Search found 8286 matches

by Doc
Mon Jul 16, 2018 5:46 pm
Forum: Investing - Theory, News & General
Topic: In defense of short-term treasuries
Replies: 65
Views: 3187

Re: In defense of short-term treasuries

But I don't have to hold that 2 year note for an extra year. I can sell it after one year. That wouldn't achieve anything. The price of the 2-year note will adjust so that 1 year later investors are indifferent between buying your 2-year note with 1 year left in it, or just buying a regular 1-year ...
by Doc
Mon Jul 16, 2018 4:35 pm
Forum: Investing - Theory, News & General
Topic: In defense of short-term treasuries
Replies: 65
Views: 3187

Re: In defense of short-term treasuries

So it looks to me like your best bet right now is to hold the shortest term thing you can get. But I don't have to hold that 2 year note for an extra year. I can sell it after one year. I don't have to hold that intermediate term note to maturity. At the time that the current yield on a new note th...
by Doc
Mon Jul 16, 2018 2:41 pm
Forum: Investing - Theory, News & General
Topic: In defense of short-term treasuries
Replies: 65
Views: 3187

Re: In defense of short-term treasuries

That doesn't answer the question. Again, where is the term premium you said one could earn with intermediate term Treasuries, whether nominal or TIPS? According to the NY Fed estimates, term premia are negative at all maturities between one and ten years, and they decrease monotonically with increa...
by Doc
Sun Jul 15, 2018 3:21 pm
Forum: Investing - Theory, News & General
Topic: Vanguard - You'll need to sign up for security codes soon
Replies: 49
Views: 8439

Re: Vanguard - You'll need to sign up for security codes soon

Thanks - good info. Im wondering how this will work with data aggregators & associated services, like Personal Capital. Kinda like having an overall summary of all my accounts in one spot, would stink to have to use 2FA every time I updated my account. My 529 plan with NYS has a separate "read only...
by Doc
Sun Jul 15, 2018 2:57 pm
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

Of course, I will always have a buffer of true cash (in a MM or online savings account) to bridge me until the next Treasuries mature "just in case" a need arises. Ah! A new definition ;-). What you are calling "true cash" is my definition of cash. Kevin :wink: But I don't need "true cash" to buy s...
by Doc
Sun Jul 15, 2018 2:45 pm
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

My experience is that T+1 only happens if the money comes from the Vanguard settlement fund; otherwise it is T+2. I think you're on to something here (except that its' still T+1 for Prime MM -> Fidelity CMA). Fidelity CMA is a bank. Money in your settlement fund to a bank is T-1. If that bank is th...
by Doc
Sun Jul 15, 2018 10:47 am
Forum: Investing - Theory, News & General
Topic: In defense of short-term treasuries
Replies: 65
Views: 3187

Re: In defense of short-term treasuries

Historical returns, from beginning of 2008 bear market (Oct 9 2007): https://i.imgur.com/wdIzo72.png VFISX: ST Trs VFITX: IT Trs VUSTX: LT Trs VTSAX: US TSM The return spread demonstrated above is such that the max drawdown figures provided above are called into question. triceratop's data as a 6 m...
by Doc
Sun Jul 15, 2018 10:02 am
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

I consider as cash equivalents instruments with remaining maturities of a couple of months to be cash equivalents. What are 'Cash Equivalents' Cash equivalents are investments securities that are for short-term investing, and they have high credit quality and are highly liquid. Cash equivalents, al...
by Doc
Sun Jul 15, 2018 8:02 am
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

I wouldn't use a savings account to do "all of this", but that doesn't mean I don't consider the savings account as highly liquid, other than the 6/month limitation on outgoing transfers ... That works. I was under the impression that a "stand alone" account was likely needed to get your high yield...
by Doc
Sat Jul 14, 2018 5:47 pm
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

Typically a transfer from Fidelity arrives at Ally the next business day, at which point I could use the money to buy shares of a fund at Vanguard, so this would take T+2 for the money to be available for settling a brokerage trade at Vanguard This whole idea gets confused by the words we use. What...
by Doc
Sat Jul 14, 2018 3:55 pm
Forum: Investing - Theory, News & General
Topic: M* vs Fool.com Charts
Replies: 9
Views: 863

Re: M* vs Fool.com Charts

not4me wrote:
Sat Jul 14, 2018 10:52 am
I don't think they claim they'll match sp500 for any particular time period.
I like to use the Morningstar rolling return charts to get a handle on how things compare over different times.

Example:

Image
by Doc
Sat Jul 14, 2018 3:41 pm
Forum: Local Chapters and Bogleheads Community
Topic: St Louis Bogleheads
Replies: 64
Views: 9795

Re: St Louis Bogleheads

The first time we ever did this Larry hosted us and IIRC his firm even supplied lunch. :D

And we got a tour of their bond desk! (It's not like we see in the movies.)
by Doc
Sat Jul 14, 2018 3:37 pm
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

Doc wrote: ↑Sat Jul 14, 2018 9:18 am If indeed you can get immediate credit in you brokerage account by initiating a pull from your savings account there is no difference. I don't need immediate credit. Trades settle in T+1 (Treasuries) or T+2, and all that matters is that the cash is in the settle...
by Doc
Sat Jul 14, 2018 3:33 pm
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

Doc wrote: ↑Sat Jul 14, 2018 9:18 am If indeed you can get immediate credit in you brokerage account by initiating a pull from your savings account there is no difference. I don't need immediate credit. Trades settle in T+1 (Treasuries) or T+2, and all that matters is that the cash is in the settle...
by Doc
Sat Jul 14, 2018 9:22 am
Forum: Investing - Theory, News & General
Topic: M* vs Fool.com Charts
Replies: 9
Views: 863

Re: M* vs Fool.com Charts

venkman wrote:
Fri Jul 13, 2018 9:05 pm
It looks like the Fool chart is only showing price growth, while the M* chart is showing total growth, including reinvested dividends.
Morningstar has chart options for growth, price and (multiple length) rolling returns.
by Doc
Sat Jul 14, 2018 9:18 am
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

Liquidity is of prime importance for my cash (the shortest-term asset), but if I can earn additional yield without sacrificing liquidity, why not do so? How are Treasuries any more liquid than a savings account that I can link as an external account to my brokerage account? If indeed you can get im...
by Doc
Sat Jul 14, 2018 7:00 am
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

linenfort wrote:
Fri Jul 13, 2018 7:18 pm
The Wall Street Journal also says 1-Year as opposed to “52-week” bill.
It’s just more user-friendly.
Schwab uses 52 weeks.
It's just more accurate. :D
by Doc
Fri Jul 13, 2018 3:14 pm
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

At any rate, would you bother with the Treasury for an additional 17 basis points of TEY for the extra term risk and more reinvestment risk relative to the savings account? I know you tend to use funds for your short-term Treasuries, but what if you didn't? I can't answer that. We don't have the sa...
by Doc
Fri Jul 13, 2018 2:45 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

bhsince87 wrote:
Fri Jul 13, 2018 2:18 pm
Bottom line? Looks like it was just noise.
Noise is random variation within ± 2 standard deviations from the mean.

A major once in ten year event is not noise. But it could have been a hiccough. :D
by Doc
Fri Jul 13, 2018 2:10 pm
Forum: Investing - Theory, News & General
Topic: 1-year Treasury Bill auction
Replies: 41
Views: 2688

Re: 1-year Treasury Bill auction

I had been thinking about placing an order at the 1-year Treasury auction, which now is open. Fidelity is showing "Expected Yield" of 2.380%, while Vanguard is showing "Indicative Yield" of 2.339%. Any ideas on why they are showing different expected/indicative yields--about 4 basis points differen...
by Doc
Fri Jul 13, 2018 1:53 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

In a "classic" auction if there are only a few bidders then the price tends to be lower. If there are a lot of bidders the competition amongst them makes the bids go higher and higher. That's good for the seller. Because in a Treasury auction the bids are for yield not price the relation is somewhat...
by Doc
Thu Jul 12, 2018 5:32 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

by Oicuryy » Thu Jul 12, 2018 4:20 pm nedsaid wrote: ↑Wed Jul 11, 2018 8:29 am Didn't the Fed just raise the Federal Funds rate to 2% in June and signal that there will be one more rate hike in 2018 than what had previously been anticipated? An uptick in T-Bill rates should not be too surprising. I...
by Doc
Thu Jul 12, 2018 3:37 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

nedsaid wrote:
Thu Jul 12, 2018 12:33 pm
What would you recommend investors do in light of your concerns?
Be aware.
by Doc
Thu Jul 12, 2018 3:35 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

... I would suggest that the participants that are required to bid in order to maintain their status might simply put in a low bid that they don't want to be filled anyway. Hence low cover ratios can distort the market if it is below normal. Given that the bids are yields, not prices, with the lowe...
by Doc
Thu Jul 12, 2018 12:22 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

We have an environment where short term interest rates have been rising. I would not obsess over one auction and one day's trading of treasury bills. Rates are still pretty low. It is not about the rates still being pretty low. It's about the Treasury auction functioning as expected. . That’s the l...
by Doc
Thu Jul 12, 2018 6:30 am
Forum: Investing - Theory, News & General
Topic: Selling Treasuries before maturity
Replies: 11
Views: 1061

Re: Selling Treasuries before maturity

Regarding spreads: In general a qty of 25 usually gets you very close to the best bid/ask. Recenty at Schwab qty with min of 10 have had better still. These are from Schwab's inventory and have a max amount too small for large investors. Don't bother looking outside of market hours. Use WSJ data sit...
by Doc
Wed Jul 11, 2018 9:36 am
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

Didn't the Fed just raise the Federal Funds rate to 2% in June and signal that there will be one more rate hike in 2018 than what had previously been anticipated? An uptick in T-Bill rates should not be too surprising. The Fed raised their target by 25 bps in the June 12-13 meeting - two weeks befo...
by Doc
Wed Jul 11, 2018 7:54 am
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

The discount rate at today's (7/10/18) 28-day T-bill auction was 1.850%. The bid-to-cover ratio was 3.16. https://treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180710_1.pdf Ron So it was the 4th and/or the world cup last week. :sharebeer Or maybe it was just noise and nothing at all?...
by Doc
Tue Jul 10, 2018 6:34 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

Oicuryy wrote:
Tue Jul 10, 2018 2:31 pm
The discount rate at today's (7/10/18) 28-day T-bill auction was 1.850%. The bid-to-cover ratio was 3.16.
https://treasurydirect.gov/instit/annce ... 0710_1.pdf

Ron
So it was the 4th and/or the world cup last week. :sharebeer
by Doc
Mon Jul 09, 2018 12:46 pm
Forum: Investing - Theory, News & General
Topic: Yield curves and bond returns
Replies: 31
Views: 2526

Re: Yield curves and bond returns

I still think using the CMT yields with linear interpolation is good enough for modeling at this level. I agree as long as you are interpolating a short time frame, say the six from the five and seven data. I am modeling the roll down yield from all the possible pairs from 1 to 10 years and for the...
by Doc
Fri Jul 06, 2018 3:52 pm
Forum: Investing - Theory, News & General
Topic: Yield curves and bond returns
Replies: 31
Views: 2526

Re: Yield curves and bond returns

So if you frequently bought N-year T notes and sold them after one year, your return would be the nominal interest rate plus an extra bit we are calling "roll return" or "roll yield" which comes from the increased value of the T note on the open market. As magician wrote we should probably stop usi...
by Doc
Fri Jul 06, 2018 3:15 pm
Forum: Investing - Theory, News & General
Topic: Yield curves and bond returns
Replies: 31
Views: 2526

Re: Yield curves and bond returns

As promised ... Let's say that the yield curve did not remain static, which is the assumption on which the expected return and roll return were based, but instead increased at all terms by 20 basis points over the one-year holding period. This is how the realized returns would compare to the initia...
by Doc
Thu Jul 05, 2018 5:37 pm
Forum: Investing - Theory, News & General
Topic: Yield curves and bond returns
Replies: 31
Views: 2526

Re: Yield curves and bond returns

Every time I try to find Swedroe + 20 bps + roll yield I keep finding Boglehead threads with heavy comments by guess who? Kevin and Doc :twisted: But I did finally find a Michael Kitces article that addresses some of the points. Of course, the reality is that if rates spike “enough”, there is still ...
by Doc
Thu Jul 05, 2018 5:05 pm
Forum: Investing - Theory, News & General
Topic: Yield curves and bond returns
Replies: 31
Views: 2526

Re: Yield curves and bond returns

We also have a different concept of the words "roll yield". But as Kevin alludes to these methods are good enough for the purposes here. Both of us are showing maximum returns in the 5 to 7 year range. I'll let Doc elaborate on his definition if he wants, but I think the way I'm defining roll retur...
by Doc
Thu Jul 05, 2018 4:34 pm
Forum: Investing - Theory, News & General
Topic: Yield curves and bond returns
Replies: 31
Views: 2526

Re: Yield curves and bond returns

I thought Larry's suggestion of 20 bp per year was just related to getting adequate compensation for extending, as stated here: https://www.cbsnews.com/news/4-important-considerations-when-building-bond-portfolios/ I would not think it was based on trading bonds in order to collect the maximum roll...
by Doc
Thu Jul 05, 2018 2:17 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

Why do you think Primary Dealers weren't bidding? They are required to, at every auction, pro-rata, at reasonable prices as I quoted the New York Fed upthread. If they don't they risk losing their primary dealer status. From Blomberg: Perhaps it’s just a function of the auction’s timing, coming lat...
by Doc
Thu Jul 05, 2018 2:04 pm
Forum: Investing - Theory, News & General
Topic: Yield curves and bond returns
Replies: 31
Views: 2526

Re: Yield curves and bond returns

I think the CMT data with linear interpolation to estimate yields for the missing maturities is good enough for the purposes of illustrating the concepts in this thread. Both Kevin and I have been going over this idea for quite some time. I use a zero coupon model instead of the par bond and don't ...
by Doc
Thu Jul 05, 2018 1:38 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

We're getting way into the weeds here but hopefully for clarification: The Fed routinely buys and sells Treasuries on the open market, as it conducts monetary policy. It also uses repos, repurchase agreements, that are based on Treasuries. Repos are short term instruments typically overnight but wit...
by Doc
Thu Jul 05, 2018 11:02 am
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

It is true that the Fed does not buy Treasuries at auction. PJW says that the Fed conducts the auction on behalf of the Treasury and that is accurate. The Fed can and does buy and sell Treasuries on the secondary market but to expand or contract money supply not to bail out the Treasury Markets. I ...
by Doc
Wed Jul 04, 2018 11:00 pm
Forum: Investing - Theory, News & General
Topic: Switch to LT bonds in this falling rate environment?
Replies: 43
Views: 2693

Re: Switch to LT bonds in this falling rate environment?

pascalwager wrote:
Wed Jul 04, 2018 10:25 pm
"Location: Two left turns from Larry" (180 degrees)

I've always thought this meant that your investment ideas were diametrically opposed to Larry's.
Left on Clayton and left again on MO 141. :D
by Doc
Wed Jul 04, 2018 10:56 pm
Forum: Investing - Theory, News & General
Topic: Switch to LT bonds in this falling rate environment?
Replies: 43
Views: 2693

Re: Switch to LT bonds in this falling rate environment?

I believe that the 20 bp per year of duration guideline was developed by Dimensional Fund Advisors Kevin also mentioned the same thing on a PM. The question I have is the time frame. If you look at the yield curve prior to about 2006 the 20 bps make some sense by some argumens. Since then not do mu...
by Doc
Wed Jul 04, 2018 5:05 pm
Forum: Investing - Theory, News & General
Topic: yield curve inversion
Replies: 47
Views: 4163

Re: yield curve inversion

A question partially raised by another thread that's going on now as well. Is there any suggestion that inverting the curve *causes* a recession to occur? Or would the claim simply be that long-term rates tend to be a little "smarter" in economic forecasting than short term rates (and by extension,...
by Doc
Wed Jul 04, 2018 4:56 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

nedsaid wrote:
Wed Jul 04, 2018 4:54 pm
I could be mistaken but I have a pretty good memory. In any case, I couldn't find any reference to the IRS taking Treasury Bonds as payment with today's internet searches.
I also have a vague recollection of paying taxes with Treasuries but it may be from the paper bond days.
by Doc
Wed Jul 04, 2018 4:53 pm
Forum: Investing - Theory, News & General
Topic: Switch to LT bonds in this falling rate environment?
Replies: 43
Views: 2693

Re: Switch to LT bonds in this falling rate environment?

Doc wrote: ↑Wed Jul 04, 2018 4:23 pm Kevin's in the 2 year range ~20 bps/yr, I am in the 4 yr Range ~10 to 15 bps range, and Random Walker is in the 5-6 year range ~5 bps/yr. Slope between 3-year and 5-year is only 4.5 bps/year, and between 5-year and 7-year is only 3.5 bps/year. I misread my own s...
by Doc
Wed Jul 04, 2018 4:44 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

Re: Paying Federal tax with Treasuries
nedsaid wrote:
Wed Jul 04, 2018 4:35 pm
I clearly remember reading this but using both Google and Bing couldn't find anything to substantiate this. I will look some more.
I think the Treasury stopped allowing this before Google was invented. :D
by Doc
Wed Jul 04, 2018 4:33 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

Nedsaid: The Fed injects cash into the Financial system when it buys Treasury Instruments off the secondary market. This is a form of money creation. Conversely, cash is decreased when the Fed sells Treasury Instruments into the secondary markets or allows those instruments to mature. BREAKING DOWN...
by Doc
Wed Jul 04, 2018 4:23 pm
Forum: Investing - Theory, News & General
Topic: Switch to LT bonds in this falling rate environment?
Replies: 43
Views: 2693

Re: Switch to LT bonds in this falling rate environment?

I keep a little Excel plot of the Treasury and Muni yield curves. Coincidentally, I updated it today and noticed the same thing. Rates have decreased over last few months (Don’t remember when I updated last). Also noticed something else. The yield curve seemed pretty much a near straight line with ...
by Doc
Wed Jul 04, 2018 3:57 pm
Forum: Investing - Theory, News & General
Topic: Treasury Auction - Nobody Came: "Great T-Bill Massacre"
Replies: 145
Views: 11782

Re: Treasury Auction - Nobody Came: "Great T-Bill Massacre"

I'm no Treasuries expert, but if there is truly a shortage of buyers, which there wasn't in this case, then won't the real yield offered just go up in response? But there was a shortage and the rate did go up. I and many others wouldn't consider it to be a real shortage unless all of the Treasuries...
by Doc
Wed Jul 04, 2018 3:06 pm
Forum: Investing - Theory, News & General
Topic: Switch to LT bonds in this falling rate environment?
Replies: 43
Views: 2693

Re: Switch to LT bonds in this falling rate environment?

As a side note, I was not trying to get a rise out of Larry Swedroe. First, I've become less and less clear over time what his views on fixed income actually are. And second, I don't know that he should really care about stlutz's views on fixed income in any case. :D Well, I have been known to have...
by Doc
Wed Jul 04, 2018 2:21 pm
Forum: Investing - Theory, News & General
Topic: Switch to LT bonds in this falling rate environment?
Replies: 43
Views: 2693

Re: Switch to LT bonds in this falling rate environment?

Larry actually does have a guideline for lengthening bond maturity, which is to require at least 20 bps of additional yield for extending maturity by one year for taxable bonds (15 bps/year for munis). Note that this has nothing to do with the direction yields have been moving recently. The only re...