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wearethefall

Thanks glorat. I guess the logic is that backwardation is "normal", hence this should wash out to an average of a small benefit, if anything? Saying that, my commodities futures holdings haven't done the greatest!

wearethefall

Hopefully this link works better: https://www.wisdomtree.eu/en-gb/products/ucits-etfs-unleveraged-etps/commodities/wisdomtree-broad-commodities Here are the two funds suggested by c-strong. CMOP: https://www.hl.co.uk/shares/shares-search-results/i/invesco-bloomberg-commodity-ucits-etf-a-gbp BCOG: ht...

wearethefall

I'm reconsidering my current commodities holdings. Given the current state of the UK I very much like having some assets that are non-GBP and have low correlations with other things. My current exposure is through a WisdomTree ETF (0.5% expense ratio): https://www.wisdomtree.eu/en-gb/product ... omm...

wearethefall

I've been invited by the BBC to say something about a government-backed savings scheme in the U.K. which offers investors a tax-free 0.5% real return over 5 years. The background on this is that there was a brief issue of 1% real return savings last year, but demand was very high (as inflation is hi...

wearethefall

Surely investing in TSM but with an increased allocation to risk-free assets would be a more efficient way to get to a desired low-risk portfolio?

wearethefall

cycleProf wrote:thanks for posting that link. Aether abounds in the investment industry. And the best of Bogleheads is the anti-aether...why does the Taylor Larimore come to mind here?

I can think of a few Boglehead aethers ...

wearethefall

I'm saying that these factors could lead to "predictable" bubbles (ie assets that rise in value, but unlike Greenspan's dictum, I'm saying that the bubble call can be made in real time and not only in hindsight). By no means am I looking to trade on this theory. The reason I'm here is beca...

wearethefall

I believe efficiency is very much in the eye of the beholder. From an old Larry Summers paper : This paper examines the power of statistical tests commonly used to examine the efficiency of speculative markets. It shows that for markets with "long horizons" such as the stock markets, or t...

wearethefall

I believe efficiency is very much in the eye of the beholder. From an old Larry Summers paper : This paper examines the power of statistical tests commonly used to examine the efficiency of speculative markets. It shows that for markets with "long horizons" such as the stock markets, or th...

wearethefall

With the rise of social media and new networks amongst investors on the internet, there are very few people who research ideas independently. As Rick Bookstaber says on his blog : The age of viral information. Information is moving from being the bedrock of market efficiency to a source of crisis. ...

wearethefall

With the rise of social media and new networks amongst investors on the internet, there are very few people who research ideas independently. As Rick Bookstaber says on his blog : The age of viral information. Information is moving from being the bedrock of market efficiency to a source of crisis. ...

wearethefall

I struggle with this all the time too. How could a market incorporate all information rapidly, be highly efficient, but not be rational at times. I think it comes down to one of the criteria for a wise crowd. Market participants must be a diverse crowd of individuals that each think and act indepen...

wearethefall

Now HBOS are joining the index-linked savings market:

http://www.bmsavings.co.uk/savings/inde ... c=BMMLBMP4

wearethefall

Wouldn't it make more sense to get your exposure to risky assets in the barbell approach through deep out-of-the-money calls? I think the issue of "scalable" professions is an interesting one in the modern-day internet era. I can definitely see the fields of journalism, writing, and music ...

wearethefall

So you want to be *really* sure that the UK government will pay out if the Bank of Ireland (AFAIK never nationalized? it's not the Central Bank, and it was the one bank that is still private?) where to go down in this mess. This is a great point, and with Sam's comment about the interest not compou...

wearethefall

I'm from the U.K., but inflation-linked products are very thin on the ground here. The government used to offer bonds with a 1% real yield but these were withdrawn by the new government. Other bonds on offer from the government -- "gilts" -- are currently trading at negative real yields on...

wearethefall

I've estimated the returns if I were to let out my London flat. The net yield would be about half the gross. The gross may be nearer 4% than 5% at the moment. What I noted is that small, centrally located flats you could do a 5%+ rental yield. Houses in the suburbs are closer to 3%. And the tenants...

wearethefall

There's never a premium or discount with standard mutual funds.

wearethefall

Efficient markets and efficient investing are two different topics. As Mr. Buffett often points out, the markets are not efficient, but the most efficient way to invest in stocks is through a index fund that charges minimal fees. Are these two statements incompatible? Not in the least. Rick Ferri A...

wearethefall

I'm reading Bogle's Little Book and he has some interesting things to say. He breaks total return into "investment return" and "speculative return". He says: every decade of significantly negative speculative return was immediately followed by a decade in which it turned positive...

wearethefall

Of course, the future will bear out what was is being guessed today, IMHO, returns will be rather muted over the next 5-7 years. I think you're all missing the boat. But that's good! The contagion of pessimism among individual investors makes me feel we're entering a prolonged bull market. Rick Fer...

wearethefall

Well TIPS could be underpriced because they are less liquid or they could be overpriced because the government is taking on the inflation risk. Both of these factors are immeasurable and likely to change over time (the market charged a high illiquidity premium in 2008) so I would look at nominal mi...

wearethefall

We have two possible measures of real rates - TIPS rate - nominal minus current inflation These are not the same (just look at the numbers). Which is a better measure of real rates? If you buy something today, it makes sense to value it in constant dollars, which is what Shiller is doing. That rati...

wearethefall

Shiller used CPI inflation rate to find real price, real dividends, real earnings etc. Why can't we use the nominal interest rate minus change in CPI to find the real interest rate?

wearethefall

The interesting graph would be to compare interest rates with the PE-10. Note when rates were low in the early 60's PE-10 was high, then when rates went up in the 70's and early 80's PE 10 was low. High PE - 10 in the 90's to present accompanied by low rates. An economist would say that yield and e...

wearethefall

Could you point out Hussman's bias, wearethefall? Random Musings? Seems an awfully unfair charge. I actually agree with his view on a lot of things. I'm just pointing out that he's probably suffering a lot of fund redemptions and is under pressure to justify his underperformance. I realise he's sti...

wearethefall

Another Hussman quote on the high Shiller P/E: Last week, the S&P 500 Index ascended to a Shiller P/E in excess of 24 (this "cyclically-adjusted P/E" or CAPE represents the ratio of the S&P 500 to 10-year average earnings, adjusted for inflation). Prior to the mid-1990's market bub...

wearethefall

Nothing looks cheap to me (property is also very expensive in my area). This is just a hunch, but I think its due to the unprecedented looseness of monetary policy. When the real risk free rate become zero/negative the prices of all risky assets must increase to create a constant risk premium (and i...

wearethefall

People quickly forget what its like to have multiple 6-7+% daily drops in a space of two month like in Sep-Oct 2008. I think risk aversion has a lot more to do with emotions such as fear than an objective analysis of risk/return. People are forgetting the fear they felt 2.5 years ago, and are moving...

wearethefall

Recent commentary by Hussman: It is crucial to understand that the valuations we observe today are nothing like the valuations of early 2009. At the trough, our estimates of 10-year prospective returns exceeded 10% annually (though our concern at the time was that we could not rule out the sort of s...

wearethefall

William Poundstone - Priceless is a really good and quite unique introduction. A lot of books on that list are very academic which may not suit you.

wearethefall

Thaler is saying the opposite, in fact. Its the models of "rational behaviour" which are saying that either stock returns have been much too high or investors have been much too risk averse. Hence the huge puzzle in the academic literature. Then the behaviouralists came around, saying that...

wearethefall

Also if I am reading Wearethefall's statement correctly he is stating that systematic risk equals volatility This is the complete opposite of what I've been saying all since the other thread. The first is if you believe that then he is wrong in his statements as I showed, the SD of value stocks is ...

wearethefall

Sorry but what you say is simply incorrect. It might be your opinion, but that doesn't make it so. All the data on risk aversion doesn't consider some very important issues which I have pointed out--the UTILITY OF WEALTH can easily explain why high net worth individuals have such high risk aversion...

wearethefall

First, we are still waiting for you to answer the very simple question I asked. to repeat, do you think that stocks of companies with high leverage and high volatility of earnings are not riskier than companies with less leverage and less volatility of earnings. Second, The paper you cite doesn't p...

wearethefall

For those interested, the same type statements made by wearthefall, that the size of the premium is too high to be explained by risk story, was made by many about the equity risk premium. In fact it was called the equity risk premium puzzle. But there really is no puzzle. The facts are that investo...

wearethefall

I'm not going to ruin the thread by getting deep into this issue again.

wearethefall

I don't think a model that separates the size (behavioural) and the cause (risk premium) of the value premium is parsimonious. Why should it be due to both factors when it could be due to one alone? It can't be solely due to risk since the observed premium is much too high; but it can be solely due ...

wearethefall

The risk story isn't the only explanation available. Other scholars disagree:

http://www.bengrahaminvesting.ca/Resear ... Stocks.pdf

http://aiinfinance.com/Lakonishok.pdf

wearethefall

exigent is perplexed by the following quote. ...bull markets and bear markets largely cancel each other out... The quote does not mean a % LR return. Instead it means that stock returns tend to be mean reverting. Bull markets with returns well above 7% real are canceled out by bear markets with ret...

wearethefall

I was coming up with extreme numbers to show how the idea could help event the most strident buy-and-holder. If I'd used tighter figures I would have people telling me that the behavioural implications make it impossible for the average Joe. Sigh . . .

wearethefall

I'm not sure why there is so much resistance to this idea. Take this century's returns so far: prices were incredibly high at the turn of the century, and 11 years later we have had a negative realised equity premium. Also, take the Japanese experience: the long period of terrible returns was preced...

wearethefall

Les wrote:The most recent issue of Forbes had a columnist who attributed the use of 10 year earning averaging to Benjamin Graham. He didn't discuss Shiller's PE10 though. Maybe Graham is the father of PE10?

Shiller attributes the use of PE/10 to Graham, so in answer to your question: yes.

wearethefall

I found my belief in mean-reverting stock returns to be incredibly comforting during the bear market, and it helped my hold onto my then 100% stock portfolio. Hmmm you seem to be aware of some mean value stock markets must revert to. Let's see if we can apply this real time, as opposed to after the...

wearethefall

Yeah, Buffett is good. But very few individual investors have the skill and temperament to achieve superstar investor status like Buffett. Plus, Buffett doesn't have to worry about being unemployed during a shaky economy like most us do. I found my belief in mean-reverting stock returns to be incre...

wearethefall

It's probable that the "nifty fifty" large-cap growth stocks underperformed in the 70s bear market/recession too. The more instances there are of large-cap growth stocks underperforming in bear markets, the less the Fama French assertion that these stocks are particularly low in systematic...

wearethefall

Again, anyone who really believed that "when valuations are higher, expected returns of stocks were lower" would have loaded up on equities in 2009. But no one did, according to the posts I read at the time. In October 2008, I considered borrowing against my paid for house to buy unlevera...

wearethefall

So you believe the observed premia are real, but they are caused entirely by the irrational behavioral of investors. Let's take your hypothesis as given for the moment. As I asked above, what are the practical implications? Should we tilt to SV more or less if we believe the cause is behavioral rat...

wearethefall

This is me in red. wearethefall, I don't know exactly what Bernstein article you were searching for, but maybe it's in this list: http://www.google.com/search?q=William+Bernstein+on+small+growth&ie=utf-8&oe=utf-8&aq=t&rls=org.mozilla:en-US:official&client=firefox-a I am going bac...

wearethefall

Again, anyone who really believed that "when valuations are higher, expected returns of stocks were lower" would have loaded up on equities in 2009. But no one did, according to the posts I read at the time. In October 2008, I considered borrowing against my paid for house to buy unlevera...

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