Search found 3746 matches

by peter71
Wed Aug 08, 2007 9:41 pm
Forum: Investing - Theory, News & General
Topic: hypothetical growth of $10,000/compound DAILY growth rate
Replies: 14
Views: 4933

to hammy

hi hammy, thanks for your reply. maybe check out the wikipedia entry on "compound interest" however (particularly the stuff about different reporting conventions for different countries, for T-bills rather than for other investments, etc.) and see if you're not likewise a bit puzzled. (Note also tha...
by peter71
Wed Aug 08, 2007 9:35 pm
Forum: Investing - Theory, News & General
Topic: hypothetical growth of $10,000/compound DAILY growth rate
Replies: 14
Views: 4933

a simpler question

hi all, i've been skimming the academic lit on my own and it may be there's no right answer to my question, but it basically concerns whether those "hypothetical growth of $10,000" figures do or don't reflect the same growth over a period of n years as one would find by computing annualized and/or m...
by peter71
Wed Aug 08, 2007 4:50 pm
Forum: Investing - Theory, News & General
Topic: hypothetical growth of $10,000/compound DAILY growth rate
Replies: 14
Views: 4933

hypothetical growth of $10,000/compound DAILY growth rate

hi all, does anyone know why prospectuses refer to a "hypothetical" growth of $10,000? i always thought it was merely a legalistic convention, but might it also be that while "annualizing" a time-series dataset is itself a convenient convention, an "actual" $10,000 would instead grow in accordance w...
by peter71
Mon Aug 06, 2007 6:41 pm
Forum: Investing - Theory, News & General
Topic: SRI & Global Diversification With Low Expenses
Replies: 4
Views: 1301

depends on your social priorities

hi, i think it depends what you envision as ideal for the developing world. my sense is that most SRI funds use qualitative screens to screen out large multinationals that they see as actively "harming" developing countries, so if critiques of NIKE sweatshops and so forth resonate with you you'll ha...
by peter71
Mon Aug 06, 2007 10:27 am
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

interesting data

hi all, interesting data, schooly d. i myself think there's still much to be said for the general rule that higher risks bring higher returns, but there's a lot of things assumed away with that general rule . . . e.g., the perhaps inherently higher volatility of publicly-traded entities, the possibi...
by peter71
Sun Aug 05, 2007 4:50 pm
Forum: Investing - Theory, News & General
Topic: Recent quote by Charles Schwab
Replies: 5
Views: 1857

schwab's motivations

hi all, well, if you're savvy enough to be looking at tax-adjusted returns, wouldn't you also be savvy enough to wait and see what actually happens before pricing in long-term tax law changes? similarly, couldn't new tax laws for hedge funds actually benefit the brokerages? so, while i'm not saying ...
by peter71
Sun Aug 05, 2007 4:04 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: concentrating risks/minimizing dispersion
Replies: 70
Views: 28240

or . . .

hi again mossy,

alternatively, as i reread your initial post, it wasn't you who used the term "average" at all. so if that 12+%, 7.8 SD portfolio really is from the "CAGR" row, then that really seems (interestingly) in a different ballpark from the two portfolios posted by stratton . . .

pete
by peter71
Sun Aug 05, 2007 3:57 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: concentrating risks/minimizing dispersion
Replies: 70
Views: 28240

Re: good run for the high return components?

[quote="MossySF"] This is the Simba backtest spreadsheet that covers 1972-2006 and also 1985-2006 for more asset classes. The numbers are geometric mean. You can download this spreadsheet and play around with the numbers to your heart's delight. Beware, you will lose days of productivity. http://pas...
by peter71
Sun Aug 05, 2007 11:09 am
Forum: Investing - Theory, News & General
Topic: Glory days for small-value
Replies: 17
Views: 4324

turnover

hi all, could someone comment on turnover and survivorship in small value funds? for turnover, do even "unmanaged" small value funds typically have a preset size and/or P/B ratio at which they decide a company is no longer "small" or "underpriced"? so long as they could control for market fluctuatio...
by peter71
Sat Aug 04, 2007 11:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: concentrating risks/minimizing dispersion
Replies: 70
Views: 28240

good run for the high return components?

hi mossy, i think it's a very interesting portfolio but it might be that the components providing the bulk of the return (e.g., REITS, EM, SCV and/or commodities) had a particularly good 10 years. one thing i like to do (in addition to checking how a portfolio has done in the year(s) subsequent to a...
by peter71
Sat Aug 04, 2007 12:17 pm
Forum: Investing - Theory, News & General
Topic: Nassim-Black Swan-Taleb Advises Index Funds no longer work
Replies: 46
Views: 18159

taleb's model mis-specification

hi all, though i'm not an indexer myself i lost a little respect for taleb in reading this transcript. specifically, the implication that conventional empiricists incorrectly predict that saudi arabia is "stable" whereas italy is "volatile" is simply ridiculous. first of all, no one thinks that peri...
by peter71
Fri Aug 03, 2007 11:05 pm
Forum: Investing - Theory, News & General
Topic: How should thinking about early retirement affect my plans?
Replies: 5
Views: 1852

2nd mortgage

hi spartacus, for what it's worth, i think i'd pay off the second mortgage and perhaps take some money out of the MMA. if you're not getting bombarded with low percentage rate credit card offers you may actually be hurting your credit rating a bit with the two mortgages, and supposedly that can lead...
by peter71
Fri Aug 03, 2007 7:16 pm
Forum: Personal Investments
Topic: new Boglehead and now i want to fire my financial advisor
Replies: 65
Views: 23807

the s-series

read the linked study. it's not just about indexing. he's not evil or ripping you off any more than a company that sells you bottled tap water is evil or ripping you off, and he may even have a strategy that a stray academic argued was superior to indexing, but due to the limitations of using academ...
by peter71
Fri Aug 03, 2007 6:58 pm
Forum: Personal Investments
Topic: new Boglehead and now i want to fire my financial advisor
Replies: 65
Views: 23807

study link

hi s., ii'm happy to tell you it's highly improbable your FA has your best interests at heart! you might try dropping a reference to the attached study (in addition to bogle's books) which you may also enjoy. http://advisor.morningstar.com/articles/Doc.asp?docId=4482 now, if you could just e-mail my...
by peter71
Fri Aug 03, 2007 6:37 pm
Forum: Investing - Theory, News & General
Topic: Why buy stocks?
Replies: 32
Views: 10431

interesting post!

hi nispurious, i much enjoyed your post as my mother and fiancee had very similar experiences with financial advisors. it's definitely clear that exchanges benefit from "marketing" equities in particular and when the NYSE initiated its internal market research program in the 1950's it published an i...
by peter71
Fri Aug 03, 2007 4:39 pm
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

performance chasing

hi valuethinker, i guess it depends what you mean by performance chasing. if it's "anything other than indexing across asset classes" then i agree. if you're implying that institutions and the very rich in general get lower returns than individuals, however (or that they're the last to move into hot...
by peter71
Fri Aug 03, 2007 2:00 pm
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

rooting against the rich

hi valuethinker, i'd certainly /like/ to believe that the rich are worse investors than everyone else (and, like your examples, the "idiot hedge fund manager of the day" posts on here certainly suggest particular instances in which that's true). that said, the NCREIF indexes suggest that at least a ...
by peter71
Fri Aug 03, 2007 12:43 pm
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

theory and empirics

hi again, ifor better or worse, simple statistical back-testing isn't arbitrage. to me, as to others who've posted in the various forums on MPT in here, it's just a vital way of knowing when our deductive theories are flawed. the idea that one can put together a consistently uncorrelated "buy and ho...
by peter71
Fri Aug 03, 2007 11:29 am
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

wisdom of crowds

hi all, without going back over my previous arguments for TIAA RE in particular, i'm really interested in talking about the impressive returns of the asset class as a whole. in theory, i agree that all US stocks and all US bonds sounds more diverse than all US real estate (and i definitely agree wit...
by peter71
Fri Aug 03, 2007 1:36 am
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

what qualifies as a black swan?

hi craig, is a start-up failing really a black swan? is crummy performance of TSM/TBM over an extended period of time really a black swan? i too am sympathetic to taleb but as discussed in an earlier thread i suspect that real estate is more robust to the uncertainties of hyperinflation, revolution ...
by peter71
Fri Aug 03, 2007 12:47 am
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

low volatility of the class

hi all, there was actually a typo in my above post and it's not the "NAREIT" index but the "NCREIF" index to which the above link referred us. here it is again: http://www.ncreif.org/indices/npi.phtml?type=national&PHPSESSID=9f9abdecb62d22d1b8fff32c69734214 as you can see, whatever it is this index ...
by peter71
Thu Aug 02, 2007 9:26 pm
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

refocusing the debate

hi all, alec's link to the NAREIT index above strikes me as helpfully refocusing the debate. specifically, while others are focused on the two down years for the index prior to TIAA RE's inception, what seems more important to note is that iTIAA RE has suffered substantially lower returns as the pri...
by peter71
Thu Aug 02, 2007 8:10 pm
Forum: Investing - Theory, News & General
Topic: Is 100% TIAA RE "Less Risky" Than 50-50 TSM/TBM?
Replies: 39
Views: 11623

cross-post from morningstar

Hi All, Here's a cross-post of my recent Morningstar response to Larry and some others' concerns about the increasing risk of TIAA RE in the "leverage era" (which I believe Dick set at Q3 of 2004). While I'm not deliberately playing with anyone's head, note that I'm also not saying that I expect TIA...
by peter71
Thu Aug 02, 2007 6:08 pm
Forum: Investing - Theory, News & General
Topic: Jrnl of Fin Planning Article "Modern Portfolio Decumula
Replies: 10
Views: 14850

a quick read

hi all, this isn't really my area, but my quick read is that the paper is saying that instead of modeling how long a retiree will live until their portfolio hits zero, planners should advise decumulators on the basis of always having enough funds to purchase a post-retirement lifetime annuity as a f...
by peter71
Thu Aug 02, 2007 5:40 pm
Forum: Investing - Theory, News & General
Topic: Trying to understand muni bond fund behavior
Replies: 6
Views: 1720

a wild guess

hi latestarter, i hope you get an educated reply here b/c i've always liked the idea of munis for social rather than economic reasons. my own "wild guess" is that it might have something to do with the bridge collapse in minneapolis: i.e., the expectation may be that city, county and state govts. ar...
by peter71
Thu Aug 02, 2007 2:53 pm
Forum: Investing - Theory, News & General
Topic: Long term hedging strategies?
Replies: 14
Views: 3273

risk drag

just type in "risk drag" on google and the bernstein paper and others should come up.
by peter71
Tue Jul 31, 2007 3:43 pm
Forum: Investing - Theory, News & General
Topic: Long term hedging strategies?
Replies: 14
Views: 3273

hedging and risk drag

i'd add that another reason for hedging (albeit "only" good for 1-2 percentage points of return per annum) is to avoid "risk drag." hence, i think valuethinker's comments about the purely psychological benefits of a low-volatility portfolio are overstated . . . for more on this, see the various link...
by peter71
Sat Jul 28, 2007 5:44 pm
Forum: Investing - Theory, News & General
Topic: TIAA Real Estate is up today and up 8.40% YTD
Replies: 31
Views: 9416

stats

Hi All, Here's what I have for the annualized and annual return data on the fund: If someone has annual return data for the NAREIT that would be an interesting comparison I haven't yet seen . . . i think you get an alpha of over 5 when you benchmark it against the S&P but of course that's not entire...
by peter71
Sat Jul 28, 2007 12:18 pm
Forum: Investing - Theory, News & General
Topic: TIAA Real Estate is up today and up 8.40% YTD
Replies: 31
Views: 9416

lagging markets

as i understand it the claim that real estate in general lags stocks in general refers to a much longer time horizon than a one-week correction. it's in any case a fairly straightforward statistical proposition to test, so if anyone has actual evidence that big 3 day drops in the dow at time t predi...
by peter71
Fri Jul 27, 2007 1:06 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

no right answer

hi socratic, i just don't think there's any right answer to your question about what's a reasonable level. there's an interesting MPT thread on here that talks about the difficulty and perhaps futility of trying to get a "low correlation" portfolio, and, at least as i understand it, the main desirab...
by peter71
Fri Jul 27, 2007 12:22 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

thanks extra

hi extra, thanks for the props but bob's most recent posts on the morningstar board he mentions suggest considerable love for TIAA RE (and others there certainly have a lot of love for it). i tried to plop down my own $5 to join the party but after several e-mails to morningstar no success (whatever...
by peter71
Fri Jul 27, 2007 10:39 am
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

thanks for the notes on NAv's

hi all, thanks for the notes on NAV-drops! i'd say that the timing question is really all about the worst case scenario for TIAA-RE (i.e., on the assumption that all statistical back-testing will be violated by a black swan). if you go with the statistical back-testing, it's been a very nice pick ac...
by peter71
Thu Jul 26, 2007 11:52 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

more info on one one day drops in open-ended RE funds

sorry to post twice in a row, but i've looked for more info on hafis' very important point about purely "methodological" 18% one day drops in open-ended direct property funds and not yet found it . . . part of me wants to think that if it were really just methodological they might have upped people'...
by peter71
Thu Jul 26, 2007 8:54 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

hi all

hi all,

bob -- thanks much for the link! my mother-in-law just arrived in town and i've been out all day so sorry not to reply sooner . . . i only took a quick look at the performance today but i suppose continued watchful waiting is the thing . . .

all best,
pete
by peter71
Thu Jul 26, 2007 12:55 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

to house blend

hi house blend: because of what you say and because i'm in at 80% i'd look at the short term trend and then pull the trigger in a big way when i did. another nice thing about the fund, though is that because there are no spectacular quarters i'm unlikely to miss much while i'm gone. in contrast, bog...
by peter71
Thu Jul 26, 2007 12:30 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

to bob

hey bob, i fear my reference to "insiders" is indeed one of many vague terms i've tossed out there: i can barely follow accounting statements myself and so haven't read the filings you mention and was i guess falsely assuming that the aforementioned WMA's and/or reps with 100% holdings in RE were re...
by peter71
Thu Jul 26, 2007 10:30 am
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

still no evidence of volatility

hi larry, while as my previous comments suggest i certainly think the account bears close watching i've been watching it a couple years now and haven't yet seen any evidence of volatility at all. i agree that they're smoothing it and that the lack of volatility is largely an illusion, but given it r...
by peter71
Wed Jul 25, 2007 9:53 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

only finance

hi larry, i'm just a stats professor/hobbyist who never cared a bit about investing until my mom's retirement money was moved out of TIAA and into high load/high fee funds, but why such strong sentiments about the older data? i personally think three years of data is a far more dangerous referent po...
by peter71
Wed Jul 25, 2007 7:49 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

stats on TIAA RE

i know TIAA RE just started offering a benchmark but haven't yet seen them compute a beta or an R-squared. i have done some non-benchmarked RAR calculations on my own though and for 1997-2006 the (geometric) mean return of 9.4% with an SD of 3.4% is tough (though not impossible) to beat by my own pr...
by peter71
Wed Jul 25, 2007 6:12 pm
Forum: Personal Investments
Topic: Maximum Allocation to TIAA RE Account?
Replies: 67
Views: 17706

deduction, induction and TIAA-RE

Hi Socratic, I think folks have already heard most of what I have to say about this, but are you Socratic in the sense of preferring deductive MPT to inductive empirical back-testing of risk-adjusted returns? I think that's reasonable enough, but I'd be very interested in hearing others' thoughts on...
by peter71
Wed Jul 25, 2007 3:39 pm
Forum: Investing - Theory, News & General
Topic: Larry and friends: REITs, TIAA Real Estate and Intl. RE
Replies: 54
Views: 18332

"V-dub"

how could a company that makes such brilliant TV ads ever do anything wrong?
by peter71
Wed Jul 25, 2007 1:10 pm
Forum: Investing - Theory, News & General
Topic: Larry and friends: REITs, TIAA Real Estate and Intl. RE
Replies: 54
Views: 18332

TIAA RE as SRI

schooly d, hi. you're of course right that TIAA isn't giving all of its office and retail space to SRI clients, but as per some of extra's remarks above i've often had trouble thinking of a /publicly-traded/ company i really like. SRI funds in particular often seem to me to be dominated by companies...
by peter71
Wed Jul 25, 2007 12:30 am
Forum: Investing - Theory, News & General
Topic: Larry and friends: REITs, TIAA Real Estate and Intl. RE
Replies: 54
Views: 18332

riskier AND lower return?

Hi Grumel, Setting aside some atypical properties of TIAA retirement funds in particular I think I agree with you on the return side about real estate long term -- TIAA began as a non-profit foundation of Andrew Carnegie's -- supposedly to keep professors away from socialism -- and I suspect much of...
by peter71
Tue Jul 24, 2007 10:52 pm
Forum: Investing - Theory, News & General
Topic: Larry and friends: REITs, TIAA Real Estate and Intl. RE
Replies: 54
Views: 18332

references to links

hi grumel, i can't yet post links but if you go to TIAA's website you can see that it's 9.5% after fees for the 12 year life of the fund. the bit about robustness to uncertainty and the "survivorship bias" of measures of equity returns is nicely covered in a couple of places online -- 1) in the acad...
by peter71
Tue Jul 24, 2007 10:13 pm
Forum: Investing - Theory, News & General
Topic: Larry and friends: REITs, TIAA Real Estate and Intl. RE
Replies: 54
Views: 18332

admittedly risk averse before my time!

hey extra, sure, if the question is whether 80% is TOO conservative for a youngish person under standard assumptions i'd have to agree: i'm only 35 but given a) a bearish feeling that the next 50 years for US stocks are unlikely to be as good as the last 50, b) a social/political preference for vari...
by peter71
Tue Jul 24, 2007 8:48 pm
Forum: Investing - Theory, News & General
Topic: Larry and friends: REITs, TIAA Real Estate and Intl. RE
Replies: 54
Views: 18332

other arguments for TIAA-RE

hi all, as someone who goes 80/20 TIAA RE and TIAA TRAD I thought I'd throw in my ten cents about why I suspect some TIAA reps might do the same: 1) real estate is "robust to uncertainty" in a way neither stocks nor bonds really are. that is, if you had german stocks or bonds in the 1930's, they bec...