Search found 658 matches

by DP
Wed Jan 18, 2012 5:42 pm
Forum: Investing - Theory, News & General
Topic: - Share your investing success stories -
Replies: 39
Views: 5531

Re: - Share your investing success stories -

I have actively traded a significant portion of my portfolio since 2006, when I first started applying a more objective approach to evaluating stocks and funds. Since then I have a 22.5% annualized return for my trading accounts (doesn't include 401K, and a buy and hold account for college savings)....
by DP
Fri Jan 13, 2012 9:58 am
Forum: Investing - Theory, News & General
Topic: Net Worth by Age [and plot]
Replies: 152
Views: 11657

Re: Net Worth by Age [and plot]

Can someone lay out for me how a typical (even typical Boglehead) has $420K at age 30? Let's assume a college graduate, so we are talking about 8 years of professional employment. I was curious so I ran some numbers based on a simplified view not accounting for marriage, family, pension, social sec...
by DP
Thu Jan 12, 2012 12:49 pm
Forum: Investing - Theory, News & General
Topic: Net Worth by Age [and plot]
Replies: 152
Views: 11657

Re: Net Worth by Age [and plot]

Interesting data, thanks for collecting. Clearly this group is wealthier then average. The question is, is the group wealthy because they are Bogleheads, or Bogleheads because they are wealthy?

Don
by DP
Fri Jan 06, 2012 9:07 pm
Forum: Investing - Theory, News & General
Topic: Are 200-day market timers ready?
Replies: 185
Views: 43348

Re: Are 200-day market timers ready?

Doesn't change the basic conclusion that, over the last 60-year record, this market timing scheme would have yielded insignificant alpha even if it had been practical to execute it. JW Alpha is a risk adjusted measure but you are comparing non risk adjusted returns. What I have seen in my testing o...
by DP
Mon Dec 26, 2011 9:46 pm
Forum: Investing - Theory, News & General
Topic: 200-day moving average market timing
Replies: 1194
Views: 407936

Re: 200-day moving average market timing

Also don't forget that the moving average strategy was lower risk.

Dr. Balter, thanks for running the after tax numbers. Frankly I didn't believe the results so I ran the numbers myself, and I got the exact same result as you did.

Don
by DP
Fri Dec 16, 2011 11:13 am
Forum: Investing - Theory, News & General
Topic: Who's the fairest of them all?
Replies: 78
Views: 29760

Re: Who's the fairest of them all?

It would be useful if some measure of risk could be included as well, such as max drawdown or standard deviation. To me a 10% return with a 10% drawdown and 10% standard deviation is far superior to a 10% return with a 30% drawdown and a 20% standard deviation.

Don
by DP
Fri Sep 16, 2011 9:18 pm
Forum: Investing - Theory, News & General
Topic: Justin Lent's paper on trend following and mean reversion
Replies: 5
Views: 1700

If you like this type of research you may like Short Term Trading Strategies that Work, by Larry Connors. It's focus is short term mean reversion, much shorter term than this study and it is based on research.

Don
by DP
Fri Sep 16, 2011 2:59 pm
Forum: Investing - Theory, News & General
Topic: Justin Lent's paper on trend following and mean reversion
Replies: 5
Views: 1700

Annualized returns, volatility, and Sharpe Ratio are calculated using only the days from when the strategy was actively in the market. So the 28.6% is the annualized returns trading the SPY long, but since it was only in the market only 33.9% of the time, then I think the annual returns would have ...
by DP
Tue Sep 06, 2011 9:50 pm
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16688

Forward to today. Investors are at fault because they are now willing to invest in companies with the same risk and accept lower returns for their trouble. Lower dividends and higher P/Es. If you want to participate, you must accept the terms set by all investors. Investors are the only ones who ca...
by DP
Tue Sep 06, 2011 9:47 pm
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16688

Actually you are wrong. Or possibly making your "facts" up. Source: m Both countries have had terrible GDP growth rates almost mirroring each other. The data is from the World Bank. Falling population = Shrinking economy. Here is German and Japanese population growth over the same period ...
by DP
Tue Sep 06, 2011 7:54 pm
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16688

I assume there's a positive relationship between risk and return for the same reason I assume there are no $100 bills on the busy sidewalk outside my house: The people and institutions that set market prices are rational, profit maximizing entities. Nick Aren't these the same people that bought pac...
by DP
Mon Sep 05, 2011 12:15 pm
Forum: Investing - Theory, News & General
Topic: 200-day moving average market timing
Replies: 1194
Views: 407936

Is there a guide somewhere which will show me how to do this? Not that I know of. MrExcel.com is a useful source for questions about Excel. I think etfreplay.com may have the capability to test some moving averages. You may also want to review some of the tests that have already been done. This sit...
by DP
Mon Sep 05, 2011 12:08 pm
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16688

I suspect your portfolio will have returns quite a bit lower than stocks, with risk higher than bonds, going forward. But let us revisit this thread on labor day in 2012 (or 2021) and see. Nick Feel free to check on it at anytime. It is equal parts SCV, EM, Gold, Tips, Global Bonds, and Total Bond ...
by DP
Mon Sep 05, 2011 11:49 am
Forum: Investing - Theory, News & General
Topic: 200-day moving average market timing
Replies: 1194
Views: 407936

So what programs are people using to backtest more than 10 years? Aside from the spreadsheet that goes back to 1950 but which I think can only measure crossovers between 2 moving averages. You can test anything you want in a spreadsheet. I tested the DJIA back to the 1920's. I tested moving average...
by DP
Mon Sep 05, 2011 12:57 am
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16688

I would add that there is no evidence save for selected past performance. What do you think the odds are that stocks will outperform bonds over the next 30 years? I assume, unless you have a 100% bond portfolio, you think the odds are pretty high, since stocks are so much riskier than bonds. Nick I...
by DP
Sun Sep 04, 2011 10:50 pm
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16688

There is no evidence whatsoever, save for past performance, that states that equities will have higher returns than bonds. The theory of the equity risk premium is entirely based on past performance and the mistaken belief that people buy stocks because of a a vague understanding of risk. Ask the a...
by DP
Sun Sep 04, 2011 4:02 pm
Forum: Investing - Theory, News & General
Topic: 200-day moving average market timing
Replies: 1194
Views: 407936

What program do you guys use to do these long backtests? I've got StrategyDesk from TD Ameritrade, but it only has data going back 10 years (sometimes less). I'd like to see if the strategy that I am considering (buy when 2% above the 200-day SMA, sell when 5% below the 200-day SMA) would have held...
by DP
Mon Aug 29, 2011 4:35 pm
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

This video is painful to watch -- a lot of stutters and stammers, ums and ahs, breathy sighs, and nervous coughs. I had to stop watching, the content just wasn't worth the pain. Well first, as you mention, he is a guest lecturer. Second, I find your reaction interesting in the context of the book I...
by DP
Mon Aug 29, 2011 2:27 pm
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

Yobria, Oh? And in which country over the long term has the lower risk investment (bonds) outperformed the higher risk one (stocks)? How about the US? As recently as 2009 treasury bonds had outperformed stocks over a 40 year period. 40 years is pretty long term. If this is not convincing, then how ...
by DP
Mon Aug 29, 2011 1:56 pm
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

Re: The great strength of the Boglehead Philosophy

Hi Freebeer: In my opinion, the great strength of the Boglehead Philosophy is that Bogleheads base their investment decisions on reliable academic research and not on Wall Street's self-serving marketing machine. We also must never overlook the fact that our mentor Jack Bogle has more practical (an...
by DP
Mon Aug 29, 2011 1:26 pm
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

It's a matter of degree. The point is that the more you outperform the less able you are to continue outperforming and, no matter what eventually stops you, it's literally impossible to outperform for more than a limited time. This is a statement I can agree with. It was the word "quickly"...
by DP
Mon Aug 29, 2011 11:14 am
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

This video is painful to watch -- a lot of stutters and stammers, ums and ahs, breathy sighs, and nervous coughs. I had to stop watching, the content just wasn't worth the pain. Well first, as you mention, he is a guest lecturer. Second, I find your reaction interesting in the context of the book I...
by DP
Mon Aug 29, 2011 10:00 am
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

Look out your window at the sidewalk. When you start seeing $100 bills people aren't picking up, you may assume people are irrational when it comes to maximizing wealth. I may not see money lying around on the sidewalk but I see it all the time in stocks due to excessive greed and fear. Human being...
by DP
Sun Aug 28, 2011 11:17 pm
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

Yobria, We discussed your request for 20 trades before. The results are not meaningful so I wouldn't provide mine, much less ask others to do so. I provided you a 3rd party website that shows audited returns for one of my accounts. No rational person will demand a lower return from a higher risk inv...
by DP
Sun Aug 28, 2011 8:17 pm
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

Let's do what I used to call on the old Diehard board a "look around test". Look around. How many of your friends, family, and neighbors figured out winning trading systems, made millions, and retired at 25? I think a more appropriate question is how many of your friends, family, and neig...
by DP
Sat Aug 27, 2011 9:47 pm
Forum: Investing - Theory, News & General
Topic: Common Boglehead arguments that are not very convincing
Replies: 124
Views: 13583

Hi, Good thread. I'm suprised this statement went unchallenged, at least not that I saw: In other words, in investing everyone really doesn't have to do it in order for "everyone" to do it because if even a single individual has a system that beats the market then they would quickly become...
by DP
Wed Aug 24, 2011 6:14 pm
Forum: Investing - Theory, News & General
Topic: 200-day moving average market timing
Replies: 1194
Views: 407936

Hi, Well leveraged funds can gain or fall 10% in a very short period of time. In any case, because the decay has been a drag on the leveraged funds, I investigated shorting leveraged pairs. By shorting both a long and short fund you remove market risk and specifically take advantage of the volatilit...
by DP
Wed Aug 24, 2011 3:31 pm
Forum: Investing - Theory, News & General
Topic: 200-day moving average market timing
Replies: 1194
Views: 407936

From what I have read, the 200 day timing method seems to work pretty well in the choppy environment that we are currently in. Would you add alpha by doing a leveraged ETF like ProShares Ultra S&P500 (SSO) during the upswing buys? Has anyone run the numbers for this scenario? Thanks for the goo...
by DP
Sun Aug 14, 2011 11:24 pm
Forum: Investing - Theory, News & General
Topic: Are 200-day market timers ready?
Replies: 185
Views: 43348

Hi, Interesting thing about the VIX. A volatility spike is generally followed by a market rebound, but higher volatility in general is something associated with declining markets. So my conclusion is that higher VIX can be bullish and/or bearish. There is a link to a paper here: m ... that talks abo...
by DP
Tue Aug 09, 2011 1:26 am
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Hi, Well if you ignore the points I made as well as the supporting evidence, then we are just talking past each other. Also, in support of my points I linked summaries of 3 different papers as well as the track record for one of my accounts (let's not revisit that discussion) as well as the track re...
by DP
Mon Aug 08, 2011 3:56 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Hi, 3) Stocks only go up in the long run. I will ALWAYS make my money back. (3) So far, this has been 100% true. So far. This is true for the US market, but it has not been true for a number of other markets, off the top of my head, Germany, Japan, Argentina, Hungary. It was almost certainly not tru...
by DP
Mon Aug 08, 2011 3:29 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Hi Dripguy, You raise reasonable issues with the paper but you also highlighted an important point. I've often seen it mentioned on these forums that there is no point trying to beat the market because at best any outperformance would be slight. As pointed out in the paper, it's been my experience t...
by DP
Mon Aug 08, 2011 2:02 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Hi Dripguy, Thanks for taking the time to look at it. I didn't really expect the evidence I provided would suddenly change many (any?) opinions, but I appreciate that it was at least considered before your answers this time. "It is the mark of an educated mind to be able to entertain a thought ...
by DP
Mon Aug 08, 2011 9:37 am
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Hi, Again, people are arguing opinions against conclusions from a research paper. If those commenting would actually read the papers I would consider arguments against their conclusions, or the evidence to support your opinions (and I am discussing the performance of individual investors, not fund m...
by DP
Sun Aug 07, 2011 10:42 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Dripguy, Leonard, Ok, so we are in agreement that some investors may outperform, the disagreement is over how likely this is aside from chance. I agree that the majority of active investors will underperform, but again, the studies I posted show that the top investors consistently outperform. If out...
by DP
Sun Aug 07, 2011 8:57 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

several continued to post that individual investors cannot outperform the market , with nothing to back up these statements Don I believe that you are either purposefully obfuscating, or else just honestly misunderstanding a very basic (but important) distinction. Please provide a link or quote to ...
by DP
Sun Aug 07, 2011 6:08 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

In my opinion the market is "efficient enough" that the likelihood of any one individual investor outsmarting it w/o inside information is extremely remote. I'm curious, on what evidence your opinion is based. Your entitled to your opinion but one successful individual investor invalidate...
by DP
Sat Aug 06, 2011 1:26 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Hi,
It's time to move on. Check my results at Covestor, or not.

Don
by DP
Fri Aug 05, 2011 11:14 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Anyone with a sure fire trading system should be able to accumulate assets in the tens of millions rather quickly using leverage and options. Who ever said they had a sure fire trading system? Not I. All I said is that I have better risk adjusted performance than the market. I don't understand why ...
by DP
Fri Aug 05, 2011 10:51 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Hi, You don't have to do anything, but it is you that are citing your personal performance as evidence that there are systems that beat the market. That was just one example. I provided other examples from other traders and research articles that are apparently being ignored. We can and will believe...
by DP
Fri Aug 05, 2011 5:44 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

I have before tried "no-guarantee methods" like the one described above. It should have been no surprise to me when I lost money. I've since learned my lesson and changed my ways. I'll stick with the BH method. If I fail, then it's my fault. Talk is cheap. Never again will I give another ...
by DP
Fri Aug 05, 2011 9:29 am
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Yes, I've heard of many "secret" systems that work, just no un-secret ones . Just post your next 20 trades to a thread here. No need to reveal your secret system. Nick Sigh, this is what I was talking about earlier. That it is difficult to beat the market consistently does not mean it is ...
by DP
Thu Aug 04, 2011 5:22 pm
Forum: Investing - Theory, News & General
Topic: Valuation-based market timing with PE10 can improve returns?
Replies: 696
Views: 113528

Hi, I've seen it said that a bear market is a decline in valuations (PE) as much or more so than a decline in price. In looking at the chart the downtrend in PE from the 2000 highs is very clear. Quite different than a chart of the price: m^gspc;range=my;compare=;indicator=volume;charttype=line;cros...
by DP
Thu Aug 04, 2011 4:14 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Re: Individual stock traders ?

Taylor Larimore wrote:Hi Don:

I used one of your links and read this:

Over 80% of day traders lose money after transaction costs.


I expect it is from such traders that my profits come from :wink:

Don
by DP
Thu Aug 04, 2011 4:08 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Re: Picking winning stocks ?

Markets are not efficient, and if you just do some homework, you can do better. I spent most of my life analyzing business financial statements. I hold the Certified Commercial Lender designation (CCL) from the American Bankers Association. I know just enough to know that I cannot pick individual s...
by DP
Thu Aug 04, 2011 3:41 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Markets are not efficient, and if you just do some homework, you can do better. Of course the response to this is one I've made repeatedly on this and other boards for over a decade: If you believe that, simply post your next 20 trades to a thread on this board real time, so we can see your market ...
by DP
Wed Aug 03, 2011 10:08 pm
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Yes, I've heard of many "secret" systems that work, just no un-secret ones . Just post your next 20 trades to a thread here. No need to reveal your secret system. Nick Sigh, this is what I was talking about earlier. That it is difficult to beat the market consistently does not mean it is ...
by DP
Wed Aug 03, 2011 10:40 am
Forum: Investing - Theory, News & General
Topic: What are the biggest criticisms about the Boglehead way?
Replies: 243
Views: 25210

Hi, The assumption that future market returns will be acceptable. This seems to be primarily based on the performance of US stocks over the past century. The lessons from other markets, such as Japan seem to be overlooked or ignored. That because it is difficult to outperform the market one should n...
by DP
Wed Jul 13, 2011 1:53 pm
Forum: Investing - Theory, News & General
Topic: Fisher Investments - 80% of investors are 100% stocks
Replies: 65
Views: 12437

Hi,
This conversation reminds me of:
The biggest cause of trouble in the world today is that the stupid people are so sure about things and the intelligent folks are so full of doubt. Bertrand Russell.


Don
by DP
Tue Jul 12, 2011 12:56 am
Forum: Investing - Theory, News & General
Topic: Fisher Investments - 80% of investors are 100% stocks
Replies: 65
Views: 12437

Hi,
I very much agree with Nispirius last post questioning the cult of equity.

Regarding Fisher investments, they used to call me but I would bust their chops about Fisher's bullishness throughout the decline of the bear market ... and they stopped calling.

Don