Search found 740 matches

by Jebediah
Thu Jul 09, 2020 1:45 pm
Forum: Personal Investments
Topic: Help Needed on Understanding Negative Tips Yield
Replies: 12
Views: 721

Re: Help Needed on Understanding Negative Tips Yield

One other thing; have you looked into US Series I Savings Bonds? They don't have a negative yield and IMO are a better deal than TIPS at this time. +1 to Series I savings bonds for individual investors. Another useful product that IMHO should be considered more often is the iShares Inflation Hedged...
by Jebediah
Mon May 18, 2020 7:01 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: Small Cap Value heads Rejoice !!!

This is just for fun as I doubt anyone would actually go all in on SCV, but Ben Felix recently mentioned that using 4% withdrawals in 30 year periods going back to 1926, 70% US SCV with 30% 5 year treasuries had no failures. It also has a thrilling max drawdown of 77%. This was an aside in a discus...
by Jebediah
Sat May 16, 2020 6:54 pm
Forum: Investing - Theory, News & General
Topic: Rekenthaler: Long Bonds Are for Fools
Replies: 346
Views: 18705

Re: Rekenthaler: Long Bonds Are for Fools

The expectation should be to earn 1% annually from holding 20 year Treasury. What do you expect 5 year Treasury to return? it should be something around 0.30% for the next 5 years, after that what do you expect to earn? Obviously, you are betting rates will be higher, and you will get the chance to...
by Jebediah
Sat May 16, 2020 4:21 pm
Forum: Investing - Theory, News & General
Topic: What's the point of TLH when you already have booked losses?
Replies: 35
Views: 2106

Re: What's the point of TLH when you already have booked losses?

Suppose I have 100K in carryover capital losses and a fund with 10K of unrealized losses. Is there any point to TLHing that fund to realize the loss? Why not just let it exist unrealized? ... 3k is the maximum amount of ordinary income you can offset (and yes, it carries over to next year if you do...
by Jebediah
Fri May 15, 2020 11:12 am
Forum: Investing - Theory, News & General
Topic: What's the point of TLH when you already have booked losses?
Replies: 35
Views: 2106

Re: What's the point of TLH when you already have booked losses?

The point of leaving it unrealized is not having to transact if you don't have to. If/when the asset class gains 10K in the future, it'll just offset the loss I took. If I didn't have a stockpile of losses to use, then it makes sense to realize the loss. Otherwise, I still don't see a financial bene...
by Jebediah
Fri May 15, 2020 9:34 am
Forum: Investing - Theory, News & General
Topic: What's the point of TLH when you already have booked losses?
Replies: 35
Views: 2106

What's the point of TLH when you already have booked losses?

Suppose I have 100K in carryover capital losses and a fund with 10K of unrealized losses. Is there any point to TLHing that fund to realize the loss? Why not just let it exist unrealized?
by Jebediah
Mon Apr 06, 2020 1:31 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: 1,000 Small-Cap Value Posts

On ARQ's factor set, the alpha of that fund is not statistically significant. I think it's also a sector neutral fund, which results in high tracking error compared to ARQ's long-short sector neutral factor set. I selected the 7 longest running DFA funds and ran a 3/4/5/6-factor regression since 19...
by Jebediah
Mon Apr 06, 2020 10:56 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: Small Cap Value heads Rejoice !!!

I'm not sure you're necessarily missing anything although I like VOE as well to try to get value exposure at every capitalization level. I also hold some MTUM to undo some of the negative momentum of these value holdings. I should mention VFMF is basically my dream fund come true. It also gives val...
by Jebediah
Mon Apr 06, 2020 10:37 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: 1,000 Small-Cap Value Posts

80% total stock market + 20% long term bonds is also 97% correlated with total stock market. You're swamped with beta. Increase parity. You're measuring the usefulness of factor diversification with the wrong tools. If you're going to call something a diversifier then it should have a demonstrable ...
by Jebediah
Sun Apr 05, 2020 10:23 pm
Forum: Investing - Theory, News & General
Topic: Dow Futures Up Again?
Replies: 131
Views: 8253

Re: Dow Futures Up Again?

We don't need to restart the entire economy. Based on Morningstar, only 15% of GDP is idle. Essential services make up 70% of GDP and half of the nonessential businesses are able to continue with employees working remotely. And $2 trillion goes a long way to help the unemployed. https://www.morning...
by Jebediah
Sun Apr 05, 2020 6:31 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: 1,000 Small-Cap Value Posts

The key is the lack of correlation between the factors. The relevant factors are market, size, value, profitability/quality, momentum, term. Dave Once again, straight from the brochure. In real life, this amounts to nothing. For example, the correlation between QCELX (AQR multifactor) and VTI is 0....
by Jebediah
Sun Apr 05, 2020 5:32 pm
Forum: Investing - Theory, News & General
Topic: Is Bogleheads suffering a derivatives epidemic?
Replies: 40
Views: 3305

Re: Is Bogleheads suffering a derivatives epidemic?

whodidntante wrote:
Fri Apr 03, 2020 4:38 pm
Well, in my defense, the casino is closed. :twisted:
Exactly. How is anybody supposed to not make a small side fortune on puts while they watch their portfolio vaporize under quarantine?
by Jebediah
Sun Apr 05, 2020 5:24 pm
Forum: Investing - Theory, News & General
Topic: Schwab Intelligent Portfolio performance during market downturn
Replies: 15
Views: 1919

Re: Schwab Intelligent Portfolio performance during market downturn

Thank you for posting this. This has to be the most clownish slice and dice portfolio of all time. I laughed out loud.
by Jebediah
Sun Apr 05, 2020 4:45 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: 1,000 Small-Cap Value Posts

The key is the lack of correlation between the factors. The relevant factors are market, size, value, profitability/quality, momentum, term. Dave Once again, straight from the brochure. In real life, this amounts to nothing. For example, the correlation between QCELX (AQR multifactor) and VTI is 0....
by Jebediah
Fri Apr 03, 2020 2:08 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: Small Cap Value heads Rejoice !!!

According to the board FAQ, you can hide a user's post using the Friends/Foes list. What are my Friends and Foes lists? You can use these lists to organize other members of the board. Members added to your friends list will be listed within your User Control Panel for quick access to see their onlin...
by Jebediah
Fri Apr 03, 2020 1:35 am
Forum: Investing - Theory, News & General
Topic: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?
Replies: 206
Views: 21661

Re: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?

I am in agreement with a good portion of what you have been saying,not as pessimistic to your level, but at what point does investing just become gambling when taking such an extreme view? When investing more than you can afford to lose. :) Though it is worth noting that the risks here are not symm...
by Jebediah
Thu Apr 02, 2020 11:42 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: Small Cap Value heads Rejoice !!!

For instance, let's say I am investing since late 1999, that means I have spent 20 years already doing this, and have possibly another 10 left. I need to be looking at reducing my risk at this point, if I am heavily tilted towards SCV, the sequence of returns haven't worked in my favor, because I h...
by Jebediah
Thu Apr 02, 2020 10:04 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: Small Cap Value heads Rejoice !!!

For instance, let's say I am investing since late 1999, that means I have spent 20 years already doing this, and have possibly another 10 left. I need to be looking at reducing my risk at this point, if I am heavily tilted towards SCV, the sequence of returns haven't worked in my favor, because I h...
by Jebediah
Thu Apr 02, 2020 4:35 pm
Forum: Investing - Theory, News & General
Topic: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?
Replies: 206
Views: 21661

Re: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?

I'm calling you on what might or might not be some recency bias. Perhaps it's the other side of the normalcy bias coin: after a calamitous shock, we tend to become biased to expect further calamity. The bears and the goldbugs of 2009-2013 had wonderfully cogent, air-tight arguments but the market cl...
by Jebediah
Thu Apr 02, 2020 4:20 pm
Forum: Investing - Theory, News & General
Topic: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?
Replies: 206
Views: 21661

Re: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?

I am just some random guy on the internet, and am only saying the following to give context to what I will say next, not to try and brag - none of you know me, so what would be the point of that? I have been following the virus since early January. I warned my friends and family to expect a pandemi...
by Jebediah
Thu Apr 02, 2020 11:54 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: Small Cap Value heads Rejoice !!!

Elysium, These new anti-tilting arguments are weak. Sure, tracking error regret is a thing. Larry S and Robert T talk about it all the time. Same applies to the 3-fund regarding international. Your complexity arguments are way overbaked. DFA offers tilted total market portfolios that are held just l...
by Jebediah
Wed Apr 01, 2020 4:20 pm
Forum: Personal Investments
Topic: Liquidate Bond VBILX now or wait?
Replies: 29
Views: 1994

Re: Liquidate Bond VBILX now or wait?

1. "Investment grade" is a spectrum. From cash rich to borderline junk. VBILX is 24.9% Baa. That information is public and available in the prospectus. yes, I agree with your assessment but as I said above I have been educated now... I assumed earlier that all investment grade debt is "almost" near...
by Jebediah
Wed Apr 01, 2020 3:22 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: Small Cap Value heads Rejoice !!!

This is true but so over-hyped and over-marketed. The aggregate effect of this 'diversification' shows up in the correlation between SCV and TSM, which is 0.9. So you got 0.1 of less correlation to the market, and you get an extra .05 of noncorrelation with treasuries. It’s not just about correlati...
by Jebediah
Wed Apr 01, 2020 2:34 pm
Forum: Personal Investments
Topic: Why would anyone buy Intermediate Term Treasury Bonds right now?
Replies: 34
Views: 3026

Re: Why would anyone buy Intermediate Term Treasury Bonds right now?

I could drag my money out of my brokerage, open a new account at some random new bank, buy a CD. Sick of that game. I could buy a brokered CD but it's illiquid. Must hold to maturity. Or build a ladder that I have to manage. No thanks. I would put up with sending money to my ally savings account but...
by Jebediah
Wed Apr 01, 2020 12:15 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: Small Cap Value heads Rejoice !!!

All of these small cap value threads focus almost entirely on whether size and value will experience increased returns beyond TSM in the future. I think the diversification benefits are equally important in deciding whether to incorporate these factors into a portfolio. Over the long term correlati...
by Jebediah
Wed Apr 01, 2020 10:16 am
Forum: Investing - Theory, News & General
Topic: Trend following funds (like VMOT) and dual momentum totally ineffective in this bear market
Replies: 34
Views: 1528

Re: Trend following funds (like VMOT) and dual momentum totally ineffective in this bear market

One thing I noticed is that funds using quantitative methods to 'protect' us from big losses (like VMOT by AlphaArchitect) or strategies like Dual momentum, have been totally ineffective (at least till now) to mitigate losses. The decline has been too fast. The only people who got out are those who...
by Jebediah
Wed Apr 01, 2020 10:08 am
Forum: Investing - Theory, News & General
Topic: Buying only top 10 S&P500 companies every year
Replies: 55
Views: 3528

Re: Buying only top 10 S&P500 companies every year

Bridgeway has a fund that tracks the top 20 or 30 (or something) companies. I think it tracks the SP500 pretty closely.
by Jebediah
Tue Mar 31, 2020 1:32 pm
Forum: Personal Investments
Topic: Inverse Index ETF's (SH & RWM) to 'short' the market
Replies: 4
Views: 274

Re: Inverse Index ETF's (SH & RWM) to 'short' the market

That rationale is valid, and I agree with you wholeheartedly, in the long run where major index prices will increase. I would never try to justify buying and holding a position in SH or RWM long-term. That said, if someone believes that the markets will decline more in the coming weeks & months, wh...
by Jebediah
Tue Mar 31, 2020 12:45 pm
Forum: Investing - Theory, News & General
Topic: Why is the market up today?
Replies: 25
Views: 2294

Re: Why is the market up today?

the market is so disconnected from reality its insane. Everyone I know is suffering from either already being laid off/furloughed or is heading that way and at this point we have no end in sight in this country. There is an end in sight. Not really. Nobody's quite sure how to phase normalcy back in...
by Jebediah
Tue Mar 31, 2020 10:55 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: [Small Cap Value heads Rejoice !!!]

I think RZV probably suffers from negative momentum based on some prior research into the S&P600 Pure Value index. AVUV is more valuey which I'm guessing is why it did worse, but possibly the momentum screens helped it not suffer the RZV fate. Who knows though, just guesses. I threw in BRSIX since ...
by Jebediah
Tue Mar 31, 2020 9:54 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: [Small Cap Value heads Rejoice !!!]

I don't think this is the reason that small cap fund performed poorly in this crisis, as neither of these funds appear to have negative profitability exposure. Rather, I think that small caps in general just performed poorly last month. Value did fine (only a little bit worse than total stock marke...
by Jebediah
Mon Mar 30, 2020 6:39 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: [Small Cap Value heads Rejoice !!!]

Don't know if this has been posted here but this paper may have something to say about why deep small value funds like BOSVX, BOTSX, and RZV have fallen so hard (they buy a lot of lousy companies that go out of business). https://scholar.harvard.edu/files/campbell/files/campbellhilscherszilagyi_jf20...
by Jebediah
Tue Mar 24, 2020 11:00 am
Forum: US Chapters
Topic: [Archived] Bogleheads community discussion - Coronavirus
Replies: 4963
Views: 196052

Re: Bogleheads community discussion - Coronavirus

Has it been mentioned yet that Italy has inflected? Three days in a row of fewer daily cases. Two weeks from lockdown.

So we need two weeks of intense lockdown followed by very gradual easing. Will require patience, commitment, discipline.

[Political comment removed by Moderator Misenplace]
by Jebediah
Sat Mar 21, 2020 8:04 pm
Forum: Investing - Theory, News & General
Topic: 'Black swan' & Alternative funds YTD & since the market high
Replies: 55
Views: 3459

Re: 'Black swan' & Alternative funds YTD & since the market high

305, Your understanding of puts and options may be way ahead of mine. With regard to AVRPX, I’m pretty sure they use modest leverage. I vaguely remember a number like 1.2-1.5. And I think the diversification across asset classes is significant even though at times like this equities dominate. Also,...
by Jebediah
Sat Mar 21, 2020 7:22 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: [Small Cap Value heads Rejoice !!!]

There is a possibility that dedicated small value funds are likely to lose 80% or more of value in this drawdown, with possibility of no recovery for many years to come. Thus wiping out a generation of small value investors, before it becomes attractive to invest again. The current generation of SC...
by Jebediah
Sat Mar 21, 2020 5:01 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2126
Views: 165281

Re: [Small Cap Value heads Rejoice !!!]

Forester wrote:
Sat Mar 21, 2020 1:10 pm
Small & mid cap cheap, large cap expensive or middling

https://mebfaber.com/2020/03/21/stock- ... aluations/
cheap for a reason, and that reason is: going out of business.
by Jebediah
Sat Mar 21, 2020 12:36 pm
Forum: Personal Investments
Topic: One simple thing this 50 yo learned...
Replies: 61
Views: 9684

Re: One simple thing this 50 yo learned...

I'm fascinated that I have just recently learned about the strategy of treasuries vs TBM. Why is this not discussed more? Is this the equivalent of those that tilt to SCV but on the bond side? In other words I feel like the BH message is TSM and TBM, but it takes a bear market to realize maybe you ...
by Jebediah
Sat Mar 21, 2020 12:13 pm
Forum: Personal Investments
Topic: One simple thing this 50 yo learned...
Replies: 61
Views: 9684

Re: One simple thing this 50 yo learned...

I've learned I need to be less aggressive. Being a 50 year old with an AA of 90/10 I must admit I am not handling this crash like I did in 2008-2009. Being closer to retirement changes how your gut handles these major downturns. I can, however, feel good that my wife and I decided to pay down a $10...
by Jebediah
Fri Mar 20, 2020 12:32 pm
Forum: Personal Investments
Topic: Lock loss or ride the wave with 15 years to go?
Replies: 62
Views: 4356

Re: Lock loss or ride the wave with 15 years to go?

70% down seems to be within the realm of possibility in this situation. Somebody check my math, but doesn't that require about a 230% gain to break even? That could take a very long time. It's not really locking in a loss. Maybe those "gains" from the past two years weren't real. All that's real is ...
by Jebediah
Thu Mar 19, 2020 10:16 pm
Forum: Investing - Theory, News & General
Topic: Does anyone else think this is a once in a lifetime opportunity to buy treasuries?
Replies: 68
Views: 8591

Re: Does anyone else think this is a once in a lifetime opportunity to buy treasuries?

Today is the worst day in the history of the universe to buy these so-called "treasuries".

cool thread tho
by Jebediah
Thu Mar 19, 2020 3:26 pm
Forum: Investing - Theory, News & General
Topic: Bond Funds don't work in a crisis
Replies: 179
Views: 13031

Re: Bond Funds don't work in a crisis

Vanguard Tax-Exempt Bond Fund (VTEB) is down 13% year to date . AA rated (average), same as VBTLX, and shorter duration. The title of this thread is correct. VWIUX is down less. Maybe the ETF will eventually match? "maybe" is the right word. that's the problem. Would the ETF, VTEB be a tax loss har...
by Jebediah
Thu Mar 19, 2020 12:42 pm
Forum: Personal Investments
Topic: Vanguard Muni Bonds Getting Hammered Today (3/18)
Replies: 36
Views: 3264

Re: Vanguard Muni Bonds Getting Hammered Today (3/18)

He isn't discussing NAV dislocation risk, just the relatively small amount of volatility from the commensurate credit risk.
by Jebediah
Thu Mar 19, 2020 12:40 pm
Forum: Investing - Theory, News & General
Topic: Bond Funds don't work in a crisis
Replies: 179
Views: 13031

Re: Bond Funds don't work in a crisis

RonSwanson wrote:
Thu Mar 19, 2020 12:34 pm
Jebediah wrote:
Thu Mar 19, 2020 12:26 pm
Vanguard Tax-Exempt Bond Fund (VTEB) is down 13% year to date.

AA rated (average), same as VBTLX, and shorter duration.

The title of this thread is correct.
VWIUX is down less. Maybe the ETF will eventually match?
"maybe" is the right word. that's the problem.
by Jebediah
Thu Mar 19, 2020 12:26 pm
Forum: Investing - Theory, News & General
Topic: Bond Funds don't work in a crisis
Replies: 179
Views: 13031

Re: Bond Funds don't work in a crisis

Vanguard Tax-Exempt Bond Fund (VTEB) is down 13% year to date.

AA rated (average), same as VBTLX, and shorter duration.

The title of this thread is correct.
by Jebediah
Thu Mar 19, 2020 10:13 am
Forum: Personal Investments
Topic: Why is VTEB (Vanguard Tax Exempt Bond) getting hammered?
Replies: 19
Views: 1007

Re: Why is VTEB (Vanguard Tax Exempt Bond) getting hammered?

People are willing to sell the ETF for less than the valuation of its underlying assets because they need to generate cash immediately. When things settle down this should eventually go away. It’s bad timing if you are looking to rebalance however. Totally logical but I kind of find it difficult to...
by Jebediah
Thu Mar 19, 2020 10:07 am
Forum: Personal Investments
Topic: Why is VTEB (Vanguard Tax Exempt Bond) getting hammered?
Replies: 19
Views: 1007

Re: Why is VTEB (Vanguard Tax Exempt Bond) getting hammered?

8:01am: TLT up 1.44%, VGLT down 0.73%. The spread was even more few minutes ago. Not apples to apples, but EDV (down 1.25%) is down too, should be up more then TLT usually. I don't know what to do in the situation. Do I switch to the more "stable" funds that have a higher cost basis or just wait it...
by Jebediah
Thu Mar 19, 2020 10:02 am
Forum: Personal Investments
Topic: Why is VTEB (Vanguard Tax Exempt Bond) getting hammered?
Replies: 19
Views: 1007

Re: Why is VTEB (Vanguard Tax Exempt Bond) getting hammered?

It happened to like funds like Vang. Intermed. Muni...VWIUX... in 2008. I believe that it's happening because folks are bailing out...and there are more sellers than buyers. Some larger organizations have been selling because they needed cash. VTEB's holdings are pretty sound....mostly AAA/AA/A bon...