Search found 963 matches

by Beliavsky
Mon Apr 27, 2020 6:36 pm
Forum: Investing - Theory, News & General
Topic: Estimating Future Returns
Replies: 28
Views: 1360

Re: Estimating Future Returns

What are the various equations that bogleheads use for estimating future stock returns? I've seen on the wiki the projections themselves, but not the way that they were computed. I'd also appreciate knowing WHERE the variables can be found if it's not already straightforward. For example, I've read...
by Beliavsky
Mon Apr 20, 2020 5:53 pm
Forum: Investing - Theory, News & General
Topic: That's it! Commodity ETFs is snake oil! I'm out!!!
Replies: 75
Views: 7501

Re: That's it! Commodity ETFs is snake oil! I'm out!!!

Currently, the May oil futures are trading at $10.60, and the June oil futures are $22.72. USO is about to lose 54% of its remaining value due to contango in a single month assuming the oil price stays at the current value. How ridiculously stupid does USO look now? You are buying $23 contracts whe...
by Beliavsky
Mon Apr 20, 2020 12:13 pm
Forum: Investing - Theory, News & General
Topic: Performance of risk parity
Replies: 0
Views: 154

Performance of risk parity

From WSJ Daily Shot 4/20/2020 : 7. Risk parity funds have dramatically underperformed traditional equity-only or 60/40 equity/bond strategies since 2015 on a total return basis, according to Pavilion Global Markets. However, 60/40 VOO/IEF targeting 9% vol has done OK since 2015 according to Portfoli...
by Beliavsky
Sat Apr 18, 2020 3:29 pm
Forum: Investing - Theory, News & General
Topic: How to "invest" in oil?
Replies: 85
Views: 6637

Re: How to "invest" in oil?

Ok I'll admit it is not investing but gambling. If I want to bet on oil price what is the best way to do it? Is there a particular mutual fund that correlates fully to oil price? I know I can invest in Exxon etc but like to know if there are more direct alternatives. Oil futures prices by tenor are...
by Beliavsky
Mon Apr 13, 2020 7:24 am
Forum: Investing - Theory, News & General
Topic: Investment grade bond funds that can hold fallen angels
Replies: 7
Views: 626

Investment grade bond funds that can hold fallen angels

Selling corporate bond ‘fallen angels’ is never a good tactic, warns Bank of America Merrill Lynch

What are some investment grade bond funds that have discretion regarding the sale of "fallen angels", formerly investment grade bonds downgraded to junk?
by Beliavsky
Tue Apr 07, 2020 8:16 am
Forum: Investing - Theory, News & General
Topic: Looking for book on Risk
Replies: 33
Views: 1491

Re: Looking for book on Risk

You can assess risk using fundamentals. For example, a corporate bond is more risky when interest payments are high relative to EBIT. You can also use statistical measures to forecast volatility. Holding expected returns constant, higher volatility means a greater probability of large losses or larg...
by Beliavsky
Mon Apr 06, 2020 10:43 am
Forum: Investing - Theory, News & General
Topic: GARCH volatility forecasts from V-Lab
Replies: 0
Views: 112

GARCH volatility forecasts from V-Lab

Swedroe and I and others have written about using volatility to size your equity allocation , which requires a volatility forecast. GARCH models to forecast volatility were invented by Bollerslev, building on the ARCH models of Engle, for which (in addition to cointegration models) Engle received a ...
by Beliavsky
Mon Apr 06, 2020 6:59 am
Forum: Investing - Theory, News & General
Topic: How the S&P 500 was constructed before 1988
Replies: 4
Views: 442

How the S&P 500 was constructed before 1988

Quoting today's Wall Street Journal: On this day in 1988, the S&P 500 index was overhauled. Instead of being made up of 400 industrial stocks, 40 utilities, 40 financial stocks and 20 transportation issues, its industry weights were allowed to float freely, so that stocks from all sectors were repre...
by Beliavsky
Mon Apr 06, 2020 6:30 am
Forum: Investing - Theory, News & General
Topic: Long-Term Investors Should Time Volatility
Replies: 31
Views: 2973

Re: Long-Term Investors Should Time Volatility

Over the entire data set, the regressions forecasting return from recent volatility are of the opposite sign as expected and not statistically significant. Chopping the dataset into blocks of around 10 years shows that the sign of the forecast is unstable. These results indicate that the conclusion...
by Beliavsky
Sun Apr 05, 2020 11:21 am
Forum: Investing - Theory, News & General
Topic: Long-Term Investors Should Time Volatility
Replies: 31
Views: 2973

Re: Long-Term Investors Should Time Volatility

An excerpt: [W]hile it is true that valuation ratios tend to go down when volatility increases, signaling higher expected returns ahead, the conventional view misses that this increase in expected returns is much more persistent than the increase in volatility. Investors can avoid the short-term in...
by Beliavsky
Sun Apr 05, 2020 9:50 am
Forum: Investing - Theory, News & General
Topic: What's the best website to see a stock/mutual funds previous performance?
Replies: 13
Views: 730

Re: What's the best website to see a stock/mutual funds previous performance?

tibbitts wrote:
Sun Apr 05, 2020 9:31 am
masonstone wrote:
Sat Apr 04, 2020 2:44 pm
What's the best website to see the previous performance of a stock, etf, bond, and treasuries?

Thanks!
Okay somebody has to ask: why does the previous performance matter?
Historical volatility and beta is somewhat predictive of future volatility and beta.
by Beliavsky
Fri Apr 03, 2020 12:05 pm
Forum: Investing - Theory, News & General
Topic: Volatility Expectations and Returns (Swedroe)
Replies: 0
Views: 183

Volatility Expectations and Returns (Swedroe)

Because volatility is time-varying and somewhat predictable, I don't think it's a good idea to rebalance from bonds to stocks when your portfolio is already more volatile because of market conditions. You are actively doing the opposite of volatility scaling, which some research has found increases ...
by Beliavsky
Thu Apr 02, 2020 6:57 am
Forum: Investing - Theory, News & General
Topic: Muni bonds have done well even pre-tax
Replies: 7
Views: 1647

Re: Muni bonds have done well even pre-tax

Here I revisit an earlier post on the place of muni bonds in a portfolio, given the poor performance of munis in 2020Q1. According to Portfolio Visualizer, over the period Jan 1987 - Jan 2019 (longest available for funds selected), the Maximum Sharpe Ratio portfolio of VFINX, VWLTX, and VUSTX has be...
by Beliavsky
Wed Apr 01, 2020 1:07 pm
Forum: Investing - Theory, News & General
Topic: Buying only top 10 S&P500 companies every year
Replies: 55
Views: 3523

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

The S&P 500 changes holdings quarterly, March, June, September, December. Let's go with December. What if... you bought 10% each of the top 10 holdings of the S&P 500 every December, sold whatever fell from the top 10 list. What would the performance be? I started looking into this but don't have a...
by Beliavsky
Wed Apr 01, 2020 12:53 pm
Forum: Investing - Theory, News & General
Topic: Using LEAPs to build a conservative portfolio in taxable account with a large cash reserve (SWAN)
Replies: 17
Views: 1222

Re: Using LEAPs to build a conservative portfolio in taxable account with a large cash reserve (SWAN)

The problem with SWAN is it invests in options that only 6 months and 1 years away. So it generated Short Term Capital gains STCG. You can hold the options into expiration, in which case they will automatically be exercised into shares of SPY if they are in the money and there is sufficient money i...
by Beliavsky
Wed Apr 01, 2020 10:35 am
Forum: Investing - Theory, News & General
Topic: 10-month moving average crossover has worked to time stocks
Replies: 7
Views: 547

Re: 10-month moving average crossover has worked to time stocks

So it didn’t really work until VWESX - Vanguard Long Term Corporate Bond was substituted instead of cash. Just want to point out that you substituted a long term bond fund from 1985 - present during a time when rates fell from historically high levels to historically low levels, providing a tremend...
by Beliavsky
Wed Apr 01, 2020 8:36 am
Forum: Investing - Theory, News & General
Topic: 10-month moving average crossover has worked to time stocks
Replies: 7
Views: 547

Re: 10-month moving average crossover has worked to time stocks

Kenkat wrote:
Wed Apr 01, 2020 8:30 am
So it didn’t really work until VWESX - Vanguard Long Term Corporate Bond was substituted instead of cash.
The stocks/cash version did have a higher Sharpe ratio than B&H, so I'd argue it did work.
by Beliavsky
Wed Apr 01, 2020 8:18 am
Forum: Investing - Theory, News & General
Topic: 10-month moving average crossover has worked to time stocks
Replies: 7
Views: 547

10-month moving average crossover has worked to time stocks

Using all available Portfolio Visualizer data through the month just concluded, it looks like the widely-studied 10-month moving average crossover rule has added value. Market Timing Results (Jan 1985 - Mar 2020) "Tactical asset allocation model results from Jan 1985 to Mar 2020 are based on 10 cale...
by Beliavsky
Mon Mar 30, 2020 5:17 pm
Forum: Investing - Theory, News & General
Topic: Equity futures + CDs, instead of equity?
Replies: 1
Views: 230

Re: Equity futures + CDs, instead of equity?

If you understand futures, which appears to be the case, I think your strategy is OK, with the main drawback being the tax treatment you mentioned. An alternative would be to buy a long-term (tenor of 1 year or more) deep-in-the-money call option (to avoid paying much time premium) on SPY and invest...
by Beliavsky
Sun Mar 29, 2020 7:25 am
Forum: Investing - Theory, News & General
Topic: Why would any investor ever even consider a leveraged fund?
Replies: 17
Views: 1414

Re: Why would any investor ever even consider a leveraged fund?

I have heard some talk about investors getting into leveraged funds to ride the wave back up in a big way. Since few people have stock-picking ability, if you want higher returns than the S&P 500, and are willing to accept more risk, leveraging the S&P 500 can make sense. I don't think many people ...
by Beliavsky
Mon Mar 23, 2020 9:38 am
Forum: Investing - Theory, News & General
Topic: VIX as part of rebalancing strategy
Replies: 1
Views: 188

Re: VIX as part of rebalancing strategy

I think it's better to continue the thread Conditional rebalancing into stocks using VIX instead of starting a new thread on the same topic.
by Beliavsky
Sat Mar 21, 2020 1:05 pm
Forum: Investing - Theory, News & General
Topic: Study of rebalancing
Replies: 11
Views: 809

Study of rebalancing

A study of Rebalancing history using the R programming language reaches these conclusions: Rebalancing does not seem to produce better risk-adjusted returns. If we threw in taxation and slippage, we think rebalancing might likely be a significant underperformer most of the time. Does this mean you s...
by Beliavsky
Sat Mar 21, 2020 6:29 am
Forum: Investing - Theory, News & General
Topic: Simulating the maximum drawdown given expected returns and volatility
Replies: 1
Views: 144

Simulating the maximum drawdown given expected returns and volatility

With the markets so volatile, people may be wondering how much of their savings should be invested in risky assets. I simulated the maximum drawdown of initial wealth assuming normally distributed daily returns. If for example you expect annualized returns of 15% (not compounded) with 40% volatility...
by Beliavsky
Fri Mar 20, 2020 11:39 pm
Forum: Investing - Theory, News & General
Topic: I cant "Stay the Course" - Rebalance/IPS
Replies: 56
Views: 4540

Re: I cant "Stay the Course" - Rebalance/IPS

Thanks. That was my concern that rebal now from 68:32 to 75:25 is taking more risk, given such volatile market and black swan events that's why I was thinking to rebal gradually (eg 2% every 2 months ) and DCA my 401K contributions to 100% stocks and review my AA quarterly Does this sound reasonabl...
by Beliavsky
Fri Mar 20, 2020 11:24 pm
Forum: Investing - Theory, News & General
Topic: I cant "Stay the Course" - Rebalance/IPS
Replies: 56
Views: 4540

Re: I cant "Stay the Course" - Rebalance/IPS

Folks, Is there anyone who is NOT Rebalancing per their IPS Rebalance Band % and/or Time ? What is the reason you are Rebalancing or NOT Rebalancing ? eg: I'm 45 yrs, 12 yrs away from retirement, I'm 75:25 today with 1M portfolio and, today, I'm 68:32 but I'm having a hard time sell 7% bond and buy...
by Beliavsky
Fri Mar 20, 2020 9:53 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Re: Conditional rebalancing into stocks using VIX

Wouldn't it be a lot simpler to just reduce your rebalancing frequency? If you're quarterly, go to semiannual. Semiannual, go to yearly. Much easier to implement. Once you have a buy-stocks-to-rebalance trade, it is not hard to check VIX weekly and rebalance on Monday if Friday's level was below th...
by Beliavsky
Fri Mar 20, 2020 9:28 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Re: Conditional rebalancing into stocks using VIX

It must be free money, then. Please, you go first. I did not say that delaying rebalancing was free money. I did write this: "The ugly reality is that if you become poorer, you should scale back risk, at the cost of probably being less wealthy in the future, in order to avoid worst-case scenarios o...
by Beliavsky
Fri Mar 20, 2020 8:05 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Re: Conditional rebalancing into stocks using VIX

1. Open thread 2. Ctrl+F “witching” 3. No results If you’re going to propose a system based on the VIX’s behavior this week, you need to acknowledge that today was a quadruple witching day. Why is that relevant? I have read much research about stock index options and have not seen a paper finding t...
by Beliavsky
Fri Mar 20, 2020 7:59 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Re: Conditional rebalancing into stocks using VIX

VIX, an option-implied predictor of future realized stock market volatility, rises when stocks fall. Not really. People make incorrect statements without doing any empirical work. One can download a daily time series of VIX and SPX levels and verify that the daily percentage changes of the two indi...
by Beliavsky
Fri Mar 20, 2020 7:31 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Re: Conditional rebalancing into stocks using VIX

Riskiness is a nebulous concept with no one agreed upon technical definition. However, if you use volatility (which does have a well defined technical definition) as a proxy for risk, it is well established that volatility tends to increase dramatically as stocks crash. Stock price movements have f...
by Beliavsky
Fri Mar 20, 2020 7:25 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Re: Conditional rebalancing into stocks using VIX

How are stocks more risky after they've fallen enough to trigger a rebalancing band? That doesn't make sense. DId you read what I wrote about VIX? Do you think the actively traded S&P 500 options market conveys no information about risk? No. I have no idea. I just don't think stocks are more risky ...
by Beliavsky
Fri Mar 20, 2020 7:11 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Re: Conditional rebalancing into stocks using VIX

Triple digit golfer wrote:
Fri Mar 20, 2020 7:09 pm
How are stocks more risky after they've fallen enough to trigger a rebalancing band? That doesn't make sense.
DId you read what I wrote about VIX? Do you think the actively traded S&P 500 options market conveys no information about risk?
by Beliavsky
Fri Mar 20, 2020 7:10 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Re: Conditional rebalancing into stocks using VIX

because it does not make sense to increase your risk when you have become poorer Why?! When I become poorer, my need to take risk increases, because otherwise, I won't achieve my financial goals (Assuming I am having enough in EF). If you become so poor that you have only 3 months of living expense...
by Beliavsky
Fri Mar 20, 2020 7:01 pm
Forum: Investing - Theory, News & General
Topic: Conditional rebalancing into stocks using VIX
Replies: 27
Views: 818

Conditional rebalancing into stocks using VIX

I have asserted that Rebalancing into stocks when they fall is unrealistic because it does not make sense to increase your risk when you have become poorer and the stock market is much riskier than usual. VIX, an option-implied predictor of future realized stock market volatility, rises when stocks ...
by Beliavsky
Fri Mar 20, 2020 5:10 pm
Forum: Investing - Theory, News & General
Topic: Is daily rebalancing better? That's what the TSP L Funds do
Replies: 29
Views: 6813

Re: Is daily rebalancing better? That's what the TSP L Funds do

If you ignore the time cost of daily monitoring, it is reasonable. I suggest that you use bands, so that if your target allocation is 60/40 stocks bonds, you don't trade until the stock position reaches 55% or 65%. I do think that regardless of the rebalancing frequency, Rebalancing into stocks when...
by Beliavsky
Thu Mar 19, 2020 2:39 pm
Forum: Investing - Theory, News & General
Topic: Source for filtering ETFs on discounts
Replies: 1
Views: 146

Source for filtering ETFs on discounts

ETFs are supposed to trade close to NAV, but in this market, some bond ETFs are selling well below NAV. Is there a site that lists for all ETFs the discount based on the closing market price and NAV? For closed-end funds you can look at CEF Connect . Sites that are specific to Vanguard, IShares, or ...
by Beliavsky
Fri Mar 13, 2020 7:24 am
Forum: Investing - Theory, News & General
Topic: Rebalancing into stocks when they fall is unrealistic
Replies: 126
Views: 10740

Re: Rebalancing into stocks when they fall is unrealistic

Title of the thread should have been "Rebalancing into stocks when they fall is unrealistic FOR ME " Or simply: "New strategy.....sell low, buy high, what could possibly go wrong?" Don't mischaracterize what I wrote. I'm saying that people don't need to buy stocks after they have fallen, not that t...
by Beliavsky
Thu Mar 12, 2020 10:55 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing into stocks when they fall is unrealistic
Replies: 126
Views: 10740

Re: Rebalancing into stocks when they fall is unrealistic

"So after stocks have fallen drastically, and you have become substantially poorer, you should dial up risk?" "There's no law saying you can't reduce risk after your investments have done well." Rebalancing is maintaining a predetermined level of long-term risk, not dialing up or dialing down. If y...
by Beliavsky
Thu Mar 12, 2020 10:45 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing into stocks when they fall is unrealistic
Replies: 126
Views: 10740

Rebalancing into stocks when they fall is unrealistic

The common advice to decide on a stock/bond allocation and to rebalance to it periodically is unrealistic. In this market you would be selling bonds to buy stocks. VIX is 75, about 5 times its usual level. So after stocks have fallen drastically, and you have become substantially poorer, you should ...
by Beliavsky
Thu Mar 12, 2020 1:07 pm
Forum: Investing - Theory, News & General
Topic: Why are bonds falling?
Replies: 236
Views: 5904

Why are municipal bonds down 5% today?

As I write MUB (muni bond ETF) is down 5.45% with TLT (Treasury bonds) up 3.73%. Their correlation of daily returns is 0.33 over 09/10/2007 - 03/11/2020 according to Portfolio Visualizer. What is going on?
by Beliavsky
Wed Jan 01, 2020 10:18 am
Forum: Investing - Theory, News & General
Topic: Stock Picking in Japan Is Like Rummaging Through a Thrift Shop
Replies: 1
Views: 586

Stock Picking in Japan Is Like Rummaging Through a Thrift Shop

Stock Picking in Japan Is Like Rummaging Through a Thrift Shop Thirty years ago, when Japanese stocks hit a record, the entire market seemed like a hot startup By Peter Landers Wall Street Journal Dec. 31, 2019 9:00 am ET TOKYO—Once a place of heroic assumptions about growth, the Tokyo stock market...
by Beliavsky
Tue Jul 30, 2019 10:15 am
Forum: Investing - Theory, News & General
Topic: Choosing and Using Utility Functions in Forming Portfolios
Replies: 0
Views: 250

Choosing and Using Utility Functions in Forming Portfolios

I think this new paper is important: Choosing and Using Utility Functions in Forming Portfolios Geoffrey J. Warren Financial Analysts Journal Volume 75, 2019 - Issue 3 Abstract: Utility functions offer a means to encode objectives and preferences in investor portfolios. The functions allow one to pl...
by Beliavsky
Sat Jul 27, 2019 10:13 am
Forum: Personal Consumer Issues
Topic: Mild hybrid vehicles
Replies: 3
Views: 646

Mild hybrid vehicles

Why Hybrid Vehicles Could Drive the Auto Industry’s Next Decade By Jack Hough Barron's July 26, 2019 ... hybrids could become a default choice for internal combustion engines in the 2020s. To see why, look at the 2019 Audi A8, a top-rated luxury sedan. Shoppers will find it hard to miss frequent me...
by Beliavsky
Tue Jul 23, 2019 8:53 am
Forum: Personal Finance (Not Investing)
Topic: Business loan to relative
Replies: 33
Views: 1613

Re: Business loan to relative

What is the collateral? What does "guaranteed by him personally" means? Are you going to sue him in US court if he does not pay in 1 year (or is late or claims business is slower, etc)? The promissory note, edited for privacy, says "Borrower agrees that until the principal and interest owed under t...
by Beliavsky
Tue Jul 23, 2019 8:38 am
Forum: Personal Finance (Not Investing)
Topic: Business loan to relative
Replies: 33
Views: 1613

Business loan to relative

A cousin is asking for a 1-year loan on which he will pay high interest, to use in starting a business. He has described the business to me, and it makes sense. The promissory note is guaranteed by him personally and by a company he owns (not the new business he is starting). The company has a web s...
by Beliavsky
Mon Jul 22, 2019 10:05 am
Forum: Personal Finance (Not Investing)
Topic: Is solar power for your home a worthwhile investment?
Replies: 145
Views: 15300

Re: Is solar power for your home a worthwhile investment?

I have read many of the posts on this thread. Here are two general questions: (1) How does having solar panels installed affect the future resale value of the house? If you spend say $30K on solar panels today, how would that affect the value of the house in 10 years? I think the answer depends on h...
by Beliavsky
Fri Jun 14, 2019 3:19 pm
Forum: Investing - Theory, News & General
Topic: Factors: After being spotted in the wild, where have they gone?
Replies: 22
Views: 2639

Re: Factors: After being spotted in the wild, where have they gone?

Forester wrote:
Fri Jun 14, 2019 11:28 am
Have worked since 2000;
-size
-momentum
-time series momentum
-min vol

Jury is out on Value.
Can you cite ETFs or mutual funds that have used these factors to outperform since 2000?
by Beliavsky
Wed Jun 12, 2019 3:57 pm
Forum: Investing - Theory, News & General
Topic: Closed End Funds
Replies: 12
Views: 2051

Re: Closed End Funds

CEF’s may do “rights offerings,” which means creation of new shares to sell to the public, resulting in the dilution of the number of shares owned by current CEF stockholders, effectively devaluing those shares. Whether shareholders are diluted depends on the price at which new shares are offered a...
by Beliavsky
Wed Jun 12, 2019 3:53 pm
Forum: Investing - Theory, News & General
Topic: "The S&P 500 Is Beating Yale's Endowment Fund"
Replies: 34
Views: 4476

Re: "The S&P 500 Is Beating Yale's Endowment Fund"

Bogleheads: Article about how the simple Vanguard S&P 500 Index Fund is currently outperforming Swensen's famous Yale Portfolio: https://www.morningstar.com/articles/933014/the-sp-500-is-beating-yales-endowment-fund.html Best wishes. Taylor Taylor does not mention a finding from the end of the arti...
by Beliavsky
Fri Jun 07, 2019 5:43 am
Forum: Investing - Theory, News & General
Topic: Holding Vanguard mutual funds at Fidelity, any problems with this?
Replies: 7
Views: 636

Re: Holding Vanguard mutual funds at Fidelity, any problems with this?

The main disadvantage is the large fee for buying them. If you want vanguard products elsewhere, it is usually better to buy the ETFs. How about if one has a million dollar portfolio and only buys 1-2 funds. That would be a one-time cost of $75-$150, right? On a balance of $1M, that seems fair to o...