Search found 218 matches

by RobertH
Thu Jun 02, 2011 10:45 am
Forum: Investing - Theory, News & General
Topic: What expenses are not included in Expense Ratio?
Replies: 16
Views: 2171

Funds of funds

The Target Maturity funds offered in my employer's 401(k) are 'funds of funds', which aggregate other mutual funds that can be purchased separately. I asked whether the Expense Ratios reported for the Target Maturity funds include the expenses incurred by the constituent funds (most of which were ru...
by RobertH
Sat Jan 08, 2011 1:17 pm
Forum: Investing - Theory, News & General
Topic: Great Chart: S&P returns by in & out date
Replies: 57
Views: 10214

Kudos, Mossy. Your tool helps crystallize the short- and long-term risks of various asset allocations.

Robert
by RobertH
Sun Nov 28, 2010 1:47 pm
Forum: Investing - Theory, News & General
Topic: Need a 100% TIPS portfolio now
Replies: 89
Views: 14158

Phantom income and taxes

LH asked about the effect of taxes. If expectations of annual inflation going forward were to rise by 1% in the year the TIPS ladder was purchased, what would the phantom income be on the $500k in taxable, roughly? The could be important an important factor to consider in building a TIPS ladder if t...
by RobertH
Sun Nov 07, 2010 11:40 pm
Forum: Investing - Theory, News & General
Topic: Ballmer's sales of MSFT might soon exceed amt held by VTSMX
Replies: 27
Views: 3512

In addition to the higher taxes on January 1st, maybe he's considering a move to another state at some point (retirement?). There's no income tax in Washington State.
by RobertH
Thu Jul 08, 2010 11:41 pm
Forum: Investing - Theory, News & General
Topic: Why the disdain for dividends?
Replies: 194
Views: 22035

If I knew in advance that a company was never going to pay dividends, I wouldn't buy their stock. The only value stock has (other than the transient potential of any worthless paper to be sold to a greater fool) is the risk-adjusted present value of future dividend payments. ...plus the payout when...
by RobertH
Sat Jun 26, 2010 11:09 am
Forum: Investing - Theory, News & General
Topic: New theory on cause of May 6 flash crash
Replies: 25
Views: 3978

If that theory were correct, on the quote-stuffing, wouldn't it be easy to track back to the original HFT? I got the sense that there's nothing overtly illegal about quote stuffing. They suggest that it would be good to ban it, which implies that it's currently allowed (maybe by default). Given tha...
by RobertH
Sun Dec 27, 2009 1:42 pm
Forum: Investing - Theory, News & General
Topic: What does yield curve tell us now?
Replies: 88
Views: 14677

Re: Why is it "negative"?

The Federal Reserve can influence short-term rates (but not long-term rates), ... Victoria, The Fed is executing a program to buy back $1.25 trillion in mortgage backed securities. This leads me to have a couple of questions regarding buying 30-year TIPS: 1) Is the Fed's intervention depressing the...
by RobertH
Mon Dec 21, 2009 11:10 am
Forum: Investing - Theory, News & General
Topic: Tobin's q and CAPE update
Replies: 67
Views: 6736

I find it interesting that when one considers only the samples where P/E10 = 20 or greater, most of the variance between the fitted lines and measured performance is to the downside. This is especially clear with the x/PE10 fit. Only a handful of samples in the set P/E10 = 20 or greater would have m...
by RobertH
Mon May 25, 2009 4:59 pm
Forum: Investing - Theory, News & General
Topic: Means-testing entitlements - a trap for 401K savers?
Replies: 49
Views: 7162

In my 20's and 30's, I also believed that SS would be scaled back in a major way by the time it would be relevant to me. My opinion has shifted, I now expect to start collecting in the 2020's. A presumption in this thread is that the demographics of Social Security will inevitably upend the system. ...
by RobertH
Thu May 07, 2009 9:50 am
Forum: Investing - Theory, News & General
Topic: Foreign Tax Credit on Total Int'l Index Fund--IRA or Taxable
Replies: 5
Views: 1264

Foreign Tax Credits didn't work for me in 2007

Fwiw, I was unable to collect my 2007 foreign tax credits using Turbotax. First, I have Foreign Tax Credit carryforwards and Turbotax insisted that I break out the current year's Foreign Tax Credit by country of origin - information I don't have. Second, I was subject to AMT this year, and if I clai...
by RobertH
Fri Apr 24, 2009 11:14 am
Forum: Investing - Theory, News & General
Topic: predicting the end of DB pension plans...
Replies: 93
Views: 11467

DB plans with unfunded liabilities force CEOs to choose between stakeholders with different interests: shareholders and current/future pensioners. In the US, regulations define necessary (if not sufficient) funding for a DB plan. In times of financial stress this decade, the US government has relaxe...
by RobertH
Fri Apr 17, 2009 11:49 am
Forum: Personal Consumer Issues
Topic: Delta SkyMiles heads-up
Replies: 41
Views: 9362

I'm glad I saw this post: it saved my 52,000 Delta miles. I had missed the fine print on my Delta statement showing the miles expiring at the end of this month. I transferred the Delta miles to our Northwest account. That resets the expiration of the Delta miles. In two months, I'll go back and tran...
by RobertH
Tue Mar 24, 2009 1:20 am
Forum: Investing - Theory, News & General
Topic: Treasury "Public-Private Investment Program"
Replies: 27
Views: 3487

You’re at a company party where there’s a wheel of fortune with 10 numbers on it. If your number comes up, you get $100. Tickets to spin the wheel are auctioned and the winning bid is usually around $10. This represents the market for toxic assets today. Now the CFO of your company makes an announce...
by RobertH
Sun Feb 01, 2009 1:59 pm
Forum: Investing - Theory, News & General
Topic: "Stay-the-course" in the Great Depression ?
Replies: 56
Views: 10871

Staying the course is an admirable goal, but there is a very real possibility that one's risk preferences as embodied in their portfolio would, and perhaps should, change in the face of the loss of a substantial portion of one's assets. Some countries' equity markets went to zero in the 20th century...
by RobertH
Tue Jan 27, 2009 12:29 pm
Forum: Investing - Theory, News & General
Topic: Roubini Sees Negative Growth Remaining Through 2009
Replies: 53
Views: 7847

Roubini makes another point that I've been considering lately. (Take a few steps back from the ledge before reading.) Even though the recession might end in December 2009 after two years, next year might not feel any better. My interpretation: if the US has economic growth of -3.4% this year as Roub...
by RobertH
Thu Jan 15, 2009 11:34 am
Forum: Investing - Theory, News & General
Topic: In an efficient market, why would P/E vary?
Replies: 38
Views: 5409

The market may be efficient, but 'efficient' should not be confused with 'prudent'. Even in the complete absence of new information, people change their minds about their willingness to hold their investments and make new ones. The market, however efficient it may be, has not yet figured out a way t...
by RobertH
Sat Dec 13, 2008 1:00 pm
Forum: Investing - Theory, News & General
Topic: Bernard Madoff arrested over alleged $50 billion fraud
Replies: 177
Views: 34298

But we can all sit back and enjoy watching the chaos, because it doesn't affect us personally, right? The WSJ today points out that Madoff's investors could be entitled to SIPC protection if the Ponzi scheme involved theft. Separately, I read that SIPC doesn't cover investors against investment fra...
by RobertH
Fri Nov 21, 2008 11:10 am
Forum: Investing - Theory, News & General
Topic: Hedging the Euro for personal spending abroad
Replies: 2
Views: 793

Have you considered opening a bank account in Europe and keeping money there? We used to live in Europe and maintained our account there.

That would also give you a Eurocard, which would avoid the 3% surcharge most credit card companies charge on transactions made abroad.

Robert
by RobertH
Sat Nov 15, 2008 2:18 pm
Forum: Investing - Theory, News & General
Topic: Latest S&P 500 Earnings & Estimates
Replies: 14
Views: 3399

Dr Doom

The November 12th data shows estimated operating earnings per share increasing 32% from from $72.53 in 2008 to $94.25 in 2008. Wow. It's important to note that these are 'bottom-up' estimates coming from the analysts that follow the individual companies. The S&P spreadsheet also includes 'top-do...
by RobertH
Tue Nov 04, 2008 11:13 am
Forum: Investing - Theory, News & General
Topic: gambling versus investing
Replies: 69
Views: 9297

but "investing" in gold (or any commodity you might care to nominate) is a gamble. If that's your only investment, yes. But what if gold or something like it reduces risk at the portfolio level because of negative correlations of returns with the rest of your portfolio at key times? Isn't...
by RobertH
Sat Nov 01, 2008 1:10 pm
Forum: Investing - Theory, News & General
Topic: High TIPS yields - liquidity crisis or deflation?
Replies: 24
Views: 4973

Inflation is also a risk as the crisis plays out

One more thing: let's say the government successfully manages the price level by increasing M substantially as velocity V falls. If confidence returns and velocity increases, the government might need to reduce M to avoid inflation (again, Q is also a factor). I would expect that the lower V goes, t...
by RobertH
Sat Nov 01, 2008 11:01 am
Forum: Investing - Theory, News & General
Topic: High TIPS yields - liquidity crisis or deflation?
Replies: 24
Views: 4973

We now have massive liquidity injections all around the globe, and since inflation is a monetary phenomenon how is possible to have a sustained period of deflation? Larry, A monetarist might refer to the formula MV = PQ : the amount of money in the system M times the velocity of money V (the number...
by RobertH
Tue Oct 28, 2008 12:21 am
Forum: Investing - Theory, News & General
Topic: Drawdowns after equities fall 40% - US History
Replies: 32
Views: 6126

R48, I edited my last post to make it clearer that the run-ups I was counting were only after the buy-in level had been reached (at 40% drawdown) and before the bottom. The 40% drawdown didn't occur until July 2002. But to your point, my monthly data shows only a 13.6% rally for the period you cite,...
by RobertH
Mon Oct 27, 2008 11:56 pm
Forum: Investing - Theory, News & General
Topic: What if we're like Japan:(
Replies: 37
Views: 6409

The current crisis is far more global than the Japanese bubble. High prices of equities, bonds and housing in recent years were not confined to the US. The deleveraging we're now going through is also global and asset prices are falling internationally.

Robert
by RobertH
Mon Oct 27, 2008 11:39 pm
Forum: Investing - Theory, News & General
Topic: Drawdowns after equities fall 40% - US History
Replies: 32
Views: 6126

1) How much percentage of decline from the top to the bottom? (-40%/-50% from the top does not represent a bottom) It would be interesting to see historically how much further it could drop. 2) How many 10%+ counter trend rally it had before it reached the bottom each time and how long each rally l...
by RobertH
Sun Oct 26, 2008 5:58 pm
Forum: Investing - Theory, News & General
Topic: Drawdowns after equities fall 40% - US History
Replies: 32
Views: 6126

I was at first surprised that you had -40% and -50% for TSM in the 73-74 bear market. The SP500 went down 38% max during this period (not counting dividends) but that is not inflation adjusted. Les, I calculated inflation-adjusted drawdowns from the previous market peak. In some cases, the peak occ...
by RobertH
Sun Oct 26, 2008 2:47 pm
Forum: Investing - Theory, News & General
Topic: Drawdowns after equities fall 40% - US History
Replies: 32
Views: 6126

Drawdowns after equities fall 40% - US History

US equities are now trading at a little more than half their March 2000 peak, after adjusting for inflation. The future will be different from the past, but it can help guide our intuition about what might happen going forward for an investor considering buying in at these levels. Since 1927, severa...
by RobertH
Wed Oct 22, 2008 10:03 am
Forum: Investing - Theory, News & General
Topic: Technical Definition of Depression
Replies: 13
Views: 3884

nisiprius,
thanks for the very interesting explanations of the origins of these terms.
Robert
by RobertH
Sat Oct 18, 2008 7:39 am
Forum: Investing - Theory, News & General
Topic: Intl Bonds vs. Intl Equities
Replies: 15
Views: 2880

To play devil's advocate: If you think of it as betting, why bet at all? 50/50 domestic/foreign would leave you indifferent to whether your currency rises or falls relative to the rest of the world. Anything else would constitute a bet of some sort, right? Only until you want to take your money out...
by RobertH
Wed Oct 15, 2008 10:28 am
Forum: Investing - Theory, News & General
Topic: Rule of thumb, Max loss = half of equity?
Replies: 24
Views: 4454

In this thread , I showed that in the downturn from 1929 to 1932, rebalancers would have experienced a peak-to-trough decline in portfolio value that was more than their percent allocation to equities. The rule Maximum tolerable loss x 2 = Maximum equity allocation appears to work for market decline...
by RobertH
Wed Oct 15, 2008 10:00 am
Forum: Investing - Theory, News & General
Topic: A little perspective - the Panic of 1873
Replies: 6
Views: 2080

This thread discussed another article on the Panic of 1873, citing an article entitled The Real Great Depression.

Robert
by RobertH
Sun Oct 12, 2008 4:51 pm
Forum: Investing - Theory, News & General
Topic: would an efficient market drop 45% ?
Replies: 63
Views: 8931

The markets might be efficient, but they are not always prudent.

Robert
by RobertH
Sun Oct 12, 2008 4:45 pm
Forum: Investing - Theory, News & General
Topic: Rebalancers, beware!
Replies: 25
Views: 6040

You need to post the rest of the story. Which is that years 1933 and 1935 were the best 2 years in the 20th century for stock market investors...both about 50% gains. If you stayed the course with the rebalances.... That's the key question: would one really stay the course? How would a 60/40 invest...
by RobertH
Sun Oct 12, 2008 1:52 pm
Forum: Investing - Theory, News & General
Topic: Rebalancers, beware!
Replies: 25
Views: 6040

Rebalancers, beware!

The equity/fixed decision helps cap losses during a bear market, but how well does this work for the committed rebalancer? Take the case of a hypothetical investor who entered the market in August 1929, just before the stock market crash. The investor divided his portfolio between US large cap stock...
by RobertH
Sat Oct 11, 2008 11:46 am
Forum: Investing - Theory, News & General
Topic: Death of Commodity CCFs
Replies: 42
Views: 7596

Re: Commodities and Aggregate Price Shocks

- the world is bent for hyperinflation due to fractional reserve banking (as in the current crisis) Could please you elaborate on your fractional reserve banking comment? Also, what level of inflation do you regard as hyperinflation? Wikipedia: Hyperinflation In economics, hyperinflation is inflati...
by RobertH
Thu Oct 02, 2008 10:41 am
Forum: Investing - Theory, News & General
Topic: Broker reporting of capital gains
Replies: 10
Views: 2010

I wonder how they will deal with situations where the investor didn't buy the shares at the current broker. I've switched brokers and the current broker has no idea what I paid for most of my shares. It looks like brokers will be responsible for passing the basis information to other brokers when s...
by RobertH
Wed Oct 01, 2008 10:19 pm
Forum: Investing - Theory, News & General
Topic: Broker reporting of capital gains
Replies: 10
Views: 2010

Broker reporting of capital gains

The Wall Street Journal's summary of the Senate bill passed today included the following teaser: mandatory basis reporting by brokers for transactions involving publicly traded securities. It looks like the changes will take effect for stocks on January 1, 2011, for stocks acquired on or after Janua...
by RobertH
Sat Sep 20, 2008 10:09 am
Forum: Investing - Theory, News & General
Topic: A Real Boglehead Moment - What are you doing?
Replies: 113
Views: 20854

Yesterday, I switched our cash reserves from money market funds backed by commercial paper to one backed by treasuries. The money market fund insurance proposed by the Treasury is not yet law, and although I don't doubt that something will be passed, I do not want to be part of a rush of the uninsur...
by RobertH
Sat Sep 20, 2008 9:49 am
Forum: Investing - Theory, News & General
Topic: naked short selling restrictions effective Thursday
Replies: 17
Views: 3708

Reading this thread, one would think that the SEC simply stepped up enforcement of rules prohibiting naked short selling as they did in July. My understanding is that the SEC eliminated ALL short selling on roughly 800 stocks for 10 days. As if this wasn't enough, the SEC went significantly further:...
by RobertH
Sun Sep 14, 2008 12:54 pm
Forum: Investing - Theory, News & General
Topic: Memo to the Uneasy Investor: Be Strong
Replies: 12
Views: 3402

Maximum drawdowns by asset class

Maximum year-end drawdowns in REAL terms Data source: SBBI Drawdown is calculated using lowest year-end value and highest preceding year-end value for that asset class. This means that the starting year for comparison might differ for asset classes within a row. _______LG_____LV_____SG____SV____Dec...
by RobertH
Sun Aug 03, 2008 11:30 am
Forum: Investing - Theory, News & General
Topic: Do Options, Futures, etc. increase market efficiency?
Replies: 5
Views: 1540

Market efficiency does not necessarily mean market stability

Alan Greenspan wrote on the related topic of risk management and market stability in March, "We Will Never Have a Perfect Model of Risk". One difficult problem is that much of the dubious financial-market behaviour that chronically emerges during the expansion phase is the result not of ig...
by RobertH
Tue Jul 15, 2008 10:37 pm
Forum: Investing - Theory, News & General
Topic: Margin Account Dangers Today
Replies: 19
Views: 7801

Re: Margin Account Dangers Today

...it is especially important to make certain that you are not blindsided by some account detail in some present or future financial crisis.... For example, such a long-term investor would prefer a Vanguard Mutual Fund over a Vanguard ETF, despite the lower expenses of the latter. Can you please el...
by RobertH
Mon Jul 14, 2008 9:04 pm
Forum: Investing - Theory, News & General
Topic: Anyone exclude Mid Caps?
Replies: 30
Views: 6155

Midcaps had shorter drawdowns during the 1970s

During the 1970s, the length of the drawdown period for real returns was shorter for deciles 3-8 than for deciles 1-2 or 9-10.

Robert
by RobertH
Tue Apr 15, 2008 11:42 pm
Forum: Investing - Theory, News & General
Topic: Tax burden vs. brackets
Replies: 20
Views: 4695

The death tax is a tax on wealth. Then they take 40%+ of the assets. I've never understood the opposition to the inheritance tax. The government has to get its revenue from somewhere and less estate tax revenue can only mean more tax revenue collected elsewhere. Lower taxes on my income in exchange...
by RobertH
Sun Mar 23, 2008 4:39 pm
Forum: Investing - Theory, News & General
Topic: 1974 Recession - 46% of Americans feared another depression
Replies: 7
Views: 2285

On an inflation-adjusted basis, the 1970s were almost as bad as the 1930's for investors in equities. I ran some numbers on this using annual returns and inflation rates from SBBI. Considering year-end inflation-adjusted index values only, the maximum peak-to-trough drawdown for large cap stocks was...
by RobertH
Tue Mar 11, 2008 12:42 am
Forum: Investing - Theory, News & General
Topic: What is the best online financial charting site?
Replies: 11
Views: 2823

It's not a graph, but the historical data available for funds at finance.yahoo.com includes a column 'Adj. close' that factors in 'dividends'. I double-checked this for a single data point (the distributions for Windsor II in December) and found that this 'dividend' is, in fact, Dividend + ST Cap Ga...
by RobertH
Sat Mar 08, 2008 3:37 pm
Forum: Investing - Theory, News & General
Topic: 5-year TIPs yield at 0%
Replies: 48
Views: 10351

Image

The real interest rate on 5-year TIPS due 4/15/10
by RobertH
Wed Mar 05, 2008 11:27 am
Forum: Investing - Theory, News & General
Topic: Optimum Rebalancing Bands
Replies: 1
Views: 1100

See this thread and the article referenced in the first post.

Robert
by RobertH
Tue Mar 04, 2008 10:33 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1032
Views: 573030

Simba, You asked for clarification on the issue with the Sortino ratios. Check out this thread , where Sortino ratios were calculated using your spreadsheet. The ratios for Gibson's Medium Return portfolios don't look right to me. And thanks for the great work on this spreadsheet. Robert P.S. You mi...
by RobertH
Tue Mar 04, 2008 12:30 pm
Forum: Investing - Theory, News & General
Topic: The Great Debate -Zvi Bodie vs. Jeremy Siegel
Replies: 10
Views: 3293

Siegel on Valuations

I found this assessment by Jeremy Siegel interesting (p30): Jeremy Grantham and some of those bears, including Bob Shore, says, well, the PE's going back to 15. That's the long run 50 year ratio, 100 year ratio, whatever. To which I answer, well, we'll only go back to that if markets and the economy...