Search found 922 matches

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: 160

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: 603

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: 1509

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: 1509

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: 14068

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: 2529

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: 1490

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: 4324

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: 611

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...
by Beliavsky
Thu Jun 06, 2019 7:21 pm
Forum: Investing - Theory, News & General
Topic: Annuity payout rates and economic/investment climate
Replies: 13
Views: 901

Re: Annuity payout rates and economic/investment climate

If your Vanguard VA is anything like mine (issued quite a while ago), there are tables in the contract, provided at the time the annuity was issued, that show you, for all the various scenarios (one life, two lives, period certain, etc) a factor that is applied to your balance at the time of annuit...
by Beliavsky
Thu Jun 06, 2019 1:14 pm
Forum: Investing - Theory, News & General
Topic: REIT yields and real estate cap rates
Replies: 16
Views: 964

Re: REIT yields and real estate cap rates

I wonder why REIT yields are not higher. Vanguard's site says the dividend yield of VNQ is 3.64%. At CBRE I see cap rates for different kinds of real estate as follows: 6.34% Industrial 7.50% Retail 5.26% Multifamily 7.97% Hotel 6.71% Office If a typical cap rate on real estate is 6% why can't the ...
by Beliavsky
Thu Jun 06, 2019 12:51 pm
Forum: Investing - Theory, News & General
Topic: REIT yields and real estate cap rates
Replies: 16
Views: 964

REIT yields and real estate cap rates

I wonder why REIT yields are not higher. Vanguard's site says the dividend yield of VNQ is 3.64%. At CBRE I see cap rates for different kinds of real estate as follows: 6.34% Industrial 7.50% Retail 5.26% Multifamily 7.97% Hotel 6.71% Office If a typical cap rate on real estate is 6% why can't the t...
by Beliavsky
Thu Jun 06, 2019 7:28 am
Forum: Investing - Theory, News & General
Topic: Annuity payout rates and economic/investment climate
Replies: 13
Views: 901

Re: Annuity payout rates and economic/investment climate

It got me thinking-- can anyone provide any insight in how annuity companies adjust their payout rates based on investment climate? Not talking about annuitant ages and payout plans, rather the annuity company payout calculations as current events such as markets, inflation and interest rates chang...
by Beliavsky
Wed Jun 05, 2019 10:15 am
Forum: Investing - Theory, News & General
Topic: Jason Zweig WSJ: You, Dear Investor,Are Patient, Prudent And Calm
Replies: 23
Views: 3761

Re: Jason Zweig WSJ: You, Dear Investor,Are Patient, Prudent And Calm

https://www.wsj.com/articles/you-dear-investor-are-patient-prudent-and-calm-11555689601?emailToken=f155cd93f6a236a0332030f4679c324eqTdo3IgeMP910kEaeUnaVQyaX1EEKjo7d/DMAF54L40/Eynahuy1JFi7utzy8R2KQyGmN4oNl36KHrX0qktojInEwZsh25RTGgetvyrqwow%3D&reflink=article_copyURL_share Jason Zweig writes that the...
by Beliavsky
Tue Jun 04, 2019 10:05 am
Forum: Investing - Theory, News & General
Topic: You May Never See Your Grandchildren Again
Replies: 83
Views: 14861

Re: You May Never See Your Grandchildren Again

All the other guests were engaged in the presentation and everyone signed up for a meeting except for us. Several people said "that's terrible!" every time the adviser claimed a grandmother would not be able to see her grandchildren because of poor investment performance. Rick Ferri A large fractio...
by Beliavsky
Tue Jun 04, 2019 5:56 am
Forum: Investing - Theory, News & General
Topic: Using minimum volatility and managed risk strategies to reduce sequence of return risk in retirement
Replies: 74
Views: 5389

Re: Using minimum volatility and managed risk strategies to reduce sequence of return risk in retirement

The second is a portfolio construction technique called "target volatility". Portfolios built using this approach use a target equity asset and, according to a set of rules, adjust asset allocation dynamically to maintain a predetermined amount of volatility. DIY investors can choose their own opti...
by Beliavsky
Sat Jun 01, 2019 8:28 am
Forum: Investing - Theory, News & General
Topic: How to short Deutsch Bund with current low rate?
Replies: 9
Views: 935

Re: How to short Deutsch Bund with current low rate?

On IB it is cheap to short the future, but likely expensive to short the cash bond. Look at GBL for the bund future, and I for the all the short term euro interest rate futures. When you use futures you are not exposed to the currency: if you are long GBL, you are effectively long a bund, and short...
by Beliavsky
Fri May 31, 2019 10:38 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum In Factors
Replies: 3
Views: 455

Re: Larry Swedroe: Momentum In Factors

https://www.etf.com/sections/index-investor-corner/swedroe-momentum-factors Larry reviews a study showing momentum in factors. Factor momentum achieves performance above and beyond stock momentum alone and outperforms stock momentum on a stand alone basis. Because of the natural negative correlatio...
by Beliavsky
Thu May 30, 2019 8:22 am
Forum: Personal Finance (Not Investing)
Topic: Living and Lending Under One Roof
Replies: 4
Views: 679

Living and Lending Under One Roof

Living and Lending Under One Roof Banks are reckoning with “the sandwich generation,” as more aging parents and adult children move in together By Katy McLaughlin Wall Street Journal May 30, 2019 ... SunTrust Bank , a national bank based in Atlanta, has many branches in the Southeast, said Sherry G...
by Beliavsky
Wed May 29, 2019 7:38 am
Forum: Investing - Theory, News & General
Topic: So I think I'm nearly sold on the S&P Low Volatility indexes for my entire retirement portfolio
Replies: 39
Views: 5193

Re: So I think I'm nearly sold on the S&P Low Volatility indexes for my entire retirement portfolio

According to Portfolio Visualizer, the maximum Sharpe ratio portfolio from Jan 2012 to Apr 2019 with just SPLV (Invesco S&P 500 Low Volatility ETF) and VOO (Vanguard S&P 500 ETF) is 41% VOO 59% SPLV When IEF (iShares 7-10 Year Treasury Bond ETF) is added to the mix the optimal portfolio is 41% VOO 1...
by Beliavsky
Wed May 29, 2019 7:22 am
Forum: Investing - Theory, News & General
Topic: CAPE with tapered weights
Replies: 10
Views: 714

Re: CAPE with tapered weights

It does not make sense that in 2020, when 2008 losses roll off, that one's estimate of fair value of the the S&P 500 will suddenly jump. This echo effect could be reduced by computing average earnings with linearly declining weights for prior years, as I suggested in the post above. Are Stocks as Ex...
by Beliavsky
Tue May 28, 2019 3:50 pm
Forum: Investing - Theory, News & General
Topic: Chase YouInvest mutual funds list no longer needed
Replies: 5
Views: 1943

Re: Chase YouInvest mutual funds list no longer exists

What research from JP Morgan is available with a YouInvest account?
by Beliavsky
Tue May 28, 2019 10:11 am
Forum: Investing - Theory, News & General
Topic: The Flexible Retirement Planner
Replies: 44
Views: 7402

Re: The Flexible Retirement Planner

Good Morning - Longtime lurker and infrequent poster here. I am familiar with many of the free financial tools often referenced on the site (i.e. FIRECalc), but was wondering whether any posters are familiar with The Flexible Retirement Planner? I have been using it to model out different financial...
by Beliavsky
Tue May 28, 2019 8:50 am
Forum: Investing - Theory, News & General
Topic: Investor expectations are pro-cyclical
Replies: 3
Views: 497

Investor expectations are pro-cyclical

Are investors chronically pessimistic? No—but that doesn't mean they adhere to rational expectations DWYER GUNN Chicago Booth Review (University of Chicago business school) APR 09, 2019 The assumption that investors hold rational expectations of market returns is central to many asset pricing model...
by Beliavsky
Tue May 28, 2019 8:44 am
Forum: Investing - Theory, News & General
Topic: Closed End Funds
Replies: 12
Views: 1490

Re: Closed End Funds

I used to pick up tips for buying things from magazines, friends, acquaintances, etc. I bought a closed end fund which I won't identify but later one of those magazine articles or internet blurbs said that it was amazing that this particular fund could get away with what they were doing. I did ok w...
by Beliavsky
Tue May 28, 2019 8:34 am
Forum: Investing - Theory, News & General
Topic: Closed End Funds
Replies: 12
Views: 1490

Re: Closed End Funds

I understand this is an index fund board, but has anyone had any experience with these?. A friend of mine is telling me he gets income every month on these to a tune of about 6.5-7% paid monthly. Are these any better than my 3 fund portfolio, because he sure makes it sound good. Tells me that even ...
by Beliavsky
Sun May 26, 2019 10:06 am
Forum: Investing - Theory, News & General
Topic: The Flexible Retirement Planner
Replies: 44
Views: 7402

Re: The Flexible Retirement Planner

Good Morning - Longtime lurker and infrequent poster here. I am familiar with many of the free financial tools often referenced on the site (i.e. FIRECalc), but was wondering whether any posters are familiar with The Flexible Retirement Planner? I have been using it to model out different financial...
by Beliavsky
Fri May 24, 2019 2:55 pm
Forum: Investing - Theory, News & General
Topic: The Flexible Retirement Planner
Replies: 44
Views: 7402

Re: The Flexible Retirement Planner

The historic record for U.S. stocks is very clear that holding stocks over longer periods has reduced the variation in total returns. For instance, the standard deviation of 5 year real returns was 7.92% as opposed to 5.13% for 10 year returns, 2.96% for 20 year returns, and 1.67% for 30 year retur...
by Beliavsky
Fri May 24, 2019 2:33 pm
Forum: Investing - Theory, News & General
Topic: The Flexible Retirement Planner
Replies: 44
Views: 7402

Re: The Flexible Retirement Planner

You could fit an autoregressive model to past stock returns. If the AR coefficients are negative, for example an AR(3) model r(t) = e(t) + c1*r(t-1) + c2*r(t-2) + c3*r(t-3) where c1 = c2 = c3 = -0.05, you can simulate it to model a mean-reverting stock market. But if you believe mean reversion in t...
by Beliavsky
Fri May 24, 2019 11:03 am
Forum: Investing - Theory, News & General
Topic: Who killed value?
Replies: 23
Views: 2660

Re: Who killed value?

With the value factor on track to deliver it's worst decade-long returns since long ago, the question is "what happened?" According to Dr. Bernstein, maybe low inflation is a culprit: In order to examine the problem, I took advantage of Ken French’s wonderful Web site and downloaded the HmL series ...
by Beliavsky
Fri May 24, 2019 6:58 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Mgmt Whiffs On Factors
Replies: 19
Views: 1736

Re: Larry Swedroe: Active Mgmt Whiffs On Factors

It makes sense that most active fund managers would refuse to adopt a factor-based strategy. Factor investing is very much buy-and-hold investing. It's not true that "factor investing" is buy-and-hold investing. It depends on the turnover of the factor strategy. I could define a factor that is long...
by Beliavsky
Thu May 23, 2019 1:13 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Mgmt Whiffs On Factors
Replies: 19
Views: 1736

Re: Larry Swedroe: Active Mgmt Whiffs On Factors

It makes sense that most active fund managers would refuse to adopt a factor-based strategy. Factor investing is very much buy-and-hold investing. It's not true that "factor investing" is buy-and-hold investing. It depends on the turnover of the factor strategy. I could define a factor that is long...
by Beliavsky
Thu May 23, 2019 6:01 am
Forum: Investing - Theory, News & General
Topic: The Flexible Retirement Planner
Replies: 44
Views: 7402

Re: The Flexible Retirement Planner

It seems that the Monte Carlo analysis used in the software does not incorporate mean reversion; few MC tools do. This is a significant drawback because it is now understood that MC analysis overstates the 'tails' of return distributions (i.e. it predicts more very good sequences and very poor sequ...
by Beliavsky
Thu May 23, 2019 5:48 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Mgmt Whiffs On Factors
Replies: 19
Views: 1736

Re: Larry Swedroe: Active Mgmt Whiffs On Factors

nisiprius wrote:I'm not ready to pay $5 to read the paper so I'm relying on the abstract.
Googling "pdf <paper title>", the 2nd link brings up the ungated paper.
by Beliavsky
Tue May 21, 2019 1:47 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Measuring Value In Forecasts
Replies: 40
Views: 2364

Re: Larry Swedroe: Measuring Value In Forecasts

https://www.etf.com/sections/index-investor-corner/swedroe-measuring-value-forecasts?nopaging=1 Forecasts are worthless. Larry reviews two studies looking at the predictions of “gurus” such as Jim Cramer, Abbey Joseph Cohen, Jeremy Grantham. Overall most predictions are about as good (actually slig...
by Beliavsky
Tue May 21, 2019 12:45 pm
Forum: Investing - Theory, News & General
Topic: Has anyone heard of this guy
Replies: 12
Views: 2400

Re: Has anyone heard of this guy

Monte Carlo simulations are decent for formulating business decisions for a large company that essentially has a bottomless pit of money/credit. If a company wanted to build 50 stores in a variety of geographically diverse sites, and the expected NPV using Monte Carlo Simulations is high, it may no...
by Beliavsky
Tue May 21, 2019 12:38 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Measuring Value In Forecasts
Replies: 40
Views: 2364

Re: Larry Swedroe: Measuring Value In Forecasts

https://www.etf.com/sections/index-investor-corner/swedroe-measuring-value-forecasts?nopaging=1 Forecasts are worthless. Larry reviews two studies looking at the predictions of “gurus” such as Jim Cramer, Abbey Joseph Cohen, Jeremy Grantham. Overall most predictions are about as good (actually slig...
by Beliavsky
Tue May 21, 2019 8:28 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Measuring Value In Forecasts
Replies: 40
Views: 2364

Re: Larry Swedroe: Measuring Value In Forecasts

I cannot recommend too strongly The Fortune Sellers: The Big Business of Buying and Selling Predictions , by William Sherden. Published 1997, should be better known than it is. The book, I think, is more about predictions themselves than the "big business" behind them. It is really staggering. Unti...
by Beliavsky
Tue May 21, 2019 8:07 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Measuring Value In Forecasts
Replies: 40
Views: 2364

Re: Larry Swedroe: Measuring Value In Forecasts

He makes the important point that the value of a predictions is not "percentage accuracy," it is how much better the prediction is than "the persistence prediction." The persistence prediction--today's weather will be the same as yesterday's, this year's stock market returns will be the same as las...
by Beliavsky
Mon May 20, 2019 5:03 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Measuring Value In Forecasts
Replies: 40
Views: 2364

Re: Larry Swedroe: Measuring Value In Forecasts

Good article, thanks, Larry. A danger in forecasts is that it leads people to misjudge their risk tolerance . Everyone relies on forecasts. If you own stocks its because you forecast that stock returns will be higher than the return on cash. It should be understood that a 1-year forecasted return o...
by Beliavsky
Mon May 20, 2019 3:22 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Measuring Value In Forecasts
Replies: 40
Views: 2364

Re: Larry Swedroe: Measuring Value In Forecasts

larryswedroe wrote:
Mon May 20, 2019 1:35 pm
In addition to it being an estimate, it isn't even a point estimate, only the mean of an acknowledged wide dispersion of returns!!!!
OK, but many of the forecasters probably intend their forecasts to be interpreted in the same way.
by Beliavsky
Mon May 20, 2019 12:47 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Measuring Value In Forecasts
Replies: 40
Views: 2364

Re: Larry Swedroe: Measuring Value In Forecasts

https://www.etf.com/sections/index-investor-corner/swedroe-measuring-value-forecasts?nopaging=1 Forecasts are worthless. I guess it's not forecasting when Swedroe does it. Here recently wrote this: Swedroe: Expected Vs. Realized Returns : April 05, 2019 "It’s impossible to build an investment plan ...
by Beliavsky
Mon May 20, 2019 10:18 am
Forum: Investing - Theory, News & General
Topic: Mid Caps have outperformed Large & Small for the past 50 years. Yet I see very little recommendation for them. Why?
Replies: 74
Views: 9038

Re: Mid Caps have outperformed Large & Small for the past 50 years. Yet I see very little recommendation for them. Why?

There are "total market" funds that large, mid, and small caps. What mutual funds or ETFs are recommended to track large caps + mid caps together? An advantage of such a fund over owning a large cap fund and a mid cap fund separately is reduced trading (and thus transaction costs) by the fund, since...
by Beliavsky
Mon May 20, 2019 3:49 am
Forum: Investing - Theory, News & General
Topic: Constructing Tax Efficient Withdrawal Strategies for Retirees
Replies: 13
Views: 2421

Re: Constructing Tax Efficient Withdrawal Strategies for Retirees

A traditional IRA has an insurance aspect that a Roth IRA does not, because the tax rate you pay when making TIRA withdrawals depends on your income. If you are low income you will pay less tax on TIRA withdrawals. I wonder if this insurance feature affects the optimal withdrawal strategy. OTOH, inc...
by Beliavsky
Sun May 19, 2019 7:45 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trend Following As Insurance
Replies: 110
Views: 5819

Re: Larry Swedroe: Trend Following As Insurance

Although words have a range of meanings it would be best if people would not call investments "insurance" or insurance "investments." The core of the word "insurance" is sure, certain, secure. The usual meaning of "insurance" is a contract with an insurer to pay certain amounts of money if certain ...
by Beliavsky
Fri May 17, 2019 3:21 pm
Forum: Investing - Theory, News & General
Topic: Constructing Tax Efficient Withdrawal Strategies for Retirees
Replies: 13
Views: 2421

Constructing Tax Efficient Withdrawal Strategies for Retirees

Skimming this paper, I conclude that determining the optimal withdrawal strategy is a non-trivial problem, even when future stock returns are constant and known, as the authors assume. Constructing Tax Efficient Withdrawal Strategies for Retirees with Traditional 401(k)/IRAs, Roth 401(k)/IRAs, and T...
by Beliavsky
Fri May 17, 2019 10:48 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 2172

Re: VIX [Cboe Volatility Index]

There is some excellent research (see Griffin and Shams) and some current lawsuits pending in federal court showing/alleging that the VIX is susceptible to manipulation (and, indeed, has been manipulated). Stay far away. A recent working paper The VIX Volatility Index - A Very Thorough Look at it m...
by Beliavsky
Fri May 17, 2019 10:17 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 2172

Re: VIX [Cboe Volatility Index]

*I reiterate my doubt that anybody should pursue strategies like this with packaged products. If an investor doesn't have the understanding, time, set up, etc to trade VIX futures (or options on the VIX, or options on the S&P) themselves, I doubt they should pay somebody else to do it for them via ...
by Beliavsky
Fri May 17, 2019 7:04 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 2172

Re: VIX

Why are ETPs a bad way to access VRP in general? (I did not read all the math heavy stuff above :P) That website did mysteriously stop producing material in 2008. A general problem with a short or leveraged long ETP is that it requires daily trading to maintain the leverage. XIV was an ETP that aim...
by Beliavsky
Thu May 16, 2019 7:59 pm
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 2172

Re: VIX

Suppose there was a futures contract that settled to log(SPX) on expiration day. Those futures would be linear in log(SPX) but nonlinear in SPX. In fact they would have negative convexity wrt SPX, because d^2/dx^2 log(x) = -1/x^2. Okay, let me try this again. When I'm talking about investment strat...