Search found 220 matches

by RobertH
Sun Aug 13, 2023 1:05 pm
Forum: Personal Investments
Topic: I Bonds and Bill Bernstein's Maxim
Replies: 115
Views: 22928

Re: I Bonds and Bill Bernstein's Maxim

I well recall a "beep beep, back up the truck" post from several years ago when the 30-y TIPS yield ever so briefly hit 1.6% before slinking back to, and eventually below, zero. I've been almost completely inactive on this forum since 2011, but with that same 'Beep beep, back up the truck' headline in mind this morning, I revisited this site to see what folks think about buying TIPS now. Reviewing this thread, it seems like it might be worth considering constructing an entire ladder out of different maturities while the 'TIPS Window' seems to be wide open (I own no TIPS now, just a few I-Bonds). One thing that has held me back from thinking much about TIPS (in addition to the negative real yields of past years) is the taxation of...
by RobertH
Wed Nov 22, 2017 8:46 pm
Forum: Investing - Theory, News & General
Topic: [Yahoo Finance no longer works - Alternatives to download securities quotes]
Replies: 294
Views: 76188

Re: [Yahoo Finance no longer works - Alternatives to download securities quotes]

My first post in a LONG time. :) With Yahoo! quotes defunct, my spreadsheet was broken. I needed a simple call that I could invoke from sixty cells in Excel that would allow me to download closing prices for stock and mutual funds one cell at a time, just like the =StockQuote() macro I had been using for many years. Once I decided on the approach I wanted to take, I got there quickly. I'm posting this to save you the time I spent on research. I have successfully cut over to GoogleFinance data and, now that it's set up, I expect it to be as easy to use going forward as the =StockQuote() call had been. All I need to do to refresh my quotes is click 'DATA>REFRESH ALL' within my Excel workbook. The bad news is that it's more work to set up. You...
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: 2497

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 run by the same firm). I was told they did not. Thus, a Target Maturity fund that reports an ER of 0.75% might, in fact, have an ER of 1.5% after accounting for the fees imposed by the constituent funds.
by RobertH
Sat Jan 08, 2011 12:17 pm
Forum: Investing - Theory, News & General
Topic: Great Chart: S&P returns by in & out date
Replies: 57
Views: 11297

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

Robert
by RobertH
Sun Nov 28, 2010 12:47 pm
Forum: Investing - Theory, News & General
Topic: Need a 100% TIPS portfolio now
Replies: 89
Views: 16135

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 the marginal tax rate of the recipient is high.
by RobertH
Sun Nov 07, 2010 10:40 pm
Forum: Investing - Theory, News & General
Topic: Ballmer's sales of MSFT might soon exceed amt held by VTSMX
Replies: 27
Views: 3810

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: 24806

SamGamgee wrote: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 the company ceases operation. That's also part of the formula.
Robert
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: 4357

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 that, there's probably no need to track down the source or out anyone. Jim The report identified egregious quote-stuffing devoid of societal value: On the subject of HFT systems, we were shocked to find cases where one exchange was sending an extremely high number of quotes for one stock in a single second -- as high as 5,000 quotes in 1 second! During May 6, there were hundreds of times that a single stock had over 1,000 quotes from one exchange in...
by RobertH
Sun Dec 27, 2009 12:42 pm
Forum: Investing - Theory, News & General
Topic: What does yield curve tell us now?
Replies: 88
Views: 17531

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 the yield curve? Would the pressure be felt on the long end, or closer to the middle of the curve? What's the magnitude of the effect? What will happen when the purchase program ends? 2) To what extent are 30-year TIPS insulated from this program? Can the real interest rate for TIPS be higher than the real interest rate for MBS or other long bonds (because of Fed demand for one but not the others)? Or are there effective means for arbitraging di...
by RobertH
Mon Dec 21, 2009 10:10 am
Forum: Investing - Theory, News & General
Topic: Tobin's q and CAPE update
Replies: 67
Views: 7689

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 met or exceeded the return predicted by either of the lines at P/E10 = 20.
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: 8010

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. But today, I read: To lump Social Security together with the more problematic Medicare shortfall... is blatantly misleading. It’s like saying the combination of a Big Mac and a jelly bean is an extremely high-calorie meal. ... Over the next 75 years, the Social Security shortfall at most hovers around 1 percent of total U.S. GDP over that same period. At ~1% of GDP, the Social Security shortfall could be surmounted. The end of the system as we kn...
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: 1511

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 claimed the Foreign Tax Credit directly on my 1040, Turbotax increased my AMT by the same amount, for no net savings. Finally, claiming the FTC as a deduction (instead of as a credit) did not reduce my taxes because I used the standard deduction.

Maybe a tax accountant could have figured this out, but I couldn't (or maybe I did), and hiring a tax accountant for this issue alone wasn't worth it.
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: 12640

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 relaxed the funding requirements for pension plans. One might argue that this serves the long-term interests of the 'average' pensioner, but this is little comfort for a pensioner whose company goes bankrupt - the PBGC safety net is not seamless. Case in point: two members of my family had their pensions reduced by PBGC: one of them had to go back to work.
by RobertH
Fri Apr 17, 2009 11:49 am
Forum: Personal Consumer Issues
Topic: Delta SkyMiles heads-up
Replies: 41
Views: 10232

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 transfer the 500 miles that my Delta account will be credited for doing today's transfer.

Thanks OP!
Robert
by RobertH
Tue Mar 24, 2009 1:20 am
Forum: Investing - Theory, News & General
Topic: Treasury "Public-Private Investment Program"
Replies: 27
Views: 3842

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 announcement. He’ll loan you 85% of the money to buy a ticket. If your ticket wins, you have to repay the loan, but if it loses, your loan is forgiven. He explains that it’s for a good cause: proceeds of ticket sales in excess of $10 per ticket will be donated to charity. You haven’t been playing, but now you’re interested: you figure that with the CFO’s 85% loan, just $1.50 of your own money will buy a $10 ticket. If you win, you’re keep $91.50 after re...
by RobertH
Sun Feb 01, 2009 12:59 pm
Forum: Investing - Theory, News & General
Topic: "Stay-the-course" in the Great Depression ?
Replies: 56
Views: 12476

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. Mechanically staying the course and rebalancing would have destroyed not only the equity portion of the portfolio, but the fixed income portion subject to rebalancing, as well. I believe that there are few who are past the early accumulation phase that would ride their asset allocations all the way to zero in this way, leaving them with only their reserve fund. Similarly, I think it's difficult to predict who would ride an 89% drop in in the Do...
by RobertH
Tue Jan 27, 2009 11:29 am
Forum: Investing - Theory, News & General
Topic: Roubini Sees Negative Growth Remaining Through 2009
Replies: 53
Views: 8516

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 Roubini predicts, and "significantly weak growth recovery" in 2010, it could be 2011 before the economy returns to the level it is at now, even if the recession (=contraction) technically ends in 2009.
by RobertH
Thu Jan 15, 2009 10:34 am
Forum: Investing - Theory, News & General
Topic: In an efficient market, why would P/E vary?
Replies: 38
Views: 6149

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 to arbitrage away market shifts based on emotion.

Robert
by RobertH
Sat Dec 13, 2008 12:00 pm
Forum: Investing - Theory, News & General
Topic: Bernard Madoff arrested over alleged $50 billion fraud
Replies: 177
Views: 37295

nisiprius wrote: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 fraud. If it turns out that SIPC protections apply, the first $500k of eligible accounts would be protected by the government, and we would all be paying for that.

Robert
by RobertH
Fri Nov 21, 2008 10:10 am
Forum: Investing - Theory, News & General
Topic: Hedging the Euro for personal spending abroad
Replies: 2
Views: 950

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 1:18 pm
Forum: Investing - Theory, News & General
Topic: Latest S&P 500 Earnings & Estimates
Replies: 14
Views: 3706

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-down' estimates of operating EPS that take into account economic conditions. From the November 12th spreadsheet, we see that these numbers are $64.13 for 2008 and $62.98 for 2009, a 1.8% drop year-over-year. Nouriel Roubini, aka Dr. Doom, recently called consensus estimates of S&P earnings for 2009 "outright silly and delusional": For 2009 the consensus estimates for earnings are delusional: current consensus estimates are that S&...
by RobertH
Tue Nov 04, 2008 10:13 am
Forum: Investing - Theory, News & General
Topic: gambling versus investing
Replies: 69
Views: 10488

cjking wrote: 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 an investment that provides no return in itself, but reduces risk at the portfolio level legitimate? More simply, do you view insurance an investment or a gamble?

Since you mention commodities, I believe that buying a basket of commodities futures contracts that have very low correlations with each other and high variance of returns is investing, because of the positive expected return generated by rebalancing within the fund.

Robert
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: 5374

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, the harder it would be to maintain balanced prices on the way down and on the way up, because changes in a small V can have a bigger multiplier effect on a large M than changes in a large V have on a smaller M. If the Fed is unwilling or unable to reduce M appropriately as V increases, P could potentially rise sharply. If V increases slowly (as seems likely) this would not be such an issue. Nevertheless, I like the idea of maintaining inflation he...
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: 5374

larryswedroe wrote: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 of times it's spent in a period) equals the average price of goods and services P times the quantity of transactions Q during the period. Deflation (falling P) is possible while M is rising if V drops relatively more, and the slack is not taken up by falling Q.

I'm not sure whether this is happening or not, but theoretically it's possible. And it seems obvious that velocity has recently fallen sharply.
Robert
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: 6626

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, while your daily data shows a 20% rally. I agree that monthly data is too coarse for analyzing buy-in strategies. I tried to be clear in my caveats, but it's worth saying outright.
Robert
by RobertH
Mon Oct 27, 2008 11:56 pm
Forum: Investing - Theory, News & General
Topic: What if we're like Japan:(
Replies: 37
Views: 6841

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: 6626

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 lasted. cajj, Here you go, but please remember that these numbers are based on month-end data. Daily returns would show larger maximum drawdowns and probably more 10% run-ups. The 1938-1942 period is better described by words than a few numbers. The deep dips were at the start and end of the period, with 49% and 47% drawdowns, respectively. In between, the market spent most of its time bouncing between drawdowns of 22% - 32%, except for a period i...
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: 6626

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 occurred several years earlier. For example, the peak prior to 1973-1974 actually occurred in November 1968. Today, the inflation-adjusted reference for TSM is still March 2000. (The small-value index I'm using hit a new high in May 2007 and is currently at about half that level.) My original post calculated drawdowns from the following peaks: August, 1929 February, 1937 (March for Small Value) November, 1968 March, 2000 --- Regarding the timing of ...
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: 6626

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, several bear markets have seen equity drawdowns of 40% or more. An investor who bought in at that level typically saw his portfolio drop for months or years after he bought. Two questions: What does history tell us about how long it took equities to finally recover to the buy-in level - 'finally' meaning that (inflation-adjusted) equity prices did not fall below the buy-in level again for that bear market? How did small and value tilts affect the resul...
by RobertH
Wed Oct 22, 2008 10:03 am
Forum: Investing - Theory, News & General
Topic: Technical Definition of Depression
Replies: 13
Views: 4258

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: 3269

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. At that point you have a single factor risk that your currency has appreciated relative to the other currencies of the world, and that your overseas holdings don't buy all that much in the currency you need. And this risk is real - the monetary policies of your country's central bank and the fiscal policies of your country's lawmakers influence exchange rates. Your bet is that your currency will be 'fairly priced' relative to the other currenci...
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: 4985

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 declines up to 50% or so, but it goes out the window for mega-bear markets like we had after 1929. At least if you stay the course in rebalancing.

Robert
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: 2308

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: 10085

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: 6627

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 investor today who is prepared for a 30% drawdown of his portfolio react if the market drops more than the 50% he has prepared for and his drawdown is considerably more, as was the case in June 1932? I believe that most investors would question their rebalancing discipline and maybe even their allocations before suffering a 64% fall in the unrealized value of their portfolio, as the 60/40 investor did then. As regards data mining, it's true this is the...
by RobertH
Sun Oct 12, 2008 1:52 pm
Forum: Investing - Theory, News & General
Topic: Rebalancers, beware!
Replies: 25
Views: 6627

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 stocks and T-bills and rebalanced to his target allocation at the end of every month, but only if his allocation to equity had strayed from his target by more than 5% of his total portfolio. How much had his total portfolio lost in June 1932 - stocks down 83% from their pre-crash high (EOM data) Eq/Fixed Portfolio Drawdown (Aug 1929 - Jun 1932) 20/80 25% 30/70 37% 40/60 47% 50/50 56% 60/40 64% 70/30 70% 80/20 75% These numbers are higher than I had ex...
by RobertH
Sat Oct 11, 2008 11:46 am
Forum: Investing - Theory, News & General
Topic: Death of Commodity CCFs
Replies: 42
Views: 8276

Re: Commodities and Aggregate Price Shocks

Valuethinker wrote:- 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 inflation that is "out of control", a condition in which prices increase rapidly as a currency loses its value. Formal definitions vary from a cumulative inflation rate over three years approaching 100% to "inflation exceeding 50% a month." In informal usage the term is often applied to much lower rates.
by RobertH
Thu Oct 02, 2008 10:41 am
Forum: Investing - Theory, News & General
Topic: Broker reporting of capital gains
Replies: 10
Views: 2265

chicagobear wrote: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 securities transfer between accounts (p246 of the bill).

I imagine that the reason the law doesn't take effect for a few years is to give brokers time to put these systems in place.

Robert
by RobertH
Wed Oct 01, 2008 10:19 pm
Forum: Investing - Theory, News & General
Topic: Broker reporting of capital gains
Replies: 10
Views: 2265

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 January 1, 2011 . Other instruments to be covered include bonds, commodities and commodity derivatives, although mandatory reporting for them will be phased in a year or two later. Interestingly, I don't see mutual funds mentioned. The broker must report "the customer's adjusted basis in such security and whether any gain or loss with respect to such security is long-term or short-term". The basis will be determined "in accordance with ...
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: 22980

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 uninsured if the law has limits such as $100k per account or per customer, or if my broker's MM fund is too big to qualify, or if for some reason the broker opts out of the insurance fees. Also, the fine print for my MM fund says that the broker reserves the right to return the underlying securities if I withdraw more than $250k in a 90-day period. While I think it very unlikely that they would invoke that clause now that insurance has been proposed, I ...
by RobertH
Sat Sep 20, 2008 9:49 am
Forum: Investing - Theory, News & General
Topic: naked short selling restrictions effective Thursday
Replies: 17
Views: 4242

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: short positions for many players have to be disclosed for the next few weeks, which many of these players will not want to do. That may have led them to cover short positions that they were unwilling to go public with.

As if this wasn't enough, the UK and Germany have also curtailed short activity.

This action is qualitatively much stronger that what we saw in July. Or am I missing something?

Robert
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: 3684

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____Decile 9 1932___57%___73%___76%___81%___84% 1974___55%___40%___80%___61%___80% 2002___47%___36%___51%___14%___21% The above calculations are based on year-end figures. The actual drawdowns will be bigger still, because the peaks and troughs did not occur at the end of the year. My conclusion is that the 50% rule probably understates potential losses for specific asset classes. How well the rule applies to equities at the portfolio level will depend ...
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: 1767

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 ignorance of badly underpriced risk, but of the concern that unless firms participate in a current euphoria, they will irretrievably lose market share. ... But these [investment risk management] models do not fully capture what I believe has been, to date, only a peripheral addendum to business-cycle and financial modelling – the innate human responses that result in swings between euphoria and fear that repeat themselves generation after generatio...
by RobertH
Tue Jul 15, 2008 10:37 pm
Forum: Investing - Theory, News & General
Topic: Margin Account Dangers Today
Replies: 27
Views: 11786

Re: Margin Account Dangers Today

StoneReader wrote:...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 elaborate?

Robert

PS: Regarding your main point, I came to a similar conclusion a few years ago. Thanks for the post.
by RobertH
Mon Jul 14, 2008 9:04 pm
Forum: Investing - Theory, News & General
Topic: Anyone exclude Mid Caps?
Replies: 30
Views: 6672

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: 5110

skywolf wrote: 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 for higher taxes on my estate after I'm dead doesn't seem so unfair to me.
skywolf wrote: Currently 1% of US taxpayers pay 39% of total taxes.
OK, but according to this link the top 1% also own 42% of the financial assets held by individuals in this country. How much of the 39% overall burden borne by the top 1% derives from gains on this 42% share, I wonder?

Robert
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: 2555

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 54% in the Great Depression and 49% during the 1970s. Similarly, small caps suffered a drawdown of 82% in the Great Depression and 71% in the 1970's. The last year in which large caps closed below their 1928 end-of-year high was 1942. The last year in which large caps closed below their 1968 end-of-year high was 1982. (Again, on an inflation-adjusted basis.)

Robert
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: 3302

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 Gain + LT Cap Gain.

A bit of work, but one could download this data, and graph it in Excel or some other program.

Robert
by RobertH
Sat Mar 08, 2008 2:37 pm
Forum: Investing - Theory, News & General
Topic: 5-year TIPs yield at 0%
Replies: 48
Views: 10913

Image

The real interest rate on 5-year TIPS due 4/15/10
by RobertH
Wed Mar 05, 2008 10:27 am
Forum: Investing - Theory, News & General
Topic: Optimum Rebalancing Bands
Replies: 1
Views: 1223

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

Robert