Search found 761 matches

by Beliavsky
Fri Feb 22, 2019 9:02 pm
Forum: Investing - Theory, News & General
Topic: Muni bonds have done well even pre-tax
Replies: 6
Views: 1106

Re: Muni bonds have done well even pre-tax

RNJ wrote:
Fri Feb 22, 2019 2:49 pm
In 1989 the Fed funds rate peaked just below 10%. What is the rate now?
My post was about the relative performance of muni bonds and Treasury bonds, and falling Fed funds has helped both asset classes.
by Beliavsky
Fri Feb 22, 2019 5:06 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 25
Views: 1085

Re: Understanding using treasury futures for leverage to implement risk parity

I am very confident that S&P has quants who know how to construct total return indices from futures, Of course. It's more of a verification of if I am correctly understanding the intent of the index, rather than if they did it right :) but for some reason that link is not working for me now. I will...
by Beliavsky
Fri Feb 22, 2019 12:30 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 25
Views: 1085

Re: Understanding using treasury futures for leverage to implement risk parity

For a Treasury note or other futures contract, to get a single time series from which returns can be calculated, you will splice the prices of individual contracts, but adjustments must be made on the rollover dates, to get what futures traders call "continuous contracts". Your site likely has not ...
by Beliavsky
Fri Feb 22, 2019 8:49 am
Forum: Personal Finance (Not Investing)
Topic: [Converting Traditional IRA to Roth to reduce future taxes]
Replies: 3
Views: 353

[Converting Traditional IRA to Roth to reduce future taxes]

The idea is to convert enough money to a Roth to fill the 24% tax bracket in order to reduce future AGI and taxes. When the Conventional Wisdom About Taxes in Retirement Is Wrong By Jonathan Guyton Wall Street Journal February 20, 2019 Tax planning in retirement is mostly a matter of when—and at wha...
by Beliavsky
Fri Feb 22, 2019 7:34 am
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 25
Views: 1085

Re: Understanding using treasury futures for leverage to implement risk parity

Thanks EfficientInvestor and Beliavsky. Looking at the link in my original post, the risk free rate (3 month T-bills) over the 1983-2018 period averaged 3.7% annually. Subtracting 3.7% from 7.4% still leaves another 3.7% as the excess return I would have expected the "synthetic treasury notes" to h...
by Beliavsky
Thu Feb 21, 2019 10:06 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 25
Views: 1085

Re: Understanding using treasury futures for leverage to implement risk parity

However, when I look at the historical returns of the 10 year treasury note futures, for example here (data available from 1983): https://www.investing.com/rates-bonds/us-10-yr-t-note-historical-data and compare it to the historical returns of actually holding the 10 year treasury note, for example...
by Beliavsky
Thu Feb 21, 2019 9:48 pm
Forum: Investing - Theory, News & General
Topic: Muni bonds have done well even pre-tax
Replies: 6
Views: 1106

Muni bonds have done well even pre-tax

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 been Ticker Name Allocation VFINX Vanguard 500 Index Investor 35.98% VWLTX Vanguard Long-Term Tax-Exempt 18.81% VUSTX Vangu...
by Beliavsky
Wed Feb 20, 2019 6:57 pm
Forum: Investing - Theory, News & General
Topic: No-trade band rebalancing rules
Replies: 5
Views: 496

Re: No-trade band rebalancing rules

I didn't click through twice to read the paper from a Norwegian bank, but I wanted to say that if there are any transaction costs, then one is probably not doing their investing nor their rebalancing right. Trading ETFs incurs transaction costs from the bid-ask spread. This cost varies by ETF but i...
by Beliavsky
Wed Feb 20, 2019 5:37 pm
Forum: Investing - Theory, News & General
Topic: No-trade band rebalancing rules
Replies: 5
Views: 496

No-trade band rebalancing rules

This paper show how using inner bands can reduce proportional transaction costs from rebalancing. Inner bands work as follows. If your target allocation is 50/50 stocks/bonds with outer band of 10 and inner band of 5, then if your allocation drifts to 60/40 you rebalance to the 55/45 rather than all...
by Beliavsky
Wed Feb 20, 2019 4:55 pm
Forum: Investing - Theory, News & General
Topic: Portfolio visualizer says no rebalance bonus
Replies: 38
Views: 2399

Re: Portfolio visualizer says no rebalance bonus

Did rebalancing improve the Sharpe ratio? Who cares; the comparison was invalid . We shouldn't compare based on the initial allocation of a drifting portfolio, but based on its average allocation over time. When this is done, the results for the drifting and rebalanced portfolios are usually simila...
by Beliavsky
Wed Feb 20, 2019 1:55 pm
Forum: Investing - Theory, News & General
Topic: Portfolio visualizer says no rebalance bonus
Replies: 38
Views: 2399

Re: Portfolio visualizer says no rebalance bonus

I have just started playing around with portfolio visualizer. I am comfortable with relatively high risk, so I decided to see what the portfolio that I considered the highest risk with the highest expected return would look like. I chose US micro cap. From Jan. 1977 to Jan. 2019 100% US micro cap w...
by Beliavsky
Tue Feb 19, 2019 7:31 am
Forum: Investing - Theory, News & General
Topic: CAPE 10 and the Financial Crisis
Replies: 7
Views: 677

Re: CAPE 10 and the Financial Crisis

Related thread: CAPE with tapered weights. No one responded to my suggestion of using tapered weights to avoid large changes in CAPE when years roll off.
by Beliavsky
Sat Feb 16, 2019 9:10 pm
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 124
Views: 12588

Re: You Can Market Time At Valuation Extremes

Nevertheless, I am now back in the situation I was in back in October. The markets have rebounded. The CAPE is at 30.1. If you want to get out again, that 's up to you, but don't use CAPE to justify it. CAPE is not a market timing tool. Any variable that predicts stock market returns (has some corr...
by Beliavsky
Sat Feb 16, 2019 8:21 pm
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 124
Views: 12588

Re: You Can Market Time At Valuation Extremes

Nevertheless, I am now back in the situation I was in back in October. The markets have rebounded. The CAPE is at 30.1. If you want to get out again, that 's up to you, but don't use CAPE to justify it. CAPE is not a market timing tool. Any variable that predicts stock market returns (has some corr...
by Beliavsky
Sat Feb 16, 2019 1:16 pm
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 124
Views: 12588

Re: You Can Market Time At Valuation Extremes

If the stock market were trading at 50 times trailing earnings which were not depressed by a recession (as in 2009), I would not understand the market's valuation and would sell my holdings in tax-deferred accounts. I thought one Boglehead principle was not to invest in things you don't understand. ...
by Beliavsky
Fri Feb 15, 2019 8:49 am
Forum: Investing - Theory, News & General
Topic: Wellesley’s Secret Sauce to Remain Secret
Replies: 22
Views: 3523

Re: Wellesley’s Secret Sauce to Remain Secret

I agree both with Cinghiale and Hedgefundie. On the one hand, thank goodness for the Investment Company Act of 1940 and other regulations that do entitle mutual fund investors to transparency, and to information that is literally not available to e.g. hedge fund investors. A paper found that going ...
by Beliavsky
Thu Feb 14, 2019 11:52 am
Forum: Investing - Theory, News & General
Topic: How to calculate annual standard deviation from monthly returns
Replies: 51
Views: 18568

Re: How to calculate annual standard deviation from monthly returns

When calculating standard deviation using monthly returns, what is the industry best practice for how the monthly intervals align with the calendar. Let's say you are calculating SD on from 12/15/2018 to 2/28/2019. What are the appropriate time intervals? Option 1: 12/15/2018 - 01/15/2018, 1/15/201...
by Beliavsky
Wed Feb 13, 2019 9:26 am
Forum: Investing - Theory, News & General
Topic: Long-Term Investors Should Time Volatility
Replies: 0
Views: 205

Long-Term Investors Should Time Volatility

In my own tests I have found some support for scaling stock market exposure up (down) when historical volatility (HV) is low (high). If you don't want to take positions inversely proportional to HV, because the positions vary too much, you can take positions proportional to 1/sqrt(HV). When the stoc...
by Beliavsky
Tue Feb 12, 2019 9:56 am
Forum: Investing - Theory, News & General
Topic: Consumption with log utility
Replies: 0
Views: 132

Consumption with log utility

The decision of how much to spend from assets in retirement is complicated by not knowing your longevity or how your investments will fare. I looked at a simple case where these are known, in order to build some intuition. Please follow along if you would like to use your calculus and check my work....
by Beliavsky
Mon Feb 11, 2019 10:44 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: No Point To Timing Factors
Replies: 16
Views: 1454

Re: Larry Swedroe: No Point To Timing Factors

Suppose my value strategy, call it SPValue, is to own the 50% of S&P 500 stocks with P/E ratios below the median. I invest in both the S&P 500 and SPValue. Should I really have the same percentage allocation so SPValue when the P/E ratio of SPValue and S&P 500 is 14.9 and 15.1 as when the P/E ratios...
by Beliavsky
Mon Feb 11, 2019 6:58 am
Forum: Investing - Theory, News & General
Topic: Individual Responses to Realized Gains and Losses
Replies: 2
Views: 265

Individual Responses to Realized Gains and Losses

I think investors should not let their asset allocations change in response to fund closures. Fully Closed: Individual Responses to Realized Gains and Losses Steffen Meyer and Michaela Pagel NBER Working Paper February 2019 Abstract: We use transaction-level data of portfolio trades and holdings lin...
by Beliavsky
Mon Feb 11, 2019 6:53 am
Forum: Investing - Theory, News & General
Topic: International HY corporate bonds
Replies: 3
Views: 233

Re: International HY corporate bonds

I was just curious if any of the people here who invest in US HY bonds also invest in international high yield bonds? It appears the credit quality is a bit higher than US high yield (62% BB). https://www.vaneck.com/etf/income/ihy/overview/ Its also not super correlated with US HY I think that for ...
by Beliavsky
Sat Feb 09, 2019 8:03 pm
Forum: Investing - Theory, News & General
Topic: Why borrow money in RE but not Stocks?
Replies: 39
Views: 4204

Re: Why borrow money in RE but not Stocks?

The whole concept of "sleeping soundly" if one has a paid off house is nonsense to me. I sleep soundly knowing that I am benefitting from the arbitrage between mortgage rates and stock returns. Over any long enough period of time this works. We are so far ahead of this game now that there is no dan...
by Beliavsky
Thu Feb 07, 2019 4:08 pm
Forum: Investing - Theory, News & General
Topic: Robeco Says Factors Persistent Across Two Centuries
Replies: 9
Views: 921

Global Factor Premiums

A Bloomberg column Eternal Market Patience Offers Eternal Rewards Crunching 200 years of stock, bond, currency and commodity data reveals some shocking results. By John Authers February 7, 2019, 12:01 AM EST A group of quants at Robeco Groep, the Dutch investment house, have produced research into t...
by Beliavsky
Tue Feb 05, 2019 9:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 716
Views: 36357

Re: HEDGEFUNDIE's excellent adventure [3x leveraged ETF strategy]

What is the evidence supporting your strategy? UPRO & TMF, the two ETFs I will use, only have a history of 10 years. But it is simple to re-create how these ETFs would have performed had they existed earlier (i.e. just take the daily returns of the S&P 500 and long Treasury index and multiply by 3)...
by Beliavsky
Mon Feb 04, 2019 5:56 pm
Forum: Investing - Theory, News & General
Topic: No Pain, No Premium
Replies: 12
Views: 1573

Re: No Pain, No Premium

This was really interesting and the 2 points I really liked: 1) The "SP500 envy" table showing tracking error regret. This is especially timely given the outperformance of US large cap growth from 2009-2017. Tracking error regret is one of the largest challenges of "staying the course" with a diver...
by Beliavsky
Mon Feb 04, 2019 4:30 pm
Forum: Personal Finance (Not Investing)
Topic: Health insurance for surviving spouse of Federal employee
Replies: 3
Views: 233

Health insurance for surviving spouse of Federal employee

My father, who retired from the Federal government and gets his health insurance from it, is in very poor health. My parents are both 80 years old. My mother will be getting a survivor's pension. When my father passes, I will report it to the OPM using this site . My mother is concerned that the hea...
by Beliavsky
Sun Feb 03, 2019 8:27 am
Forum: Investing - Theory, News & General
Topic: Startups and U.S. stock market outperformance
Replies: 6
Views: 643

Startups and U.S. stock market outperformance

In the future, will the U.S. continue to have a disproportionate number of startups that become giants? If so, "home bias" may be rational for U.S. investors. I don't know. Big, New, Shiny By KEVIN D. WILLIAMSON Natinonal Review February 3, 2019 ... Of the world’s 100 most valuable companies, the ma...
by Beliavsky
Wed Jan 30, 2019 10:30 am
Forum: Investing - Theory, News & General
Topic: Brokerage alerts to invest cash
Replies: 7
Views: 1018

Brokerage alerts to invest cash

I don't want to have large amounts of money in money market funds. My default is to invest taxable money and tax-deferred money in bond funds such as FTABX and FBNDX. Do any brokers have a service that will send you an email when an account has more money in cash than a specified amount, say $5000? ...
by Beliavsky
Wed Jan 30, 2019 9:46 am
Forum: Personal Finance (Not Investing)
Topic: Your Opinion Of Vanguard Retirement Calculator
Replies: 17
Views: 1376

Re: Your Opinion Of Vanguard Retirement Calculator

To those who have tried it, what do you think of its assumptions? I'm using it because it includes the parameter for a pension. Also nice how everything is done on one page. https://goo.gl/ocZeg For many Americans, home equity is their biggest asset. A calculator should not ignore it. Obviously som...
by Beliavsky
Wed Jan 30, 2019 9:37 am
Forum: Personal Finance (Not Investing)
Topic: Your Opinion Of Vanguard Retirement Calculator
Replies: 17
Views: 1376

Re: Your Opinion Of Vanguard Retirement Calculator

To those who have tried it, what do you think of its assumptions? I'm using it because it includes the parameter for a pension. Also nice how everything is done on one page. https://goo.gl/ocZeg It is simplistic. It asks you how much you have saved for retirement, but it does not ask whether the mo...
by Beliavsky
Mon Jan 28, 2019 11:51 am
Forum: Investing - Theory, News & General
Topic: Help me understand passive income
Replies: 19
Views: 1453

Re: Help me understand passive income

Hi, If you hypothetically have $300K cash to invest, what are the ways to generate a monthly income? And what are the differences between the following options: - Buy total stock or total international stock fund (e.g. VTSAX) and get dividends. How much monthly income can you expect this way? - Buy...
by Beliavsky
Sun Jan 27, 2019 5:12 pm
Forum: Investing - Theory, News & General
Topic: Dividend stocks or ETFs?
Replies: 10
Views: 742

Re: Dividend stocks or ETFs?

Where to you plan to hold this fund? Within a retirement account or other tax advantaged account? I'd try to avoid dividend focused stock funds in taxable due to the need to pay taxes on dividends. I did want to hold it in a taxable account. Is the amount of taxes you pay on dividends in a taxable ...
by Beliavsky
Thu Jan 24, 2019 7:56 am
Forum: Investing - Theory, News & General
Topic: Distinguishing Style From Pure Style [S&P 500 indices]
Replies: 6
Views: 653

Distinguishing Style From Pure Style [S&P 500 indices]

According to Exhibit 4 of the report, both the value and growth pure style S&P 500 indices have had higher CAGRs, with higher volatility, than the S&P 500 from 1999 through 2018, with returns of 11.71%, 11.25%, and 7.16% respectively. However, when I give Portfolio Visualizer a menu of ETFs for the ...
by Beliavsky
Wed Jan 23, 2019 7:49 am
Forum: Investing - Theory, News & General
Topic: "Rebalance Timing Luck"
Replies: 3
Views: 572

Re: "Rebalance Timing Luck"

livesoft wrote:
Tue Jan 22, 2019 11:47 pm
Yep, there is no reason to pick a single consistent date of the year for rebalancing.
There is a reason -- to make sure you actually do it.
by Beliavsky
Tue Jan 22, 2019 12:16 pm
Forum: Personal Finance (Not Investing)
Topic: Make SEP IRA contribution at beginning of year?
Replies: 5
Views: 297

Make SEP IRA contribution at beginning of year?

If you have an LLC, and you can project how much you will earn through it during the year, and if you have the cash to do so, can you make your SEP IRA contribution in a lump sum at the beginning of the year in order to maximize tax deferral?
by Beliavsky
Tue Jan 22, 2019 9:55 am
Forum: Investing - Theory, News & General
Topic: A look at equal weighting as we bid farewell to EQWS
Replies: 30
Views: 1379

Re: A look at equal weighting as we bid farewell to EQWS

Portfolio Visualizer says that the optimal portfolio of SPY and RSP over Jan 2004 - Dec 2018 (all available data) was 89% SPY, 11% RSP. So equal weighting has added some value there, but most of one's money should be in the cap-weighted ETF. The Russell 2000 index has many unprofitable companies, mo...
by Beliavsky
Sun Jan 20, 2019 11:17 pm
Forum: Investing - Theory, News & General
Topic: Dow Jones Index has beaten cap weighting
Replies: 8
Views: 869

Re: Dow Jones Index has beaten cap weighting

According to Portfolio Visualizer, from Jan 1999 to Dec 2018 (the available period) DIA (SPDR Dow Jones Industrial Average ETF) has had a higher CAGR and lower volatility than VTSMX and VFINX And over other time periods it did worse. Just compare the actual annual returns. The entirety of the outpe...
by Beliavsky
Sun Jan 20, 2019 10:57 pm
Forum: Investing - Theory, News & General
Topic: Dow Jones Index has beaten cap weighting
Replies: 8
Views: 869

Dow Jones Index has beaten cap weighting

According to Portfolio Visualizer, from Jan 1999 to Dec 2018 (the available period) DIA (SPDR Dow Jones Industrial Average ETF) has had a higher CAGR and lower volatility than VTSMX and VFINX ( link ): Ticker CAGR Stdev VTSMX 6.01% 14.90% VFINX 5.51% 14.47% DIA 7.13% 14.01% The Dow Jones is an activ...
by Beliavsky
Sun Jan 20, 2019 3:46 pm
Forum: Investing - Theory, News & General
Topic: The Value "Premium" has been ZERO for 30 years
Replies: 198
Views: 15452

Re: The Value "Premium" has been ZERO for 30 years

From Ken French via portfolio visualizer, the thirty year period, Nov 1988 - Nov 2018 ... http://i65.tinypic.com/e8vdl3.png When the value premium was first investigated by academics, what was the time period used and how big was the premium found? If in 1988 the value premium was found to be 5% ba...
by Beliavsky
Fri Jan 18, 2019 10:48 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing portfolio using "bands"?
Replies: 13
Views: 668

Re: Rebalancing portfolio using "bands"?

Can someone explain to me what this means? I've seen that phrase posted on this site and elsewhere. Thanks. If your target allocation is 60% stocks and 40% bonds and you take these initial positions, when your check your allocation one quarter later (a common rebalancing period) your allocation wil...
by Beliavsky
Fri Jan 18, 2019 9:53 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing portfolio using "bands"?
Replies: 13
Views: 668

Re: Rebalancing portfolio using "bands"?

Can someone explain to me what this means? I've seen that phrase posted on this site and elsewhere. Thanks. If your target allocation is 60% stocks and 40% bonds and you take these initial positions, when your check your allocation one quarter later (a common rebalancing period) your allocation wil...
by Beliavsky
Fri Jan 18, 2019 6:40 am
Forum: Investing - Theory, News & General
Topic: Dispersion says we’re close to a value cycle (BoAML)
Replies: 5
Views: 1039

Re: Dispersion says we’re close to a value cycle (BoAML)

Suppose your value tilt strategy is to buy the bottom half of stocks ranked by P/E. Wouldn't you put more money in this strategy if the average P/E ratios in the top and bottom halves are 30 and 10 than if they are 21 and 19? In the latter case I might just own the cap-weighted index.
by Beliavsky
Thu Jan 17, 2019 12:00 pm
Forum: Investing - Theory, News & General
Topic: Dispersion says we’re close to a value cycle (BoAML)
Replies: 5
Views: 1039

Dispersion says we’re close to a value cycle (BoAML)

Report available to Merill Edge clients: S&P 500 Relative Value Cheat Sheet What goes up must come down: dispersion says we’re close to a value cycle by Savita Subramanian et al. Bank of America Merrill Lynch 16 January 2019 ... Valuation dispersion now at a post-crisis high With the rising volatili...
by Beliavsky
Thu Jan 17, 2019 10:49 am
Forum: Investing - Theory, News & General
Topic: Book on withdrawal strategies / retirement income?
Replies: 19
Views: 1898

Re: Book on withdrawal strategies / retirement income?

The books mentioned look interesting. but a book can only provide principles and guidelines and cannot give advice tailored to an individual. What software, either desktop or online, helps investors formulate a spending and investment plan in retirement, estimating life expectancy and incorporating...
by Beliavsky
Thu Jan 17, 2019 9:47 am
Forum: Investing - Theory, News & General
Topic: JPMorgan quarterly guide to the markets
Replies: 0
Views: 171

JPMorgan quarterly guide to the markets

JPM's latest quarterly guide to the markets with data as of 12/31/2018 is here . Some previous issues have data through 9/30/2018 and 3/31/2018 . Here is the table of contents. Equities 4. S&P 500 Index at inflection points 5. S&P 500 valuation measures 6. P/E ratios and equity returns 7. Corporate ...
by Beliavsky
Thu Jan 17, 2019 7:00 am
Forum: Personal Investments
Topic: You Invest by JP Morgan Chase
Replies: 122
Views: 14042

Re: You Invest by JP Morgan Chase

With a You Invest account, what research if any do you get from JPMorgan? I have a Merrill Edge account so that I can get research from Merrill Lynch.
by Beliavsky
Thu Jan 17, 2019 6:24 am
Forum: Investing - Theory, News & General
Topic: Retirement savings new research
Replies: 29
Views: 6131

Re: Retirement savings new research

It is similar (overlapping) what Wade Phau says that when you retire that getting through the first few years is everything. He prefers a higher concentration in bonds and then slowly increasing your stock holdings I think that's a mischaracterisation. He prefers you not hold any bonds at all. Read...
by Beliavsky
Wed Jan 16, 2019 10:33 pm
Forum: Investing - Theory, News & General
Topic: Retirement savings new research
Replies: 29
Views: 6131

Re: Retirement savings new research

This from the article - If we successfully navigate the first five years of portfolio returns then we still have to negotiate the next five and eventually the next two. There's no reason to expect that if you make it through the first 5 years of retirement that your risk will simply disappear. remi...
by Beliavsky
Wed Jan 16, 2019 10:20 pm
Forum: Investing - Theory, News & General
Topic: Book on withdrawal strategies / retirement income?
Replies: 19
Views: 1898

Re: Book on withdrawal strategies / retirement income?

The books mentioned look interesting. but a book can only provide principles and guidelines and cannot give advice tailored to an individual. What software, either desktop or online, helps investors formulate a spending and investment plan in retirement, estimating life expectancy and incorporating ...