Search found 4777 matches

by siamond
Mon Jul 15, 2019 12:52 pm
Forum: Personal Investments
Topic: What asset class is gold?
Replies: 41
Views: 2638

Re: What asset class is gold?

Got it. I will hold it outside my 60/40 AA. Since 1972, a 60/40 U.S. portfolio had a safe withdrawal rate of 4.5%. Had 50% of the fixed income been allotted to gold (i.e. a 60/20/20 AA), the SWR was 5.4%. Just sayin'. Gold had a big run from 1972 to 1980. Actually during this period, it was a ten b...
by siamond
Sun Jul 14, 2019 10:45 pm
Forum: Investing - Theory, News & General
Topic: S&P MidCap 400: Outperformance and Potential Applications
Replies: 18
Views: 1830

Re: S&P MidCap 400: Outperformance and Potential Applications

The S&P study mentioned in the OP is limited to ~25 years of recent data, centered on their own (US) mid-cap index, of course. That is rather insufficient to reach a solid conclusion. This being said, fact is the (US) historical record since 1927 is actually pretty attractive. The following charts s...
by siamond
Sun Jul 14, 2019 5:36 pm
Forum: Personal Investments
Topic: Phase out EF [Emergency Fund]?
Replies: 111
Views: 4644

Re: Phase out EF?

I hate cash. I never kept an emergency fund. I view my position in IT bonds as an emotional ballast AND an emergency fund of sorts (in addition to credit cards for truly immediate needs). I don't care that it may go down a bit every now and then, there will be enough left for any remotely foreseeabl...
by siamond
Sat Jul 13, 2019 10:36 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 198
Views: 14043

Re: Simulating Returns of Leveraged ETFs

I am still puzzled by the disconnect between treasury funds with negative leverage and the corresponding model... I came back to the Direxion and the ProShares fiscal annual reports. The former really didn't say much, although it is striking to see the number of funds from Direxion which missed thei...
by siamond
Sat Jul 13, 2019 11:59 am
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 198
Views: 14043

Re: Simulating Returns of Leveraged ETFs

Interesting that Proshares has a 3x inverse LTT fund but not a 3x LTT fund... any idea why? Seems based on their track-record it would be a worthwhile swap from TMF for those executing this strategy. I have no idea, but yes, it's a bit of a shame. There is absolutely no discussion that Proshares is...
by siamond
Fri Jul 12, 2019 7:43 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 198
Views: 14043

Re: Simulating Returns of Leveraged ETFs

As usual with leveraged funds, it is difficult to judge if the disconnect comes from systemic implementation issues or from a deficiency of the model. I came back to the key documents we used to develop the model and I paid more attention to the details related to negative leverage. The simulation m...
by siamond
Fri Jul 12, 2019 4:46 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 198
Views: 14043

Re: Simulating Returns of Leveraged ETFs

So far, we're pretty good, none of those (stock-oriented) charts would make me doubt the model. Treasuries are an entirely different game though. What we've found in the past with positive leverage is that the closest Telltale charts came from treasury funds. Let's see what happened with Long-Term T...
by siamond
Fri Jul 12, 2019 4:28 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 198
Views: 14043

Re: Simulating Returns of Leveraged ETFs

I must say those S&P 500 results were actually a little surprising to me, as the positive leverage charts indicated more significant 'friction costs' (real-life implementation decay) for S&P leveraged funds. So I ran a test out of sample, using mid-caps. Profunds and Proshares each have a correspond...
by siamond
Fri Jul 12, 2019 4:21 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 198
Views: 14043

Re: Simulating Returns of Leveraged ETFs

Let's start by the venerable S&P 500, using -2x leverage and -3x leverage. Again, those are inverse/bear funds, with a negative leverage. Here are the Telltale charts compared to the model (click to see a larger display). For the -2x case, we have three funds from ProFunds, ProShares and Rydex to co...
by siamond
Wed Jul 10, 2019 11:32 am
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 198
Views: 14043

Re: Simulating Returns of Leveraged ETFs

I was under the impression that our current monthly simulator would work well for negative leverage (e.g. -2x, -3x 'inverse/bear' funds), but after running a few experiments and checking against actuals, it appears that it does work quite well for stock funds, but not terribly well for bond funds. T...
by siamond
Wed Jul 10, 2019 11:22 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

I think a reasonable formula for the leveraged returns should be (1 + Y) = exp(N * xbr + (0.5 - N) xbr^2 + (1 - N) * sgr^2 / 2) The issue (for inverse/bear leveraged funds) isn't the math derived from the index returns, that part works well, the issue is the borrowing cost side of the equation. The...
by siamond
Wed Jul 10, 2019 7:32 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

it turns out that in my rush I managed to cut and paste names to the wrong column in the spreadsheet I uploaded to portfolio visualizer at some point. The results I showed were with inverse x3 S&P 500 instead of inverse x3 LTT. [...] Sorry about the confusion and inadvertently casting shade on Siam...
by siamond
Tue Jul 09, 2019 6:59 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

Sorry, both TMF and TMV gained in value during the same month frequently? At my quick glance it appeared to occur fairly often. I will double-check tonight to make sure I'm stating this correctly though. Huh? This doesn't seem quite right? Sometimes, the monthly returns are really low and the borro...
by siamond
Tue Jul 09, 2019 12:32 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

Would you mind going a bit deeper into how these were constructed? Simply 3x the monthly return is not an accurate representation; you also need to factor in borrowing costs. A quick test would be to compare them with the actual funds since inception. You need to ask Siamond for the details of the ...
by siamond
Mon Jul 08, 2019 7:57 pm
Forum: Investing - Theory, News & General
Topic: Diversification Can Improve Retirement Outcomes (SWR) [Very Long Post]
Replies: 72
Views: 5303

Re: Diversification Can Improve Retirement Outcomes (SWR) [Very Long Post]

I've been meaning to thank siamond for pointing out the usefulness of the Simba spreadsheet in exploring this question. Thank you! Yes, I really like this kind of chart. I think this provides much richer information than the usual "Is SWR 3% or 4%" discussion. Actually, my thinking about diversific...
by siamond
Mon Jul 08, 2019 4:18 pm
Forum: Investing - Theory, News & General
Topic: A Simple Bogleheads Retirement Using Variable Percentage Withdrawals (VPW Forward Test)
Replies: 78
Views: 7854

Re: A Simple Bogleheads Retirement Using Variable Percentage Withdrawals (VPW Forward Test)

[...] This is part of what I tried to convey in this post . I am a recent retiree (8 months) and trying understand the best way to handle lumpy expenses. I have a significant pension that will cover about 80%-90% of non discretionary spending. Already, I had some lumpy expenses (1040ES for Roth con...
by siamond
Sun Jul 07, 2019 5:43 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

I would argue that the performance since 1982 has been largely due to falling interest rates, not inverse correlations as Hedgefundie is supposing. Yes, I think this part is quite clear. And I would definitely NOT rely on correlation patterns over the past few decades as something indicative of the...
by siamond
Sun Jul 07, 2019 4:30 pm
Forum: Investing - Theory, News & General
Topic: A Simple Bogleheads Retirement Using Variable Percentage Withdrawals (VPW Forward Test)
Replies: 78
Views: 7854

Re: A Simple Bogleheads Retirement Using Variable Percentage Withdrawals (VPW Forward Test)

A savings balance can do the job of acting as a shock-absorber, decoupling spending from income. An increase in income volatility could cause some people to want a larger savings balance, I suppose, but my experience is that spending variability is so much larger that income volatility makes little...
by siamond
Sun Jul 07, 2019 9:28 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

t's really the cumulative density function, often called the CDF, which is the probability that a particular value is less than a reference value. The cumulative exceedance function is 1 - CDF. One more refinement. I think you mean the Cumulative distribution function . Ah, thank you, thinking in t...
by siamond
Sat Jul 06, 2019 10:39 pm
Forum: Investing - Theory, News & General
Topic: It's All About the Earnings Growth
Replies: 19
Views: 2146

Re: It's All About the Earnings Growth

Labor's share of income has been declining for a while now, meaning that profits are fatter. This appears to be a structural change in the economy, not limited to the United States. Likely it is a consequence of globalization and automation. I would expect it to continue, if not accelerate. Unfortu...
by siamond
Sat Jul 06, 2019 10:12 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

In the next set of figures, I consider (i) rebalancing frequency, (ii) sequence duration, and (iii) volatility window for a number of schemes. In each figure, different rebalancing frequencies (not volatility window!) are indicated with the line color. I considered rebalancing frequency cases of 1 ...
by siamond
Sat Jul 06, 2019 10:00 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

I didn't pay much attention to the leveraged stuff in a while, but now that I read those excellent posts from the OP, I am a little confused. This seems to be based on daily series that go back to 1982 for both stocks (tracking the S&P 500) and bonds (tracking a Long Term Treasuries index). Well, n...
by siamond
Sat Jul 06, 2019 9:40 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 97
Views: 6515

Re: Refinements to Hedgefundie's excellent approach

Hydromod, warm welcome to the forum! It is very cool to have a new contributor with the kind of modeling/analytical skills that you just displayed. I didn't pay much attention to the leveraged stuff in a while, but now that I read those excellent posts from the OP, I am a little confused. This seems...
by siamond
Fri Jul 05, 2019 9:28 pm
Forum: Investing - Theory, News & General
Topic: It's All About the Earnings Growth
Replies: 19
Views: 2146

Re: It's All About the Earnings Growth

The author estimated that the earnings in the US have been systematically overstated by roughly 25% due to those historical costs accounting issues, although this has been trending down in recent decades. Ah, finally found your reference in one of the appendices (page 105). The 25% figure is mentio...
by siamond
Fri Jul 05, 2019 7:14 pm
Forum: Investing - Theory, News & General
Topic: It's All About the Earnings Growth
Replies: 19
Views: 2146

Re: It's All About the Earnings Growth

As best I can tell from a quick review, the author feels there are two main problems with how return-on-equity and earnings are calculated: Return on Equity. "The distortion arises from the fact that shareholder equity is not upwardly adjusted for inflation under U.S. generally accepted accounting ...
by siamond
Fri Jul 05, 2019 3:07 pm
Forum: Investing - Theory, News & General
Topic: It's All About the Earnings Growth
Replies: 19
Views: 2146

Re: It's All About the Earnings Growth

Here is a somewhat related white paper from the Philosophical Economics writer, which argues that corporate profits (hence earnings) have been systematically overstated... As usual with this author, a lengthy but fascinating read: https://osam.com/Commentary/the-earnings-mirage https://osam.com/pdfs...
by siamond
Thu Jul 04, 2019 12:55 pm
Forum: Investing - Theory, News & General
Topic: A Simple Bogleheads Retirement Using Variable Percentage Withdrawals (VPW Forward Test)
Replies: 78
Views: 7854

Re: A Simple Bogleheads Retirement Using Variable Percentage Withdrawals (VPW Forward Test)

I don't have anything against the proposed method (the simpler form does seem more sensible), but let me share some real life experience. I early retired mid-2014, so I've been in retirement mode for a while now. I compute my annual spending budget with a mix of Present Value (of existing and future...
by siamond
Tue Jul 02, 2019 3:43 pm
Forum: Non-US Investing
Topic: Study: The Rate of Return on Everything, 1870-2015
Replies: 185
Views: 33373

Re: Study: The Rate of Return on Everything, 1870-2015

AlohaJoe wrote:
Tue Jul 02, 2019 9:20 am
I discovered there is a separate "online appendix" of this article where they slice & dice the data in a few interesting ways.
Just be careful that most 'average returns' numbers in this appendix AND in the main text are arithmetic averages of annual returns, not geometric averages (aka CAGR).
by siamond
Fri Jun 28, 2019 8:47 pm
Forum: Non-US Investing
Topic: Study: The Rate of Return on Everything, 1870-2015
Replies: 185
Views: 33373

Re: Study: The Rate of Return on Everything, 1870-2015

Valuethinker wrote:
Fri Jun 28, 2019 7:00 pm
I find the 1930s Australia housing return index to be suspect.
If you come back to the OP and the corresponding study, you'll easily find the data sources for Australia (and the other countries). May I suggest you take a critical look at it and tell us your findings?
by siamond
Wed Jun 26, 2019 12:58 pm
Forum: Non-US Investing
Topic: Study: The Rate of Return on Everything, 1870-2015
Replies: 185
Views: 33373

Re: Study: The Rate of Return on Everything, 1870-2015

I just want to make sure I understand the study and we measure apples to apples. Reading through it seems taxes are not accounted for. Yes, the entire study is pre-tax. Taxes are very dependent on the country (and state), on the timeframe (tax codes change!) and on personal situations. That's just ...
by siamond
Tue Jun 25, 2019 1:54 pm
Forum: Non-US Investing
Topic: Study: The Rate of Return on Everything, 1870-2015
Replies: 185
Views: 33373

Re: Study: The Rate of Return on Everything, 1870-2015

A blogger I have been in occasional contact with posted two articles reflecting on the data from the Rate of Return on Everything study. The first blog article reflects on the possible use of real estate (housing) income as a diversifier: https://evergreensmallbusiness.com/rate-of-return-on-everythi...
by siamond
Mon Jun 24, 2019 6:18 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

Mind pointing me to this paper or some other relevant material? https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2394711 Cool. Thank you for sharing. The article's methodology does seem much more geared at a reasoning which applies to passive funds, hence helpful. The main point is about illiqui...
by siamond
Mon Jun 24, 2019 3:03 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

Finance is a social science. With that comes enormous levels of uncertainty in any models. Factor models deserve credit for explaining a lot of past behavior, but some humility is warranted given things like SCG and Mid-cap blend defying the models to outperform the favored factors. Yup, I also ful...
by siamond
Sun Jun 23, 2019 10:49 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

On your broader question--assembling historical data back in time always introduces biases, even when the work is thorough. For example, in classifying stocks as value or growth, I'm almost certain that Russell did not use point-in-time data (since the oldest point-in-time database only goes back t...
by siamond
Sun Jun 23, 2019 2:57 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

... As far as I know, the first SCV index we have is Russell 2000 Value, which starts in 1979. But that too is a re-created uninvestable index. Russell didn't even exist until 1984 , their style indices came much later (sometime in the 90's), and they've had to re-formulate their methodology for co...
by siamond
Sun Jun 23, 2019 2:19 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

That about what one would have logically expected to see given the higher expense ratio of the active funds vs. the partially simulated backtesting series. But, the 1.5% gap been the index series and the active series is somewhat larger than I would have expected to see if the expense ratio was the...
by siamond
Sat Jun 22, 2019 10:55 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

That about what one would have logically expected to see given the higher expense ratio of the active funds vs. the partially simulated backtesting series. But, the 1.5% gap been the index series and the active series is somewhat larger than I would have expected to see if the expense ratio was the...
by siamond
Sat Jun 22, 2019 9:29 pm
Forum: Non-US Investing
Topic: Study: The Rate of Return on Everything, 1870-2015
Replies: 185
Views: 33373

Re: Study: The Rate of Return on Everything, 1870-2015

I can see the countries with the huge drawdowns and also that you state this was largely when inflation ravaged the bonds. Is there a way to see the specific instances when that happened? Was France's experience dramatically different from Japan and Portugal for example or were they all from a simi...
by siamond
Sat Jun 22, 2019 4:14 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

I wonder if it's quite this straightforward. Maybe things that contributed to small-cap value performance in past times were much higher trading costs (high bid/ask spreads, high commissions), less (or no) understanding of factors, less ability to analyze and understand the stocks, etc. None of the...
by siamond
Sat Jun 22, 2019 3:49 pm
Forum: Non-US Investing
Topic: Study: The Rate of Return on Everything, 1870-2015
Replies: 185
Views: 33373

Re: Study: The Rate of Return on Everything, 1870-2015

I particularly like Vanguard's LifeStrategy Moderate Growth Fund (VSMGX) which has a 60/40 global stocks/bonds allocation with some US home bias. [...] I think that this fund could be a one-stop investment for many US investors. It's funny, I started to write a sentence about LifeStrategy funds for...
by siamond
Sat Jun 22, 2019 2:53 pm
Forum: Non-US Investing
Topic: Study: The Rate of Return on Everything, 1870-2015
Replies: 185
Views: 33373

Re: Study: The Rate of Return on Everything, 1870-2015

Any practical takeaway advice from your above statements, especially with regard to the first about bonds not helping? Thanks a lot for the fascinating information and analysis. Well, when I said that 'bonds didn't help', I was referring to some of the truly abysmal cases when both stocks AND bonds...
by siamond
Fri Jun 21, 2019 10:57 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

[...] My take is that tentative conclusions can be made from the data but we have to understand the limitations of the data itself and the context of changing market and economic environments over time. Pretty much saying this is all slippery. So we should study this, draw the best conclusions we c...
by siamond
Fri Jun 21, 2019 7:21 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

Based on the exchange with siamond above, it appears that there is a current (as in best research data) data-set that goes back to 1926 that is derived from the original Fama/French data sets. Nisiprius should try that data. This is the Small-Cap-Value (and Large Cap Blend) data series in the Simba...
by siamond
Fri Jun 21, 2019 3:41 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

The French Dartmouth database used to publish 2 sets of returns, called "Research" and "Benchmark." The Research data includes revisions for data errors that are discovered. It is my understanding that the Benchmark data was provided in order to be able to precisely replicate prior studies. It is a...
by siamond
Fri Jun 21, 2019 1:33 pm
Forum: Non-US Investing
Topic: MacroHistory database data sources - Q&A and Feedback
Replies: 4
Views: 431

Re: MacroHistory database data sources - Q&A and Feedback

Well, I am not very successful in getting the authors of the study to chime on this thread... Will keep trying. In the mean time, I'll keep documenting some findings. FEEDBACK#1 : the US stock annual returns derived from Prof. Shiller are time-shifted and not consistent with the way Prof. Shiller hi...
by siamond
Fri Jun 21, 2019 12:32 pm
Forum: Investing - Theory, News & General
Topic: Vanguard 500 Index Expense Ratio History
Replies: 9
Views: 1248

Re: Vanguard 500 Index Expense Ratio History

This is strictly from memory, but I remember reading some Vanguard literature, probably in the early 1990s [...] Thank you for sharing such historical perspective, I know I suffer from recency bias when it comes to costs and it's good to get such trigger to go look it up... Here is an updated graph...
by siamond
Fri Jun 21, 2019 11:43 am
Forum: US Chapters
Topic: Master thread - Providence, Rhode Island Bogleheads Chapter
Replies: 28
Views: 5893

Re: Master thread - Providence, Rhode Island Bogleheads Chapter

tarmangani wrote:
Fri Jun 21, 2019 7:57 am
Bump, hope to see some of you folks tomorrow. We're cover some Rogerian rhetoric/argument. Who wouldn't love that? =)
You had me look it up on Wikipedia... Yep, this is definitely a significant shortage of this type of rhetoric nowadays in some contexts... :shock:
by siamond
Thu Jun 20, 2019 11:27 pm
Forum: Investing - Theory, News & General
Topic: Vanguard 500 Index Expense Ratio History
Replies: 9
Views: 1248

Re: Vanguard 500 Index Expense Ratio History

HawkeyePierce wrote:
Thu Jun 20, 2019 11:17 pm
Does anyone know the history for the various institutional share classes?
From a very cursory investigation, the ER was reported as 0.01 since the (very recent) inception of VFFSX. But... I never paid attention to such institutional funds, so I might be missing something...
by siamond
Thu Jun 20, 2019 11:05 pm
Forum: Investing - Theory, News & General
Topic: Vanguard 500 Index Expense Ratio History
Replies: 9
Views: 1248

Re: Vanguard 500 Index Expense Ratio History

Here you are, I charted both the Investor fund (VFINX) and the Admiral fund (VFIAX).

Image
by siamond
Thu Jun 20, 2019 10:30 pm
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 121
Views: 7045

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

To placate the fanatics, just throw out all of the controversial early 70's data, and use a different argument: LV beat LB SB beat LB SV lost to SB Why is that? It's for two reasons: 1. Randomness 2. Morningstar category averages are unreliable ...but if the reason is number 1 more than number 2, t...