Search found 1223 matches

by Beliavsky
Sun Jul 23, 2023 7:50 am
Forum: Personal Finance (Not Investing)
Topic: Data set for college costs
Replies: 1
Views: 310

Data set for college costs

Is there a data set for total cost (tuition plus room and board for out-of-state residents) of U.S. colleges? We will not qualify for financial aid. I can go to individual school web sites, but having the data in a single table would be easier.
by Beliavsky
Tue Jul 04, 2023 5:13 pm
Forum: Personal Investments
Topic: Roth IRA for minor without W-2 or withholding
Replies: 14
Views: 1884

Roth IRA for minor without W-2 or withholding

My son, soon turning 18yo, earned about $500 working for his aunt in her office this year. She did not withhold any taxes from his pay, and she will not be giving him a W-2. Can my son contribute to a Roth IRA? What is the chance of the IRS demanding to know what the source of income is?

I have skimmed the thread viewtopic.php?t=367410
by Beliavsky
Sat Feb 25, 2023 10:29 am
Forum: Personal Investments
Topic: Does taxation of gain on acquired stock depend on whether you elect to receive acquirer shares or cash?
Replies: 1
Views: 270

Does taxation of gain on acquired stock depend on whether you elect to receive acquirer shares or cash?

I own shares of FCRD (First Eagle Alternative Capital BDC), which is being acquired by CCAP. I have a short-term capital gain on FCRD. I can elect to receive shares of CCAP or cash. Can I defer the capital gain by electing to receive shares? I am not sure I understand what the SEC filing says about this: Q: Are the Mergers expected to be taxable to FCRD Stockholders? A: Subject to the discussion below, the Mergers, taken together, may qualify as a “reorganization,” within the meaning of Section 368(a) of the Code. If the Mergers qualify as a reorganization for U.S. federal income tax purposes, U.S. stockholders (as defined in the section entitled “Certain Material U.S. Federal Income Tax Consequences of the Mergers”) who receive a combinati...
by Beliavsky
Fri Nov 25, 2022 3:20 pm
Forum: Investing - Theory, News & General
Topic: Preferred stock ideas
Replies: 14
Views: 2521

Re: Preferred stock ideas

Preferred stocks are not that liquid and may not have enough of a market capitalization to be worthwhile for large institutional investors, but for those reasons I think they are not a very efficient market. This year, with interest rates having spiked, some of them may have fallen too much. PSB-PZ is a preferred stock I have bought (about $100K) that last traded at 12.20, with a par value of 25, callable on 11/04/2024 , and coupon of 4.875%, for a yield of 25*4.875%/12.20 = 9.99%. PSB preferreds rose about 15% on heavy volume on Nov 23. I don't see any news about them. PS Business Parks, Inc. Commences Tender Offers to Purchase for Cash Any and All of its Outstanding Preferred Securities Described Below $14.34 per Series Z Preferred Share...
by Beliavsky
Fri Nov 25, 2022 11:08 am
Forum: Investing - Theory, News & General
Topic: Preferred stock ideas
Replies: 14
Views: 2521

Re: Preferred stock ideas

Beliavsky wrote: Fri Nov 04, 2022 2:52 pm Preferred stocks are not that liquid and may not have enough of a market capitalization to be worthwhile for large institutional investors, but for those reasons I think they are not a very efficient market. This year, with interest rates having spiked, some of them may have fallen too much.

PSB-PZ is a preferred stock I have bought (about $100K) that last traded at 12.20, with a par value of 25, callable on 11/04/2024, and coupon of 4.875%, for a yield of 25*4.875%/12.20 = 9.99%.
PSB preferreds rose about 15% on heavy volume on Nov 23. I don't see any news about them.
by Beliavsky
Wed Nov 23, 2022 7:27 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Ranks Last for Digital Satisfaction; JP Morgan First
Replies: 73
Views: 9242

Vanguard Ranks Last for Digital Satisfaction; JP Morgan First

Vanguard Ranks Last for Digital Satisfaction; JP Morgan First By Andrew Welsch Barron's November 23, 2022 J.D. Power surveyed nearly 6,400 full-service and self-directed investors from June through August 2022. The consulting firm ranked firms based on their overall satisfaction with their wealth manager’s digital experience. J.P. Morgan Wealth Management ranked highest with a score of 728 out of a possible 1,000. Rounding out the top three are asset manager Charles Schwab , with a score of 726, and brokerage firm Edward Jones, with a score of 710. Asset manager Vanguard, known for its low-cost index funds, ranked lowest with a score of 670. The industry average was 701. Vanguard’s app and website have suffered from tech glitches over the ...
by Beliavsky
Tue Nov 22, 2022 9:14 am
Forum: Investing - Theory, News & General
Topic: BoA recommends buying 30y TIPS
Replies: 42
Views: 4898

Re: BoA recommends buying 30y TIPS

If someone from BoA says something, I'm less likely to believe it than if it came from an average Joe. Large banks like this make lots of money from uninformed or underinformed clients. Sometimes they work to misinform clients. It's part of their business model. You should be suspicious. The question that immediately came to mind is, "Why would I believe that they want to help me?" I have an account with BoA. Just as a convenience. But I never, ever get any advice from them, on anything. Someone whose job is to cover the bond market knows much more than the average Joe. I think these reports are more directed toward institutional investors and BoA financial advisors than retail investors. Banks have research departments so that m...
by Beliavsky
Mon Nov 21, 2022 3:07 pm
Forum: Investing - Theory, News & General
Topic: BoA recommends buying 30y TIPS
Replies: 42
Views: 4898

BoA recommends buying 30y TIPS

A 21 November 2022 10:53AM EST report by Meghan Swiber of BoA recommends buying 30y TIPS. A related thread is Now that long TIPS hit a real yield above 2.0% I will… In 2023 we think it will be time to move into long real yield positions. While the timing of the real yield rally will be conditional on concrete signs of an economic slowdown, our forecasts reflect a notable decline in real yields over the course of the year. We think the best way to express this view is to be long 30y TIPS. ‘23 Forecasts: conviction in the real yield rally We expect the 2s10s breakeven curve to remain modestly inverted and see more potential for stickier inflation vs what the market is pricing. Near-term inflation uncertainty should keep front-end breakevens e...
by Beliavsky
Sun Nov 20, 2022 4:04 pm
Forum: Investing - Theory, News & General
Topic: New Simplify ETF TUA (leveraged 2 yr treasury)
Replies: 29
Views: 4190

Re: New Simplify ETF TUA (leveraged 2 yr treasury)

You understand this product less than I do. It uses futures (leverage) to allow for exposure at the given duration for less than the amount invested. This is efficient deployment of capital, allowing more money to be used for investments uncorrelated to both stocks and bonds (such as managed futures, gold, private real estate, and other investments). This product is also potentially more tax efficient than Treasury ETFs given the favorable tax treatment of futures. I understand the fund perfectly well, which is how I can form the opinion that it is ridiculous. It's not ridiculous. Research has found the Sharpe ratio to be highest at the short end of the yield curve, so this fund leverages that part of the curve. There have been threads her...
by Beliavsky
Sun Nov 20, 2022 1:37 pm
Forum: Investing - Theory, News & General
Topic: Allocation To High Risk High Reward?
Replies: 48
Views: 3690

Re: Allocation To High Risk High Reward?

My question is for those who have the ability and willingness to take more risk. What have you invested in that had a higher risk/reward profile? Merrill Edge brokerage customers have access to BoA stock reports. I have skimmed and saved hundreds over the past few months and noticed that many of the stocks with the highest ratios of target price to current price are biotech stocks. For example, a 10 November 2022 02:03PM report by Geoff Meacham et al. on Vaxxinity (VAXX) had a buy rating and a price target of $12.00 vs. a market price of $1.37. I put about 0.1% of my net worth in it. The stock had a market cap of 137M USD and is not held by iShares Core S&P Total U.S. Stock Market ETF, so it's likely that one does not own it if investe...
by Beliavsky
Thu Nov 17, 2022 3:22 pm
Forum: Investing - Theory, News & General
Topic: Investment grade corporate bond credit losses have averaged 0.12% annually
Replies: 27
Views: 2070

Re: Investment grade corporate bond credit losses have averaged 0.12% annually

psteinx wrote: Thu Nov 17, 2022 3:15 pm My understanding is that most corporates are callable.

Does the spread between treasuries and corporates of various grades adjust appropriately for callability?
The option-adjusted spread is supposed to do that:
The option-adjusted spread (OAS) measures the difference in yield between a bond with an embedded option, such as an MBS or callables, with the yield on Treasuries.

Embedded options are provisions included with some fixed-income securities that allow the investor or the issuer to do specific actions, such as calling back the issue.

Using historical data and volatility modeling, OAS considers how a bond's embedded option can change the future cash flows and thus the overall value of the bond.
by Beliavsky
Thu Nov 17, 2022 2:01 pm
Forum: Investing - Theory, News & General
Topic: Creating Portfolio Convexity: Trend Versus Options
Replies: 1
Views: 402

Creating Portfolio Convexity: Trend Versus Options

Even if one wants to avoid active trend-following because of the hassle, possible tax consequences, and transaction costs, at least passive trend-following by not rebalancing frequently is possible. Creating Portfolio Convexity: Trend Versus Options by Peter van Dooijeweert Head of Multi-Asset Solutions, Man Solutions and Otto van Hemert, PhD Director of Core Strategies, Man AHL Managing portfolios in times of crisis used to be simple. Or so the thinking went. When market returns looked like they would fall, you would buy bonds and let the uncorrelated diversification take care of the rest. But in an environment where bonds and equities have fallen in tandem, investors have had to shift their reliance on fixed income – which was nonetheless...
by Beliavsky
Thu Nov 17, 2022 9:56 am
Forum: Investing - Theory, News & General
Topic: Investment grade corporate bond credit losses have averaged 0.12% annually
Replies: 27
Views: 2070

Re: Investment grade corporate bond credit losses have averaged 0.12% annually

vineviz wrote: Thu Nov 17, 2022 9:10 am
HeavyChevy wrote: Thu Nov 17, 2022 7:19 am
This is an odd question anywhere outside the Boglesphere, where it is (often falsely) accepted that:

Treasuries + stock = corporate bonds
Treasuries + more stock = HY bonds
Despite being framed in an overly simplistic manner, this is A) not false and B) accepted pretty much universally in finance.
Using Portfolio Visualizer to regress monthly returns (Sep 1990 - Sep 2022) of an investment grade bond fund (VWESX) and high yield bond funds (FAGIX, VWEHX, SPHIX, PRHYX) on VFINX and VUSTX (S&P 500 and U.S. Treasury bonds), the R^2 is 77.3% for VWESX but substantially lower (between 42.3% and 50.1%) for the other funds, so HY bond funds are not so closely replicated by stocks and bonds are IG funds are.
by Beliavsky
Thu Nov 17, 2022 7:32 am
Forum: Investing - Theory, News & General
Topic: Does Vanguard hold bonds in funds to maturity?
Replies: 34
Views: 3403

Re: Does Vanguard hold bonds in funds to maturity?

A long term corporate bond fund will sell bonds as they age and become short-term bonds. An investment grade bond fund will sell bonds that are downgraded, and a high yield bond fund will sell those that are upgraded. Vanguard has both long-term and short-term and investment grade and high yield bond funds. Is it able to internalize trades by moving bonds from one fund to another to meet investment mandates?
by Beliavsky
Thu Nov 17, 2022 7:00 am
Forum: Investing - Theory, News & General
Topic: Investment grade corporate bond credit losses have averaged 0.12% annually
Replies: 27
Views: 2070

Investment grade corporate bond credit losses have averaged 0.12% annually

From a Nov 16 2022 U.S. Credit Strategy publication by BoA analyst Yuri Seliger: Expected IG default rate: zero Given attractive yields, but a potential recession next year, we are often asked about the expected default rate for IG. The answer is that in a typical year, no IG defaults occur, and we think that is likely the case for 2023 as well. When they do happen, defaults tend to be idiosyncratic, driven by events like fraud (Enron, WorldCom), the financial crisis (Lehman) or climate change (PG&E). For longer holding periods credit losses do accumulate for IG, but they remain low. We estimate annual default losses of 14bps over the next 10 years for buy and hold investors (i.e. not selling downgrades to HY). Zero with some cyclicalit...
by Beliavsky
Tue Nov 15, 2022 11:48 am
Forum: Investing - Theory, News & General
Topic: Hidden costs of leveraged ETFs?
Replies: 2
Views: 521

Re: Hidden costs of leveraged ETFs?

Morik wrote: Tue Nov 15, 2022 7:55 am That the CAGR of portfolio A will be different than B by not just the expense ratio of A + any tracking error from A to B, but also by hidden costs of leverage which may potentially be a few hundred bp.
Margin for futures contracts can be posted as T-bills. The returns for Treasury bond futures collateralized by T-bills should be close to those of Treasury bonds, or there is an arbitrage.
by Beliavsky
Sat Nov 12, 2022 7:35 am
Forum: Investing - Theory, News & General
Topic: Inflation Tends to Linger. Could It Last a Decade This Time? (Barron's)
Replies: 47
Views: 7136

Inflation Tends to Linger. Could It Last a Decade This Time? (Barron's)

Inflation Tends to Linger. Could It Last a Decade This Time? By Randall W. Forsyth Barron's Nov. 11, 2022 11:14 am ET The Fed and the markets alike anticipate inflation pressures abating significantly in 2023. However, history is not on their side, according to a paper from Rob Arnott, Research Affiliates founder and chairman, and Omid Shakernia, a partner at the firm who heads its multi-asset strategies. They find that when year-over-year inflation rises above 8%, as has happened with the CPI this year, it doesn’t recede quickly but tends to accelerate 70% of the time, based on data from 14 advanced economies dating back to January 1970. That doesn’t mean inflation necessarily will hit new highs in coming months. But, given the previous c...
by Beliavsky
Wed Nov 09, 2022 12:14 pm
Forum: Investing - Theory, News & General
Topic: The "G" in ESG
Replies: 11
Views: 1466

Re: The "G" in ESG

G is the only of part of ESG that makes sense to me, although that will depend on one's political views. One metric of bad governance is the existence of super-voting shares, which for Facebook give Mark Zuckerberg control of the company. If his shares only had normal voting power he may have been restrained from squandering billions on the metaverse.
by Beliavsky
Fri Nov 04, 2022 8:49 pm
Forum: Investing - Theory, News & General
Topic: Preferred stock ideas
Replies: 14
Views: 2521

Re: Preferred stock ideas

Beliavsky wrote: Fri Nov 04, 2022 2:52 pm It looks like I get a 10% yield on price and eventually a capital gain of 25/12.20 -1 = 105%. What am I missing?
I see now that there was a Seeking Alpha article on PSB preferreds discussing the risks, archived here. On Sep 19 Moody's withdrew its ratings on the preferreds, because with the parent company delisted there was insufficient information for a rating. This may have prompted some selling.
by Beliavsky
Fri Nov 04, 2022 3:17 pm
Forum: Investing - Theory, News & General
Topic: Preferred stock ideas
Replies: 14
Views: 2521

Re: Preferred stock ideas

Makefile wrote: Fri Nov 04, 2022 2:58 pm My understanding is that corporations have favorable tax treatment for receiving preferred dividends that individuals do not get, so it's a bit analogous to someone in a low tax bracket buying municipal bonds.
PSB-PZ is a REIT preferred. Quantum Online says,
Dividends paid by preferreds issued by REITs are NOT eligible for the preferential 15% to 20% tax rate on dividends and are also NOT eligible for the dividend received deduction for corporate holders.
Such preferreds are suitable for retirement accounts.
by Beliavsky
Fri Nov 04, 2022 2:52 pm
Forum: Investing - Theory, News & General
Topic: Preferred stock ideas
Replies: 14
Views: 2521

Preferred stock ideas

Preferred stocks are not that liquid and may not have enough of a market capitalization to be worthwhile for large institutional investors, but for those reasons I think they are not a very efficient market. This year, with interest rates having spiked, some of them may have fallen too much. PSB-PZ is a preferred stock I have bought (about $100K) that last traded at 12.20, with a par value of 25, callable on 11/04/2024 , and coupon of 4.875%, for a yield of 25*4.875%/12.20 = 9.99%. The yield is high, but preferred stocks rank below bonds in the capital structure and in general have credit risk. In this case, the parent PS Business Parks was acquired by Blackstone Real Estate (BRE) in July , and under the terms "PSB’s three outstanding ...
by Beliavsky
Fri Nov 04, 2022 9:30 am
Forum: Investing - Theory, News & General
Topic: Fed funds futures and your response
Replies: 17
Views: 1264

Re: Fed funds futures and your response

I am staring at this morning's CME FedWatch 30-day Fed funds futures. The currently most probable rates, after each Fed meeting, are: Dec 2022: 4.50% (lower bound used only) Feb 2023: 4.75%+ Mar 2023: 5.00%+ May 2023: 5.25%+ Jun 2023: 5.25%+ Jul 2023: 5.25%+ Sep 2023: 5.25%+ Nov 2023: 5.50%+ Dec 2023: 5.50%+ Viewing how the market today sees Fed funds rates over the next year plus, what action are you most likely to take in response? Fed funds futures are pricing in slightly lower mean rates. Quotes are here . Although the rates you cite may be the modes, the market is also pricing in the possibility of rates well below the modes if the economy weakens and inflation falls and the Fed starts cutting rates. Historically, being long the short...
by Beliavsky
Thu Nov 03, 2022 3:59 pm
Forum: Investing - Theory, News & General
Topic: Mortgage REITS juicy dividend yield anyone?
Replies: 25
Views: 2819

Re: Mortgage REITS juicy dividend yield anyone?

Mortgage REITs should not be owned solely because of high dividend yields. For most mREITs those dividends fall over time. A Seeking Alpha service I subscribe to called The REIT Forum evaluates mREITS primarily based on price/book ratio, where book value is updated by the analyst between quarters based on market movements. Prospective earnings and dividend yields and a view of the quality of management affect what P/B ratio is considered fair for each mREIT.

You can see from the REM ETF that the unconditional returns from being long mREITs have been poor.
by Beliavsky
Thu Nov 03, 2022 3:48 pm
Forum: Investing - Theory, News & General
Topic: Mortgage REITS juicy dividend yield anyone?
Replies: 25
Views: 2819

Re: Mortgage REITS juicy dividend yield anyone?

moneyflowin wrote: Wed Nov 02, 2022 4:45 pm mREITs didn't exist in the early 1980s which was the last comparable period to now. So we don't know how they'll handle this era of soaring yields.
NAREIT has return data on mortgage REITS back to 1972.
by Beliavsky
Thu Nov 03, 2022 12:37 pm
Forum: Investing - Theory, News & General
Topic: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)
Replies: 59
Views: 9875

Re: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)

TheoLeo wrote: Sun Oct 30, 2022 4:27 am I am not a stock picker, but isn´t that a well known principle that cyclicals are to be avoided at their lowest pe-ratios?
People have said that, but it does not make sense. If a stock is cyclical its future earnings should be modeled as such. Even late in the economic cycle when earnings are at an all time high, there is still a price and P/E multiple at which it should be bought.
by Beliavsky
Thu Nov 03, 2022 10:15 am
Forum: Investing - Theory, News & General
Topic: Optimal spending under quadratic utility with mortality
Replies: 0
Views: 280

Optimal spending under quadratic utility with mortality

In the thread All the Personal-Finance Books are Wrong I advocated the use of a utility function of spending from savings, in particular quadratic utility, u(x) = c^2 - (c-x)^2 for x < c u(x) = c^2 for x >= c to decide on a spending rate in retirement. The idea is that spending less than an amount c in a year is quadratically painful, but spending more than c does not give further enjoyment. You also need a probability distribution for how long you will live, since utility comes from spending while alive. The Gompertz distribution is used, which assumes that the probability of dying each year increases exponentially. For simplicity, inflation is assumed zero and a constant nominal rate of return is used. A floor annual spending level from s...
by Beliavsky
Wed Nov 02, 2022 9:29 am
Forum: Investing - Theory, News & General
Topic: Defining a growth stock
Replies: 9
Views: 781

Defining a growth stock

AAII emailed me about its new AAII Growth Investing service. I am not going to subscribe to it, but I have wondered about how you define a growth stock. Value stocks are typically defined as those with low P/B or P/E ratios, but growth investors are not looking for high P/B or P/E stocks, although they are willing to pay higher multiples for companies with the right attributes. Is there a growth stock ETF that people think is constructed well? Below is a quote from AAII on their methodology: STEP #1: We utilize a growth approach based on groundbreaking academic research called the G-Score, an eight-point scale that scores companies based on: Profitability and Cash Flows — How many growth stocks realize huge price runs despite losing money a...
by Beliavsky
Wed Nov 02, 2022 9:00 am
Forum: Investing - Theory, News & General
Topic: SPIA vs 4% rule in retirement
Replies: 91
Views: 9114

Re: SPIA vs 4% rule in retirement

JoMoney wrote: Wed Nov 02, 2022 7:57 am The big issue with trying to assure any fixed income though is inflation, which compounds like "compound interest" in an exponential kind of way, and over longer periods of time can diminish purchasing power greatly.
Research has found that real spending declines in real terms as people age. And if one wants to reduce the probability of lower real payments one can choose an annuity with payments that rise x% a year, as I illustrated upthread. There is still the remaining risk that you guess inflation will be x% and buy an annuity with x% growth but that inflation ends up being much higher than x%.
by Beliavsky
Tue Nov 01, 2022 3:35 pm
Forum: Investing - Theory, News & General
Topic: Dividend Stocks: Port in a Storm?
Replies: 433
Views: 45660

Re: Dividend Stocks: Port in a Storm?

Bank of America recommends buying stocks in the 2nd highest quintile of dividend yield and publishes a monthly report (available to Merrill Edge clients) listing them. Quoting the latest report: Screening for secure, not stretched, dividends We continue to believe that we are likely moving into a total return world and that the contribution of dividends to total market returns could be higher than that of the last decade marked by lofty price returns (see Welcome to a total return world). We advise investors to identify companies with above-market and secure – not stretched – dividend yields. Quintile 2 of the Russell 1000 by trailing dividend yield may be a good first pass: it includes the second-highest tranche of dividend yielders in the...
by Beliavsky
Tue Nov 01, 2022 11:42 am
Forum: Investing - Theory, News & General
Topic: WSJ: Public REITs Are Down, Nontraded REITs Are Up. Which Is Right?
Replies: 67
Views: 8666

Re: WSJ: Public REITs Are Down, Nontraded REITs Are Up. Which Is Right?

The BREIT site says,
Total repurchases are limited to 2% of aggregate NAV per month (measured using the aggregate NAV as of the end of the immediately preceding month) and 5% of aggregate NAV per calendar quarter (measured using the average aggregate NAV as of the end of the immediately preceding three months) (in each case, including repurchases at certain non-U.S. investor access funds primarily created to hold shares of BREIT)
If Blackstone marks the NAV much too high, that would boost reported performance, but it would also encourage investors to cash out, and Blackstone does not want 5% of assets to flee each quarter.
by Beliavsky
Tue Nov 01, 2022 11:06 am
Forum: Investing - Theory, News & General
Topic: SPIA vs 4% rule in retirement
Replies: 91
Views: 9114

Re: SPIA vs 4% rule in retirement

For purposes of illustration, here is a Bengen 4% SAFEMAX using an assumed 3% inflation rate against current SPIA payouts for 65, 75 and 80 year olds. I used a $1M as the comparison amount - For a 65 year old, the SPIA gets overtaken by age 80 by a 4% constant dollar using 3% inflation (15-years) - For a 75 year old, the SPIA gets overtaken by age 89 by a 4% constant dollar using 3% inflation (14-years) - For a 80 year old, the SPIA gets overtaken by age 94 by a 4% constant dollar using 3% inflation (14-years) Using numbers from the Fidelity Guaranteed Income Estimator , the numbers for an SPIA look better than this. For a male living in MA born 65 years ago (Nov 1 1957), buying an annuity today (Nov 1 2022) and wanting monthly payments st...
by Beliavsky
Sun Oct 30, 2022 9:33 am
Forum: Investing - Theory, News & General
Topic: The coming long-run slowdown in corporate profit growth and stock returns
Replies: 18
Views: 1814

Re: The coming long-run slowdown in corporate profit growth and stock returns

... If corporate profit growth is expected to be substantially slower than in the past... If I expect a slow down, then there could be a slow down :confused :annoyed Nobody knows. Could happen, maybe not. There's no shortage of economists, making WAGs about everything, in every direction, with no reliable predictability. If they're someone that makes a living in punditry, it gets more views and "engagement" spreading FUD. The author explains why corporate profit growth is likely to slow. Did you read the article? Projecting real returns of 3 to 3.5% is not spreading FUD. Every investor implicitly makes forecasts -- why own the S&P 500, whose downturns tend to precede increased layoffs (and thus your own chance of losing your ...
by Beliavsky
Sun Oct 30, 2022 8:46 am
Forum: Investing - Theory, News & General
Topic: The coming long-run slowdown in corporate profit growth and stock returns
Replies: 18
Views: 1814

The coming long-run slowdown in corporate profit growth and stock returns

The coming long-run slowdown in corporate profit growth and stock returns by Michael Smolyansky FEDS Notes September 06, 2022 Over the past two decades, the corporate profits of stock market listed firms have been substantially boosted by declining interest rate expenses and lower corporate tax rates. This note's key finding is that the reduction in interest and tax expenses is responsible for a full one-third of all profit growth for S&P 500 nonfinancial firms over the prior two-decade period. I argue that the boost to corporate profits from lower interest and tax expenses is unlikely to continue, indicating notably lower profit growth, and thus stock returns, in the future. ... Over the past two decades, the market capitalization of ...
by Beliavsky
Sat Oct 29, 2022 7:45 am
Forum: Investing - Theory, News & General
Topic: Chinese stocks risk premium
Replies: 40
Views: 3443

Re: Chinese stocks risk premium

Well, for those who stick to value/risk analysis of China stocks, did EDU stock price reflect its risk premium in Feb of 2021? Was there a single analyst said this stock was going to lose 90% in 6 months? If this is a singular event pertaining to only one company, then perhaps we can still attribute this to idiosyncrasy. But the whole sector vanished at the whim of an overnight policy change. There was no comment period, no industry feedback, and no indication. How do you know this won't happen with the bank stocks? Because the Chinese government has banned entire industries overnight, as you say, Chinese stocks should trade at lower valuations to reflect this, as you say. But how much lower? Xi Jinping and the rest of the Chinese Communis...
by Beliavsky
Fri Oct 28, 2022 10:28 pm
Forum: Investing - Theory, News & General
Topic: Renaissance's Medallion Fund
Replies: 60
Views: 7324

Re: Renaissance's Medallion Fund

HM 7 wrote: Thu Oct 27, 2022 10:47 am Author William Bernstein has correctly mentioned that no fund manager has outperformed the market over the long term (decades).
A counterexample from Wikipedia:
During Neff's thirty-one-year tenure at Windsor (1964 to 1995), the fund returned 13.7% annually versus 10.6% for the S&P 500.
by Beliavsky
Thu Oct 27, 2022 12:02 pm
Forum: Investing - Theory, News & General
Topic: Chinese stocks risk premium
Replies: 40
Views: 3443

Re: Chinese stocks risk premium

In a Taiwan war/crisis the PRC and counter-PRC govts could take actions that rendered foreign holdings of Chinese stocks essentially valueless. Not saying that's outright likely, 'left tail' by definition means not likely. But clearly possible IMO and I think that's mainly the left tail fattener for PRC stocks from a foreign viewpoint. Add in any other scenario of largescale disparate treatment of foreign investors (including possibly by their own govts' actions, like prohibiting them owning the shares then only pennies on $ fire sale buyers to take them). Foreign investors in Chinese stocks are advantaged in one important way -- they (unlike mainland Chinese investors) can buy H-shares listed in Hong Kong for much lower prices than the A-...
by Beliavsky
Thu Oct 27, 2022 9:11 am
Forum: Investing - Theory, News & General
Topic: Chinese stocks risk premium
Replies: 40
Views: 3443

Chinese stocks risk premium

The performance of Chinese stocks has been poor, but to the extent that's due to valuation changes, for example bank P/B ratios falling from 4.5 to 0.4, that could be a bullish sign. If the risk premium on Chinese stocks rises to 15%, they can be expected to return 15% annually from that valuation. Admittedly, the analysts are not currently bullish. They state that "the left tail of equity returns in China is very fat", but I wonder if that is true prospectively, since P/B ratios are not going to fall by another factor of 10. Quoting a 27 October 2022 BoA Equity Strategy Global report by Ajay Singh Kapur et al.: Remain cautious on China equities In the past two years we have taken a cautious view on China equities. Our views remai...
by Beliavsky
Wed Oct 26, 2022 10:12 am
Forum: Investing - Theory, News & General
Topic: Optimal position in a single stock given return, correlation, and volatility
Replies: 2
Views: 434

Optimal position in a single stock given return, correlation, and volatility

If you have a view of expected stock market returns and volatility, whether to own a single stock in addition depends on your view of its expected return, its volatility, and its correlation to the stock market. The tangent portfolio weights equal the inverse covariance matrix times the vector of expected returns: w = cov^(-1) * r I implemented this for two assets in a spreadsheet . I find that even if the expected returns are slightly higher than the market, the tangent portfolio can give it considerable weight. In the spreadsheet, assuming the return and volatility of the stock market are 7% and 20% annualized, and that a single stock has volatility 40% and is 70% correlated to the market, an expected return of 12% for the stock means tha...
by Beliavsky
Wed Oct 26, 2022 8:32 am
Forum: Investing - Theory, News & General
Topic: New Book - Inside Vanguard
Replies: 45
Views: 7246

Re: New Book - Inside Vanguard

UpperNwGuy wrote: Wed Oct 26, 2022 7:43 am
Gaston wrote: Tue Oct 25, 2022 8:46 pm 2. I now understand why the financial advisor Allan Roth recently said that of all the brokerages, he trusts Vanguard the most. (It has to do with the culture that Jack and subsequent leaders embedded in Vanguard).
But is that culture still alive and well at Vanguard? Recent corporate actions seem to indicate that Vanguard is drifting away from its roots.
Could you elaborate?
by Beliavsky
Tue Oct 25, 2022 10:51 am
Forum: Investing - Theory, News & General
Topic: How to be out of stock market on dividend day only?
Replies: 30
Views: 2056

Re: How to be out of stock market on dividend day only?

Assuming market forces "auto-correct" to offset for the dividend distribution as they would have the incentive to capture any potential arbitrage, I wonder why funds don't exist to automate this process? For example, an ETF that buys VTI, sells it 1 day before ex-date, then buys another ETF that is similar but not "substantially identical" so as to not remain out of the market, then on the next ex-date it sells and buys VTI again. Something like that, leaving you with a fund that performed similar to VTI but with no dividend distribution and an unrealized capital gain outperformance about on par with what the dividend should have been for the year? It can't be that simple can it? It's incredibly risky. While the market ...
by Beliavsky
Tue Oct 25, 2022 8:39 am
Forum: Investing - Theory, News & General
Topic: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)
Replies: 59
Views: 9875

Re: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)

FellsGuy wrote: Tue Oct 25, 2022 3:18 am I’ll never understand why people who find can’t miss investments promising over night riches write about them in forums I keep all of them to myself lol 😂 Gougou how much have you invested in this “fat pitch” And why post about it in a forum full of buy and hold index fund investors??? I’d also love to hear about past successes with significant amounts of money made betting on “fat pitches”
Many people find it fun to discuss investments. If I have a stock idea I welcome the knowledgeable investors of BH poking holes in it. Unorthodox investments are allowed to be discussed here, except for crypto. There have been long discussions of topics such as trend-following and leveraging Eurodollar futures.
by Beliavsky
Tue Oct 25, 2022 8:30 am
Forum: Investing - Theory, News & General
Topic: How to be out of stock market on dividend day only?
Replies: 30
Views: 2056

Re: How to be out of stock market on dividend day only?

vxdx wrote: Tue Oct 25, 2022 8:24 am This seems to me to be the perfect example of the phrase “don’t let the tail wag the dog”.

Why would you want to forego 100% of the dividends to avoid paying some smaller percentage in income tax?
Stocks and funds fall most of the of the amount of the dividend on ex-div date, so it's not that simple. There is an academic literature on the performance of stocks on ex-div dates.
by Beliavsky
Tue Oct 25, 2022 8:28 am
Forum: Investing - Theory, News & General
Topic: How to be out of stock market on dividend day only?
Replies: 30
Views: 2056

Re: How to be out of stock market on dividend day only?

If the ex-dividend date is day 0, that means that owners of the fund on day -1 but not day 0 get the dividend, which is why the fund falls from day -1 to day 0. If you don't want the dividend I think you need to sell by the close of day -1, and you can buy it as soon as the open of day 0. There are bid-ask spreads and there may be a wash sale.

I suggest also asking on a tax forum to make sure this is right. What I wrote is consistent with this article.

I wish there were high yield bond funds that paid dividends annually, so that investors in taxable accounts could avoid the taxable dividend.
by Beliavsky
Sun Oct 23, 2022 12:51 pm
Forum: Investing - Theory, News & General
Topic: Morningstar study on annuities
Replies: 36
Views: 3857

Re: Morningstar study on annuities

On https://www.immediateannuities.com/, a 70-year old male living in MA is quoted a monthly income of $690 for $100K, or 8.28%. Rich people can invest in many ways to meet their needs, but someone with low savings can withdraw at an 8% rate using annuities, provided they accept gradually lower future spending due to inflation.

For someone who wants inflation protection, where can you get quotes on an immediate annuity where payments rise 2% a year in nominal terms? The site above does not quote them.
by Beliavsky
Sun Oct 23, 2022 9:55 am
Forum: Investing - Theory, News & General
Topic: Morningstar study on annuities
Replies: 36
Views: 3857

Re: Morningstar study on annuities

afan wrote: Sun Oct 23, 2022 9:28 am
rich126 wrote: Sun Oct 23, 2022 5:40 am The goal is to have sufficient income to cover expenses in retirement, not to create the largest nest egg or dying with the most money.
Even losing 2% each year to inflation becomes a problem over a long retirement.
Not necessarily. The study that the linked thread was about found that retirees choose to spend about 2% less in real terms annually as they age. Anecdotally, my parents went on an African safari and other international vacations in their early 70s. My widowed mother, in her 80s, does not want to go anywhere now.
by Beliavsky
Sun Oct 23, 2022 9:12 am
Forum: Investing - Theory, News & General
Topic: Morningstar study on annuities
Replies: 36
Views: 3857

Re: Morningstar study on annuities

. ...annuity-based strategies lead to a slightly lower probability of success vis-à-vis a portfolio-only strategy at lower wealth/needed income multiples. The reason for this result is that participants cannot afford to allocate any of their liquid assets toward an annuity; it equates to adding a small dollar-amount income stream that still is significantly below the retirement need. Annuity-based strategies cannot save people who do not have enough put away for retirement from running out of money as they age. I am not able to access the report. (Edit: I can access it using incognito mode on Chrome, as afan suggested.) An immediate annuity may not support the same level of spending as an investment in the stock market assumed to return sa...
by Beliavsky
Sat Oct 22, 2022 7:13 pm
Forum: Investing - Theory, News & General
Topic: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)
Replies: 59
Views: 9875

Re: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)

May I ask what tool you used that brought MPCC to your attention? Even among American investors who pick single stocks, very few are considering Norwegian small caps. I have considered buying EQNR, a large Norwegian oil company, but BoA regularly publishes reports on it, as do other American investment banks I assume.
by Beliavsky
Sat Oct 22, 2022 7:52 am
Forum: Investing - Theory, News & General
Topic: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)
Replies: 59
Views: 9875

Re: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)

An Oct 14 quantitative report from CFRA on DAC (Danaos Corporation) has a table with the following data on shipping companies. They are generally selling at forward P/E ratios between 2 and 3 and P/B < 1.

Code: Select all

symbol	beta	divyld	fwrd_pe	p/b
DAC	1.61	5.10	2.00	0.50
BELCO	0.91	0.00	2.70	1.40
CMRE	1.45	4.80	2.60	0.60
DSX	1.28	26.30	3.60	0.80
EGLE	1.32	17.80	3.00	0.80
GNK	1.03	14.30	3.40	0.60
GSL	1.73	8.70	2.30	0.80
NMM	2.16	0.80	1.50	0.40
SB	0.95	7.40	2.10	0.50
SBLK	0.95	7.40	2.10	0.50
mean	1.34	9.26	2.53	0.69
median	1.30	7.40	2.45	0.60
Yahoo Finance lists the forward P/E and P/B (mrq) of MPCC.OL as 2.17 and 1.23.
by Beliavsky
Sat Oct 22, 2022 7:36 am
Forum: Investing - Theory, News & General
Topic: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)
Replies: 59
Views: 9875

Re: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)

seekingalpha agrees with you, kind of https://seekingalpha.com/article/4542167-mpc-containerships-providing-strong-dividend-yield-for-the-next-two-years "Investment thesis While MPC is attractively priced, it looks like the dividends are subject to the 25% Norwegian dividend withholding tax and this could be a handicap versus other container ship lessor companies that are domiciled in more advantageous jurisdictions. Thanks for the Seeking Alpha article. Regarding the tax, a commenter wrote, Distributions currently are paid as capital returns, thus no Norwegian withholding tax. They still have approx. 7 NOK/share of surplus capital they can utilize in this way, and as I understand it intend to do so. One of the better led shipping com...
by Beliavsky
Fri Oct 21, 2022 4:12 pm
Forum: Investing - Theory, News & General
Topic: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)
Replies: 59
Views: 9875

Re: Shipping company that yields 40%+ and returns your money in 3 years (MPCC.Oslo)

Interesting, thanks. BoA had a 29 September 2022 report on ZIM (ZIM Integrated Shipping Services) with a price target of $22 vs. a market price of $25.39 and an underperform rating. The report said that EPS (Adjusted Diluted) and dividends per share were

Code: Select all

2020A  5.08 0.00
2021A 39.10 19.50
2022E 36.50 11.00
2023E 1.64  0.49
2024E 1.35  0.41
so earnings and dividends are quite volatile. Maybe the market thinks MPCC will not be profitable after 3 years? Or maybe the market is incorrectly pessimistic on all shipping companies, when actually some can be expected to maintain their profits? I may invest 0.1% of my money in MPCC.