Search found 682 matches

by Park
Wed Sep 26, 2018 12:44 am
Forum: Investing - Theory, News & General
Topic: My CAPE10 based IPS
Replies: 103
Views: 7013

Re: My CAPE10 based IPS

https://www.bogleheads.org/forum/viewtopic.php?f=10&t=251522 " Stocks have had remarkably consistent 5%-6% real returns over four centuries." The above is from a Bogleheads thread started by SimpleGift. Assume a PE10 of 10. That's an earnings yield of 10%. Assume the historical 1.5% annual growth i...
by Park
Tue Sep 25, 2018 8:33 am
Forum: Investing - Theory, News & General
Topic: Siegel: 'stocks are overvalued on a long-term basis, but bonds are enormously overvalued on a long-term basis'
Replies: 77
Views: 9269

Re: Siegel: 'stocks are overvalued on a long-term basis, but bonds are enormously overvalued on a long-term basis'

I wonder if that includes ETFs? Whoops, meant to post the actual source and chart. Yes, it does. The Investment Company Institute represents all investment companies and usually does include them. (It wouldn't actually matter much anyway because contrary to popular belief ETFs still collectively ho...
by Park
Tue Sep 25, 2018 8:12 am
Forum: Investing - Theory, News & General
Topic: Siegel: 'stocks are overvalued on a long-term basis, but bonds are enormously overvalued on a long-term basis'
Replies: 77
Views: 9269

Re: Siegel: 'stocks are overvalued on a long-term basis, but bonds are enormously overvalued on a long-term basis'

Another thing that caught my eye: When the CAPE is at 33, the average return is less than 1%. 1. Real or nominal? 2. Has that actually been the case? 1. Both, depending on time period looked at 2. Probably over some specific time period, and not over other time periods... The dot-com bubble was the...
by Park
Mon Sep 24, 2018 9:06 am
Forum: Investing - Theory, News & General
Topic: My CAPE10 based IPS
Replies: 103
Views: 7013

Re: My CAPE10 based IPS

Letsgobobby, your approach is sound. You are correct to be concerned about valuations and future expected returns. It sounds like you are a lot like me in this regard, in actual fact I have been pretty sparing in portfolio adjustments. I made one in early 2000, another in 2005, another in 2007-2008...
by Park
Sun Sep 23, 2018 10:17 pm
Forum: Investing - Theory, News & General
Topic: My CAPE10 based IPS
Replies: 103
Views: 7013

Re: My CAPE10 based IPS

https://www.bogleheads.org/forum/viewtopic.php?f=10&t=251522 " Stocks have had remarkably consistent 5%-6% real returns over four centuries." The above is from a Bogleheads thread started by SimpleGift. Assume a PE10 of 10. That's an earnings yield of 10%. Assume the historical 1.5% annual growth in...
by Park
Sun Sep 23, 2018 9:58 pm
Forum: Investing - Theory, News & General
Topic: My CAPE10 based IPS
Replies: 103
Views: 7013

Re: My CAPE10 based IPS

Market timing based on CAPE10 would be more popular if effective. The shifting life strategy funds vanguard used to run are static allocation now. Even Schiller warns of using CAPE10 https://finance.yahoo.com/news/robert-shiller-interprets-what-the-cape-ratio-says-about-the-market-today-102737135.h...
by Park
Sun Sep 23, 2018 2:10 pm
Forum: Investing - Theory, News & General
Topic: My CAPE10 based IPS
Replies: 103
Views: 7013

Re: My CAPE10 based IPS

I have not backtested but believe valuations at the extremes are highly predictive of five to fifteen years returns. Of course it is a form of market timing. Thanks for sharing this, and I agree with the above point. I believe that CAPE or Q ratio or market cap to GDP become much more predictive at...
by Park
Sat Aug 18, 2018 10:29 am
Forum: Investing - Theory, News & General
Topic: Stock Buybacks as a Global Trend?
Replies: 42
Views: 4639

Re: Stock Buybacks as a Global Trend?

The key to it is--at what price are the shares purchased? If the price is too high, then it harms the remaining shareholders and benefits those who sell into the buyback bid. If its lower (which is the objective) it benefits the shareholders who don't sell any of their shared. I disagree that this ...
by Park
Mon Aug 13, 2018 11:55 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 15416

Re: Larry Swedroe: Valuations Too High?

A recent WSJ article by Mark Hulburt is pertinent: The Eight Best Predictors of the Long-Term Market https://www.wsj.com/articles/the-8-best-predictors-of-the-long-term-market-1533521521 Am I the only one who followed this link? The gist is that there is a predictor far more accurate than CAPE, whi...
by Park
Mon Aug 13, 2018 8:09 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 15416

Re: Larry Swedroe: Valuations Too High?

So the following is my strategy, FWIW. I plan to do some very modest market timing between stock subasset classes based on valuations. However, if valuations are extreme, it will be more than modest. I'd like to clarify the above. When you rebalance between stock subasset classes based on valuation...
by Park
Mon Aug 13, 2018 12:15 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 15416

Re: Larry Swedroe: Valuations Too High?

http://www.fortunefinancialadvisors.com/blog/the-limits-of-cape-analysis-for-global-market-rotation "Consider the case of Sweden which, hit a Japan-like CAPE high of 79 in early 2000. At the same time, the U.S. was also at its all-time high, but seemingly a relative bargain at just 47. Since then th...
by Park
Sat Aug 11, 2018 9:50 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 15416

Re: Larry Swedroe: Valuations Too High?

The following is my $0.02, and I may be overvaluing that :-). There is security selection and there is market timing. But the boundary between the two isn't exact, and to some extent, there is a continuum. Security selection is a zero sum game. But there are some factors, which historically have bee...
by Park
Fri Aug 10, 2018 2:15 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 15416

Re: Larry Swedroe: Valuations Too High?

A common R-squared for CAPE in this thread is around 0.4.

I've never see an analysis on this, but my guess is that the R-squared depends on valuation. At present, it wouldn't surprise me if it is less than 0.4. But at either extreme, it may be considerably more than 0.4.
by Park
Thu Aug 09, 2018 7:45 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 15416

Re: Larry Swedroe: Valuations Too High?

http://www.crossingwallstreet.com/archives/2018/08/the-eight-best-predictors-of-the-stock-market.html "the blog’s indicator is based on the percentage of household financial assets—stocks, bonds and cash—that is allocated to stocks...superior to seven other well-known valuation indicators This metri...
by Park
Tue Aug 07, 2018 7:50 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Disrupted Expectations
Replies: 53
Views: 6571

Re: Larry Swedroe: Disrupted Expectations

http://www.crossingwallstreet.com/archives/2018/08/the-eight-best-predictors-of-the-stock-market.html "the blog’s indicator is based on the percentage of household financial assets—stocks, bonds and cash—that is allocated to stocks...superior to seven other well-known valuation indicators This metri...
by Park
Mon Aug 06, 2018 12:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Disrupted Expectations
Replies: 53
Views: 6571

Re: Larry Swedroe: Disrupted Expectations

I think how much valuation matters is dependent upon your investment horizon and your distribution of your contributions. The longer your investment horizon the less valuations matter as long as you are investing in market where as a shareholder you can reap the rewards of your investment like the ...
by Park
Sun Aug 05, 2018 11:02 pm
Forum: Investing - Theory, News & General
Topic: Corporate and High Yield Bonds as Stock/Government Bond Hybrids
Replies: 0
Views: 381

Corporate and High Yield Bonds as Stock/Government Bond Hybrids

The following is for novice investors, like myself. Jared Kizer, from BAM, did an analysis a few years ago on this. Unfortunately, I don't think all the data, that he originally presented, is there anymore. Nevertheless, I think the following is useful: "I ran an analysis to determine what allocatio...
by Park
Sat Jul 21, 2018 9:37 am
Forum: Investing - Theory, News & General
Topic: Value Stocks and Margin Loans as Inflation Hedges
Replies: 12
Views: 1137

Value Stocks and Margin Loans as Inflation Hedges

Some assets (TIPS, real estate, commodities etc.) are considered hedges against inflation. However, such assets may not hedge inflation in a taxable accounts, with TIPS being an example. Also, they tend to hedge the principal invested in the particular asset, but no more. Since it is unlikely that a...
by Park
Sun Jul 15, 2018 1:53 am
Forum: Investing - Theory, News & General
Topic: In defense of short-term treasuries
Replies: 114
Views: 8576

Re: In defense of short-term treasuries

As for using data from 1926 onwards, there are problems with that too. Prices went down about 25% during the Depression. However, since a fiat currency system was started, deflation has become much less of an issue. But iflation has become more of an issue. Inflation will make ST treasuries look bet...
by Park
Sat Jul 14, 2018 11:44 pm
Forum: Investing - Theory, News & General
Topic: Why is leveraging property good but leveraging stocks bad?
Replies: 206
Views: 17612

Re: Why is leveraging property good but leveraging stocks bad?

AlphaLess wrote:
Sat Jul 14, 2018 5:29 pm
The best way to get leverage is via futures.
In a taxable account, are futures better than margin at IB?
by Park
Fri Jul 13, 2018 12:42 am
Forum: Investing - Theory, News & General
Topic: Are Bonds Always Safe? — A Second Look at U.S. Portfolio Disasters
Replies: 108
Views: 10410

Re: Are Bonds Always Safe? — A Second Look at U.S. Portfolio Disasters

I'd be a bit reluctant to put 100% of my assets in any one investment long-term, no matter its current perception of safety (e.g., agency risk, among others). A 100% Tips portfolio exposes you to the political risk of one government. Diversifying among governments may be a good idea. Think of Cypri...
by Park
Sun Jul 08, 2018 12:47 pm
Forum: Investing - Theory, News & General
Topic: The Worst U.S. Portfolio Disasters — A Historical Comparison
Replies: 66
Views: 6720

Re: The Worst U.S. Portfolio Disasters — A Historical Comparison

"Between January 1941 and September 1981, a period of over four decades of American inflation that was relatively tame by international historical standards, long Treasuries experienced deep risk by losing 67.3% of their real value (with interest reinvested) before recovering nearly half a century l...
by Park
Sun Jul 08, 2018 11:11 am
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 128
Views: 14266

Re: You Can Market Time At Valuation Extremes

I try not to bump a thread that I've started, but I'd like to make the following points, which I think would be of use to many on this board: Larry Swedroe: "I agree that market timing at EXTREMES is a good idea, but only if you are prepared to a) be wrong for long time (I sold all growth in 98 and ...
by Park
Sun Jul 08, 2018 10:29 am
Forum: Investing - Theory, News & General
Topic: Hedging Foreign Currency: 0%, 50% or 100%?
Replies: 27
Views: 3993

Re: Hedging Foreign Currency: 0%, 50% or 100%?

In his booklet "Deep Risk", William Bernstein makes the point that international stocks can provide protection against inflation and deflation. The exception would be if inflation or deflation are world wide in nature, and worse outside one's country of origin. Currency hedging would negate that pro...
by Park
Sun Jul 08, 2018 9:49 am
Forum: Investing - Theory, News & General
Topic: The Worst U.S. Portfolio Disasters — A Historical Comparison
Replies: 66
Views: 6720

Re: The Worst U.S. Portfolio Disasters — A Historical Comparison

Graphs, like statistics, if tortured sufficiently will confess to the desired conclusion. Few things are as certain as advertised where investing is involved. Whether bonds are safer than stocks varies during a given time frame. Sometimes they are safer (1929 - 1941): sometimes they are riskier (19...
by Park
Sat Jul 07, 2018 8:03 am
Forum: Investing - Theory, News & General
Topic: Value ETFs Are Sector Funds
Replies: 8
Views: 1094

Re: Value ETFs Are Sector Funds

http://www.etf.com/sections/etf-strategist-corner/betterment-0?nopaging=1 In a study of portfolios constructed using book-to-market ratios, almost all of the value premium came from individual stock selection, while sector biases provided no significant improvement in returns. Sectors do, however, ...
by Park
Sat Jul 07, 2018 2:14 am
Forum: Investing - Theory, News & General
Topic: Value ETFs Are Sector Funds
Replies: 8
Views: 1094

Value ETFs Are Sector Funds

http://www.etf.com/sections/etf-strategist-corner/betterment-0?nopaging=1 "Value ETFs have few, if any, constraints on risk exposures. They simply select stocks based on valuation ratios. This can lead to significant sector exposures that aren't explicitly part of the fund design. Stocks in the same...
by Park
Sat Jul 07, 2018 1:00 am
Forum: Investing - Theory, News & General
Topic: Jack Bogle is not a "buy&hold at any price goose", he looks at valuations, he sold his stocks in year 2000
Replies: 48
Views: 7418

Re: Jack Bogle is not a "buy&hold at any price goose", he looks at valuations, he sold his stocks in year 2000

https://www.morningstar.com/videos/716560/kinniry-a-double-hurdle-for-tactical-asset-allocat.html "Ptak: Vanguard at one time had its own dynamic asset allocation strategy; it was the Asset Allocation fund, which was merged into another of your offerings back in 2011. Can you take us through the tho...
by Park
Fri Jul 06, 2018 7:50 am
Forum: Investing - Theory, News & General
Topic: Morningstar: What to Consider When Picking Multifactor ETFs
Replies: 84
Views: 7046

Re: Morningstar: What to Consider When Picking Multifactor ETFs

https://www.morningstar.com/articles/871554/stay-diversified-with-this-international-multifact.html "Goldman Sachs ActiveBeta International Equity ETF (GSIE) is a good way to stay diversified across regions and factors and improve expected returns. This fund offers similar exposure to the MSCI World...
by Park
Thu Jul 05, 2018 7:39 am
Forum: Investing - Theory, News & General
Topic: How risky is currency risk in international investing?
Replies: 10
Views: 1280

Re: How risky is currency risk in international investing?

https://www.aqr.com/Insights/Research/White-Papers/Risk-Without-Reward-The-Case-for-Strategic-FX-Hedging AQR: "In the long term, foreign currencies have earned a very low level of return, consistent with economic intuition. The standalone risk of foreign currencies is not trivial, and typically abou...
by Park
Wed Jul 04, 2018 8:14 am
Forum: Investing - Theory, News & General
Topic: Morningstar: What to Consider When Picking Multifactor ETFs
Replies: 84
Views: 7046

Re: Morningstar: What to Consider When Picking Multifactor ETFs

Nisiprius is comparing multifactor ETFs to a total market cap index ETF. How about comparing multifactor ETFs to value ETFs? Is there any research on that topic? An individual factor can underperform for many years. So there should be less tracking error with a multifactor ETF. OTOH, multifactor ETF...
by Park
Wed Jul 04, 2018 7:36 am
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 128
Views: 14266

Re: You Can Market Time At Valuation Extremes

https://www.morningstar.com/videos/353908/kinniry-data-doesnt-bear-out-a-tactical-approach.html Below is from a discussion between Frank Kinniry of Vanguard and Christine Benz of Morningstar, and is taken from the above link: Benz: ...But the tactical umbrella has a lot of different strategies benea...
by Park
Sun Jul 01, 2018 12:49 am
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 128
Views: 14266

Re: You Can Market Time At Valuation Extremes

I'd like to go over in writing, what is presented graphically in Figures 8 and 14 in the link in the original post. All data is in local currency, adjusted for inflation and takes into account dividends. The following is maximum drawndown in relationship to CAPE, using CAPE data from all countries. ...
by Park
Sat Jun 30, 2018 11:35 pm
Forum: Investing - Theory, News & General
Topic: Are options, futures good investments?
Replies: 19
Views: 2207

Re: Are options, futures good investments?

Compared to other areas of investing, I spent a disproportionately larger amount of time learning about options and futures. At least for me, I came to the conclusions that they were niche products, which I could probably do without. What niche did I find for them? Leverage in a tax advantaged accou...
by Park
Wed Jun 27, 2018 8:09 am
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 128
Views: 14266

Re: You Can Market Time At Valuation Extremes

About stocks being overvalued or undervalued, there are the corrective mechanisms of supply and demand. This can occur at the level of the investor. If stocks are cheap enough, investors will buy. Demand increases; buyers are more highly motivated than sellers; prices increase. If stocks are expensi...
by Park
Sun Jun 17, 2018 4:08 pm
Forum: Personal Investments
Topic: Multifactor vs. Value ETFs?
Replies: 2
Views: 447

Multifactor vs. Value ETFs?

Multifactor ETFs have gained in popularity. I'm persuaded of the value of value ETFs, but uncertain when it comes to multifactor ETFs. Admittedly, value is just one factor. But my impression is that a value ETF will go a long way to increasing return. Additional factors help, but there is diminishin...
by Park
Sun Jun 17, 2018 2:34 pm
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 128
Views: 14266

Re: You Can Market Time At Valuation Extremes

There have been some good criticisms of market timing at valuation extremes. First of all, valuation metrics can change with time, resulting in "moving goal posts". Examples given include the increase in intangible assets in the value of a company, which changes price book. For PE10, there have been...
by Park
Fri Jun 15, 2018 3:20 pm
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 128
Views: 14266

Re: You Can Market Time At Valuation Extremes

Thanks for your comments. There are those pointing out that there are many bear markets, where market timing based on valuation extremes wouldn't have helped you. I agree. The sensitivity of market timing based on valuation extremes isn't high. But the specificity is high. At low valuations, the pro...
by Park
Thu Jun 14, 2018 8:52 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rising Rates Effects Unclear
Replies: 3
Views: 728

Re: Larry Swedroe: Rising Rates Effects Unclear

My take away message from this is that there isn't a strong relationship between interest rate changes and stock returns. The exception may be high dividend stocks. Another exception may be utility stocks, which tend to be high dividend stocks.
by Park
Tue Jun 12, 2018 7:31 am
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 128
Views: 14266

You Can Market Time At Valuation Extremes

https://www.starcapital.de/fileadmin/user_upload/files/publikationen/Research_2016-01_Predicting_Stock_Market_Returns_Shiller_CAPE_Keimling.pdf See Fig. 6. When CAPE less than 10, historical real returns over the next 10-15 years have been a minimum of 5%. When CAPE greater than 50, returns have bee...
by Park
Sat Jun 02, 2018 10:15 am
Forum: Investing - Theory, News & General
Topic: Strengths/Weaknesses of Market Cap and Value Strategies
Replies: 22
Views: 2797

Re: Strengths/Weaknesses of Market Cap and Value Strategies

I think market cap indexing and value are both good strategies. For retail investors, the default option should be market cap indexing. Only if you've spent some time learning about value investing, should you use it. And even then, value investing products may not be available. If they are, they ma...
by Park
Sun May 27, 2018 11:35 pm
Forum: Investing - Theory, News & General
Topic: Strengths/Weaknesses of Market Cap and Value Strategies
Replies: 22
Views: 2797

Re: Strengths/Weaknesses of Market Cap and Value Strategies

As JoMoney has pointed out, there is the value trap risk of value investing. Quantitative value tend to use historical data, but market prices are predictions of the future. That may be why DFA started screening out stocks with negative momentum, when it came to picking value stocks. Also, you're ta...
by Park
Sat May 26, 2018 11:09 am
Forum: Investing - Theory, News & General
Topic: Strengths/Weaknesses of Market Cap and Value Strategies
Replies: 22
Views: 2797

Strengths/Weaknesses of Market Cap and Value Strategies

Every strategy has strengths and weaknesses. People I respect often combine a market cap strategy and a value strategy. Such diversification can make sense, because of differences in strengths and weaknesses between strategies. When I refer to a value strategy, I mean a quantitative value strategy. ...
by Park
Sun Feb 04, 2018 2:25 pm
Forum: Non-US Investing
Topic: There Is A Small Cap Value ETF For European Stocks
Replies: 4
Views: 633

Re: There Is A Small Cap Value ETF For European Stocks

http://portfolios.morningstar.com/fund/summary?t=XETR:ZPRX®ion=DEU http://portfolios.morningstar.com/fund/summary?t=VBR®ion=usa&culture=en_US Morningstar classifies ZPRX (State Street European SCV fund) as 71.4% medium, 27.1% small. Average market cap is 2,237 million euros, or about 2,796 mil...
by Park
Sun Feb 04, 2018 12:10 pm
Forum: Non-US Investing
Topic: There Is A Small Cap Value ETF For European Stocks
Replies: 4
Views: 633

There Is A Small Cap Value ETF For European Stocks

https://ie.spdrs.com/etf/spdr-msci-europe-small-cap-value-weighted-ucits-etf-ZPRX-GY State Street has a European small cap value ETF. "The MSCI Europe Small Cap Value Weighted Index is based on the traditional market capitalisation weighted parent index, the MSCI Europe Small Cap Index, which includ...
by Park
Fri Feb 02, 2018 12:41 pm
Forum: Investing - Theory, News & General
Topic: Increased Risk Of Stock Bear Markets To Retirees
Replies: 5
Views: 1525

Increased Risk Of Stock Bear Markets To Retirees

Dividends are more stable than stock prices, as stock prices go down considerably more than dividends during bear markets. For example, the US stock market went down 57% in the last bear market, but dividends went down about 21% and had recovered by 2012. But the following shows that dividend recove...
by Park
Sun Jan 28, 2018 12:03 pm
Forum: Investing - Theory, News & General
Topic: Tax Efficiency of Bond ETFs
Replies: 0
Views: 465

Tax Efficiency of Bond ETFs

http://beta.morningstar.com/articles/844723/bond-etfs-dont-keep-the-taxman-away.html "market-cap-weighted index funds account for the lion's share of fixed-income ETF assets. These funds' turnover tends to be lower than their actively managed mutual fund peers...there have been periods when fixed-in...
by Park
Fri Jan 26, 2018 1:43 pm
Forum: Investing - Theory, News & General
Topic: Long Term Use Of A Leveraged ETF
Replies: 32
Views: 5417

Re: Long Term Use Of A Leveraged ETF

Am I in crazy land for thinking options are a far cheaper alternative without the downsides of daily resetting leverage? Jan 2019 SPX call with a 1400 strike was last traded at ~1430 and that's your ~2x leverage right there. If that's too rich for a full contract (143k) then the SPY call should be ...
by Park
Fri Jan 26, 2018 11:45 am
Forum: Investing - Theory, News & General
Topic: Long Term Use Of A Leveraged ETF
Replies: 32
Views: 5417

Re: Long Term Use Of A Leveraged ETF

The providers of leveraged ETFs and mutual fund say themselves, in only slightly veiled language, that they are not intended for long-term use. Why shouldn't we heed that? I always figured it was boilerplate to cover their bums if idiots stuck their entire life savings in a 3x equity etf and then l...