Search found 518 matches

by EDN
Mon Apr 08, 2013 12:47 pm
Forum: Investing - Help with Personal Investments
Topic: Asset allocation question on "safe money" (bonds/CD's/TIPS)
Replies: 20
Views: 2979

Re: Asset allocation question on "safe money" (bonds/CD's/TI

Hi all, My parents are about 6 years out from retirement, and I'm trying to figure out what their portfolio should look like. Mom has a pension coming, so we're looking for a fairly conservative portfolio to generate an additional 15-20k or so per year. My question is this: How do you figure your o...
by EDN
Mon Apr 08, 2013 12:28 pm
Forum: Investing - Theory, News & General
Topic: Market Pull Back
Replies: 19
Views: 2231

Re: Market Pull Back

Is anyone else happy that the market is pulling back ever so slightly? Psychologically, I feel better with this slight pull back. I'm less apprehensive about buying now, even though I know the substantive effect is minimal. How 'bout you? You should not know, and certainly not care what markets do ...
by EDN
Mon Apr 08, 2013 12:21 pm
Forum: Investing - Theory, News & General
Topic: Rick Ferri's Interview - Own Stocks to Offset Low Rates
Replies: 130
Views: 14817

Re: Rick Ferri's Interview - Own Stocks to Offset Low Rates

Hi EDN, If real interest rates stay very low for an extended period of time, it will be because our economy will have performed very poorly over an extended period of time. It's hard to see how there will be robust corporate earnings over that extended period in such an environment. I think you in ...
by EDN
Sun Apr 07, 2013 11:39 am
Forum: Investing - Theory, News & General
Topic: Rick Ferri's Interview - Own Stocks to Offset Low Rates
Replies: 130
Views: 14817

Re: Rick Ferri's Interview - Own Stocks to Offset Low Rates

I agree with Rick that low bond yields (and we cannot predict future rates so best estimate of tomorrow is simply today) require retirees to look at their return requirements and portfolio components to see if expected asset allocation return = required return. If it doesn't, that may require you to...
by EDN
Fri Apr 05, 2013 7:50 pm
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 33
Views: 3941

Re: Conflicts of interest.

Eric: Sorry you misunderstood my comments. I understand your comments about "professional conflicts of interest. " Best wishes. Taylor Yes, The degree to which Renkathaler's conclusion turned out to be faulty (not to mention his misunderstanding of how the FF 3F model came to be and it's applicatio...
by EDN
Fri Apr 05, 2013 7:11 pm
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 33
Views: 3941

Re: John Rekenthaler

Rekenthaler's article has been completely discredited, it was published at the peak of the tech bubble and has been a noose around his neck ever since. He himself has a signficant conflict of interest as he is director of research for a subscription based mutual fund rating service. Just as soon as...
by EDN
Fri Apr 05, 2013 5:26 pm
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 33
Views: 3941

Re: Index monkeys beat market cap weighting

If these results in the paper are indeed correct, I find them quite shocking. Basically it says that if you have 10 million randomly-weighted portfolios, ~99.9% of them have both higher returns (Fig. 5) and higher Sharpe Ratios (Fig. 6) than the market portfolio. In other words, they are more Marko...
by EDN
Fri Apr 05, 2013 4:49 pm
Forum: Investing - Theory, News & General
Topic: 30 year bond prices up 2-3% today!!
Replies: 39
Views: 4671

Re: 30 year bond prices up 2-3% today!!

I have no idea if or when it will happen, but if rates do start heading higher, mark my words: this board will be littered with posts about bond armageddon and how no one knew that bonds could lose so much when rates rose. The "3 Fund Portfolio" will turn into TSM, TISM, and ST Bond Index . The vast...
by EDN
Fri Apr 05, 2013 4:22 pm
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 33
Views: 3941

Re: Index monkeys beat market cap weighting

Cap weighting isn't inefficient, it just leads to a portfolio holding bigger and more economically healthy stocks, so in effect a cap weighted portfolio with no size or price restriction (TSM or S&P 500 or Russell 1000) is a large cap portfolio with a growth bias. Cap weighting is an efficient way t...
by EDN
Fri Apr 05, 2013 3:18 pm
Forum: Investing - Help with Personal Investments
Topic: Diversification and increased returns
Replies: 21
Views: 1176

Re: Diversification and increased returns

Hello bogleheads, Your infinite wisdom is once again required. Let's say you have a 3 fund lazy portfolio and you want to add 2 funds to increase DIVERSIFICATION and POTENTIAL RETURN, and you want to choose 2 of the following 3: reit index, small cap value and emerging market index. Which 2 would y...
by EDN
Fri Apr 05, 2013 3:06 pm
Forum: Investing - Help with Personal Investments
Topic: Is today a RBD [Really Bad Day]
Replies: 83
Views: 9174

Re: Is today a RBD

Remind me again, why are we watching the intra-day movements on the stocks we own that we likely won't be touching for 2 or 3 decades? If you have money to invest, do it. If you need money, take it. Waiting for some arbitrary pull back of 2.5% or whatever, that could take place 15% higher than now, ...
by EDN
Thu Apr 04, 2013 3:42 pm
Forum: Investing - Theory, News & General
Topic: is there bubble brewing in junk bonds?
Replies: 37
Views: 1835

Re: is there bubble brewing in junk bonds?

EDN, WIth respect to the 50/50 representing Barclays, is that the index or the fund? FWIW, the Vanguard HY is higher quality than Barclay's HY Index and has underperformed by a little over 200 basis points over the past 10 years, which is not surprising since it is less risky. I also looked at when...
by EDN
Thu Apr 04, 2013 1:28 pm
Forum: Investing - Theory, News & General
Topic: What's the difference? [Advantages of a Wealth Manager?]
Replies: 44
Views: 4649

Re: What's the difference? [Advantages of a Wealth Manager?]

Some brokerage firms and Trust companies have rebranded themselves "Wealth Managers", but they are still the same sheep in wolves clothing. In the independent fee-only RIA channel, "Wealth Manager" has a bit more meaning to it. Basically, you have: (1) "money managers" who will manage a portfolio of...
by EDN
Thu Apr 04, 2013 1:02 pm
Forum: Investing - Theory, News & General
Topic: is there bubble brewing in junk bonds?
Replies: 37
Views: 1835

Re: is there bubble brewing in junk bonds?

Just keep torturing the data. Look at your date ranges in the first table you presented. They're not consistent. You have to keep changing the length of the period measured until in each example comes out the way you want. That's just bad analysis. BTW, it's not surprising that in the long-term hig...
by EDN
Thu Apr 04, 2013 12:36 pm
Forum: Investing - Theory, News & General
Topic: is there bubble brewing in junk bonds?
Replies: 37
Views: 1835

Re: is there bubble brewing in junk bonds?

I believe in buying the entire stock and bond market as it exists as the cornerstone of a portfolio. So I don't need to make a case to include high yield because it's a large and growing portion of the corporate bond market. My reason for posting on these conversations is provide another side to th...
by EDN
Thu Apr 04, 2013 12:13 pm
Forum: Investing - Theory, News & General
Topic: is there bubble brewing in junk bonds?
Replies: 37
Views: 1835

Re: is there bubble brewing in junk bonds?

I think the easiest way to see Larry's point is to use the solver function on Simba's spreadsheet. If you are trying to maximize Sharpe ratio given variables of stocks, Treasuries, and HY, the HY allocation ends up being 0. Who knows if it will be going forward, but historically HY has not added va...
by EDN
Thu Apr 04, 2013 12:10 pm
Forum: Investing - Theory, News & General
Topic: is there bubble brewing in junk bonds?
Replies: 37
Views: 1835

Re: is there bubble brewing in junk bonds?

Just keep torturing the data. Look at your date ranges in the first table you presented. They're not consistent. You have to keep changing the length of the period measured until in each example comes out the way you want. That's just bad analysis. BTW, it's not surprising that in the long-term hig...
by EDN
Thu Apr 04, 2013 12:06 pm
Forum: Investing - Theory, News & General
Topic: is there bubble brewing in junk bonds?
Replies: 37
Views: 1835

Re: is there bubble brewing in junk bonds?

EDN, High yield has enough unique risk to warrant a small allocation. While there is correlation with stock (and SV) at times, it is not consistent. High yield bonds have outperform a stock and Treasury bond mix over many different periods. This could not have occurred under the "hybrid" argument, ...
by EDN
Thu Apr 04, 2013 11:53 am
Forum: Investing - Theory, News & General
Topic: is there bubble brewing in junk bonds?
Replies: 37
Views: 1835

Re: is there bubble brewing in junk bonds?

While we are at it, let's tackle the myth that says HY bonds have some inherent advantage during periods when rates are rising that disappears when rates fall. I'm not sure if anyone (besides Rick) says this, but it's surfaced, so lets put it to rest before it gains any more undeserved attention. We...
by EDN
Thu Apr 04, 2013 11:40 am
Forum: Investing - Theory, News & General
Topic: is there bubble brewing in junk bonds?
Replies: 37
Views: 1835

Re: is there bubble brewing in junk bonds?

1) Credit spreads can't be looked at in isolation. They must be looked at in relation to the rest of the bond market. High yield spreads have come down from a peak in 2008, but the spread is still high relative to other fixed income alternatives. BB Current yields are about 3 times the 10-year Trea...
by EDN
Wed Apr 03, 2013 7:53 pm
Forum: Investing - Theory, News & General
Topic: Vanguard High-yield Corporate
Replies: 15
Views: 1726

Re: Vanguard High-yield Corporate

I did that too! :happy It all happens in a well diversified portfolio that's rebalanced occasionally. Rick Ferri Diversification, or redundancy? Growth of $10K: 4/1/2000 to 9/30/2002 Van SV= 1$1,027 Van HY = $9,967 Van IT = $13,957 50/50 SV & IT = $12,302 10/1/2002 to 10/31/2007 Van SV = $22,132 Va...
by EDN
Wed Apr 03, 2013 7:40 pm
Forum: Investing - Help with Personal Investments
Topic: Can this 24-ETF portfolio be simplified?
Replies: 30
Views: 3469

Re: Can this 24-ETF portfolio be simplified?

Windhaven alert! Just use the 3 indexes they benchmark themselves to, since Schwab paid a sily sum to buy them (based on a meaningless short-term past track record), they've underperformed them pretty badly.

Eric
by EDN
Wed Apr 03, 2013 5:49 pm
Forum: Investing - Theory, News & General
Topic: Vanguard High-yield Corporate
Replies: 15
Views: 1726

Re: Vanguard High-yield Corporate

I do miss those days when I was rebalancing into this fund at near a 12% yield. Since then the NAV has more than doubled and I'm rebalancing some money out at a 4.6% yield. Such is life in a well balanced portfolio. Rick Ferri If you think that was something to miss, just imagine taking gains in hi...
by EDN
Wed Apr 03, 2013 4:26 pm
Forum: Investing - Theory, News & General
Topic: Vanguard High-yield Corporate
Replies: 15
Views: 1726

Re: Vanguard High-yield Corporate

Does anyone know why Vang High-Yield Corp's NAV has been stuck at $6.13 for 2 weeks or more?--not a single penny move in all that time. My Vanguard rep says it's simply the result of normal trading. Anyone have any relevant info? Do you miss these days? :D 28-Oct-08 3.07 27-Oct-08 3.08 24-Oct-08 3....
by EDN
Wed Apr 03, 2013 10:57 am
Forum: Investing - Theory, News & General
Topic: Bernstein: Make Peace With T-Bills
Replies: 50
Views: 5581

Re: Bernstein: Make Peace With T-Bills

To follow up on my last post, and look at a total portfolio , over the last 15 years we can look at a 60/40 version of the GAP portfolio from Bernstein (tilted equities with ultra-ST high quality bonds) and a "stay safe with equities, take risk in bonds" mix of 42% Russell 3000, 18% MSCI All Country...
by EDN
Wed Apr 03, 2013 10:42 am
Forum: Investing - Theory, News & General
Topic: Bernstein: Make Peace With T-Bills
Replies: 50
Views: 5581

Re: Bernstein: Make Peace With T-Bills

A few thoughts as I skimmed through the responses: 1. Is Bernstein making a market timing call by espousing/calling for t-bill allocations? I'm not sure I'd rest solely on interview answers for guidance, but I do note there doesn't seem to be any mention of large cash (t-bill) positions in The Intel...
by EDN
Tue Apr 02, 2013 3:41 pm
Forum: Investing - Theory, News & General
Topic: Bernstein: Make Peace With T-Bills
Replies: 50
Views: 5581

Re: Bernstein: Make Peace With T-Bills

I see long duration bonds as a tool. They are a very powerful tool with a lot leverage embedded within them, but I like that. I like that during a deflationary panic part of my portfolio is zooming up with the same intensity that the stock market is falling. I'm not sure that's a lock. A lot more g...
by EDN
Tue Apr 02, 2013 3:36 pm
Forum: Investing - Theory, News & General
Topic: Bernstein: Make Peace With T-Bills
Replies: 50
Views: 5581

Re: Bernstein: Make Peace With T-Bills

http://www.indexuniverse.com/hot-topics/16379-bill-bernstein-make-peace-with-t-bills.html?showall=&fullart=1&start=2 Nothing terribly new here, thought I would share it. I'm in total agreement that 10YR+ bonds and lower quality (i.e. Junk) make no sense. But not sure you need to go so extreme as to...
by EDN
Tue Apr 02, 2013 3:00 pm
Forum: Investing - Theory, News & General
Topic: Bernstein: Make Peace With T-Bills
Replies: 50
Views: 5581

Bernstein: Make Peace With T-Bills

http://www.indexuniverse.com/hot-topics/16379-bill-bernstein-make-peace-with-t-bills.html?showall=&fullart=1&start=2 Nothing terribly new here, thought I would share it. I'm in total agreement that 10YR+ bonds and lower quality (i.e. Junk) make no sense. But not sure you need to go so extreme as to ...
by EDN
Tue Apr 02, 2013 2:01 pm
Forum: Investing - Theory, News & General
Topic: Momentum: AQR, Bridgeway, & other implementation details
Replies: 16
Views: 2021

Re: Momentum: AQR, Bridgeway, & other implementation details

Here are regressions for ASMOX and BRSMX. ASMOX 2009-09 through 2013-01 fund entire history HML SMB Mkt-RF Mom alpha yearly alpha loadings 0.080 1.009 1.085 0.169 -0.173 -2.053% standard error 0.067 0.066 0.034 0.044 0.131 r2 0.986 0.796 #N/A #N/A #N/A F 656.810 36.000 #N/A #N/A #N/A ssreg 1664.641...
by EDN
Tue Apr 02, 2013 1:56 pm
Forum: Investing - Theory, News & General
Topic: Momentum: AQR, Bridgeway, & other implementation details
Replies: 16
Views: 2021

Re: Momentum: AQR, Bridgeway, & other implementation details

Eric First, long only MOM strategies have much lower turnover than 300%. Second, actual live trading costs using algorithmic trading strategies show costs of about 10% of what has been suggested. The actual funds have about matched the returns of the long only indices. I'll post on that in near fut...
by EDN
Tue Apr 02, 2013 1:26 pm
Forum: Investing - Theory, News & General
Topic: Jack Bogle on CNBC warns about bumpy ride next decade
Replies: 35
Views: 7029

Re: Jack Bogle on CNBC warns about bumpy ride next decade

Who cares, that's my question? Markets go up and they go down. The riskier/higher expected returning asset classes go down more and recover quicker. If you are accumulating wealth, you can ignore this . If you are spending wealth, and have enough high-quality bonds to get you through a few rough yea...
by EDN
Tue Apr 02, 2013 12:33 pm
Forum: Investing - Theory, News & General
Topic: Momentum: AQR, Bridgeway, & other implementation details
Replies: 16
Views: 2021

Re: Momentum: AQR, Bridgeway, & other implementation details

An important role of an advisor is to stay abreast of academic literature on behavior of markets, but distill that research into a portfolio package that makes the most sense for investors. There is no award for having the most academically sound portfolio or being on the cutting edge of new ivory t...
by EDN
Mon Apr 01, 2013 3:32 pm
Forum: Investing - Help with Personal Investments
Topic: What to do about Bonds
Replies: 19
Views: 2477

Re: What to do about Bonds

One other point, My previous posts just looked at the behavior of bonds during periods where stocks declined. In Expected Returns, Ilmanen provides a chart that lists the returns of various maturities sorted very finely from 1952-2009 (a period of pretty much unchanged rates): 1m = +4.8% 1-3yr = +6....
by EDN
Mon Apr 01, 2013 3:17 pm
Forum: Investing - Help with Personal Investments
Topic: What to do about Bonds
Replies: 19
Views: 2477

Re: What to do about Bonds

What if we just isolate a period where interest rates rose (instead of fell during the 2000s) and equities declined? 1963-1981 All 12mo Periods where TSM Was Negative: 1m = +6.8% 1yr = +7.1% 5yr = +3.6% 20yr = -0.3% So this obviously defies the logic that LT bonds always go up when stocks go down......
by EDN
Mon Apr 01, 2013 3:13 pm
Forum: Investing - Help with Personal Investments
Topic: What to do about Bonds
Replies: 19
Views: 2477

Re: What to do about Bonds

Recency Alert! :happy Bond returns during all 12 month periods when TSM declined (1963-1999): 1mo = +7.4% 1yr = +7.8% 5yr = +5.0% 20yr = +1.1% Eric Thanks Eric I am very interested to find your source on this. I am having trouble finding data all the way back to 1963 like you did. I can provide a b...
by EDN
Mon Apr 01, 2013 2:46 pm
Forum: Investing - Help with Personal Investments
Topic: What to do about Bonds
Replies: 19
Views: 2477

Re: What to do about Bonds

"The purity of noncallable, long-term, default-free Treasury bonds provides the most powerful diversification to investor portfolios". -David Swenson PhD, CIO Yale Endowment I am a young aggressive investor. In my portfolio the only role of bonds is as a diversification to my massive allocation to ...
by EDN
Mon Apr 01, 2013 1:30 pm
Forum: Investing - Theory, News & General
Topic: What investment does well as interest rates rise?
Replies: 29
Views: 5313

Re: What investment does well as interest rates rise?

Interest rates have fallen so persistently and by so much since the early 80s that we forget they can go the other way. Since 1985, 20YR T-Bonds beat 1mo T-Bills (the "term" premium) in 75% of all rolling 12 month periods. In the 60 years leading up to 1985, TERM was positive barely 50% of the time,...
by EDN
Sat Mar 30, 2013 1:00 pm
Forum: Investing - Help with Personal Investments
Topic: DFA - again - DFLVX Kills Vanguard - Pay admission?
Replies: 30
Views: 5399

Re: DFA - again - DFLVX Kills Vanguard - Pay admission?

. Heres a DFA TM and ETF portfolio comparison that I track in M*. Same estimated factor loads (ex-ante), same US:EAFE:EM split with same factor exposure across these markets, and similar tax efficiency across each portfolio. Annualized return (%) since inception on 11-06-08 have been very similar (...
by EDN
Sat Mar 30, 2013 12:33 pm
Forum: Investing - Theory, News & General
Topic: Is a 90% drop in the market realistic?
Replies: 40
Views: 4269

Re: Is a 90% drop in the market realistic?

One would have assumed that this would be disastrous for the long-term accumulator, but not so. Had they saved $100/month over these 15 years, their $18,000 total investment actually grew to $36,000 I call hypothetical on this. This has actually been bugging me for decades--it's commonly said that ...
by EDN
Sat Mar 30, 2013 12:18 pm
Forum: Investing - Theory, News & General
Topic: Is a 90% drop in the market realistic?
Replies: 40
Views: 4269

Re: Is a 90% drop in the market realistic?

In this article, the authors report that even the great oracle of Omaha has been dropping US stocks like a lead balloon. I'm not savvy enough to know how much of this is valid, but when they report real numbers (dumping all of Intel, dumping 21% of consumer product stocks), it makes me wonder. Some...
by EDN
Sat Mar 30, 2013 8:08 am
Forum: Investing - Theory, News & General
Topic: Is a 90% drop in the market realistic?
Replies: 40
Views: 4269

Re: Is a 90% drop in the market realistic?

One would have assumed that this would be disastrous for the long-term accumulator, but not so. Had they saved $100/month over these 15 years, their $18,000 total investment actually grew to $36,000, not the $18,000 you'd assume based on about 0% returns. In 1930 the average income per year was $1,...
by EDN
Fri Mar 29, 2013 11:09 pm
Forum: Investing - Theory, News & General
Topic: Is a 90% drop in the market realistic?
Replies: 40
Views: 4269

Re: Is a 90% drop in the market realistic?

In this article, the authors report that even the great oracle of Omaha has been dropping US stocks like a lead balloon. I'm not savvy enough to know how much of this is valid, but when they report real numbers (dumping all of Intel, dumping 21% of consumer product stocks), it makes me wonder. Some...
by EDN
Fri Mar 29, 2013 10:30 pm
Forum: Investing - Theory, News & General
Topic: Two kinds of value stocks?
Replies: 8
Views: 1741

Re: Two kinds of value stocks?

Are there two kinds of value stocks? A stock that tends to trade at a lower price relative to it's fundamentals (i.e. dividends, earnings, sales, etc.) and thus considered undervalued by a value investor. Common characteristics of such stocks include a high dividend yield, low price-to-book ratio a...
by EDN
Fri Mar 29, 2013 11:53 am
Forum: Investing - Theory, News & General
Topic: When interest rates are high, why invest in stocks?
Replies: 11
Views: 1707

Re: When interest rates are high, why invest in stocks?

The answer to this question: "why would you buy stock when _____________" is the same regardless of what you fill in the blank with. Stocks have higher risk and higher expected returns. Those expected returns are a distribution of future outcomes that include bad results, and even including those, t...
by EDN
Thu Mar 28, 2013 11:24 pm
Forum: Investing - Theory, News & General
Topic: Back to the future with the S&P
Replies: 9
Views: 1357

Re: Back to the future with the S&P

Sure, everyone who bought this fund in the 70s, 80s, and 90s have all had 0 real growth since 2000. We know liabilities have grown faster than inflation, as have required returns. The only hope is investors held other asset classes than big US companies. It's a stern warning to diversify broadly acr...
by EDN
Thu Mar 28, 2013 7:42 pm
Forum: Investing - Help with Personal Investments
Topic: More conservative than three-fund portfolio?
Replies: 7
Views: 1213

Re: More conservative than three-fund portfolio?

The classic three-fund portfolio looks good to me, but I have the following question: What if one wanted to trade away some performance in return for less volatility, and in particular, for less downside risk? Is that simply done by adjusting the relative weights, or are there other funds that woul...
by EDN
Thu Mar 28, 2013 7:19 pm
Forum: Investing - Help with Personal Investments
Topic: DFA - again - DFLVX Kills Vanguard - Pay admission?
Replies: 30
Views: 5399

Re: DFA - again - DFLVX Kills Vanguard - Pay admission?

Bradley, It all depends on the plan. There are 4 Vanguard funds I've used: Int'd Treasury, Ltd Term Tax Exempt, S&P 500 and TSM. I also have portfolios that are 100% DFA funds. All depends on the portfolio and client objectives. My portfolio is all in DFA funds, so obviously I think that's OK. Eric
by EDN
Thu Mar 28, 2013 5:53 pm
Forum: Investing - Help with Personal Investments
Topic: DFA - again - DFLVX Kills Vanguard - Pay admission?
Replies: 30
Views: 5399

Re: DFA - again - DFLVX Kills Vanguard - Pay admission?

Bradley, 1. Advisors don't "sell DFA", they sell advice, I have to keep correcting this. See my comments above. 2. I use DFA and Vanguard 3. No place for REITs in my portfolios, we're better keeping that money in small value stocks for higher return (advisors who use REITS usually take the % from SV...
by EDN
Thu Mar 28, 2013 5:06 pm
Forum: Investing - Help with Personal Investments
Topic: DFA - again - DFLVX Kills Vanguard - Pay admission?
Replies: 30
Views: 5399

Re: DFA - again - DFLVX Kills Vanguard - Pay admission?

Bradley, Here is an example I will leave you with. Its 2003, lets say you are an advisor, just left a wirehouse cause you were sick of the conflicts. You say, you know what, I'm just gonna use the DFA funds in the percentages of the "Balanced Strategies" and keep things simple on the investment side...