Search found 696 matches

by Park
Sat Jul 30, 2011 7:29 pm
Forum: Investing - Theory, News & General
Topic: Market Timing -- What experts say.
Replies: 27
Views: 7080

From what I have read, there is very little evidence that one can predict where the stock market will be in 3-4 years. However, the further out one gets, the more that market timing becomes acceptable. Jack Bogle has made 10 year market predictions. IIRC, William Bernstein thinks one can make 20 yea...
by Park
Tue Jun 21, 2011 7:11 am
Forum: Personal Investments
Topic: Short Term Bonds as an Alternative to TIPS
Replies: 21
Views: 4832

What I find most noticeable from the graph is the lack of cumulative separation between the two curves from 1930 to 1980. Most of the cumulative separation in this time period occurred around the Depression. IMO, investors weren't getting much of a term premium. Since 1980, the cumulative separation...
by Park
Mon Jun 20, 2011 7:00 am
Forum: Personal Investments
Topic: Short Term Bonds as an Alternative to TIPS
Replies: 21
Views: 4832

Short Term Bonds as an Alternative to TIPS

Nominal bonds are sensitive to inflation; that is a reason why TIPS have a market. However, I have read that if the duration is short enough on a bond, then this inflation sensitivity is muted. Larry Swedroe advocates short term bonds, as an alternative to TIPS. However, I haven't seen a duration or...
by Park
Thu Jun 16, 2011 10:18 pm
Forum: Investing - Theory, News & General
Topic: Should you invest in high-growth emerging markets or not?
Replies: 22
Views: 2287

This post is off topic, but not entirely. This is from the 2007 edition of "A Random Walk Down Wall Street" by Burton Malkiel. On p. 346-347, his stock recommendation is as follows: "two-thirds in U.S. stock with good representation of smaller growth companies, one-third international stocks, includ...
by Park
Sun May 22, 2011 10:10 pm
Forum: Investing - Theory, News & General
Topic: Auto Insurance - Drop Collision/Comprehensive
Replies: 9
Views: 2290

I once read that one gets insurance for unlikely financial catastrophes. I have liability on my car, $5 million to be exact; that covers me for unlikely financial catastrophes. But I have no collision or comprehensive. $25k to get a replacement for my car is not a financial catastrophe. An insurance...
by Park
Sat Mar 12, 2011 3:23 pm
Forum: Investing - Theory, News & General
Topic: Low-volatility stocks outperform high-volatility stocks
Replies: 13
Views: 2542

I've only done a cursory reading of the article. But what's important is whether volatility metrics provide any more information than value and momentum metrics do. To study volatility by itself is of less use. For example, one could speculate that the most volatile stocks are those in which bubbles...
by Park
Fri Mar 11, 2011 9:17 am
Forum: Investing - Theory, News & General
Topic: Grok's tip #7: Skip foreign bonds!
Replies: 133
Views: 27947

One can make a case that the interests of domestic bondholders are more closely aligned to those of their government than foreign governments. Has this ever resulted in a government preferentially treating domestic bondholders compared to foreign bondholders?
by Park
Sun Feb 20, 2011 2:26 pm
Forum: Investing - Theory, News & General
Topic: Shiller P/E above 24
Replies: 190
Views: 27189

I've heard it said repeatedly that PE10 has increased with time. However, 1981 wasn't that long ago, at least for me. And the PE10 in 1981 reached a level that hadn't been seen since the early 1930s. PE10 may have increased with time. But the variability of the PE10 makes that observation less impor...
by Park
Sun Feb 20, 2011 11:31 am
Forum: Investing - Theory, News & General
Topic: Shiller P/E above 24
Replies: 190
Views: 27189

Bob's chart upthread compares PE10 to the return of the S&P500 minus 5 year Treasuries for the next 10 years. For a PE10 of 16 or less, the S&P500 has always beaten 5 year treasuries for the next 10 years. Does that mean for a PE10 of 16 or less, one can use PE10 to time (or value?) the market? Also...
by Park
Sat Feb 19, 2011 11:57 pm
Forum: Personal Investments
Topic: Is There A Reason For Me To Keep On Investing In REITs?
Replies: 10
Views: 2747

Why did I invest in REITs? I read several books on investing, and a not uncommon recommendation was to have a greater REIT allocation than that in the stock market. Why am I questioning it? I came to the conclusion that aftertax return was what mattered to me. I came to the conclusion that the futur...
by Park
Sat Feb 19, 2011 1:02 am
Forum: Personal Investments
Topic: Is There A Reason For Me To Keep On Investing In REITs?
Replies: 10
Views: 2747

About not seeing a problem with a 5% allocation to REITs, my question is is there a benefit to having more REIT exposure than would be obtained in the usual market cap weighted stock index fund? For myself, the answer is no. I am interested in criticisms of that answer. About the loss of tax deferra...
by Park
Fri Feb 18, 2011 9:47 pm
Forum: Personal Investments
Topic: Is There A Reason For Me To Keep On Investing In REITs?
Replies: 10
Views: 2747

I'm in the accumulation phase of my investing life. Some day in the future, I will be in the distribution phase, and will need income from my portfolio. But not at present.
by Park
Fri Feb 18, 2011 9:19 pm
Forum: Personal Investments
Topic: Is There A Reason For Me To Keep On Investing In REITs?
Replies: 10
Views: 2747

Is There A Reason For Me To Keep On Investing In REITs?

I have an investment in REITs. above that in the usual market cap weighted stock index fund. I'm trying to think of a reason why I should keep it. The purpose of REITs, from what I can see, is diversification and income. I don't need the income, so that leaves diversification. For a portfolio with t...
by Park
Tue Feb 08, 2011 9:31 pm
Forum: Investing - Theory, News & General
Topic: What Is The Best Value Metric?
Replies: 25
Views: 3421

http://www.honorvise.com/web/images/stories/papers/defining%20value%20and%20growth.pdf A link to a DFA paper comparing value metrics. What I find interesting is the average market capitalizations of the value groups, as determined by the 4 value metrics tested. For B/M $751.5 million, E/P $1355.9 mi...
by Park
Mon Feb 07, 2011 9:48 pm
Forum: Investing - Theory, News & General
Topic: What Is The Best Value Metric?
Replies: 25
Views: 3421

by Park
Mon Feb 07, 2011 1:13 am
Forum: Investing - Theory, News & General
Topic: What Is The Best Value Metric?
Replies: 25
Views: 3421

What Is The Best Value Metric?

A common topic on this board is value tilting. A less common topic is what value metric or metrics to use for value tilting. DFA, Vanguard, Rob Arnott and now Joel Greenblatt use different metrics. Which is the best?
by Park
Sat Jan 22, 2011 8:49 pm
Forum: Investing - Theory, News & General
Topic: Economist article on momentum investing
Replies: 35
Views: 7000

About momentum investing, the prevailing wisdom is that the cost of momentum investing outweighs its greater return. However, DFA tends not to buy stocks with negative momentum, and tends not to sell stocks with positive momentum. If you look at the Economist article in the OP, it's the bottom 20% o...
by Park
Thu Jan 20, 2011 10:41 pm
Forum: Investing - Theory, News & General
Topic: Vanguard somewhat cautions against small cap tilting
Replies: 13
Views: 2586

http://www.russell.com/indexes/data/fac ... _index.asp

If you look at the Russell Microcap Index, the price/book ratio is 1.77. The weighted average market capitalization is $351 million, so it borders on small cap. I don't know how that compares to historical data.
by Park
Thu Jan 13, 2011 10:28 pm
Forum: Investing - Theory, News & General
Topic: Grok's investing tip #1/10 Take your risk on the equity side
Replies: 126
Views: 34037

About the corporate index only slightly outperforming the Treasury index, does it take into account the following? From what I understand, the Treasury index contains more long term bonds than the corporate index. As long term bonds tend to have higher yields than shorter term maturities, wouldn't t...
by Park
Thu Jan 13, 2011 8:05 pm
Forum: Investing - Theory, News & General
Topic: Grok's investing tip #1/10 Take your risk on the equity side
Replies: 126
Views: 34037

Re: Grok's investing tip #1/10 Take your risk on the equity

A) Corporates and MBS do not have a clear track record of significantly outperforming treasuries. For example, for the 10 years ending 12/31/2010 here are the average annual returns: Is 10 years really enough to see if it is worth investing in corporate bonds? If you look at only the last 10 years,...
by Park
Mon Jan 10, 2011 8:27 pm
Forum: Investing - Theory, News & General
Topic: Grok's investing tip #1/10 Take your risk on the equity side
Replies: 126
Views: 34037

Re: What is Risk?

So, by extension, and this is almost a triviality, an asset's "risk" is the probability of its taking a haircut during a crisis. And there's only one asset I know of that aviods that, and those are plain-vanilla short treasuries. About the above quote from William Bernstein, I understand the treasu...
by Park
Mon Jan 10, 2011 10:17 am
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

Yes, there will be tracking error. I haven't heard of a microcap index fund, so all microcap funds have tracking error. If one is going to do this, it's a multiyear commitment. In some years, the tracking error will be in one's favor, in some years not. I'm focusing on a subset of microcap stocks, n...
by Park
Sun Jan 09, 2011 11:46 pm
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

About buying 15-30 microcap stocks, is it that different from the sampling that funds, such as VTI, use to gain exposure to companies with lower market capitalization?
by Park
Sun Jan 09, 2011 2:21 pm
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

BtM is how DFA stock picks. I'm not going to use that. Instead, I plan to use MFI. IMO, the stocks that result from MFI are less risky than the DFA approach. http://www.schwab.com/public/schwab/research_strategies/market_insight/investing_strategies/stocks/how_many_stocks_should_be_in_your_portfolio...
by Park
Sun Jan 09, 2011 12:55 am
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

My goal is to obtain the small and value premia, not to pick individual stocks that will outperform. I don't intend to do an intensive analysis of each company. With that in mind, my goal is a portfolio of 15 stocks, all with market capitalizations of less than $214 million. Fifteen stocks may well ...
by Park
Sat Jan 08, 2011 8:03 pm
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

I agree that the microcap market segment is the most difficult market segment to efficiently transact in*. Perhaps that is part of the reason I can find no microcap value funds. Rick Ferri wrote an article in Forbes saying the indexing doesn't work in the microcap market segment. However, microcaps ...
by Park
Sat Jan 08, 2011 5:33 pm
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

"Another alternative is the one developed by Research Affiliates that uses multiple fundamental measures of size to determine weighting structures. Instead of determining component stocks and individual allocations based on market cap, the FTSE RAFI Index series is designed to “reflect each company’...
by Park
Sat Jan 08, 2011 4:10 pm
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

http://www.bogleheads.org/wiki/Domestic_Small_Cap_Value RZV gets its stocks from the S&P 600 small cap index. Correct me if I'm wrong, but the lower limit of market capitalization in that index is $300 million. The average market capitalization of RZV is $456 million. The upper limit of microcap sto...
by Park
Sat Jan 08, 2011 2:04 pm
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

RZV consists of approximately third of the stocks of the S&P600 small cap index that are the most value in nature. Its 152 stocks have an average P/E of 35.38 with an average return on equity of minus 1.02%. Value is determined by a value score, which is an average of 4 value factors: price/book, di...
by Park
Sat Jan 08, 2011 12:33 pm
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

One difference between it and DFA is Greenblat seeks good companies while DFA seeks troubled companies, which will have higher value loading, but will also be riskier...All of these are value focused, but all have slightly different metrics to capture it. I would expect performance to vary with tre...
by Park
Sat Jan 08, 2011 10:52 am
Forum: Personal Investments
Topic: Is Greenblatt's MFI Different From What DFA Does?
Replies: 19
Views: 2775

Is Greenblatt's MFI Different From What DFA Does?

DFA is a topic of some controversy in this board. Nevertheless, DFA has credibility here. Compared to Vanguard, the biggest difference with DFA is the tilt towards small and value. Value is primarily determined by price/book (P/B) ratio, which is a measure of how cheap a company is. Joel Greenblatt ...
by Park
Mon Dec 20, 2010 1:27 am
Forum: Personal Investments
Topic: TIPS Advice
Replies: 3
Views: 1209

Thanks
by Park
Sun Dec 19, 2010 5:39 pm
Forum: Personal Investments
Topic: TIPS Advice
Replies: 3
Views: 1209

TIPS Advice

I'm in the accumulation phase; I won't be using my retirement accounts for many years. I'm thinking of buying TIPS in my IRA for diversification, and not using a mutual fund or ETF. I've owned a ladder of government zero coupon bonds, but never TIPS. Any advice on individual TIPS?
by Park
Wed Dec 01, 2010 10:59 pm
Forum: Investing - Theory, News & General
Topic: International Without Canada?
Replies: 31
Views: 3553

As a Canadian, I hope the exclusion of Canada continues until I retire. It keeps the price of Canadian stocks down, and increases my return.
by Park
Fri Nov 19, 2010 9:53 pm
Forum: Investing - Theory, News & General
Topic: Composition of Global Total Stock/Bond Markets
Replies: 21
Views: 5083

I know some people are opposed to small-cap tilting on the grounds that "the market portfolio" is the most efficient possible -- so shouldn't those folks hold 30% foreign bonds according to this chart? About the market portfolio being the most efficient, the argument has been made that internationa...
by Park
Sun Nov 14, 2010 2:46 pm
Forum: Investing - Theory, News & General
Topic: CNBC Interview With Jeremy Grantham
Replies: 5
Views: 1873

"Bubbles are the most dangerous thing— asset-class bubbles that come along. They're the most dangerous to investors" "Japan has paid 20 years for the price of the greatest land— bubble and the greatest stock bubble in history. Far worse, in my opinion, than the South Sea bubble or the tulip bubble i...
by Park
Sat Nov 13, 2010 6:35 pm
Forum: Personal Investments
Topic: Why Does David Swensen Recommend 15% Real Estate?
Replies: 46
Views: 11534

https://institutional.vanguard.com/iip/pdf/realestate_WP.pdf About REITs being stocks and their diversification being unreliable, the above Vanguard link would indicate that longterm they act like private real estate and provide a diversification benefit. P.S. Vanguard publishes some excellent links...
by Park
Sat Nov 13, 2010 1:32 pm
Forum: Personal Investments
Topic: Why Does David Swensen Recommend 15% Real Estate?
Replies: 46
Views: 11534

About William Bernstein's recommendation, that's a maximum of 10% of one's equity portfolio. David Swensen's suggestion is 15% of one's total portfolio. If you look at William Bernstein's latest book, he gives 3 sample portfolios containing REITs; the portfolios contain 4%, 4% and 5% REITs as a % of...
by Park
Sat Nov 13, 2010 1:07 pm
Forum: Personal Investments
Topic: Does one need corporate bonds?
Replies: 49
Views: 4840

About whether one needs corporate bonds, David Swensen makes the point that if the issuer of a financial product has a different agenda than the owner of that financial product, it tends not to work in favor of the owner. When it comes to domestic bondholders, governments tend to be neutral. The sam...
by Park
Sat Nov 13, 2010 12:01 pm
Forum: Personal Investments
Topic: How much TIPS and when?
Replies: 39
Views: 5246

About stocks as an inflation hedge, American stocks have kept up with inflation for about 80% of 5 year periods, 90% of 10 year periods and 100% of 20 year periods.

So stocks do act as an inflation hedge. But one should count on them as a long term inflation hedge.
by Park
Sat Nov 13, 2010 11:45 am
Forum: Personal Investments
Topic: Why Does David Swensen Recommend 15% Real Estate?
Replies: 46
Views: 11534

Why Does David Swensen Recommend 15% Real Estate?

In his book for retail investors, David Swensen suggested a 20% allocation of one's total portfolio to real estate. From what I have read, he later decreased that to 15%. For recommendations from personal finance mavens, that is on the high side. For example, William Bernstein suggests no more than ...
by Park
Thu Nov 11, 2010 12:39 am
Forum: Personal Investments
Topic: If I Own REITs, Does that Decrease My Need to SCV Tilt?
Replies: 6
Views: 1504

If I Own REITs, Does that Decrease My Need to SCV Tilt?

Not everyone advocates a tilt towards small cap and value. But some do. However, REIT investment shows some correlation to mid/small cap and value. If you are going to tilt towards small cap and value, should REIT investment result in decreased asset allocation towards small cap and/or value?
by Park
Wed Nov 10, 2010 11:44 pm
Forum: Personal Investments
Topic: How Much of Bond Allocation in TIPs?
Replies: 53
Views: 11665

I tried to create a link, but I'm new, so I couldn't. But at present, that's what the Bogleheads wiki says.
by Park
Wed Nov 10, 2010 10:18 pm
Forum: Personal Investments
Topic: How Much of Bond Allocation in TIPs?
Replies: 53
Views: 11665

How Much of Bond Allocation in TIPs?

The Boglehead wiki states that the most common Boglehead bond allocation is 80% nominal and 20% inflation indexed. Could I ask what the rationale is for that split?
by Park
Mon Nov 08, 2010 1:41 am
Forum: Personal Investments
Topic: How Much REIT in VEU?
Replies: 1
Views: 741

How Much REIT in VEU?

What % capitalization are REITs of VEU (Vanguard's ex-US index fund)?
by Park
Sat Nov 06, 2010 4:59 pm
Forum: Personal Investments
Topic: Why Match Assets and Liabilities Using Duration?
Replies: 2
Views: 1750

Why Match Assets and Liabilities Using Duration?

This is an elementary question, but why match assets and liabilities using duration and not time to maturity?