Search found 9792 matches

by Doc
Mon Aug 31, 2020 4:06 pm
Forum: Investing - Theory, News & General
Topic: Vanguard seems to have web online sign on problem
Replies: 145
Views: 6708

Re: Vanguard seems to have web online sign on problem

Here's the link in human readable format: Vanguard website goes down briefly Monday, as Apple and Tesla shares both split The reporter who boosted TheTimeLord into fame is Erin Arvedlund. She attended the local Philadelphia Bogleheads chapter meetings a few years ago. I'm glad that Erin's post has ...
by Doc
Mon Aug 31, 2020 10:36 am
Forum: Investing - Theory, News & General
Topic: Vanguard seems to have web online sign on problem
Replies: 145
Views: 6708

Re: Vanguard seems to have web online sign on problem

Using Quicken I can download form Schwab and Fidelity but not Vanguard. New error message re Vanguard: "Quicken is unable to update your account because unexpected (Information) was received from your financial institution." A short time ago the the error message was the standard "password" type mes...
by Doc
Sun Aug 30, 2020 3:52 pm
Forum: Investing - Theory, News & General
Topic: If International, what specifically?
Replies: 88
Views: 7242

Re: If International, what specifically?

Eyeballing the chart it looks like the vast majority of outperformance happened between gridlines 3 and 4, and it has tracked the index since. Good catch. (I did know that.) But I am not going to sell a long term position just because it has not out performed the index over the last few years. It s...
by Doc
Sun Aug 30, 2020 3:27 pm
Forum: Investing - Theory, News & General
Topic: If International, what specifically?
Replies: 88
Views: 7242

Re: If International, what specifically?

I've been staying out of this thread because of my un-Boglehead position on international. As someone mention upthread they avoid EM on a "sleep well" basis. (My term not the posters.) Adding EM at market rate would not make any significant overall difference even if it outperformed by say 10%. So n...
by Doc
Mon Aug 24, 2020 2:45 pm
Forum: Investing - Theory, News & General
Topic: If International, what specifically?
Replies: 88
Views: 7242

Re: If International, what specifically?

DFA International Small Cap Value I DISVX would be the one I'd take if I could get it without giving them my entire port. Change brokers. "Minimum: $2,500" Not likely to be your entire portfolio. True but I can't just get access to DISVX as far as I've seen (no 401k/ira options). I would have to mo...
by Doc
Mon Aug 24, 2020 9:42 am
Forum: Investing - Theory, News & General
Topic: If International, what specifically?
Replies: 88
Views: 7242

Re: If International, what specifically?

brad.clarkston wrote: Fri Aug 21, 2020 11:21 am DFA International Small Cap Value I DISVX would be the one I'd take if I could get it without giving them my entire port.
Change brokers. "Minimum: $2,500" Not likely to be your entire portfolio.
by Doc
Sat Aug 22, 2020 5:46 pm
Forum: Investing - Theory, News & General
Topic: March 9th, 2020 - no bid for bonds / no offer for bonds
Replies: 19
Views: 1881

Re: March 9th, 2020 - no bid for bonds / no offer for bonds

dknightd wrote: Sat Aug 22, 2020 9:37 am Can they buy or sell before the bonds are offered to the general public?
I sure as heck hope not.
by Doc
Sat Aug 22, 2020 5:34 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Short-Term Bond ETF (BSV)
Replies: 8
Views: 721

Re: Vanguard Short-Term Bond ETF (BSV)

Trivia is a lot more fun than boring old indexing. :D
by Doc
Sat Aug 22, 2020 10:57 am
Forum: Investing - Theory, News & General
Topic: Vanguard Short-Term Bond ETF (BSV)
Replies: 8
Views: 721

Vanguard Short-Term Bond ETF (BSV)

B SV When did Vanguard start spelling it's name starting with a "B"? :shock: Vanguard Short-Term Bond ETF (BSV) Also available as an Admiral™ Shares mutual fund. https://investor.vanguard.com/etf/profile/BSV The Admiral share class Vanguard Short-Term Bond Index Fund Admiral Shares (VBIRX). The dif...
by Doc
Thu Aug 20, 2020 8:55 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Grabiner wrote in the OP: "Summary. A good estimate of the expected total return of a high-quality bond fund is the SEC yield, plus the product of the duration and the average slope of the yield curve at that duration." I don't have any interest in estimating the expected total return of a bond fund...
by Doc
Wed Aug 19, 2020 9:30 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

My model is intended to predict the instantaneous return (the derivative of the current value, or the one-day return), but this should be a good approximation of short-term expected returns as well. Thanks for the amplification. David and I are looking at different aspects of bond returns. David is...
by Doc
Tue Aug 18, 2020 10:28 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Here's my "Roll Down" yield chart from today: https://i.postimg.cc/5N9N99fD/Roll-yield-today.jpg And some 15 months ago: https://i.postimg.cc/267X3w2F/roll-yield-3-18-19.jpg Grabiner wrote: "A good estimate of the expected total return of a high-quality bond fund is the SEC yield, plus the product o...
by Doc
Tue Aug 18, 2020 7:32 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

"... based on the research of Eugene F. Fama and Robert R. Bliss. Their study "The information in Long-Maturity Forward Rates" ... 1987 edition of the American Economic Review ... concluded that ... In other words, today's yield curve is the best estimate we have of what future yield curve will be....
by Doc
Mon Aug 17, 2020 2:34 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

"... based on the research of Eugene F. Fama and Robert R. Bliss. Their study "The information in Long-Maturity Forward Rates" ... 1987 edition of the American Economic Review ... concluded that ... In other words, today's yield curve is the best estimate we have of what future yield curve will be."...
by Doc
Mon Aug 17, 2020 8:34 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

OK, but you are choosing the maturity range (or whatever fund) based on expected returns calculated using the current yield curve, assumed to be static Not expected returns. I'm choosing a range based on the current yield curve. I do not expect it to not change. I don't reject David's model . I jus...
by Doc
Sun Aug 16, 2020 11:41 am
Forum: Investing - Theory, News & General
Topic: Treasury STRIPS, Any difference in Interest or Principle Bonds?
Replies: 3
Views: 363

Re: Treasury STRIPS, Any difference in Interest or Principle Bonds?

If buying for a ladder then it doesn't matter if they are interest or principal STRIPS. Pick the one with the highest yield and hold till maturity. STRIPS normally have higher yields than regular treasurys. Tax considerations? "With a zero coupon Treasury bond, you must pay taxes on the imputed or ...
by Doc
Sun Aug 16, 2020 10:21 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Bringing us back to the model proposed by David in the OP, your choice would not depend on the current yield curve, but only on the duration of the ladder and the historical average slope of the curve at that duration. But I don't think you buy into David's model, which basically assumes constant t...
by Doc
Sat Aug 15, 2020 4:24 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

I do not have time to go through this today. I am now more confused than I was before. The term "par curve" is confusing me greatly. Note that they are using securities that trade close to par, not at par, as inputs to an algorithm that generates what Treasury tells us is "considered a par curve". M...
by Doc
Fri Aug 14, 2020 9:53 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Kevin M wrote: ↑Thu Aug 13, 2020 4:39 pm You're still not understanding what a par yield curve is. For a par bond, coupon rate = yield (to maturity), so Treasury's curve provides both yield and coupon rate for the modeled maturities Don't know. I'm an engineer. When I get into these kinds of disagr...
by Doc
Thu Aug 13, 2020 7:30 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

You're still not understanding what a par yield curve is. For a par bond, coupon rate = yield (to maturity), so Treasury's curve provides both yield and coupon rate for the modeled maturities Don't know. I'm an engineer. When I get into these kinds of disagreements I say forget the words "do the ma...
by Doc
Thu Aug 13, 2020 7:30 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

You're still not understanding what a par yield curve is. For a par bond, coupon rate = yield (to maturity), so Treasury's curve provides both yield and coupon rate for the modeled maturities Don't know. I'm an engineer. When I get into these kinds of disagreements I say forget the words "do the ma...
by Doc
Thu Aug 13, 2020 4:36 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Kevin M wrote: Thu Aug 13, 2020 4:29 pm Recalling that the historical average yield curve slope for 3y to 10y Treasuries is 0.086% per year ...
My history is longer than your history 0.006% in 1990.
by Doc
Thu Aug 13, 2020 4:28 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Doing calculations with zeros is easier if you want to use the math based on the FV = PV*(1+r)^n formula, which is what you do in your spreadsheet, but it's not much harder to use the spreadsheet PV function for price change, and add in the coupon for total return, and it's more general, in that it...
by Doc
Thu Aug 13, 2020 11:04 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Liquidity is one factor, since on-the-run Treasuries are more liquid, which affects yield, but different coupon rates affect duration, which also affects yield. A 10-year Treasury issued three years ago has a higher coupon rate than a 7-year issued recently, so that will have a small impact on yiel...
by Doc
Wed Aug 12, 2020 5:45 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Referring to my last post:

Before I saw the previous post
grabiner wrote: Wed Aug 12, 2020 5:32 pm Given this consistency, it is best to use yield to maturity to compare different bonds, because this number is well-defined.
Thanks David. :D
by Doc
Wed Aug 12, 2020 5:37 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

You're missing the main point, which is that the Treasury yield curve is a par curve; i.e., it's based on on-the-run Treasuries, which tend to trade near par. The yield curve for zero-coupon bonds is slightly different--there are sources for zero-coupon yield curves if that's what you prefer to use...
by Doc
Wed Aug 12, 2020 3:20 pm
Forum: Investing - Theory, News & General
Topic: I Got Burned: Selling mutual fund and simultaneously purchasing ETF
Replies: 164
Views: 8208

Re: I Got Burned: Selling mutual fund and simultaneously purchasing ETF

Vulcan wrote: Wed Aug 12, 2020 3:16 pm No, I am not conflating them. I am saying they have nothing to do with what is being discussed here.
AnEngineer wrote: Wed Aug 12, 2020 2:18 pm I'm pretty sure that I'm able to sell then buy before settlement in my IRAs. This is sort of margin, but not really margin, and seems to be allowed.
by Doc
Wed Aug 12, 2020 3:09 pm
Forum: Investing - Theory, News & General
Topic: I Got Burned: Selling mutual fund and simultaneously purchasing ETF
Replies: 164
Views: 8208

Re: I Got Burned: Selling mutual fund and simultaneously purchasing ETF

I'm pretty sure that I'm able to sell then buy before settlement in my IRAs. This is sort of margin, but not really margin, and seems to be allowed. There is a concept called "limited margin" where you can trade without settled funds in an IRA. It is dependent on your broker. And the rules vary. Al...
by Doc
Wed Aug 12, 2020 2:45 pm
Forum: Investing - Theory, News & General
Topic: I Got Burned: Selling mutual fund and simultaneously purchasing ETF
Replies: 164
Views: 8208

Re: I Got Burned: Selling mutual fund and simultaneously purchasing ETF

I'm pretty sure that I'm able to sell then buy before settlement in my IRAs. This is sort of margin, but not really margin, and seems to be allowed. There is a concept called "limited margin" where you can trade without settled funds in an IRA. It is dependent on your broker. And the rules vary. Al...
by Doc
Wed Aug 12, 2020 10:22 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Kevin, I'm not going through your entire post because I don't agree with your assumptions. Next, let's assume that each bond is bought at par at the current yields, so coupon rate of each bond equals the yield (to maturity). This seems like a reasonable choice, especially if we're using the Treasury...
by Doc
Tue Aug 11, 2020 4:15 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

I think expected annualized rolldown return is appropriately defined as the expected annualized return in excess of the initial yield to maturity, which is essentially equivalent with the expected annualized return in excess of the expected annualized return for a flat yield curve. Please clarify: ...
by Doc
Tue Aug 11, 2020 1:48 pm
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

I downloaded this data, and calculated the average, which is 0.599%. Dividing by 7 (10-3) gives an average slope of 0.086% per year of maturity. Multiplying by duration of 5.3 gives expected "premium" of 0.45%. The divisor is not 7. The Treasury is issuing new 5,7 and 10 year notes approximately ev...
by Doc
Tue Aug 11, 2020 8:14 am
Forum: Investing - Theory, News & General
Topic: Expected return of a bond fund
Replies: 92
Views: 11062

Re: Expected return of a bond fund

Average slope between 3y and 10y is (0.59% - 0.15%) / (10 - 3) = 0.063%? Using the average slope is an approximation. A 5y to 10y usually has a smaller slope than say a 7-3. You would need to get a weighted average of each position. I don't think this is workable estimation process. You also have t...
by Doc
Sat Aug 08, 2020 3:25 pm
Forum: Investing - Theory, News & General
Topic: 0.00% Yield on the Vanguard Short-Term Treasury Fund
Replies: 203
Views: 16143

Re: 0.00% Yield on the Vanguard Short-Term Treasury Fund

I'd need to see more than just a chart to give it any credence--I'd need to see the methodology that was used to calculate the roll-down return ("roll yield" is not a term commonly applied to bonds, but to futures--it was misused by a forum member some years ago, and unfortunately has propagated am...
by Doc
Sat Aug 08, 2020 12:51 pm
Forum: Investing - Theory, News & General
Topic: Bogleheads blog: a new rebalancing study
Replies: 143
Views: 11213

Re: Bogleheads blog: a new rebalancing study

nedsaid wrote: Sat Aug 08, 2020 11:13 am It seems that rebalancing is about managing risk, it may or may not boost returns.
Duh.

In the long run equities return more than fixed income. So any rebalancing "bonus" that might be measured must depend on the time period that one uses for the calculation.

Sorry Siamond, I don't get it.
by Doc
Sat Aug 08, 2020 9:30 am
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

The best "market timing" opportunity ... This is not market timing. I opened a position in March and it has had a large price gain since then. I would prefer to have this position in another ETF because of liquidity concerns with the new position. I could take the gain now and pay the tax now or ju...
by Doc
Fri Aug 07, 2020 5:03 pm
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

I understand you harvested a loss. Now I am not understanding why you would consider selling a short term gain if your only purpose is tax efficiency, especially since in March your plan was to harvest the loss. I'm not. I don't want to take the gain at all. I don't like the ETF because it has a ve...
by Doc
Fri Aug 07, 2020 4:39 pm
Forum: Investing - Theory, News & General
Topic: Tax loss harvesting treasury bonds
Replies: 9
Views: 605

Re: Tax loss harvesting treasury bonds

It must depend on how much different, since “substantially identical” is less identical than “identical”. Without going back to look, "substantially identical" includes selling XYZ and purchasing a buy option for XYZ or buying two different share classes of the same fund. I spent some time on the w...
by Doc
Fri Aug 07, 2020 3:19 pm
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

If the market thinks that rates are going up, why would anyone buy at current rates? The question is when. If you belive rates will be 2% in a year would you stay in cash for a year or invest at 1%? Five years? It is not just a question of when. Many other developed countries have gone lower and st...
by Doc
Fri Aug 07, 2020 2:00 pm
Forum: Investing - Theory, News & General
Topic: Tax loss harvesting treasury bonds
Replies: 9
Views: 605

Re: Tax loss harvesting treasury bonds

I would think (just a guess) that as long as the new bond is a different CUSIP it would not be substantially identical. It would likely have a different maturity date, coupon rate, etc. I belive there was a ruling on this. Two Treasury bonds with the same maturity but different coupons are not subs...
by Doc
Fri Aug 07, 2020 1:47 pm
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

aristotelian wrote: Fri Aug 07, 2020 1:09 pm If the market thinks that rates are going up, why would anyone buy at current rates?
The question is when. If you belive rates will be 2% in a year would you stay in cash for a year or invest at 1%? Five years?
by Doc
Fri Aug 07, 2020 1:03 pm
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

Like I said, you are trying to time the market and nobody knows if rates will go up or when. I don't think that anyone believes that rates will not go up. When is another matter. The price drop in the short corporate bond ETFs was not due to a rate change as is evidenced by the minimal price change...
by Doc
Fri Aug 07, 2020 12:07 pm
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

Sounds like you are trying to time the bond market. Huh. I want to know if it is likely that the price will go down substantially some time soon. Rates will rise and the price will go down. If I sell I'm going to put the money back into the exact same market. So I don't have any gain or loss potent...
by Doc
Fri Aug 07, 2020 11:11 am
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

For vineviz and all you other FI guru's out there:

We have a 14% gain in this position over the last five months. What is the likelihood that much of that will disappear when the yield curve normalizes?
by Doc
Fri Aug 07, 2020 11:04 am
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

The risk would be if you NEEDED to sell urgently AND there was a liquidity crisis AND there was very low volume for whatever reason in that particular fund. That is the issue. The position is 25% of our total in one of our accounts and it is the only fixed income position in that account. So I woul...
by Doc
Fri Aug 07, 2020 9:50 am
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

This thread is not going in the direction I had hoped. What I am trying to get at is what is the expectation that future rate increases will wipe out a lot of the gain. The answer depends on whether the price crash when I bought was due to an interest rate increase or a flight to quality situation. ...
by Doc
Fri Aug 07, 2020 9:40 am
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

Why fret, when you don't really need to do anything? You know from our MANY discussions on the topic that trading volume is completely unimportant. I've read many of your previous discussions on the trading volume issue. And while I don't disagree I am still hesitant to place a limit order that is ...
by Doc
Thu Aug 06, 2020 4:54 pm
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Re: Purchased a ST Corp Bond ETF in March - Now What?

Why does there have to be an action other than collecting monthly distributions? When I sell something to do a TLH I usually want a replacement that will give similar returns with similar risk. In this case that condition was met but the trading volume of the new security is very low and I would li...
by Doc
Thu Aug 06, 2020 3:43 pm
Forum: Investing - Theory, News & General
Topic: Purchased a ST Corp Bond ETF in March - Now What?
Replies: 32
Views: 1425

Purchased a ST Corp Bond ETF in March - Now What?

I did some tax loss harvesting in March trading one "not significantly identical" bond ETF for another. As hoped for, the market recovered and the new fund now has a substantial short term cap gain. If I sell it now the loss and gain have offset each other and I've accomplished nothing. I could wait...
by Doc
Tue Aug 04, 2020 3:49 pm
Forum: Investing - Theory, News & General
Topic: What is going on with short-term taxable bonds?
Replies: 31
Views: 3827

Re: What is going on with short-term taxable bonds?

No it's actually "dividends and interest earned", and they are "earned" as this defined in the instructions following the formula. Read the SEC document instead of relying on wikepedia, I already posted an image of the pertinent section in this discussion right here: viewtopic.php?p=5412766&sid=fc7...