Search found 117 matches

by Black Knights
Mon Jun 15, 2009 3:34 pm
Forum: Investing - Theory, News & General
Topic: Non-path-dependant total return withdrawal strategy
Replies: 33
Views: 5458

(1) Bump. I'd be interested in hearing from anyone investigating the lockbox approach in a more practical manner than Sharpe (i.e., actually trying some techniques out like cjking has) either through this thread or PM's. (2) I've been thinking along these lines: Suppose we funded each lockbox like t...
by Black Knights
Fri Jun 12, 2009 1:34 pm
Forum: Investing - Theory, News & General
Topic: Global Asset Allocation – interesting website
Replies: 8
Views: 3091

Adrian Are you aware of anyone who is posting current updates of the plots like Harvey includes in his presentation? This is the first place I've seen anyone look at yield curve inversion with respect to the END of recessions. (Although I haven't followed the topic of yield curve inversion at all un...
by Black Knights
Fri Jun 12, 2009 9:21 am
Forum: Personal Finance (Not Investing)
Topic: Peter L. Bernstein RIP
Replies: 50
Views: 11678

A sad day indeed, but an opportunity to celebrate an exemplary life. Mr. Bernstein's Capital Ideas , Against the Gods and Capital Ideas Evolving all had important impacts on my investing philosophy and execution. I also find my self frequently revisiting The Portable MBA in Investment that he edited...
by Black Knights
Mon Jun 08, 2009 2:57 pm
Forum: Investing - Theory, News & General
Topic: How Vulnerable is Your Portfolio to a Black Swan?
Replies: 30
Views: 4229

How Vulnerable is Your Portfolio to a Black Swan?

Interesting note by Moshe Milevsky "How Vulnerable is Your Retirement Monte Carlo to a Black Swan?". Suggests a stress test of your portfolio for low-probability future performance.
by Black Knights
Mon Jun 08, 2009 11:31 am
Forum: Investing - Theory, News & General
Topic: Alternative approach to asset allocation?
Replies: 16
Views: 3263

Don't Stop Now!

Not sure what TLDR means, but I hope others will comment on this interesting approach and keep this thread going. I'm still digesting what it means and working through practical examples to understand it (sorry, I'm in the slow group). You might want to look at the work of Moshe A. Milevsky who has ...
by Black Knights
Mon Mar 30, 2009 6:47 pm
Forum: Investing - Theory, News & General
Topic: ability to forecast (re Ilan's post)
Replies: 7
Views: 1596

Harry V. Roberts

Having known Harry in the early 80's at Chicago Graduate School of Business, I "googled" him and found the following 2004 obituary . Peter Bernstein devotes 5 pages in Capital Ideas (pg. 98-103) to Roberts and the study Larry cites (1). I remember Harry as an enthusiastic teacher of operations resea...
by Black Knights
Sat Aug 23, 2008 8:53 pm
Forum: Investing - Theory, News & General
Topic: SH gets his wish
Replies: 71
Views: 18926

Selecting Relative Portfolio Size and BtM Loadings

Since we're discussing loading factors, a couple of questions that have perplexed me for a while: 1. In many DFA presentations they project future expected excess return over market using a Size Factor of 2.0% and a Style Factor of 4.0%. Yet in many example calculations (e.g., DFA's 2005 "Dimensiona...
by Black Knights
Thu Aug 21, 2008 2:00 pm
Forum: Investing - Theory, News & General
Topic: SH gets his wish
Replies: 71
Views: 18926

Factor Loadings

For component funds, the last loading data I have from DFA is as follows (Fund/Size/BtM): <tt> Domestic (Monthly: 01/1985 - 02/2005): LC DFLCX -0.17 +0.07 LV DFLVX -0.09 +0.52 SC DFSTX +0.90 +0.12 MC DFSCX +1.11 +0.03 SV DFSVX +0.85 +0.39 International (Monthly: 03/1985 - 02/2005): ILC DFALX -0.09 +...
by Black Knights
Wed Aug 20, 2008 11:24 am
Forum: Investing - Theory, News & General
Topic: SH gets his wish
Replies: 71
Views: 18926

Core Etc. Loading Factors

In a post that not only fell off the radar, but didn't get a single reply, I analyzed the loading factors from the live data available for Core 1 & 2, Vector, etc. I'm still interested in the loading factors for these funds. I am aware that they are NOT run to meet loadings, but they do seem to main...
by Black Knights
Wed Jul 30, 2008 4:56 pm
Forum: Personal Consumer Issues
Topic: Galapagos Islands
Replies: 31
Views: 6778

Galapagos Islands

For an upcoming anniversary, I'll looking for a quality tour of the Galapagos Islands. I would be interested in any recommendations or experiences Bogleheads have had with such tours. The primary criteria (in order) would be: (1) The quality of the natural history content: college/graduate level pre...
by Black Knights
Sun Jul 27, 2008 1:13 pm
Forum: Personal Consumer Issues
Topic: Browser Home Pages
Replies: 26
Views: 6145

Thanks Everyone!

Thanks everyone! I've gotten the new My Yahoo! into a customized format I like even better than the "classic" I held on to for so long. As others have noted, it works very nicely with Firefox. Thanks again.
by Black Knights
Sat Jul 26, 2008 7:41 am
Forum: US Chapters
Topic: Colorado
Replies: 40
Views: 15302

Checking in from Evergreen

I'm in Evergreen and would make every effort to participate.
by Black Knights
Tue Jul 22, 2008 11:33 am
Forum: Personal Consumer Issues
Topic: Browser Home Pages
Replies: 26
Views: 6145

Browser Home Pages

My Yahoo!'s new browser home page drives me crazy, so I'm looking for a new one with good weather, news and stock ticker features.

Any suggestions?

BTW, I use Firefox for my browser on Macs.
by Black Knights
Tue Jul 22, 2008 10:06 am
Forum: Personal Investments
Topic: Where can I find a SS planner, decision tree, or analysis
Replies: 13
Views: 2908

For what it is worth, I put together a spreadsheet that takes into account (1) constant investment return on tax-deferred funds NOT used when SS is taken and (2) mortality of both beneficiaries (probability that one or both are alive). For my particular case (one high earner, one non-earner), it was...
by Black Knights
Wed Jul 16, 2008 9:58 am
Forum: Investing - Theory, News & General
Topic: DFA Core and Vector Factor Loadings
Replies: 3
Views: 1917

DFA Core and Vector Factor Loadings

We now have two and a half years' of live data from DFA's Core (1 & 2) and Vector Funds. I thought it would be interesting to look at their loading characteristics. I recognize that (1) 2-1/2years is a short period and (2) these funds are not specifically loading-targeted. However, given the many di...
by Black Knights
Wed Jul 09, 2008 8:43 pm
Forum: Personal Consumer Issues
Topic: Neo-Malthusian Arguments
Replies: 28
Views: 8208

Watch HansRosling

Watch Hans Rosling's remarkable TED presentations on this topic. The first one is here:

http://www.ted.com/index.php/talks/hans ... _seen.html
by Black Knights
Wed Jul 09, 2008 11:35 am
Forum: Personal Consumer Issues
Topic: Need Windows XP SP2
Replies: 14
Views: 3862

Thanks Everyone!

Thanks everyone for the help. I'm all set. Running Windows XP on a Mac in Parallels Desktop 3.0 is amazing! My limited Windows-only applications even show up on my Mac dock and are one click away from my usual OS X use.
by Black Knights
Sun Jul 06, 2008 3:49 pm
Forum: Investing - Theory, News & General
Topic: 2008 Federal Income Tax Calculator?
Replies: 0
Views: 730

2008 Federal Income Tax Calculator?

Anyone know of a good, free program to run estimates of 2008 Federal (and, even better, State also) income taxes? At mid-year, I'm doing some "what if"s and would like an estimator that includes the new tax rates, new exemptions, new capital gains treatment, etc. (Otherwise, I'd use last year's Turb...
by Black Knights
Wed Jul 02, 2008 11:12 am
Forum: Investing - Theory, News & General
Topic: Milton Friedman's advice on personal finance and savings
Replies: 29
Views: 7054

One Skeptical Vote

I have read Kotlikoff and Burns, the recent torrent of life-cycle articles (the latest "new thing", a.k.a. product for boomers), and even plan to buy E$PLanner. However, I remain skeptical. As an early retiree (8 years ago at age 53), I am approaching the 62 vs. 66 vs. 70 Social Security decision, I...
by Black Knights
Tue Jul 01, 2008 6:59 pm
Forum: Personal Consumer Issues
Topic: Need Windows XP SP2
Replies: 14
Views: 3862

Need Windows XP SP2

Now that Microsoft has abandoned XP, I find myself in need of a full version of XP Home! I'm a Mac user and just bought Parallels 3.0 in order to run Windows on my Intel Mac. I have an XP Home upgrade disc and and old W98 bootable disc, but now learn that I need a FULL XP Home SP2 disc to load into ...
by Black Knights
Fri Jun 13, 2008 12:06 pm
Forum: Investing - Theory, News & General
Topic: Long-Term Real Treasury Yield
Replies: 4
Views: 2014

Thanks!

Thank you! That's precisely what I was looking for.

My assumption is that the yields quoted are for semi-annual bonds, so for the April 2029 at 2.257% yield to maturity on accrued principal, the effective annual yield is [(1 + 0.02257/2)^2 - 1] = 2.270%. Is that correct?
by Black Knights
Thu Jun 12, 2008 12:24 am
Forum: Investing - Theory, News & General
Topic: Long-Term Real Treasury Yield
Replies: 4
Views: 2014

Long-Term Real Treasury Yield

In both his articles and his book, William Reichenstein suggests evaluating the present value of Social Security benefits by using "today's long-term real yield on U.S. Treasury securities." He suggests "an appropriate discount rate is today's yield on Treasury Inflation Protection Securities (TIPS)...
by Black Knights
Wed May 07, 2008 8:09 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Watch Question
Replies: 1
Views: 932

Portfolio Watch Question

I made an attempt to use add "Outside Investments" in Vanguard's Portfolio Watch feature. Despite entering number of shares to three decimal places, the program always rounded holdings off to the nearest full share. Is this just the way that feature handles things or am I missing some step in the in...
by Black Knights
Thu May 01, 2008 5:05 pm
Forum: Investing - Theory, News & General
Topic: Calculating 2008 Federal Income Tax in Excel
Replies: 5
Views: 2736

Calculating 2008 Federal Income Tax in Excel

While working on an Excel tax planning spreadsheet, I developed the following cell to calculate 2008 tax as a function of taxable income. This was useful to me in running numerous scenarios on taking advantage of this year's reduced capital gains/qualified dividends rates. I thought I'd pass it alon...
by Black Knights
Wed Sep 05, 2007 1:26 pm
Forum: Personal Investments
Topic: When To Take Social Security
Replies: 31
Views: 9169

When To Take Social Security

Recently hit 61. Now need to start analysis of when to begin SS. Anyone have recommendations on articles, books, past posts, etc. on making that decision? Have been retired 8 years. Don't need the income to make ends meet. Reasonable longevity in family (parents lived to 85 and 89). Married with wif...
by Black Knights
Tue Aug 28, 2007 10:00 pm
Forum: Investing - Theory, News & General
Topic: Books on investing DURING retirement?
Replies: 10
Views: 3399

"nisiprius" asked me about the contents of Retire Early Sleep Well: A Practical Guide To Modern Portfolio Theory and Retirement in Plain English by Steven R. Davis. I have the first edition. Here's the Table of Contents: Part 1 - Retirement Savings and Lifestyle Overhead 1 Caution - Retirement Ahead...
by Black Knights
Tue Aug 28, 2007 11:42 am
Forum: Investing - Theory, News & General
Topic: Books on investing DURING retirement?
Replies: 10
Views: 3399

Retire Early Sleep Well: A Practical Guide To Modern Portfolio Theory and Retirement in Plain English by Steven R. Davis, Second Edition, 2007.

$12.58 at Amazon.
by Black Knights
Wed Aug 22, 2007 12:18 pm
Forum: Investing - Theory, News & General
Topic: How many companies are in the CRSP deciles?
Replies: 7
Views: 4072

Go to Ken French's site at Dartmouth (Tuck) and look at his data for "Portfolios Formed By Size." Here are latest numbers (12/2006):

Code: Select all

Decile 01   159
Decile 02   163
Decile 03   186
Decile 04   182
Decile 05   195
Decile 06   247
Decile 07   272
Decile 08   308
Decile 09   578
Decile 10  2214
by Black Knights
Mon Aug 06, 2007 9:59 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: concentrating risks/minimizing dispersion
Replies: 70
Views: 28176

Larry (and others), IIUC, Larry's idea is to reduce Beta-risk by lowering the equity allocation, but to maintain expected return by taking on more size- and Btm-risk in the new, lower equity allocation. This raises a larger question on how one allocates Beta-, size-, and Btm-risk. While I realize th...
by Black Knights
Wed Jul 11, 2007 7:53 pm
Forum: Investing - Theory, News & General
Topic: Bill Bernstein on Value Premium
Replies: 31
Views: 12036

SmallHi

Very interesting statistics. Thanks!

Do you have similar statistics for size?
by Black Knights
Sat Jun 23, 2007 11:36 am
Forum: Personal Investments
Topic: Berkshire Hath. & my Cap. Allocations
Replies: 16
Views: 4807

Alec - Thanks for the analysis. Unfortunately, the results were what I was afraid they might be: low R^2 and only the equity factors statistically significant. Even though it doesn't pass the t-test, Buffett shows an ALPHA of over 25 bp per month, a nice 3 to 3.5% over the market annually. The value...
by Black Knights
Fri Jun 22, 2007 11:29 pm
Forum: Investing - Theory, News & General
Topic: How to track performance
Replies: 22
Views: 9087

The link on AIMR states Daily calculations of the return are the most accurate, ... so there you have your answer since IRR and XIRR and MSMoney take into account the exact date of any investment transactions. At this extreme, the AIMR method is just doing the IRR calculus by brute force, i.e., tak...
by Black Knights
Fri Jun 22, 2007 11:23 pm
Forum: Personal Investments
Topic: Berkshire Hath. & my Cap. Allocations
Replies: 16
Views: 4807

Lest there be any misunderstanding, I am not endorsing use of BRK as a large value substitute. In fact, I wouldn't even propose it as a portfolio element. Nor do I own it. I am just curious (1) if it is modeled by the FF5F; (2) if so, where does it fall in the multi-dimensional risk-factor space; an...
by Black Knights
Fri Jun 22, 2007 10:20 pm
Forum: Investing - Theory, News & General
Topic: How to track performance
Replies: 22
Views: 9087

I believe that the AIMR approach is a linear approximation that assumes all additions or subtractions occur at mid-period (usually month, quarter or year). I believe XIRR is technically more precise, but that AIMR is an adequate approximation for most situations.
by Black Knights
Fri Jun 22, 2007 10:05 pm
Forum: Personal Investments
Topic: Berkshire Hath. & my Cap. Allocations
Replies: 16
Views: 4807

alec wrote:Which stock, BRK-B or BRK-A?
I don't think it matters. If I understand correctly (no guarantee!), BRK-B is essentially 1/30th of BRK-A. E.g., today BRK-A was $107,400 and BRK-B was $3,578. $107,400/$3,578=30. A Yahoo! Finance comparison chart shows them almost exactly the same.
by Black Knights
Fri Jun 22, 2007 6:09 pm
Forum: Personal Investments
Topic: Berkshire Hath. & my Cap. Allocations
Replies: 16
Views: 4807

A few years ago, I tried to do a F-F Factor analysis on BRK. It was a lame attempt: I only had annual data and only had the 3 equity factors to correlate it against. The fit was poor. I suspect that if someone had all 5 factors available (to take into account the bond-like properties) and used month...
by Black Knights
Fri Jun 22, 2007 5:30 pm
Forum: Investing - Theory, News & General
Topic: Decile Breakdowns for indices
Replies: 1
Views: 1070

Jeff Troutner used to occasionally post these with year-end breakdowns. I always appreciated this since I imagine he caught some heat from DFA (if they were aware). Jeff has always been generous about sharing information (and opinions :wink: ).

Maybe if we ask real nicely 8)
by Black Knights
Fri Jun 22, 2007 5:11 pm
Forum: Investing - Theory, News & General
Topic: How to track performance
Replies: 22
Views: 9087

We Roll Our Own

We follow investments with a number of Excel spreadsheets. For overall return, we use two measures: (1) A dollar-weighted return (YTD and "Retirement-to-Date") calculated using XIRR and (2) A "family share price." When we retired, we defined "shares" in our family wealth based on our nestegg at $10 ...
by Black Knights
Tue Jun 19, 2007 11:18 pm
Forum: Investing - Theory, News & General
Topic: Wharton:Managing Retirement Payouts
Replies: 3
Views: 2727

Here's the link to Bill Sharpe's paper on "lockboxes" for retirement spending:

http://www.stanford.edu/~wfsharpe/wp/lockbox.pdf
by Black Knights
Sun Jun 17, 2007 10:18 am
Forum: Personal Finance (Not Investing)
Topic: Scan Slides to Disc
Replies: 18
Views: 7939

Paul...

I used the Silver Service at 2000 DPI. Most scans are about 2.5 to 3.5 MB. I got the Small JPEG Disc and CD's. The Small JPEG Disc is helpful to quickly locate a slide and/or for e-mail or web pages.
by Black Knights
Sat Jun 16, 2007 8:17 pm
Forum: Personal Finance (Not Investing)
Topic: Scan Slides to Disc
Replies: 18
Views: 7939

To follow up on my original post and the outcome: I had over a thousand slides scanned by the firm mentioned by "cgold" above and can report excellent results and service. Their instructions were very good, the scans were finished ahead of schedule and the scan quality (with ICE processing) was exce...
by Black Knights
Sat Jun 09, 2007 6:46 pm
Forum: Personal Investments
Topic: When good decisions pay off
Replies: 9
Views: 2700

That herald of accuracy the New York Post says that it was a 0.5% stake. That would give about $20 million.
by Black Knights
Thu Jun 07, 2007 1:54 pm
Forum: Investing - Theory, News & General
Topic: Anyone read Robert Haugen? Question about editions
Replies: 7
Views: 2761

IIRC the "3rd Edition" was the same as the 2nd, except that Haugen added an additional chapter that was available at the time on the internet. Haugen seems to have largely fallen off the radar lately.
by Black Knights
Wed May 23, 2007 7:24 pm
Forum: Personal Finance (Not Investing)
Topic: WebCam Advice
Replies: 4
Views: 2067

After doing some research, I picked up a Logitech QuickCam Fusion. They were on sale at my local Office Depot for half-price: Normally $100 with $20 instant rebate and $30 mail-in rebate. Check in your area. For Mac owners : Apple has stopped selling their excellent (but expensive) iSight webcam. Ne...
by Black Knights
Wed May 23, 2007 10:27 am
Forum: Personal Finance (Not Investing)
Topic: WebCam Advice
Replies: 4
Views: 2067

WebCam Advice

I am interested in getting a webcam to communicate with my children and grandchildren who live out of my local area. Anyone have recommendations for a good quality, simple-to-operate webcam? I have a Mac (if that matters). My daughter has an iMac with a built-in webcam. My son uses Windows XP. I ass...
by Black Knights
Tue May 22, 2007 10:26 am
Forum: Investing - Theory, News & General
Topic: Choice, Chance, and Wealth Dispersion at Retirement
Replies: 27
Views: 9549

It makes perfect sense to me. I had argued in a recent thread that LifeCycle Investing makes a weak assumption that people will put away ("smooth consumption") the expenses they save as they progress through life's stages. All too often, when the kids leave the house, the mortgage is paid off, etc. ...
by Black Knights
Sat May 19, 2007 3:13 pm
Forum: Investing - Theory, News & General
Topic: More on Talbet
Replies: 10
Views: 3443

Re: blow up

Spoke briefly with a professional option and futures trader who pursues very conservative strategies. He told me he had met with Taleb in Switzerland and that yes Taleb had blown up .* * Misspellings corrected and bold added. When Taleb "blew up" was it the type of Spontaneous Human Combustion (SHC...
by Black Knights
Sat May 19, 2007 2:46 pm
Forum: Investing - Theory, News & General
Topic: Size and consistency of the small cap premium
Replies: 41
Views: 19845

Where does one find SmB and HmL for international funds? Without these, how does one determine their portfolio's loading points?
by Black Knights
Sat May 12, 2007 3:39 pm
Forum: Personal Finance (Not Investing)
Topic: Top Four For Lunch
Replies: 25
Views: 9883

Make your list of living people. Then, just do it! The chance may never come again and they'll be on your list of non-living people with whom you'd like to have lunch (but can't). Too far away? Too expensive? Still mad at each other? Think what you'd pay or do to regain that opportunity if it were t...
by Black Knights
Thu May 10, 2007 1:25 pm
Forum: Investing - Theory, News & General
Topic: Fat Tails and Black Swans
Replies: 53
Views: 22114

Re Life Cycle Investing: I have only read a few summary articles and posts on this technique, but I do have some comments/concerns. It seems to me that this is a largely theoretical (in a non-pejorative sense) prescriptive approach that makes good economic sense. However, I question how well it fits...