Search found 33 matches

by alexfrey
Sun Nov 09, 2014 4:31 pm
Forum: Investing - Theory, News & General
Topic: Tax Loss Harvesting Doesn't Seem Like a Great Idea
Replies: 57
Views: 10785

Re: Tax Loss Harvesting Doesn't Seem Like a Great Idea

Thank you for all of the advice so far. I have one quick note and one new question. Second, I understand how offsetting your income tax is beneficial, but I played with some numbers and am not completely clear on how offsetting your capital gains is actually beneficial in the long run (assuming you...
by alexfrey
Fri Nov 07, 2014 8:40 pm
Forum: Investing - Theory, News & General
Topic: The Sky is Falling
Replies: 36
Views: 7407

Re: The Sky is Falling

It might "feel" like a bubble becuase things have gone up a lot lately, but I don't think any of the evidence you cite is very compelling. What particular IPOs do you believe have no potential for future profits? By the way, people have said that about every tech company of the past ten years and la...
by alexfrey
Thu Oct 16, 2014 11:37 pm
Forum: Investing - Theory, News & General
Topic: Wealthfront updates tax loss harvesting software
Replies: 11
Views: 1795

Re: Wealthfront updates tax loss harvesting software

Also doesn't seem like a lot of these TLH marketing pieces are accounting for the fact that there may never be an opportunity to sell a position for a loss again. Markets do, after all, tend to go up over time.
by alexfrey
Tue Aug 05, 2014 8:07 pm
Forum: Investing - Theory, News & General
Topic: Why should a portfolio get safer as one ages?
Replies: 30
Views: 3806

Re: Why should a portfolio get safer as one ages?

Rob Arnott's paper on "the glidepath illusion" is also an interesting read w/ bit of a different slant than Kitces and Pfau since it deals with pre-retirement accumulation phase and assumes you annuitize after that. https://www.researchaffiliates.com/Our%20Ideas/Insights/Fundamentals/Pages/F_2012_Se...
by alexfrey
Fri Aug 01, 2014 3:04 pm
Forum: Investing - Theory, News & General
Topic: It seems Warren Buffett believes in DCA
Replies: 54
Views: 8894

Re: It seems Warren Buffett believes in DCA

The indications I'm seeing are that cost-averaging-in provides little in the way of risk reduction, often is only better in cases when rewards were reasonable anyway (and little in the way of risk reduction across periods that contained relatively poor sub-periods). i.e. better to just lump-in in o...
by alexfrey
Fri Jul 25, 2014 5:06 pm
Forum: Investing - Theory, News & General
Topic: Should market valuations be completely disregarded?
Replies: 50
Views: 5959

Re: Should market valuations be completely disregarded?

Good post. But I would still say that valuations and expected returns are important *foremost*, not necessarily only, in planning: setting saving rate v. expectations of future living standard. Like a lot of things, this statement somewhat depends on the person, their situation and level of knowled...
by alexfrey
Fri Jul 25, 2014 4:35 pm
Forum: Investing - Theory, News & General
Topic: Bonds beat stocks over the last 15 years
Replies: 93
Views: 11799

Re: Bonds beat stocks over the last 15 years

Among other things, this example is also illustrative of the importance of initial conditions. At the beginning of 1999, stocks were trading at a P/E of 33, a Shiller PE / CAPE / PE10 of 40 and a dividend yield of 1.3%, while ten year bonds yielded 4.7%. There are a number of ways to look at these n...
by alexfrey
Wed Jul 23, 2014 3:27 pm
Forum: Investing - Theory, News & General
Topic: Should market valuations be completely disregarded?
Replies: 50
Views: 5959

Re: Should market valuations be completely disregarded?

Interestng thread. There seems to be broad agreement that current valuations are negatively correlelated with future returns. My two cents is that (as others have pointed out) if you think future returns are going to be lower across the board for all asset classes, then it possibly makes sense to ig...
by alexfrey
Wed Jul 23, 2014 2:51 pm
Forum: Investing - Theory, News & General
Topic: What Web Tools / Resources Would Help You Invest Better?
Replies: 4
Views: 977

Re: What Web Tools / Resources Would Help You Invest Better?

I have seen folks repeatedly ask for these: A tool to rebalance across all accounts at different vendors taking into account taxes, transaction costs, future taxes, and convenience. A tool to do tax-loss harvesting in taxable accounts taking into account all the stuff discussed now in Betterment's ...
by alexfrey
Mon Jul 21, 2014 3:44 pm
Forum: Investing - Theory, News & General
Topic: What Web Tools / Resources Would Help You Invest Better?
Replies: 4
Views: 977

What Web Tools / Resources Would Help You Invest Better?

Hi all, Wanted to quickly get the community's opinion on this. There are obviously a lot of web-based tools and resources for investments that are out there. Is there anything missing? Are there any tools, calculators, graphs, or other resources that you would like to see to help you make better inv...
by alexfrey
Mon Jul 21, 2014 2:01 pm
Forum: Investing - Theory, News & General
Topic: Estimating portfolio volatility
Replies: 1
Views: 495

Re: Estimating portfolio volatility

Seems like there should be an online tool that would do this for you, but I can't think of one. Maybe I'll build it :) You could do however do this pretty easily in a spreadsheet. You don't need to directly calculate the whole covariance matrix. Typical procedure would be to download the monthly his...
by alexfrey
Sat Jul 19, 2014 7:04 pm
Forum: Personal Investments
Topic: Complete Portfolio Rebalancing: Lump or DCA?
Replies: 9
Views: 1530

Re: Complete Portfolio Rebalancing: Lump or DCA?

I agree with the other posters. Just wanted to add that I did an empirical look at the difference between DCA and investing a lump-sum in the stock market all at once (realize this is not your precise situation, but somewhat similar) and wrote up the results here. Thought you mind find it interestin...
by alexfrey
Fri Jul 18, 2014 11:53 pm
Forum: Investing - Theory, News & General
Topic: Tobins Q as market valuation metric
Replies: 42
Views: 3180

Re: Tobins Q as market valuation metric

buy and hold and keep buying and holding and sure you make money because things average out, however if you bought close to the peak according to Tobins Q valuation you would barely break even after 30 years, that's just as simple as that I'm not talking about dollar-cost averaging. Your numbers ar...
by alexfrey
Fri Jul 18, 2014 11:11 pm
Forum: Investing - Theory, News & General
Topic: Tobins Q as market valuation metric
Replies: 42
Views: 3180

Re: Tobins Q as market valuation metric

I find it slightly disconerting that this discussion is continuing to go on like normal without an acknowledgement that the original post is factually incorrect (as has been pointed out by at least three separate posters now). The thirty year returns following previous peaks in Tobin's Q were not ne...
by alexfrey
Fri Jul 18, 2014 3:16 am
Forum: Investing - Theory, News & General
Topic: Tobins Q as market valuation metric
Replies: 42
Views: 3180

Re: Tobins Q as market valuation metric

previous 5 times when the value was that high, market returns for next 30 YEARS were negative.... Can you please provide your source for the claim that stock market returns were NEGATIVE in the 30 years following previous peaks in the Q Ratio? Here is what I see from eyeballing the linked chart and...
by alexfrey
Tue Jul 08, 2014 2:28 pm
Forum: Investing - Theory, News & General
Topic: In Which Theories Should I Have Confidence?
Replies: 43
Views: 6011

Re: In Which Theories Should I Have Confidence?

I haven't been on here that long, but I hope that most would agree that a lot of the discussion on here is as much for intellectual enjoyment as much as it is for financial gain. That's not to say that what gets discussed here is unimportant, but my point is that investing can be as complicated as y...
by alexfrey
Tue Jul 08, 2014 1:08 am
Forum: Investing - Theory, News & General
Topic: Current Stock Market Predictions
Replies: 35
Views: 7073

Re: Current Stock Market Predictions

Now that's logic. I agree that it's near impossible for the stock price will grow at 10% for next 10(?) years. (I don't know where you got this 10% number though. Perhaps I missed it. However, I doubt many BH think the expected return is 10%. ) But how about 6%? Do you think 6% appreciation long te...
by alexfrey
Sun Jul 06, 2014 2:21 am
Forum: Investing - Theory, News & General
Topic: Current Stock Market Predictions
Replies: 35
Views: 7073

Re: Current Stock Market Predictions

Do investment return really come from dividends, dividend growth and changes in valuation or whether there are more buyers than sellers. On Oct 19,1987 the Dow dropped 22% in one trading session because there were only sellers but no buyers. Did the drop reflect a sudden devaluation of the equity m...
by alexfrey
Wed Jul 02, 2014 4:17 pm
Forum: Investing - Theory, News & General
Topic: Current Stock Market Predictions
Replies: 35
Views: 7073

Re: Current Stock Market Predictions

A lot of the debate here seems in response to the word "prediction," which apparently triggers all kinds of negative associations (many of which I agree with). What if we consider that what Bogle is doing is not really a prediction, it's a framework for calculating expected returns and risk premiums...
by alexfrey
Wed Jul 02, 2014 3:20 am
Forum: Personal Investments
Topic: P2P Lending
Replies: 12
Views: 1632

Re: P2P Lending

I'm not an investor in it (yet), but think it's a super-interesting space. The industry has definitely matured a lot since the early days. I don't have a link handy now, but it's pretty well documented that institutional investors (in particular hedge funds) have gotten into Lending Club and Prosper...
by alexfrey
Tue Jul 01, 2014 9:38 pm
Forum: Investing - Theory, News & General
Topic: Current Stock Market Predictions
Replies: 35
Views: 7073

Re: Current Stock Market Predictions

To me, the point of Bogle's exercise is to build a framework for calculating how much you should expect to make on a stock market investment in the next ten years. He is obviously not trying to predict with 100% accuracy what the market is going to return (would need to be a fortuneteller to do that...
by alexfrey
Mon Jun 30, 2014 4:15 pm
Forum: Investing - Theory, News & General
Topic: Riding the yield curve, in action
Replies: 80
Views: 25782

Re: Riding the yield curve, in action

doc - I don't think I agree with: "I believe that there is always a roll yield if the slope of the yield curve is positive." There will always be a roll yield, but I don't find it accurate to say that you can expect it to be positive just based on slope of the current yield curve. "Riding the yield...
by alexfrey
Mon Jun 30, 2014 4:04 pm
Forum: Investing - Theory, News & General
Topic: Riding the yield curve, in action
Replies: 80
Views: 25782

Re: Riding the yield curve, in action

The expectation for the 5 year 5 years from now is about 2.54% (minus a risk premium), i.e. little no gain but no loss either. I get 3.45% if I actually run the calc in absence of a risk premium. My calculation is: =(1.0254 ^ 10 / 1.0164^5)^ (1/5)-1. This is solving for the five year rate five year...
by alexfrey
Mon Jun 30, 2014 2:29 pm
Forum: Investing - Theory, News & General
Topic: Current Stock Market Predictions
Replies: 35
Views: 7073

Re: Current Stock Market Predictions

Im sorry for my ignorance, but can you explain to me how you do that calculation? Im unfamiliar with how to compute those numbers into a calculator. Also, you mentioned that interest levels have to be taken into account of valuation. How exactly do interest rates affect valuations? Thanks Sorry, mi...
by alexfrey
Mon Jun 30, 2014 2:15 pm
Forum: Investing - Theory, News & General
Topic: Riding the yield curve, in action
Replies: 80
Views: 25782

Re: Riding the yield curve, in action

ogd - think we are on the same page! doc - I don't think I agree with: "I believe that there is always a roll yield if the slope of the yield curve is positive." There will always be a roll yield, but I don't find it accurate to say that you can expect it to be positive just based on slope of the cu...
by alexfrey
Mon Jun 30, 2014 3:19 am
Forum: Investing - Theory, News & General
Topic: Riding the yield curve, in action
Replies: 80
Views: 25782

Re: Riding the yield curve, in action

Interesting thread. I don't disagree with many of the comments, just wanted to point out that ex-ante (looking-forward) expected roll-yield can be quite different from ex-post calculated roll yield. In particular, you can always calculate a roll yield for a past period, which could be positive or ne...
by alexfrey
Mon Jun 30, 2014 3:06 am
Forum: Investing - Theory, News & General
Topic: Current Stock Market Predictions
Replies: 35
Views: 7073

Re: Current Stock Market Predictions

Interesting exercise, I think there are a few issues with way you are doing it: Expected Earnings/Dividends Growth Rate: 2.48% per year. When corporate earnings are between 4-8% of GDP growth, where they have historically been, the earnings/dividends growth has been 4.5%. Currently, its 11% of gdp g...
by alexfrey
Thu Nov 14, 2013 1:24 pm
Forum: Investing - Theory, News & General
Topic: Shiller P/E 10 hits 25
Replies: 331
Views: 50285

Re: Shiller P/E 10 hits 25

PE10 crossed the magical 25 level in August 1996 too. Was that a good time to rebalance out of equities, avoid new stock purchases, or whatever other euphemism you want to use to justify timing the market? Advocates of PE10 like to point out that it "predicted" the impending crash in 2000, so those...
by alexfrey
Thu Nov 14, 2013 12:52 pm
Forum: Investing - Theory, News & General
Topic: Shiller P/E 10 hits 25
Replies: 331
Views: 50285

Re: Shiller P/E 10 hits 25

PE10 crossed the magical 25 level in August 1996 too. Was that a good time to rebalance out of equities, avoid new stock purchases, or whatever other euphemism you want to use to justify timing the market? Advocates of PE10 like to point out that it "predicted" the impending crash in 2000, so those...
by alexfrey
Wed Nov 13, 2013 12:01 pm
Forum: Personal Investments
Topic: Portfolio Critique Requested
Replies: 5
Views: 734

Re: Portfolio Critique Requested

I think it's okay to have a small-cap and value "tilt", but I am surprised from reading through a few posts how many people are taking that "tilt" to an extreme. I wonder what the thinking is here? It seems to go against the general boglehead philosophy of not trying to beat the market? You say that...
by alexfrey
Wed Oct 30, 2013 6:05 pm
Forum: Investing - Theory, News & General
Topic: Average outperformance
Replies: 29
Views: 3213

Re: Average outperformance

You might want to check this paper by the efficient market guys themselves (Fama and French) out - http://faculty.chicagobooth.edu/john.Cochrane/teaching/35150_advanced_investments/Luck%20versus%20Skilll%20in%20the%20Cross%20Section%20of%20Mutual%20Fund%20Returns.pdf It uses statistical techniques t...
by alexfrey
Tue Oct 29, 2013 6:36 pm
Forum: Investing - Theory, News & General
Topic: The cult of PE10 - so what?
Replies: 99
Views: 9986

Re: The cult of PE10 - so what?

I'm new here, but thought this was an interesting discussion, so much so that I had to jump in. A few points: A correlation of .4 (or anything over .2 really) is not something to be dismissed when dealing with noisy stock market data. A "coin flip" would be a correlation of 0, not .5 as someone sugg...
by alexfrey
Tue Oct 29, 2013 6:19 pm
Forum: Personal Investments
Topic: 23 year old maxing out tax advantaged accounts...now what?
Replies: 61
Views: 8180

Re: 23 year old maxing out tax advantaged accounts...now wha

I'd echo what others have said about your small-cap tilt being aggressively large. It is true that (historically at least) small companies have generated somewhat higher returns over time, but there are long stretches where the reverse is also true (like the 90s). Google "fama and french size factor...