Search found 454 matches
- Wed Jul 01, 2009 5:44 pm
- Forum: Investing - Theory, News & General
- Topic: The Truth about Tracking Error TSM vs SV vs S&D
- Replies: 416
- Views: 46484
Re: The real questions
. Well I would say most have no problem accepting the Three Factor Model as opposed to the CAPM model as it explains roughly 95% of the returns as opposed to 80%. Your closing clause above is not quite true. The FF3F model was fit to a set of (gross) returns data. Since then the model has been back-tested onto other data sets and found to fit well. So, the model has, so far, been successful for elucidating past returns. The model has not yet, IMV, been adequately tested prospectively (that is, since 1992). I believe that 17 years is too brief a time period since its publication for adequate testing. The problem is whether or not they believe the small and value factors will continue to be positive (small and value premium). That is incorre...
- Wed Jul 01, 2009 4:38 pm
- Forum: Investing - Theory, News & General
- Topic: The Truth about Tracking Error TSM vs SV vs S&D
- Replies: 416
- Views: 46484
Well I would say most have no problem accepting the Three Factor Model as opposed to the CAPM model as it explains roughly 95% of the returns as opposed to 80%. The problem is whether or not they believe the small and value factors will continue to be positive (small and value premium).Kenster1 wrote:Yeah it's difficult to jump in because each side believes in their model and so then it gets messy when crossing paths and questioning each other's conclusions because the conclusion fits each respective model but not in the other's model.
It'd be like Christian and Catholic Priests jumping in to start an argument with a Rabbi that Jesus is the son of God. You can get into a never ending and circular debate here.
- Wed Jul 01, 2009 2:26 pm
- Forum: Investing - Theory, News & General
- Topic: The Truth about Tracking Error TSM vs SV vs S&D
- Replies: 416
- Views: 46484
Is it possible to get to that "SEP"? It would seem possible it is outside the realm of all possible portfolios given a value loading greater than 1, though I do not know if that is true. Of course it is theoretically possible. You would need a group of the correct individual stocks. In addition, you would obviously want enough stocks to avoid unsystematic risk. A lot of value stocks, a little bit of small stocks, and the stocks must have low systematic risk (like walmart for example) in the case of b3=.9, bs=.44, and bv=1.01. The only problem is once you got those stocks they would change in the future. And of course, the SEP can only be found in hindsight. It was purely academic. Like i said, SV is good because it has exposure t...
- Wed Jul 01, 2009 2:05 pm
- Forum: Investing - Theory, News & General
- Topic: The Truth about Tracking Error TSM vs SV vs S&D
- Replies: 416
- Views: 46484
I decided to take a look at the fama/french risk factors and see what kind of returns you would get if you were just exposed to the market (b3), small factor (bs), or the value factor (bv) from 1927-2008. market exposure: b3=1,bs=0,bv=0 cagr 9.65 average 11.74 StDev 20.75 Sharpe 0.38 small exposure: b3=0,bs=1,bv=0 cagr 6.67 average 7.57 StDev 14.31 Sharpe 0.25 value exposure: b3=0,bs=0,bv=1 cagr 7.04 average 8.05 StDev 14.47 Sharpe 0.29 It is interesting to see that Market exposure (b3) does indeed have the highest risk adjusted returns (sharpe) of the three risk factors. Now let's look at Fama/French SV: b3=1.01,bs=.95,bv=.74 cagr 13.61 average 18.34 StDev 32.55 Sharpe 0.44 It hsa higher risk-adjusted returns than TSM...but does it have th...
- Wed Jul 01, 2009 10:33 am
- Forum: Personal Consumer Issues
- Topic: Electrical jobs - with respect to upcoming energy changes
- Replies: 15
- Views: 2848
I didn't read everything in the thread, but here are my thoughts. If you just want to do hands on work, then become a technician of sorts. A degree from something like ITT Tech would work. If you want to be more involved in and able to make real differences in the technology and the push towards alternative energy you need a real engineering degree. Really almost all types engineers could potentially be involved. But I would limit your search to Mechanical, Chemical, Nuclear, or Electrical. There are a plethora of jobs for Mechanical and Chemical Engineers in alternative energy. Of course Nuclear engineers get jobs in the nuclear field of alternative energy. Electrical Engineers are of course needed for all of these jobs as well but their s...
- Tue Jun 30, 2009 5:05 pm
- Forum: Investing - Theory, News & General
- Topic: The Truth about Tracking Error TSM vs SV vs S&D
- Replies: 416
- Views: 46484
Re: A little help here...
OK, in the general order of probability, either nobody read my questions, they're too nonsensical/irrelevant to even dignify with a response, or they're too difficult to answer. In the genuine hope that there is a reasonably accessible answer, I'll try again more directly: If Small-cap Value investing is such a holy grail of investment strategies, why on earth is less than 10% of the US equity market allocated to that sector? --Pete First of all, the market can be divided into value, blend, and growth. Roughly 33.3% is in each. So that already cuts the allocation in thirds. Secondly the "market" is cap weighted and "large cap" companies have more capitalization than "small" companies. The market is roughly 70%...
- Tue Jun 30, 2009 2:24 pm
- Forum: Personal Consumer Issues
- Topic: Air conditioning in your apartment while gone
- Replies: 28
- Views: 5651
First law of thermodynamics:Imperabo wrote:
I still can't convince my wife that fans don't actually cool the air so there's no point leaving them on when you're not in the room.
dU=dQ-dW
dU = change in internal energy (temperature)
dQ = amount of heat added to the system
dW = amount of work done by the system
If we can assume the house has good insulation then there is no heat added or removed from the system so dQ = 0. If you have a fan running, dW is negative because there is work being done on the system.
This means that dU must be positive. So this means that just running a fan actually increases the temperature.
- Mon Jun 29, 2009 7:42 pm
- Forum: Personal Finance (Not Investing)
- Topic: Most reliable car for $27-33k
- Replies: 57
- Views: 10010
- Sun Jun 28, 2009 10:03 pm
- Forum: Investing - Theory, News & General
- Topic: The Truth about Tracking Error TSM vs SV vs S&D
- Replies: 416
- Views: 46484
From what I see, Trev doesn't use microcaps. I am just curious why he leaves them out. Most companies are actually microcaps. Ideally, micro-cap/deep-value is best. But it is hard to find those funds. See the link below, there is definitely a difference: http://www.moneychimp.com/articles/index_funds/micro_deep.htm Edit: When I say best, I mean in order to maximize returns. But of course there is extra risk involved. To be even more clear, there is just additional exposure to small and value risks in these micro-cap and deep-value funds. Remember the theory says that close to all returns can be explained by exposure to beta (Total stock market), small, and value. It's that simple. There is nothing magical about micro-cap or deep-value exce...
- Sun Jun 28, 2009 5:05 pm
- Forum: Investing - Theory, News & General
- Topic: The Truth about Tracking Error TSM vs SV vs S&D
- Replies: 416
- Views: 46484
The point is that returns for a mutual fund cannot only be explained by exposure to Beta (TSM). The returns can be explained much better by their exposure to Beta, Small stocks, and value stocks. This has persisted before and after the study by Fama and French. Three risks as opposed to one and no free lunch.Triple digit golfer wrote:
Exactly. No one owned them back then. If people did, would the outperformance have persisted? I have my doubts.
- Sun May 17, 2009 11:52 am
- Forum: Personal Investments
- Topic: GMAC Bank is now Ally Bank
- Replies: 15
- Views: 3590
Re: Do they have online bill pay ?
Well, they have been competitive for years, so even if the rate does drop, it will remain towards the top. Also, having online statements now could help the situation.Hexdump wrote:and I wonder how long before they change the savings and money market rates.
Hex
- Fri May 15, 2009 5:45 pm
- Forum: Personal Investments
- Topic: GMAC Bank is now Ally Bank
- Replies: 15
- Views: 3590
- Thu May 14, 2009 8:34 pm
- Forum: Personal Finance (Not Investing)
- Topic: Best day to DCA?
- Replies: 14
- Views: 6826
Simplified analysis below:
Average SP500 close since 1950 = 368.75
Average Weekday close:
Mon = 362.89
Tues = 370.51
Wed = 371.30
Thur = 369.40
Fri = 369.39
Average day of month close:
1 368.32
2 368.06
3 370.64
4 369.48
5 373.33
6 368.40
7 376.13
8 373.79
9 366.63
10 364.80
11 367.94
12 376.28
13 367.88
14 367.70
15 364.31
16 366.00
17 363.82
18 363.38
19 363.03
20 367.67
21 361.61
22 377.84
23 368.99
24 369.41
25 364.23
26 369.68
27 367.78
28 368.87
29 365.69
30 378.04
31 374.95
I DCA in on Mondays.
Average SP500 close since 1950 = 368.75
Average Weekday close:
Mon = 362.89
Tues = 370.51
Wed = 371.30
Thur = 369.40
Fri = 369.39
Average day of month close:
1 368.32
2 368.06
3 370.64
4 369.48
5 373.33
6 368.40
7 376.13
8 373.79
9 366.63
10 364.80
11 367.94
12 376.28
13 367.88
14 367.70
15 364.31
16 366.00
17 363.82
18 363.38
19 363.03
20 367.67
21 361.61
22 377.84
23 368.99
24 369.41
25 364.23
26 369.68
27 367.78
28 368.87
29 365.69
30 378.04
31 374.95
I DCA in on Mondays.
- Wed May 13, 2009 3:59 am
- Forum: Investing - Theory, News & General
- Topic: Larry, re your portfolio
- Replies: 48
- Views: 12194
This should probably be in the PP discussion more than Larry's Portfolio discussion. Essentially you just have a variation of the PP with riskier stocks (SV). Divide your equities up roughly by market cap: ~40-50% US, ~35-45% International, ~10-15% EM. I would go 50% US, 35% International, 15% EM like Larry did. Past results are no guarantee of future results and EM has had a great run since 1970. Also, the data for ISC and ISV is not that good. The ISV is especially bad before 1981. I'm guessing you got your data from IFA.com. Another thing is that during this period gold has done especially well, and we expect a 0% real return over the long run. Bonds have also done very well over this period. The synthetic TIP data isn't very good either...
- Thu May 07, 2009 5:21 pm
- Forum: Personal Investments
- Topic: How does the bogle plan work in a sideways market?
- Replies: 13
- Views: 2524
Re: How does the bogle plan work in a sideways market?
Semi-important note about this: The nominal returns of the market were not flat, but the real returns of the market were flat.Michael Alden wrote:If things stay up and down for a few years or a decade lets say. Kind of like between 1966 and 1982 when the market was virtually flat. Does the plan do anything for you in that instance?
So you wouldn't have "lost" money to inflation, you would have kept up.
- Thu May 07, 2009 1:49 am
- Forum: Personal Investments
- Topic: Roth ira
- Replies: 4
- Views: 1252
Well since he "HATES" finance and investing, something as simplified as possible might be the best approach. So a target retirement fund sounds good. The main alternative would be to start with a total stock market fund like VTSMX. But sooner than later he would probably want to add a total international fund and some bonds funds. So, I think a target retirement fund from vanguard sounds like a good idea for this individual at least for the time being. You can't go too wrong with it I would say.
- Wed May 06, 2009 11:52 pm
- Forum: Investing - Theory, News & General
- Topic: Rebalancing Strategy for ROTH IRA?
- Replies: 8
- Views: 1907
Taxes don't matter in tax advantaged accounts: i.e. IRAs, Roth IRAs, 401ks, Roth 401ks, and other tax advantaged accounts.
I'm not sure exactly what you are asking, but yes REITs and bonds should ideally be in tax advantaged accounts.
So basically stick to your asset allocation plan and put bonds and REITS in tax advantaged accounts if possible.
BTW, Go Boilers!
I'm not sure exactly what you are asking, but yes REITs and bonds should ideally be in tax advantaged accounts.
So basically stick to your asset allocation plan and put bonds and REITS in tax advantaged accounts if possible.
BTW, Go Boilers!
- Wed May 06, 2009 1:14 pm
- Forum: Investing - Theory, News & General
- Topic: Benefiting from Vanguard's approach to active investment
- Replies: 2
- Views: 793
I prefer index funds, but most of all I look for no load and low fees, which Vanguards International Value has.
I don't think international value is too important to most people here as they seem to prefer the Total Market Funds.
But if you like to slice and dice it is a good fund. If you compare it to an Indexed International Value fund/etf, you will see that the returns are mostly the same.
To summarize, look for index funds first, but if no load and no fees, alternative active funds can suffice.
I don't think international value is too important to most people here as they seem to prefer the Total Market Funds.
But if you like to slice and dice it is a good fund. If you compare it to an Indexed International Value fund/etf, you will see that the returns are mostly the same.
To summarize, look for index funds first, but if no load and no fees, alternative active funds can suffice.
- Mon May 04, 2009 10:50 pm
- Forum: Personal Consumer Issues
- Topic: I need a PC hardware techie
- Replies: 24
- Views: 4799
Probably not a fried CPU, but probably some sort of problem with your motherboard. You can try clearing the bios by moving the bios jumper to the alternate position for 15 seconds and then moving it back. This jumper should be near the battery on the motherboard. If this doesn't help, then your motherboard is likely fried.
- Sat May 02, 2009 7:12 pm
- Forum: Investing - Theory, News & General
- Topic: Monte Carlo Fails to Gauge Extreme Events
- Replies: 146
- Views: 28529
I agree, the problem is the interpretation. If you know what the results mean, then I think MC can be a great tool.
If you say something like you expect a normal distribution with 10% return with a standard deviation of 20%, 50% drops are almost never going to happen.
Things you can do:
1)Make sure your model adds some skew and kurtosis.
2) Instead of making sure your scenario works 90 or 95% of the time, choose something more rigorous, like 99% or 99.9%.
If you say something like you expect a normal distribution with 10% return with a standard deviation of 20%, 50% drops are almost never going to happen.
Things you can do:
1)Make sure your model adds some skew and kurtosis.
2) Instead of making sure your scenario works 90 or 95% of the time, choose something more rigorous, like 99% or 99.9%.
- Fri May 01, 2009 1:51 pm
- Forum: Investing - Theory, News & General
- Topic: what is your fixed income AA?
- Replies: 32
- Views: 4658
I think most people around here would recommend 50% Total Bond Index and 50% TIPS.
I would advise to use 50% Intermediate Term Treasuries and 50% TIPS.
Over the long term, the return for these two combinations will be about the same. On the otherhand, during bad downturns, treasuries are likely to outperform other bonds. I see the fixed income portion of my portfolio as my the cushion for the bad times, and treasuries are more cushy in such times.
I would advise to use 50% Intermediate Term Treasuries and 50% TIPS.
Over the long term, the return for these two combinations will be about the same. On the otherhand, during bad downturns, treasuries are likely to outperform other bonds. I see the fixed income portion of my portfolio as my the cushion for the bad times, and treasuries are more cushy in such times.
- Fri May 01, 2009 11:59 am
- Forum: Investing - Theory, News & General
- Topic: Total Stock Market Index Fund. A better way?
- Replies: 145
- Views: 19892
I think he is arguing that it represents diversification. Diversification in itself can increase returns by rebalancing regularly. Buying high, selling low.Trebor wrote:Trev H
Are you arguing the small value premium represents a persistent exploitable market mistake or do you think it represents reward for risk?
See how the asset classes change places over time:
http://www.callan.com/research/institut ... ee/311.pdf
- Wed Apr 29, 2009 5:40 pm
- Forum: Personal Investments
- Topic: tools for setting alerts on moving averages
- Replies: 2
- Views: 735
- Wed Apr 29, 2009 12:15 am
- Forum: Personal Investments
- Topic: 20yo New Investor Seeks IRA Advice
- Replies: 13
- Views: 2296
The standard advice around here would be to invest it all at vanguard in the total stock market index (VTSMX). Ideally, you should invest at least 20% and up to 50% internationally depending on what you are comfortable with. For international, use total international (VGTSX).
Vanguard fund minimums are $3000. So first invest everything into VTSMX, and when you have $6000 you can go ahead and invest in VGTSX.
Another option would be to invest in a target retirement fund. The equity portion will be 80% domestic and 20% international. It will also have a bond portion. Since you are young, you could choose the target retirement 2050 which would be 10% bonds.
Vanguard fund minimums are $3000. So first invest everything into VTSMX, and when you have $6000 you can go ahead and invest in VGTSX.
Another option would be to invest in a target retirement fund. The equity portion will be 80% domestic and 20% international. It will also have a bond portion. Since you are young, you could choose the target retirement 2050 which would be 10% bonds.
- Tue Apr 28, 2009 4:25 pm
- Forum: Investing - Theory, News & General
- Topic: Total Stock Market Index Fund. A better way?
- Replies: 145
- Views: 19892
Re: Total Stock Market Index Fund. A better way?
Very important point. I believe that the TSM is the perfect investment given a perfectly efficient market, the only problem is that this is not the case. Meanwhile, I will continue to to tilt/diversify to other asset classes. In my mind I will likely outperform and worst case do about that same.ETFnerd wrote:This is only true under a restrictive set of assumptions.
Go ahead, nail me to the cross...
- Sun Apr 26, 2009 11:00 am
- Forum: Investing - Theory, News & General
- Topic: Tilting to Small Value & Reducing Equity Risk
- Replies: 129
- Views: 18270
Re: Lumper vs Splitter
Here are the number for you from 72-08 using 30% VISVX (SCV) and 70% VFISX (ST):Roy wrote:I'd just like to see how the numbers pan out with:
30% SV (even just domestic)
70% ST
Average 9.69%
Std. Dev. 7.50%
Down SD 3.30%
CAGR 9.44%
Sharpe 0.51
Sortino 1.17
Mkt. Corr. 0.69
Intl. Corr. 0.33
10000 Growth 281505
For the Sharpe and Sortino calculations, a MAR of 5.84% was used.
- Sun Apr 26, 2009 10:37 am
- Forum: Investing - Theory, News & General
- Topic: Tilting to Small Value & Reducing Equity Risk
- Replies: 129
- Views: 18270
Interesting post. But I think you mean 60% stocks and 40% bonds, yes? I did mean 40/60 Stocks Bonds, but you are right last year that sort of split only lost around 10% not the 20% i said off hand. Here are some stats of a Core Four type portfolio vs Harry Browne 1972-2008 ---------- HB, Core Four Average 9.49% 9.64% Std. Dev. 8.36% 8.43% Down SD 2.96% 4.02% CAGR 9.19% 9.33% Sharpe 0.44 0.45 Sortino 1.23 0.95 Mkt. Corr. 0.40 0.88 Intl. Corr. 0.33 0.63 2008 results: HB -1.91%, Core Four -7.39%. As you can see if you just look at it from the average and standard deviation you might think there is little advantage for one over the other. But taking a look Sortino, Down SD, and mkt correlations I would say the Harry Browne is much less risky. ...
- Sun Apr 26, 2009 12:38 am
- Forum: Investing - Theory, News & General
- Topic: Tilting to Small Value & Reducing Equity Risk
- Replies: 129
- Views: 18270
I've found the best way to use the sortino ratio is for comparing different portfolios. For a given mutual fund there isn't usually an advantage for using the sortino ratio over the sharpe ratio. Let's see if we can analyze the increased return and decreased risk via diversification that Trev is talking about using the Sortino ratio. All of the data is from 1972-2008, we will go with a 60/40 stock/bond split in all of the portfolios. Let's start with a simple portfolio: 60/40 TSM/Total Bond Average 9.80% Std. Dev. 12.17% Down SD 7.07% CAGR 9.11% Sharpe 0.33 Sortino 0.56 Mkt. Corr. 0.98 Intl. Corr. 0.61 The first change I would make is to switch Total Bond to Intermediate Treasury as Intermediate Treasury usually has a lower correlation with...
- Sat Apr 25, 2009 9:00 pm
- Forum: Investing - Theory, News & General
- Topic: Tilting to Small Value & Reducing Equity Risk
- Replies: 129
- Views: 18270
I calculate the sortino ratio myself. For the MAR I like to use the "risk free" rate for the time period like with the sharpe ratio. If you don't have that exactly, it's usually around 5%. Sometimes, i use zero for the MAR. It has merit in my mind.peter71 wrote: Is the Sortino ratio still being published somewhere or have they moved on to "volatility skewness" . . .? If you're calculating your own, are you using 9% as a "minimum acceptable return"? I remember that used to be his threshold (he definitely hated using 0, which also undermined the mathematical case for the whole approach) but I suspect a lot of us would now be happy with a lot less than 9%!
All best,
Pete
- Sat Apr 25, 2009 8:22 pm
- Forum: Investing - Theory, News & General
- Topic: Tilting to Small Value & Reducing Equity Risk
- Replies: 129
- Views: 18270
That's true and I understand that, but remember MPT depends on markets being perfectly efficient. They have been shown to not be. See Post Modern Portfolio Theory, heh. Which reminds me why i vastly prefer using the Sortino ratio over the Sharpe Ratio.Rodc wrote:While I don't totally believe the full efficient market hypothesis myself, there is a great deal more to the ideas behind cap weighting that "easiest and cheapest". Try a search here on Norstad for example.
eqaul weight S&P 500 should be compared to a mid-cap fund as that is more what it is. When mid caps do well so does it, when large caps do well it loses. You can generally beat it by using a standard cap weight mid cap.
That said, it does have some appeal.
- Sat Apr 25, 2009 7:58 pm
- Forum: Investing - Theory, News & General
- Topic: Tilting to Small Value & Reducing Equity Risk
- Replies: 129
- Views: 18270
Do you know that the equal weighted sp500 index has soundly beaten the cap weighted sp500 index?gameovah05 wrote:Trev H, what is more "untilted" than holding the same % of shares outstanding of every company?
Holding 1% of GE and 1% of Starbuck's. Since there is more market capitalization in GE, you'll have more dollars in GE. That's not a tilt!
Think for a minute why some companies have such bigger market capitalization than others!
As others have said, cap weighted is most common because it is the easiest and cheapest to construct.
- Sat Apr 25, 2009 5:07 pm
- Forum: Investing - Theory, News & General
- Topic: 1929 crash: 4.5 not 25 years for recovery
- Replies: 62
- Views: 13236
I thought most people already knew this. See this great tool that factors in CPI and dividends on the SP500 since 1871 (yes most of it is recreated):
http://politicalcalculations.blogspot.c ... rtips.html
As you can see if you enter 10/1929 to 7/1936 you have a real return of .22% annualized. If you enter through November 1954, you can see that the real annualized return is 4.74%.
http://politicalcalculations.blogspot.c ... rtips.html
As you can see if you enter 10/1929 to 7/1936 you have a real return of .22% annualized. If you enter through November 1954, you can see that the real annualized return is 4.74%.
- Mon Apr 13, 2009 11:48 am
- Forum: Investing - Theory, News & General
- Topic: buying BRK.B instead of index funds?
- Replies: 26
- Views: 7228
I wouldn't be so sure. Look back a little further. The month of September was very good for BRK.A (~+20%), so naturally it fell further when the crash came.zhiwiller wrote:Cleaned our clocks? Certainly not through this crisis.freedomfunds wrote:I sense a bit jealousy from some indexers since Buffett has cleaned their clocks.
Don't try to beat em, join em.
The one year returns are BRK.A -30%, S&P500 -36%.
- Sun Apr 12, 2009 6:32 pm
- Forum: Investing - Theory, News & General
- Topic: buying BRK.B instead of index funds?
- Replies: 26
- Views: 7228
Think greater risk, greater reward.
He hasn't escaped from the efficient frontier of the risk reward curve, he is just on the very top end of it...similar to emerging markets. See this chart:
http://www.ifa.com/Library/Support/Data ... hart20_dow
See some of these links:
http://www.ifa.com/pdf/ifa-vs-buffett.pdf
http://www.usatoday.com/money/perfi/col ... risk_x.htm
http://www.usatoday.com/money/perfi/col ... tock_N.htm
If you want returns like that try an emerging market fund, or a china etf...it may or may not pay off big . :lol:
He hasn't escaped from the efficient frontier of the risk reward curve, he is just on the very top end of it...similar to emerging markets. See this chart:
http://www.ifa.com/Library/Support/Data ... hart20_dow
See some of these links:
http://www.ifa.com/pdf/ifa-vs-buffett.pdf
http://www.usatoday.com/money/perfi/col ... risk_x.htm
http://www.usatoday.com/money/perfi/col ... tock_N.htm
If you want returns like that try an emerging market fund, or a china etf...it may or may not pay off big . :lol:
- Fri Apr 10, 2009 11:40 am
- Forum: Personal Consumer Issues
- Topic: Calculus I Help Please
- Replies: 119
- Views: 17162
Here are plenty of examples:beenaround wrote:Sorry, I did not mean to offend anyone. But still, what practical daily application would these type of calculations have? I can't see it. Can someone explain and give an example? Just asking........
http://www.essortment.com/family/mathba ... c_sejq.htm
- Thu Apr 09, 2009 9:03 pm
- Forum: Personal Consumer Issues
- Topic: Calculus I Help Please
- Replies: 119
- Views: 17162
Plz, this is good stuff. No, the answer to this problem isn't that useful, but understanding how to do a problem like this translates to all sorts of calculus and just general problem solving applications in many fields.beenaround wrote:My word! When and where, in God's name would someone need to know this?????????? What a complete and absolute waste of time for a young person trying to get an education...all the time wasted and brain power squandered on this crap.
No doubt, some airhead academic decided that they had to waste weeks learning it so, darn it, so does everyone else! I can see why people home school their children.
BTW, this is just Calc I stuff. Usually it is an extra course in high school and isn't required.
- Thu Apr 09, 2009 3:49 pm
- Forum: Personal Consumer Issues
- Topic: Calculus I Help Please
- Replies: 119
- Views: 17162
Here's the answer to minimize the area if you are interested:
A=pi*r^2+a^2*sqrt(3)/4
l=2*pi*r+3a=50
a=(50-2pi*r)/3
a^2=4*pi^2*r^2/9-200*pi*r/9+2500/9
A=pi*r^2+sqrt(3)/4*a^2
=(pi^2*sqrt(3)/9+pi)*r^2-50*pi*sqrt(3)*r/9+625*sqrt(3)/9
dA/dr=2*pi(pi*sqrt(3)+9)*r/9-50*pi*sqrt(3)/9
set dA/dr=0
->r=25*sqrt(3)/(pi*sqrt(3)+9)=2.99841 or about 3
so cut the rope at length 2*pi*r=50*pi*sqrt(3)/(pi*sqrt(3)+9)=18.8396
....the answer earlier was wrong, i did the problem too fast.
But anyways the answer i just gave was to minimize the area. The maximum area is using the whole rope for the circle.
A=pi*r^2+a^2*sqrt(3)/4
l=2*pi*r+3a=50
a=(50-2pi*r)/3
a^2=4*pi^2*r^2/9-200*pi*r/9+2500/9
A=pi*r^2+sqrt(3)/4*a^2
=(pi^2*sqrt(3)/9+pi)*r^2-50*pi*sqrt(3)*r/9+625*sqrt(3)/9
dA/dr=2*pi(pi*sqrt(3)+9)*r/9-50*pi*sqrt(3)/9
set dA/dr=0
->r=25*sqrt(3)/(pi*sqrt(3)+9)=2.99841 or about 3
so cut the rope at length 2*pi*r=50*pi*sqrt(3)/(pi*sqrt(3)+9)=18.8396
....the answer earlier was wrong, i did the problem too fast.
But anyways the answer i just gave was to minimize the area. The maximum area is using the whole rope for the circle.
- Thu Apr 09, 2009 3:05 pm
- Forum: Personal Consumer Issues
- Topic: Calculus I Help Please
- Replies: 119
- Views: 17162
The poster above is correct.
The largest circle and triangle come from the uncut length.
The largest of these is actually the circle.
If done correctly, the process you are going through will give you the smallest area combination. If you want to know how to do that I will let you know. I did it pretty quickly though and the answer is about at 12.10/37.90.
The largest circle and triangle come from the uncut length.
The largest of these is actually the circle.
If done correctly, the process you are going through will give you the smallest area combination. If you want to know how to do that I will let you know. I did it pretty quickly though and the answer is about at 12.10/37.90.
- Wed Apr 08, 2009 11:20 pm
- Forum: Investing - Theory, News & General
- Topic: Good diversifer for taxable account
- Replies: 5
- Views: 1707
Out of your options you just listed, VEU would probably be the best choice historically. Here are some correlations since 1972 with VTI/VTSMX.
VTSMX 1.00
VIVAX 0.93
VFINX 0.99
VIGRX 0.96
VIMSX 0.92
VISVX 0.75
NAESX 0.85
VISGX 0.85
BRSIX 0.73
VGSIX 0.61
VDMIX 0.65
VEIEX 0.55
EAFE/EM 0.65
VPACX 0.43
VEURX 0.75
VTRIX 0.61
PCRIX 0.05
VUSTX 0.14
VFITX 0.11
VBMFX 0.30
VMPXX 0.13
S-TIPS 0.21
VWELX 0.92
VWINX 0.71
VWNDX 0.85
VFISX 0.11
GOLD -0.23
VTSMX 1.00
VIVAX 0.93
VFINX 0.99
VIGRX 0.96
VIMSX 0.92
VISVX 0.75
NAESX 0.85
VISGX 0.85
BRSIX 0.73
VGSIX 0.61
VDMIX 0.65
VEIEX 0.55
EAFE/EM 0.65
VPACX 0.43
VEURX 0.75
VTRIX 0.61
PCRIX 0.05
VUSTX 0.14
VFITX 0.11
VBMFX 0.30
VMPXX 0.13
S-TIPS 0.21
VWELX 0.92
VWINX 0.71
VWNDX 0.85
VFISX 0.11
GOLD -0.23
- Wed Apr 08, 2009 8:44 pm
- Forum: Personal Investments
- Topic: All-weather Portfolio
- Replies: 11
- Views: 2650
To summarize what some of the others have said you should probably go with intermediate term treasuries and bring down the REIT allocation. Usually 10% of equities is a good allocation.
Try something like this:
27% Total Stock Market Index
27% Total International Index
6% REIT Index
20% Intermediate Term Treasury
20% Inflation Protected Securities
In addition, while there isn't really an "all weather" portfolio, the one that may be the closest to it might be something like Harry Brown's Permanent Portfolio. It's allocation is as follows if you are interested:
25% Total Stock Market
25% Long Term Treasury
25% Cash
25% Gold
Try something like this:
27% Total Stock Market Index
27% Total International Index
6% REIT Index
20% Intermediate Term Treasury
20% Inflation Protected Securities
In addition, while there isn't really an "all weather" portfolio, the one that may be the closest to it might be something like Harry Brown's Permanent Portfolio. It's allocation is as follows if you are interested:
25% Total Stock Market
25% Long Term Treasury
25% Cash
25% Gold
- Sun Apr 05, 2009 11:12 am
- Forum: Personal Investments
- Topic: pcrix, commodity etf
- Replies: 6
- Views: 1816
- Sat Apr 04, 2009 12:54 pm
- Forum: Personal Investments
- Topic: value tilting: the numbers
- Replies: 112
- Views: 19695
- Fri Apr 03, 2009 10:58 pm
- Forum: Personal Investments
- Topic: value tilting: the numbers
- Replies: 112
- Views: 19695
MrMatt, In the case of two funds having a very similar CAGR over time, sure, your hypothetical is possible, although highly improbable. As for the fifth point about adding riskier asset classes...you're stuck thinking that standard deviation is risk of loss. It is not. It is volatility. For the average investor, "risk" is a probability of loss. Higher risk means a higher chance of losing money. Adding an asset class more likely to lose money will always make the overall risk of losing money greater. Volatility may will be reduced, but risk isn't necessarily reduced. Yes, highly improbable to happen just as i've shown, but things like this do happen all the time. Have you heard of the permanent portfolio that uses gold? No i'm not...
- Fri Apr 03, 2009 7:59 pm
- Forum: Personal Investments
- Topic: value tilting: the numbers
- Replies: 112
- Views: 19695
Trev, Fourth, posting results of 100% in one fund, 100% in another, and then 50/50 between the two will ALWAYS result in the 50/50 split having the middle outcome. All your numbers do is show us that mathematics still work. Why not invest in 500 different funds with 0.20% of your money in each? That'll give you the best "range of possible outcomes." Fifth, showing that the standard deviation decreases by adding a small value fund is misleading because you assume that risk is measured solely by standard deviation. The fact of the matter is that investors are more likely to lose money in small value funds than total market funds. Therefore, anytime you take money out of a total market fund and add it to a small value fund, your ris...
- Fri Apr 03, 2009 6:15 pm
- Forum: Personal Investments
- Topic: value tilting: the numbers
- Replies: 112
- Views: 19695
- Fri Apr 03, 2009 6:07 pm
- Forum: Investing - Theory, News & General
- Topic: allocation for small cap intl
- Replies: 30
- Views: 5566
I subscbribe to allocation of 50% international based on the international market being just over 50% of the global market by market capitalization.doshspy wrote: 1b. Assuming style is more optimal to split upon, how does one decide on regional allocation, if at all?
Commonly you might hear 20-40%. I've read a few papers by vanguard that recommend at least 20% and no more than 50%.
The reasoning for holding less than 50% comes down to increased risk from currency volatility and higher investment costs.
So basically if you are allocating based on style, your only regions would be US and non US.
- Wed Apr 01, 2009 10:23 pm
- Forum: Personal Investments
- Topic: value tilting: the numbers
- Replies: 112
- Views: 19695
Re: tilting
Mr Matt, why list this data? I'm also convinced that any past data which is dominated by the great bull market of 1982-2000 is going to produce numbers that are of little use for reference. An investor can tilt—increase small exposure—by a small amount or a very large amount—and the risk will go from slight to extreme. Paul, I listed the data because I thought the OP was asking for it and/or interested in seeing it. Not to argue, but I must make a few points. -The great bull market of 1982-2000 actually helps out the case of 100% TSM. -The tilt from 0% SCV, to 100% SCV hardly goes from slight to extreme. TSM has a StDev of about 19% from 1972-2008, while the StDev of SCV is about 21%. -The StDev actually decreases to it's lowest point at a...
- Wed Apr 01, 2009 5:49 pm
- Forum: Personal Investments
- Topic: value tilting: the numbers
- Replies: 112
- Views: 19695
Just analyzing the numbers from 1972 through 2008 at vanguard, on a risk adjusted return basis (sharpe, sortino), the ideal balance between TSM and SCV would be 100% SCV. I'm guessing this isn't the answer you are looking for. In order to minimize the Standard Deviation of the return, the best split would be about 75% TSM, and 25% SCV. Here are the results for TSM compared to 75% TSM/25% SCV: 100%TSM 75%TSM/25%SCV Average 11.01% 11.92% Std. Dev. 18.84% 18.47% Down SD 12.51% 12.14% Up SD 9.43% 9.38% CAGR 9.27% 10.27% Sharpe 0.27 0.33 Sortino 0.32 0.41 Mkt. Corr. 1.00 0.98 Intl. Corr. 0.65 0.63 Total - Rebalanced (N) 266058 372058 Total-Un-Rebalanced (N) 266058 398414 Total - Rebalanced (Real) 51483 73552 1$ Portfolio 26.61 37.21 1972 16.71% ...
- Tue Mar 31, 2009 11:48 pm
- Forum: Investing - Theory, News & General
- Topic: allocation for small cap intl
- Replies: 30
- Views: 5566
You might want to rethink how you are allocating internationally. Instead of allocating by region, allocate by styles. Maybe something like this for your international allocation: 20% International Large, 20% International Small, 40% International Value, 20% Emerging Markets.
This would be:
20% VDMIX
20% VFSVX
40% VTRIX
20% VEIEX
This would be:
20% VDMIX
20% VFSVX
40% VTRIX
20% VEIEX
- Mon Mar 30, 2009 11:14 am
- Forum: Personal Investments
- Topic: beating the sp500
- Replies: 22
- Views: 2970