Search found 2128 matches

by Maynard F. Speer
Sat Jan 30, 2016 7:21 pm
Forum: Investing - Theory, News & General
Topic: The failure of valuation predictions
Replies: 124
Views: 13382

Re: The failure of valuation predictions

I agree with your conclusion, and it's good to have a natural sceptic testing this .. But if I understand your method correctly, it won't be very predictive .. The next year, or the average of multiple years, won't handle the sequence of returns properly - e.g. down 50% then up 10% is different to ...
by Maynard F. Speer
Sat Jan 30, 2016 4:52 pm
Forum: Investing - Theory, News & General
Topic: The failure of valuation predictions
Replies: 124
Views: 13382

Re: The failure of valuation predictions

HomerJ - I've built a very simple linear model using Shiller's P/E to predict future annual returns for the S&P 500. I compared it to just predicting a fixed average historical return. I compared the models by fitting them to the historical record and using them to predict forward for the next year...
by Maynard F. Speer
Sat Jan 30, 2016 4:24 pm
Forum: Investing - Theory, News & General
Topic: The failure of valuation predictions
Replies: 124
Views: 13382

Re: The failure of valuation predictions

I don't hew to Jack or other "authorities" on investing, but when he's made statements on expected returns being lower he's also been clear that this is his opinion across the board (e.g. all asset classes), and he that there's no better alternatives to staying the course. He's not predicting lower...
by Maynard F. Speer
Sat Jan 30, 2016 11:47 am
Forum: Investing - Theory, News & General
Topic: Who else is holding in cash? [For future investing]
Replies: 66
Views: 8460

Re: Who else is holding in cash?

Here's El-Erian in 2010, showing that even a "smart guy" like El-Erian can't predict diddly-squat. http://usatoday30.usatoday.com/money/companies/management/advice/2010-08-15-advice-el-erian_N.htm investors should own less equities, more bonds, more global investments, more cash and more dry ammuni...
by Maynard F. Speer
Sat Jan 30, 2016 11:05 am
Forum: Investing - Theory, News & General
Topic: Who else is holding in cash? [For future investing]
Replies: 66
Views: 8460

Re: Who else is holding in cash?

Oh, there you go: (not suggesting anyone follow, but El-Erian is a smart guy .. I'm 26% cash) Time to put 30% of your assets in cash: El-Erian Investment guru Mohamed El-Erian calls cash the best way to navigate what is turning out to be a volatile year for investors. He points out that cash is the ...
by Maynard F. Speer
Sat Jan 30, 2016 11:01 am
Forum: Investing - Theory, News & General
Topic: Who else is holding in cash? [For future investing]
Replies: 66
Views: 8460

Re: Who else is holding in cash?

Some of the best wealth managers do tend to hold quite a lot of cash - is Warren Buffett up around 26% these days? Mohamed El-Erian I think has about half his portfolio in cash I believe in Buffett's case, he'd rather hold cash than hold things he thinks aren't worth holding .. Then holding cash giv...
by Maynard F. Speer
Sat Jan 30, 2016 10:06 am
Forum: Investing - Theory, News & General
Topic: College endowments gain 2.4 percent in worst showing since 2012
Replies: 16
Views: 3405

Re: College endowments gain 2.4 percent in worst showing since 2012

Maynard, my investment horizon is a lot shorter than Yale's and I cannot take the same level of risk that college endowment funds take. Do you have any data that a) does not come from university endowment offices themselves, b) covers a longer period of time than 10 years, and c) speaks to risk-adj...
by Maynard F. Speer
Sat Jan 30, 2016 9:43 am
Forum: Investing - Theory, News & General
Topic: College endowments gain 2.4 percent in worst showing since 2012
Replies: 16
Views: 3405

Re: College endowments gain 2.4 percent in worst showing since 2012

Oh I think you indexers will need a few more periods like those to catch up From the earlier linked article on the Yale Endowment: “The university’s longer term results remain in the top tier of institutional investors. Yale’s endowment returned 10.0% per annum over the 10 years ending June 30, 201...
by Maynard F. Speer
Sat Jan 30, 2016 6:24 am
Forum: Investing - Theory, News & General
Topic: College endowments gain 2.4 percent in worst showing since 2012
Replies: 16
Views: 3405

Re: College endowments gain 2.4 percent in worst showing since 2012

They're after fees (I don't think anyone publishes returns before fees) Yale up 7% ... Bowdoin (who I base my AA on) up 14.5% Yale up 11.5% http://news.yale.edu/2015/09/24/investment-return-115-brings-yale-endowment-value-256-billion Harvard up 5.8% http://www.thecrimson.com/article/2015/9/23/hmc-e...
by Maynard F. Speer
Sat Jan 30, 2016 4:32 am
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

Cliff Asness had a good quote, along the lines of "The best way to look thin is to stand next to a fat guy" Look at historical CAPE ratios, and just imagine that the irrational exuberance of the 90s Tech Boom didn't happen .. Draw a line connecting 1995 to 2005 and imagine we're still where we are t...
by Maynard F. Speer
Sat Jan 30, 2016 4:26 am
Forum: Investing - Theory, News & General
Topic: The failure of valuation predictions
Replies: 124
Views: 13382

Re: The failure of valuation predictions

The whole idea of valuations based on P/E ratios, CAPE or otherwise, is just lazy. PEG ratios are a little better, but really discounted FCF or FCFE or the like is a little more thorough and requires estimating some of the inputs, which creates its own issues. Forget about investing based on a PE r...
by Maynard F. Speer
Sat Jan 30, 2016 2:33 am
Forum: Investing - Theory, News & General
Topic: College endowments gain 2.4 percent in worst showing since 2012
Replies: 16
Views: 3405

Re: College endowments gain 2.4 percent in worst showing since 2012

They're after fees (I don't think anyone publishes returns before fees)

Yale up 7% ... Bowdoin (who I base my AA on) up 14.5%

Seems it's endowments with more exposure to conventional asset classes bringing the average down (no surprise given how 2015 was)
by Maynard F. Speer
Fri Jan 29, 2016 4:38 pm
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

Remember CAPE isn't designed to estimate 10 year returns ... Mean reversion is a long-term tendency - not a 10-year tendency ... What the chart should show you is that all valuation metrics estimate 10-year returns within a reasonable margin error I thought CAPE became popular precisely because it ...
by Maynard F. Speer
Fri Jan 29, 2016 2:07 pm
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

That chart is a mess... Okay, look at the Shiller P/E line.. the light green line... In 1996, CAPE was above 25, which hadn't happened since the Great Depression... YOUR chart shows an estimate of around 2.5% nominal, which tracks with Shiller's paper written in 1996 when he predicted 0% real. The ...
by Maynard F. Speer
Fri Jan 29, 2016 12:26 pm
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

The question that arises from the US stocks erratic but generally upwards progress nor'-east since 1999/2000; is whether or not US stocks steady progress will continue for a further 15 years. :?: Is the US stock market progress since 2000 typical or atypical. :?: Various markets around the world ha...
by Maynard F. Speer
Fri Jan 29, 2016 12:17 pm
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

But anyway, 8.2% nominal is a lot better than what was predicted by CAPE. At the time, in 1996, CAPE was at record highs not seen since 1929, right before the Great Depression. Anyone who followed CAPE was pretty sure doom was coming. Shiller himself predicted 0% real returns. I don't understand ho...
by Maynard F. Speer
Fri Jan 29, 2016 8:04 am
Forum: Investing - Theory, News & General
Topic: Regret of selling winning stocks early
Replies: 65
Views: 11253

Re: Regret of selling winning stocks early

Simple rule: never sell anything that's uptrending (i.e. price above its 100-200 day moving average) I think of opportunity cost as very real ... Trends aren't crystal balls, but they take a helluva lot of guesswork out of things do you make broad shifts in your asset allocation the trend shifts ne...
by Maynard F. Speer
Fri Jan 29, 2016 4:51 am
Forum: Investing - Theory, News & General
Topic: Regret of selling winning stocks early
Replies: 65
Views: 11253

Re: Regret of selling winning stocks early

Simple rule: never sell anything that's uptrending (i.e. price above its 100-200 day moving average)

I think of opportunity cost as very real ... Trends aren't crystal balls, but they take a helluva lot of guesswork out of things
by Maynard F. Speer
Fri Jan 29, 2016 3:47 am
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Hedge Funds blame Index funds: Bogleheads reference

Yes, but you've selected Bill Ackman's hedge fund after that performance occurred. If it hadn't, we'd simply be talking about somebody else. I can select a roulette winner that returned 1000x, and it wouldn't make playing the game any smarter. Or in other words, consider this thought experiment: I ...
by Maynard F. Speer
Thu Jan 28, 2016 2:55 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: "The Sad Truth About Hedge Funds"

Although I'm trusting Larry and co's expert opinion, as I've not researched them as much as I would thing I invest in Maynard: If you are referring to author Larry Swedroe, he does not favor hedge funds: THE SAD TRUTH ABOUT HEDGE FUNDS. Best wishes. Taylor I'm pretty sure he's talking about Larry S...
by Maynard F. Speer
Thu Jan 28, 2016 1:11 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Hedge Funds blame Index funds: Bogleheads reference

Maynard, Out of curiosity, what would be your investing advice for the average private employee? Let's say a low 6-figure 401(k), a high five-figure IRA, and maybe mid 5-figure taxable account. Basically I am trying to describe a 40-something that is on track for normal retirement. Just my own opin...
by Maynard F. Speer
Thu Jan 28, 2016 12:57 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Hedge Funds blame Index funds: Bogleheads reference

Weak. I could beat that with only one stock: AAPL. Returned more like 7000% over that same time period. This is how we play the past-performance game, right? So, when did you invest in Ackman's fund? We all know hindsight doesn't work in investing. I should say again, I didn't decide to use Bill Ac...
by Maynard F. Speer
Thu Jan 28, 2016 12:52 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Hedge Funds blame Index funds: Bogleheads reference

The arguments back and forth on hedge funds are very interesting, but unfortunately academic only for most member of this board. 1. For some reason I don't see RenTech Medallion or PS Capital Management funds in any of my 401(k) options, where most of my investable money is. 2. As it turns out, I d...
by Maynard F. Speer
Thu Jan 28, 2016 12:47 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Hedge Funds blame Index funds: Bogleheads reference

Yes, but you've selected Bill Ackman's hedge fund after that performance occurred. If it hadn't, we'd simply be talking about somebody else. I can select a roulette winner that returned 1000x, and it wouldn't make playing the game any smarter. Or in other words, consider this thought experiment: I ...
by Maynard F. Speer
Thu Jan 28, 2016 10:40 am
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Hedge Funds blame Index funds: Bogleheads reference

edge wrote:Berkshire Hathaway is not a hedge fund. It is a holding company.
I did mean that controversially - but pure semantics ..
by Maynard F. Speer
Thu Jan 28, 2016 9:31 am
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Ackman's comment on index funds and bubble

There's another thread on this - so I won't bang on about what I bang on about every time certain topics come up :beer But (afaic) you will not find smarter people in finance than the likes of Bill Ackman .. If he doesn't know how indexing works, I'd suspect severe dehydration or some explanatory fa...
by Maynard F. Speer
Thu Jan 28, 2016 4:30 am
Forum: Investing - Theory, News & General
Topic: John Bogle's telltale charts revisited
Replies: 28
Views: 7195

Re: John Bogle's telltale charts revisited

That's exactly why I like PEG ratios (P/E divided by growth) .. But then you have to decide what number to use for "earnings growth". Do you use some prior period, or a smoothed average of prior earnings growth? Do you use your own projections on the company or sector? Average analyst expectations?...
by Maynard F. Speer
Thu Jan 28, 2016 3:09 am
Forum: Investing - Theory, News & General
Topic: Damodaran on AAPL: CNBC interview (1-27-16)
Replies: 6
Views: 1471

Re: Damodaran on AAPL: CNBC interview (1-27-16)

I've never been interested in individual company stocks ... But after recent drops, and after watching the Steve Jobs film (with Michael Fassbender ... Which is extraordinary, and could leave a grown man in tears) .. I may just look to buy some Apple Out of love as much as attractive fundamentals .....
by Maynard F. Speer
Thu Jan 28, 2016 3:03 am
Forum: Investing - Theory, News & General
Topic: John Bogle's telltale charts revisited
Replies: 28
Views: 7195

Re: John Bogle's telltale charts revisited

That's exactly why I like PEG ratios (P/E divided by growth) .. In the UK, where there aren't value ETFs yet, and only about 5% of domestic active funds pursue pure value strategies, PEG ratios in value funds (with lots of small and microcaps exposure) are sometimes about 3x lower than in growth fun...
by Maynard F. Speer
Wed Jan 27, 2016 5:59 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Hedge Funds blame Index funds: Bogleheads reference

Alright fess up Maynard how much is Ackman paying you to post here eh :D In all seriousness, nobody disputes that some hedge funds [or active mutual funds] vastly outperform indexes. Maynard, how do we predict this in advance? Is Mr. Ackman prepared to offer to pay his investors the difference betw...
by Maynard F. Speer
Wed Jan 27, 2016 3:57 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds blame Index funds: Bogleheads referenced
Replies: 80
Views: 12324

Re: Hedge Funds blame Index funds: Bogleheads reference

Just to put things in perspective, here are Bill Ackman's returns (after fees of course) from 2004-2015 http://cdn.octafinance.com/wp-content/uploads/2015/04/Pershing-Square-Returns-393x300.png He returned 722.9% to investors while the S&P 500 returned 134.3% ... There's a reason we call hedge fund ...
by Maynard F. Speer
Wed Jan 27, 2016 10:03 am
Forum: Investing - Theory, News & General
Topic: Why doesn't Vanguard stay the course?
Replies: 44
Views: 8125

Re: Why doesn't Vanguard stay the course?

The changes I've seen are far too small to make a meaningful difference .. But ... long-term, how many of us are still holding 25% gold? .. Markets are always changing (the market doesn't have fixed allocations - and neither would you if you followed Bogle's advice of not rebalancing); academia's ev...
by Maynard F. Speer
Wed Jan 27, 2016 9:16 am
Forum: Investing - Theory, News & General
Topic: Why doesn't Vanguard stay the course?
Replies: 44
Views: 8125

Re: Why doesn't Vanguard stay the course?

The reason we say 'stay the course' (if we're being honest) is because the average investor makes consistently terrible decisions ... The investor shortfall on funds is still enormous, so anything you can say to make them tweak less is going to improve most investors' returns But that's not to say a...
by Maynard F. Speer
Wed Jan 27, 2016 2:52 am
Forum: Investing - Theory, News & General
Topic: John Bogle's telltale charts revisited
Replies: 28
Views: 7195

Re: John Bogle's telltale charts revisited

Very interesting work .. What I've wanted to see graphed for a while is how size and value premiums correspond to their relative valuations - i.e. how predictable the trends are in advance, and could we use this data to see whether plays like SCV are overcrowded today? I don't know how easy it would...
by Maynard F. Speer
Wed Jan 27, 2016 1:57 am
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

Shiller didn't come up with the concept - Ben Graham had been cyclically adjusting his P/E ratios at least half a century earlier But was it famous? I wasn't alive in the early 80s; I wouldn't know. But the fact that we always call it Shiller P/E suggest that it wasn't. And generally with these thi...
by Maynard F. Speer
Tue Jan 26, 2016 12:06 pm
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

How is international results out of sample? Shiller had access to all of these data when he came up with the concept in the early 1990s. Out of sample would be to use the data from early 90s to now, and only use the mean P/E from 1871-1992. Under those circumstances, shiller P/E fails to predict 10...
by Maynard F. Speer
Tue Jan 26, 2016 11:18 am
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

10 years is an arbitrary measure .. It may be that this way of viewing the data isn't working for you This chart is another way of looking it - and here we're using real returns and a longer time frame ... You see here we've got lots of out-of-sample results (international), and we've got ranges of ...
by Maynard F. Speer
Tue Jan 26, 2016 3:51 am
Forum: US Chapters
Topic: Happy Birthday Taylor!
Replies: 87
Views: 8672

Re: Happy Birthday Taylor!

Happy Birthday, sir! :sharebeer
by Maynard F. Speer
Tue Jan 26, 2016 1:30 am
Forum: Investing - Theory, News & General
Topic: The failure of valuation predictions
Replies: 124
Views: 13382

Re: The failure of valuation predictions

The whole idea of valuations based on P/E ratios, CAPE or otherwise, is just lazy. PEG ratios are a little better, but really discounted FCF or FCFE or the like is a little more thorough and requires estimating some of the inputs, which creates its own issues. Forget about investing based on a PE r...
by Maynard F. Speer
Tue Jan 26, 2016 12:47 am
Forum: Investing - Theory, News & General
Topic: The failure of valuation predictions
Replies: 124
Views: 13382

Re: The failure of valuation predictions

HomerJ wrote:
Maynard F. Speer wrote:I've always said you can split investors (society in general) into those who understand statistics and those who don't
You can also split investors into those who know they can't predict the future, and those who don't know they can't predict the future.

:)
Anyone can predict the future
by Maynard F. Speer
Mon Jan 25, 2016 11:21 pm
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

And from 1996-today, stocks have returned 7.9%... Even though CAPE in 1996 hit 25. About the same as today. I'd be happy with 7.9% returns over the next 20 years. So I guess we just proved both of us can prove our points by changing starting points just slightly. A common problem with stock market ...
by Maynard F. Speer
Mon Jan 25, 2016 9:20 pm
Forum: Investing - Theory, News & General
Topic: The failure of valuation predictions
Replies: 124
Views: 13382

Re: The failure of valuation predictions

I've always said you can split investors (society in general) into those who understand statistics and those who don't ... As Jim Simons says: those who see everything as 'luck' vs those who see everything as 'probabilities' The idea CAPE only forecasts 40-50% of returns is incorrect ... It predicts...
by Maynard F. Speer
Mon Jan 25, 2016 11:57 am
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

Let's start over. Since the mid-90s we've been predicting 10-yr [nominal] returns peaking at around 5-7%, and that's generally what we've had The majority of the 10-year nominal returns since the mid-90s have been much higher than 5%-7%. Indeed, they've been in the 9%-11% range, which is the histor...
by Maynard F. Speer
Mon Jan 25, 2016 10:06 am
Forum: Investing - Theory, News & General
Topic: Best article/study describing why and by how much retail investors under-perform?
Replies: 41
Views: 5636

Re: Best article/study describing why and by how much retail investors under-perform?

Evidence? There's some 10-yr returns .. 60:40 returned 7% over that period Endowment outperformance is impressive given fund sizes .. They go up to $35bn, so they can't just pick a few great funds and stocks - they're forced to find hundreds of outperforming managers, and maintain very low risk exp...
by Maynard F. Speer
Mon Jan 25, 2016 8:17 am
Forum: Investing - Theory, News & General
Topic: Best article/study describing why and by how much retail investors under-perform?
Replies: 41
Views: 5636

Re: Best article/study describing why and by how much retail investors under-perform?

As others have written, if retail investors, as a group, under-perform the market (before fees and expenses), all other investors, as a group, must out-perform the market (before fees and expenses). Further, it should be possible to out-perform by betting against retail investors. I see no good evi...
by Maynard F. Speer
Mon Jan 25, 2016 6:03 am
Forum: Investing - Theory, News & General
Topic: Best article/study describing why and by how much retail investors under-perform?
Replies: 41
Views: 5636

Re: Best article/study describing why and by how much retail investors under-perform?

 http://i.imgur.com/AsPaZhg.png I like the "Growth Stock" delta. Scary, eh Growth funds tend to have the really impressive 3-5 year track records (which is obvious what people are looking at) Won't the dollar weighted return always be lower than "buy and hold" in a market that generally goes up?...
by Maynard F. Speer
Mon Jan 25, 2016 5:44 am
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

... Just like getting 10 heads in a row ... The longer you keep flipping, the more your results will draft back towards 50:50 Well if we're going to take the stance that there's some bounded mean it must revert to, I like my chart of the "Siegel Constant": http://i68.tinypic.com/1gt2k9.png Things l...
by Maynard F. Speer
Mon Jan 25, 2016 5:07 am
Forum: Investing - Theory, News & General
Topic: Best article/study describing why and by how much retail investors under-perform?
Replies: 41
Views: 5636

Re: Best article/study describing why and by how much retail investors under-perform?

I've looked at this off and on, and I do not know what they are calculating. First, I do believe that investors chase returns: Sell the 3 star fund and buy the 5 star is a good way to sell after the loss and buy after the gain. Second, and most important, I do not know how they account for systemat...
by Maynard F. Speer
Mon Jan 25, 2016 4:43 am
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

Wait, CAPE is predicting 5%-7% REAL? And there are DOOM posts about this? 7% REAL is about the normal historical average for the U.S. stock market... So you're basically saying valuations don't matter. Oh wait, your graph states that it is showing nominal returns, so inflation is NOT the reason the...
by Maynard F. Speer
Mon Jan 25, 2016 1:36 am
Forum: Investing - Theory, News & General
Topic: The last 15 years
Replies: 100
Views: 18915

Re: The last 15 years

Since the mid-90s we've been predicting 10-yr returns peaking at around 5-7%, and that's generally what we've had ... Two things.... One, your statement above is incorrect. The data does not support your model. Here are the ACTUAL 10-year returns for Vanguard Total Stock Market Index fund since 199...