpe has the equations posted for two risky assets here: m The expected return (y-values) are given by: ep = e1 + x2*(e2-e1) Where e1 and e...
by camontgo
Wed Dec 04, 2013 10:58 am
Forum: Investing - Theory, News & General
Topic: Math question about Rick Ferri's efficient frontier curve
Replies: 45
Views: 4592

Re: Math question about Rick Ferri's efficient frontier curv

If calculated by the textbook method, the efficient frontier plot should be symmetric about a horizontal line going with the minimum variance portfolio. Bill Sharpe has the equations posted for two risky assets here: m The expected return (y-values) are given by: ep = e1 + x2*(e2-e1) Where e1 and e2...
by camontgo
Tue Nov 26, 2013 1:56 pm
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 189
Views: 24120

Re: Due diligence on RAFI Pure Small Value

Robert T,

Thanks for the additional analysis! Looks like the fund is worth watching as a potential SCV option.
by camontgo
Tue Nov 26, 2013 12:19 pm
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 189
Views: 24120

Re: Due diligence on RAFI Pure Small Value

The factor loadings and positive alpha look attractive, but there has been a lot written about other RAFI funds benefiting from the fortuitous timing of their index reconstitution in 2009. Based on the table in the original post, 2009 looks extreme for this index as well. It would be interesting to ...
by camontgo
Thu Nov 21, 2013 2:34 pm
Forum: Investing - Help with Personal Investments
Topic: what is the formula?
Replies: 12
Views: 1108

Re: what is the formula?

jbh42 wrote:Grt2bOutdoors, thanks for the answer.

But is there a formula where similar numbers can be plugged in while using a basic
handheld calculator?



If you want to calculate with a handheld calculator, you can use the equation here:

http://www.financeformulas.net/Number-o ... Value.html

Just need an "ln" key.
by camontgo
Thu Nov 14, 2013 12:07 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

Which isn't much different in the two cases with 20% sd because most of the benefit is captured just from having the starting 50/50 balance. The median looks significantly higher to me. As does the CAGR. And both of those are what matter in terms of making a real world decision. The CAGR is 0.1% hi...
by camontgo
Thu Nov 14, 2013 11:38 am
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

I'm still concerned about your median outcome being higher while your mean isn't. For a normal distribution, that shouldn't happen. The returns are drawn from a normal distribution. The final wealth is based on the compounding of these random returns over multiple periods, it isn't normal, it's rig...
by camontgo
Thu Nov 14, 2013 11:21 am
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

I'm still concerned about your median outcome being higher while your mean isn't. For a normal distribution, that shouldn't happen. The returns are drawn from a normal distribution. The final wealth is based on the compounding of these random returns over multiple periods, it isn't normal, it's rig...
by camontgo
Thu Nov 14, 2013 8:18 am
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

Yes, the variance in outcomes is higher with no rebalancing than it is with rebalancing. It isn't a very big difference for the parameters I'm using, but the difference grows as I increase volatility. I've already noted that I agree rebalancing reduces risk and it improves the median outcome. Both o...
by camontgo
Wed Nov 13, 2013 4:41 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

The point is that volatility hurts and that arithmetic averages are meaningless to multi-period investing. You seem to have gotten the later point, but missed the former. This a key point where we disagree. I agree with you that, when looking at specific sequence of returns, the geometric mean of t...
by camontgo
Wed Nov 13, 2013 2:11 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

That's not true. And the coin-flipping example above illustrates this. Here is my analysis of a coin flip example: Example: We flip a coin with a 100% return for heads, and a -50% return for tails. We make 100 flips with an initial bet of $1 and parlay the winnings. Compare rebalancing between two ...
by camontgo
Wed Nov 13, 2013 2:04 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

That's not true. And the coin-flipping example above illustrates this. Here is my analysis of a coin flip example: Example: We flip a coin with a 100% return for heads, and a -50% return for tails. We make 100 flips with an initial bet of $1 and parlay the winnings. Compare rebalancing between two ...
by camontgo
Wed Nov 13, 2013 12:29 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

It would be luck if the rebalancing strategy sometimes had better asset allocation and sometimes had worse asset allocation. However, if the returns of the two assets aren't identical, then the rebalancing strategy always has the inferior allocation (its never better).... That's not true. And the c...
by camontgo
Wed Nov 13, 2013 12:10 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

I don't disagree with that. However, a practical rebalancing strategy loses an offsetting amount (on average) by holding an inferior (ex-post) asset allocation in all instances where the asset returns diverge over full the holding period. It only loses due to dumb luck. And you can't retire on luck...
by camontgo
Tue Nov 12, 2013 2:15 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

I think the first term will always be positive, and the second term will always be negative for the scenarios I'm simulating. However, I don't (yet) understand how we can separate these two components in practice. I think we'd need uncorrelated assets which were guaranteed not to diverge. We do thi...
by camontgo
Tue Nov 12, 2013 10:38 am
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

I think you guys are talking past each other because you are interested in different questions. Any given observer, such as myself simply has to decide which questions (one, or both or neither) they are interested in. Yes, I think we are asking/answering different questions. I still think my approa...
by camontgo
Mon Nov 11, 2013 6:07 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

You have to take out the effect of shifting allocations (say by comparing the non-rebalanced portfolio to a rebalanced one with the dollar averaged allocation you ended up with) in order for the effect to not be obscured by things with much larger effect sizes. I'd need to work through it, but I ca...
by camontgo
Mon Nov 11, 2013 5:35 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

Now the problem is apparent. You are attributing losses that come from your allocation (having money invested in something that lost money) to rebalancing. I'm assuming I invest in two assets that have the same mean and expected return. The assets follow a random walk...so they aren't guaranteed to...
by camontgo
Mon Nov 11, 2013 5:10 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

Using a back of the book calculation, the standard deviation of a 50/50 portfolio should be ~14% and with a 10% return, using the approximation that says that geo mean = arith mean - variance * .5, the CAGR of the combined portfolio should be 10%-14%^2*.5 = 9% (vs 8% for no rebalancing which in the...
by camontgo
Mon Nov 11, 2013 4:30 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 19539

Re: "There is a rebalancing bonus ... false"

Over longer horizons, the result remains the same. The likelihood of the average returns being close increases with a longer horizon..but the "realized return difference" window where you get a bonus shrinks....so the average bonus over many trials is still zero. Where have I gone wrong w...
by camontgo
Mon Nov 11, 2013 11:07 am
Forum: Investing - Theory, News & General
Topic: The key to investment success
Replies: 33
Views: 3520

Re: The key to investment success

Excellent article, the Asness write-up referenced is one of my favorites. The first part message certainly seems to be "valuations are high" and "valuations are predictive." If that's actionable, then how? If it's not actionable, what's the good of knowing it? IMO, it is actionab...
by camontgo
Mon Nov 04, 2013 4:50 pm
Forum: Investing - Theory, News & General
Topic: Market valuation: same PE to same PE returns.
Replies: 6
Views: 1193

Re: Market valuation: same PE to same PE returns.

Interesting approach! In Common Sense on Mutual Funds, Bogle estimates expected return using this simple equation: Expected Return = starting dividend yield + dividend/earnings growth + speculative return In your analysis of historical returns, you are eliminating the contribution of the first term ...