Search found 245 matches

by 660ky612
Tue Mar 04, 2008 11:05 pm
Forum: Investing - Theory, News & General
Topic: Estimate the long-term return rate and SD of a portfolio
Replies: 14
Views: 3860

Tea Break In http://www.diehards.org/forum/viewtopic.php?p=165143&highlight=#165143 Important question We all know emerging market stocks are of high return. One data source reports E(R) = 15.22%, SD(R) = 28.72%, from 1970 to 2006. In other words, the SD is very high too, and please try to esti...
by 660ky612
Tue Mar 04, 2008 11:03 pm
Forum: Investing - Theory, News & General
Topic: ANNUAL return rates from 1927 of various markets(and styles)
Replies: 10
Views: 3735

Tomorrow, we will post a market summary with another view point from the books of John Bogle ......
by 660ky612
Tue Mar 04, 2008 10:38 pm
Forum: Investing - Theory, News & General
Topic: ANNUAL return rates from 1927 of various markets(and styles)
Replies: 10
Views: 3735

Dear Forum, If you look at this link http://www.ifa.com/12steps/step9/step9page2.asp#922 (scroll down), you may see the annual returns of various markets US, ex-US developed, ex-US emerging; LCap/SCap; Growth/Value styles since 1927 . Thanks, Gekko, I understand your point, a summary is important. L...
by 660ky612
Mon Mar 03, 2008 11:55 pm
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

Dear forum and retired gummy, diversification into a lower-returning asset class may actually increase portfolio return. I am still studying your reply as I have not ever met these materials in textbooks before. But do not disappoint, as I might understand it one day because many people are always d...
by 660ky612
Sun Mar 02, 2008 1:10 pm
Forum: Investing - Theory, News & General
Topic: Estimate the long-term return rate and SD of a portfolio
Replies: 14
Views: 3860

Numerical examples Estimate the return rate and the SD of a portfolio Example 2a (return rate and SD) Input: w1 = 0.6, w2 =0.4; E(R_x) =11% , SD(R_x)=20%; <------- c.f. mainly US large cap (data from ifa.com) E(R_y) = 4.95% , SD(R_y)=3.66%; <-------- c.f. US bonds rho(R_x, R_y) = 0.23 <------ we ca...
by 660ky612
Sun Mar 02, 2008 12:55 pm
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

So what when wrong in the above argument. My guess: In reality, w1 and w2 in the formula R_p = w1 * R_x + w2 * R_y would vary say after a few days. The formula E(R_p) = w1 *E(R_x) + w2*E(R_y) would work if the rebalancing frequency is high, e.g. daily. Note however that rebalancing is unlikely to b...
by 660ky612
Sat Mar 01, 2008 3:22 pm
Forum: Investing - Theory, News & General
Topic: Gibson Asset Allocation 4th ed. Portfolio Results
Replies: 7
Views: 4081

Dear stratton and forum, Would you consider including more ex-US bonds and/or less commodities? (Rationale see below, and think of returns, SDs, and not just correlation.) Thanks, 660ky612 ----- cut --------------------------------------- For the consistency of correlations , please read http://www....
by 660ky612
Sat Mar 01, 2008 2:52 pm
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

So what when wrong in the above argument. My guess: In reality, w1 and w2 in the formula R_p = w1 * R_x + w2 * R_y would vary, say after a few days. The formula E(R_p) = w1 *E(R_x) + w2*E(R_y) would work if the rebalancing frequency is high, e.g. daily. Note however that rebalancing is unlikely to b...
by 660ky612
Sat Mar 01, 2008 2:34 pm
Forum: Investing - Theory, News & General
Topic: Estimate the long-term return rate and SD of a portfolio
Replies: 14
Views: 3860

Estimate the return rate and the SD of a portfolio Example 2 (return rate and SD) For portfolio theory with two assets, the prerequisite is just some standard formulae in Statistics . Let discuss them first before plugging with numbers. Input : w1, w2; E(R_x), SD(R_x); E(R_y), SD(R_y); rho(R_x, R_y...
by 660ky612
Sat Mar 01, 2008 1:42 pm
Forum: Investing - Theory, News & General
Topic: Estimate the long-term return rate and SD of a portfolio
Replies: 14
Views: 3860

SD(R_x) is usually taken as the risk of asset x. Why? Useful background information : Suppose the random variable R_x follows a normal distribution with mean u and SD sigma, from table, P( u - sigma < R_x < u + sigma) = 0.683 P( u - 2*sigma < R_x < u + 2*sigma) = 0.954 P( u - 3*sigma < R_x < u + 3*...
by 660ky612
Sat Mar 01, 2008 1:39 pm
Forum: Investing - Theory, News & General
Topic: Estimate the long-term return rate and SD of a portfolio
Replies: 14
Views: 3860

Somebody would ask how to compute return rates . R_x of an asset x. It is the return rates of the asset that are of interest, not the prices of the asset. Now, look at the following example. Dec. Dec. Dec. Dec. Dec. Dec. 2002 2003 2004 2005 2006 2007 Asset price 2071 5097 4938 5257 10,355 16,249 An...
by 660ky612
Fri Feb 29, 2008 12:48 am
Forum: Personal Finance (Not Investing)
Topic: [Basics] One-time contribution (from post 80204)
Replies: 0
Views: 657

[Basics] One-time contribution (from post 80204)

Dear Forum and Heather, I would like to contribute to an understanding of fees accumulated over a life's time under the context of compound annual return . This is not intended just for your information, see note 1 below. Money may be poured into the vast sea of investment in two ways: one-time cont...
by 660ky612
Thu Feb 28, 2008 10:43 pm
Forum: Investing - Theory, News & General
Topic: Estimate the long-term return rate and SD of a portfolio
Replies: 14
Views: 3860

Ariel wrote:
660ky612 wrote:Shall we then just depend on your broker or believe in god ?
That's your call. I'm an agnostic and don't believe in brokers :wink:
Then try to do something. Would that be fine?
by 660ky612
Thu Feb 28, 2008 10:35 pm
Forum: Investing - Theory, News & General
Topic: Estimate the long-term return rate and SD of a portfolio
Replies: 14
Views: 3860

Ariel wrote:Suppose the market loses 20% or 50% once or twice in the next decade?

Let me add: All the blah-blah-blah and blather-blather aren't worth squat :lol:
Shall we then just depend on your broker or believe in god ?
by 660ky612
Thu Feb 28, 2008 10:24 pm
Forum: Investing - Theory, News & General
Topic: Estimate the long-term return rate and SD of a portfolio
Replies: 14
Views: 3860

Estimate the long-term return rate and SD of a portfolio

Estimate the long-term return rate and SD of a portfolio. Prolog: "Annual return rates from 1927 of various markets(and styles)" http://www.diehards.org/forum/viewtopic.php?p=164003&highlight=#164003 Example 1 ( return rate only ) Suppose your portfolio is composed of 60% stocks and 4...
by 660ky612
Thu Feb 28, 2008 10:02 pm
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

I'm about half way through the 4th edition now. I too previously read the 3rd. He clearly says something that I think Larry will agree with and I believe is the crux of the argument between Larry and Rick. Gibson states (footnote p. 162) that the addition of an asset class with lower expected retur...
by 660ky612
Thu Feb 28, 2008 9:53 pm
Forum: Investing - Theory, News & General
Topic: ANNUAL return rates from 1927 of various markets(and styles)
Replies: 10
Views: 3735

For stocks, 10% to 15% average return per year ! depending on markets, LCap/SCap; Value/Growth Style. For bonds, around 4% to 5% return average per year. Important Note: These refer to broad market indexes, not individual stocks. For annual performance and indexes of various markets since 1927 o US ...
by 660ky612
Mon Feb 25, 2008 12:46 am
Forum: Investing - Theory, News & General
Topic: . Brokers' compensation $150,000 per year
Replies: 6
Views: 2869

This is a sequel to "Investment adviser ARTICLES required" http://diehards.org/forum/viewtopic.php?t=3962&highlight= ----------------- cut --------------------------------- Title: Why Hasn't Anyone Told You? (2006, author not shown here.) There are two kinds of investors, be they larg...
by 660ky612
Sun Feb 24, 2008 12:57 pm
Forum: Personal Investments
Topic: Emphasizing Low-Correlated Assets...
Replies: 39
Views: 17896

Dear Forum, From the above discussions: If you know the theoretic MPT (probably not the version found in some index fund books), you might know that commodities CCFs might be a potentially great diversifier , even though it was of low return and high SD, wasn't it? How low or high was it? Therefore,...
by 660ky612
Sun Feb 24, 2008 12:16 pm
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

...... In his third edition of the book, GIBSON used data from 1972 - 1997. Everyone might THEN doubt the diversification effects of ex-US bonds and commodities. The rationale being that, for instance, in 1973-1974, oil prices raised sharply, the so-called oil crisis happened. So GIBSON's example m...
by 660ky612
Sun Feb 24, 2008 11:58 am
Forum: Personal Investments
Topic: Emphasizing Low-Correlated Assets...
Replies: 39
Views: 17896

I am not sure if the following have ever been mentioned. Consistency of correlations http://www.fpanet.org/journal/articles/2007_Issues/upload/56354_1.pdf Ignore table 1,2,3 but focus on table 4, especially p.62: Useful background information : . rho, the correlation coefficient takes values between...
by 660ky612
Sat Feb 16, 2008 12:35 am
Forum: Investing - Theory, News & General
Topic: [Basics]The moral of MPT -never been properly explained here
Replies: 13
Views: 3114

660ky612: I think you're making MPT a lot harder than it is. Certainly Markowitz, Sharpe, et al, have written multiple scholarly articles to describe the theory in academic detail. But in the real world it boils down to: 1. An analysis of risk vs return (finding the elusive "efficient frontier...
by 660ky612
Sat Feb 16, 2008 12:31 am
Forum: Investing - Theory, News & General
Topic: [Basics]Monthly contributions-never been explained
Replies: 4
Views: 1875

10 % rate annually, $2 per month, after 40 years ----> $ 11,100.46 (c.f. 11,100.46 / 960 = 11.56 times.) Any comments about the above result? Exercise (please fill in the blanks) $2 per month, after 40 years (Note that total contribution would be $960, if without time-value considerations.) Quote: 2...
by 660ky612
Sat Feb 16, 2008 12:18 am
Forum: Investing - Theory, News & General
Topic: [Basics]The moral of MPT -never been properly explained here
Replies: 13
Views: 3114

I was under the impression that MPT's central theme was rebalancing to a desired AA. The practice of rebalancing assets reinforces buying low and selling high. With respect to the original poster's comments, it sounds like a homework assignment to me.... As for the moral of MPT, it's demonstrated h...
by 660ky612
Fri Feb 15, 2008 12:33 pm
Forum: Investing - Theory, News & General
Topic: [Basics]The moral of MPT -never been properly explained here
Replies: 13
Views: 3114

One more question: Apart from the moral of MPT, are you sure everyone in this board is of the standard below? In http://www.diehards.org/forum/viewtopic.php?t=13086 Dear forum, I am looking for a software for recording what is shown on the computer screen CONTINUOUSLY and can turn it into say, a mpe...
by 660ky612
Fri Feb 15, 2008 11:30 am
Forum: Personal Finance (Not Investing)
Topic: Software for recording the computer screen
Replies: 2
Views: 1240

Software for recording the computer screen

Dear forum, I am looking for a software for recording what is shown on the computer screen CONTINUOUSLY and can turn it into say, a mpeg movie. If the software can also record down voices, it would be even better. Thanks, 660ky612 from Hong Kong Email: lulu_fHongKong@yahoo.com PS. I have the followi...
by 660ky612
Fri Feb 15, 2008 12:16 am
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

Thanks for your inspiration. I have just read 'chapter 8 The rewards of Multiple-Asset-Class Investing' of "Asset allocation by Roger GIBSON, 3rd Ed., 200O." When I was a part-time student in finance, my path was more or less like this: . For modern portfolio theory, the prerequisites are:...
by 660ky612
Thu Feb 14, 2008 11:48 pm
Forum: Investing - Theory, News & General
Topic: [Basics]The moral of MPT -never been properly explained here
Replies: 13
Views: 3114

At the risk of seeming rude, I don't understand the point of many of your posts. Perhaps you could simplify things down to one question at a time? How about this post? [Basics] Monthly contributions - stuffs never got explained! http://diehards.org/forum/viewtopic.php?t=12798 This was something I w...
by 660ky612
Thu Feb 14, 2008 10:50 pm
Forum: Investing - Theory, News & General
Topic: [Basics]The moral of MPT -never been properly explained here
Replies: 13
Views: 3114

[Basics]The moral of MPT -never been properly explained here

In fact, the moral of MPT can be explained within two sheets of A4 paper and a few graphs. I had the fortune to attend school again and again. When I was a part-time student in finance, my path was more or less like this: . For modern portfolio theory, the prerequisites are: elementary Statistics, m...
by 660ky612
Thu Feb 14, 2008 12:03 am
Forum: Investing - Theory, News & General
Topic: [Basics]Monthly contributions-never been explained
Replies: 4
Views: 1875

For Hong Kong citizens?
. Why hasn't anyone told you?

. What did THEY tell you?



PS.
How about the books you read? How many words are there in the exposition? What effects are there?
by 660ky612
Thu Feb 14, 2008 12:01 am
Forum: Investing - Theory, News & General
Topic: (Basic Q) Refuse to do the homework. Theory required?
Replies: 5
Views: 2289

I shall post some model portfolios as suggested in Malkiel's book, 2003:

. moderately complex portfolios (e.g. including REIT for inflation hedge?),
. classified according to age,
. with past data and return.
by 660ky612
Wed Feb 13, 2008 11:54 pm
Forum: Personal Finance (Not Investing)
Topic: Three coins in the fountain -picker!
Replies: 6
Views: 2036

Re: Three coins in the fountain -picker!

Suppose you have just picked up three coins in the fountain, what would you do? A. Report the matter to the police B. Pretend as nothing happened and walk away C. Phone to the radio and thank the guru D. Tell everyone during lunch time E. tuna fish F. Sell them on e-bay G. Have them slabbed by a th...
by 660ky612
Mon Feb 11, 2008 12:27 am
Forum: Investing - Theory, News & General
Topic: Do you believe in the long-term appreciation of CNY?
Replies: 4
Views: 1432

For Hong Kong citizens only? o Why Hasn't Anyone Told You? CNY or RMB deposit interest rates at banks located in mainland China (those at Hong Kong is much lower.) http://www.icbc.com.cn/e_other/rmbdeposit.jsp RMB Deposit Rate: 1-year fixed deposit -- 4.14% per annum. Points to note: . there are man...
by 660ky612
Mon Feb 11, 2008 12:02 am
Forum: Investing - Theory, News & General
Topic: [Classics] For Americans, reasons of *not* ex-US bonds
Replies: 7
Views: 2583

For Hong Kong citizens only?

o Why Hasn't Anyone Told You?
by 660ky612
Sun Feb 10, 2008 11:45 pm
Forum: Investing - Theory, News & General
Topic: . Brokers' compensation $150,000 per year
Replies: 6
Views: 2869

. Brokers' compensation $150,000 per year

This is a sequel to "Investment adviser ARTICLES required" http://diehards.org/forum/viewtopic.php?t=3962&highlight= ----------------- cut --------------------------------- Title: Why Hasn't Anyone Told You? (2006, author not shown here.) There are two kinds of investors, be they large...
by 660ky612
Sun Feb 10, 2008 5:06 am
Forum: Investing - Theory, News & General
Topic: Buy a house for investment VS. Buying REITs funds
Replies: 9
Views: 2919

please post more ..
by 660ky612
Sun Feb 10, 2008 4:32 am
Forum: Investing - Theory, News & General
Topic: [Basics]Monthly contributions-never been explained
Replies: 4
Views: 1875

Exercise Using the formula of the future value of an annuity c *[ (1+i)^t -1 ] / i, or otherwise, compute a table in the format http://www.diehards.org/forum/viewtopic.php?p=80204&#80204 so that in each month , clients (i.e. WE) should be able to track and read off the approximate return rate a...
by 660ky612
Sun Feb 10, 2008 4:31 am
Forum: Investing - Theory, News & General
Topic: [Basics]Monthly contributions-never been explained
Replies: 4
Views: 1875

Monthly contributions, and future value Example 1 $2 per month, after 30 years (Note that total contribution would be $720, if without time-value considerations.) 7 % rate annually, $2 per month, after 30 years ----> $ 2,338.87 (c.f. 2,338.87 / 720 = 3.24 times.) 8 % rate annually, $2 per month, af...
by 660ky612
Sun Feb 10, 2008 4:31 am
Forum: Investing - Theory, News & General
Topic: [Basics]Monthly contributions-never been explained
Replies: 4
Views: 1875

[Basics]Monthly contributions-never been explained

Note that we merely state the results and no explanation is given here. [Note: All figures have been checked carefully by myself.] Clarification of concepts and conventions Please distinguish between "annual rate compounded monthly" with "rate annually". At U.S.A., both rates -- ...
by 660ky612
Thu Feb 07, 2008 1:43 pm
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

I'm about half way through the 4th edition now. I too previously read the 3rd. He clearly says something that I think Larry will agree with and I believe is the crux of the argument between Larry and Rick. Gibson states (footnote p. 162) that the addition of an asset class with lower expected retur...
by 660ky612
Thu Feb 07, 2008 1:06 pm
Forum: Investing - Theory, News & General
Topic: Do you believe in the long-term appreciation of CNY?
Replies: 4
Views: 1432

Re: Do you believe in the long-term appreciation of CNY?

Do you believe in the long-term appreciation of CNY? Probably, but you might have a problem. A government can only fix it's current as "undervalued" if it maintains strict control over the ability of foreign capital to flood in and exploit the undervaluation (by buying CNY and investing a...
by 660ky612
Thu Feb 07, 2008 12:23 pm
Forum: Investing - Theory, News & General
Topic: Do you believe in the long-term appreciation of CNY?
Replies: 4
Views: 1432

Do you believe in the long-term appreciation of CNY?

Dear forum, Prologue I understand this question maybe a bit embarrassing to you, but nevertheless may I ask your opinion? Not only because I wish to know more. In fact, I phoned to the radio today and suggested a hopefully low-risk method of anti-inflation tailored for the general public of Hong Kon...
by 660ky612
Thu Feb 07, 2008 4:40 am
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

Hi, Almost no one on this forum would say that ex-US bonds or commodities are not separate asset classes. Some would debate whether they are worth including in a portfolio but there is no hard and fast rule about it. You cannot deny it. When I first entered the forum on June 2007, I mentioned forei...
by 660ky612
Thu Feb 07, 2008 4:37 am
Forum: Investing - Theory, News & General
Topic: [Classics] For Americans, reasons of *not* ex-US bonds
Replies: 7
Views: 2583

Foreign currencies In Hong Kong, 1 USD ~= 7.8 HKD pegged since 1983. Everyday there are gurus appearing in radios, newspapers, and TVs who deliver their views on foreign currencies with the intention -- to make us rich perhaps. They seldom mention the bid-ask spread or the trading cost though. I he...
by 660ky612
Wed Feb 06, 2008 11:46 pm
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

Our local library has also got a third edition of this book. Note that it advocated o ex-US bonds, o Commodities or commodity producing companies, for diversification considerations, since 1990 I guess. Guilty!!! Siegel, Malkiel, Rogers, Gibson <------ Hang them up on the cross? Please note that Gi...
by 660ky612
Wed Feb 06, 2008 11:26 pm
Forum: Investing - Theory, News & General
Topic: [Classics] For Americans, reasons of *not* ex-US bonds
Replies: 7
Views: 2583

[Classics] For Americans, reasons of *not* ex-US bonds

--------------------- cut ------------------------------------- Title: ex-US bonds (author is a BIG-GUY American) By asset size, foreign-currency-denominated bonds represent a formidable market, falling just short of the aggregate market value of U.S.-dollar-denominated debt. Yet, in spite of the ma...
by 660ky612
Wed Feb 06, 2008 2:10 am
Forum: Investing - Theory, News & General
Topic: Great Quote: Gibson's Next Edition is Out
Replies: 24
Views: 7638

Our local library has also got a third edition of this book.

Note that it advocated

o ex-US bonds,

o Commodities or commodity producing companies,

for diversification considerations, since 1990 I guess.

Guilty!!!

Siegel, Malkiel, Rogers, Gibson <------ Hang them up on the cross?
by 660ky612
Wed Feb 06, 2008 1:49 am
Forum: Investing - Theory, News & General
Topic: [Call for Papers] An exposition of EMH to moms and sons
Replies: 11
Views: 3420

Dear forum, may I draw your attention to something about doing homework - a conditional probability? - probability of winning VS. probability of winning given your homework PS. This is one reason why the gurus want YOU to do the homework .. want YOU to learn the ways that THEY want YOU to do the hom...
by 660ky612
Wed Feb 06, 2008 1:44 am
Forum: Investing - Theory, News & General
Topic: ANNUAL return rates from 1927 of various markets(and styles)
Replies: 10
Views: 3735

Why Does It Keep Going Up? In http://diehards.org/forum/viewtopic.php?t=12086 Whether it is investing in stocks or real estate, the conventional wisdom is buy and hold for the long term. In the long term, prices of these assets always go up. But why is that? For real estate in America, there is zer...