Search found 1933 matches

by Ketawa
Sat Sep 29, 2012 5:58 pm
Forum: Investing - Theory, News & General
Topic: TSP G Fund: YTD yield 0.79%
Replies: 38
Views: 6242

Re: TSP G Fund: YTD yield 0.79%

Do you have any charts showing the returns for the G fund during and after bond yields rise significantly? The reason why I'm curious is because it might lag behind a total bond index if the rates don't keep pace with the market. A more appropriate comparison would be a Treasury fund of approximate...
by Ketawa
Fri Sep 28, 2012 2:14 pm
Forum: Investing - Theory, News & General
Topic: Comparison of small-cap value ETFs
Replies: 69
Views: 17226

Re: Comparison of small-cap value ETFs

Here are the same time periods from above including momentum factors. PRF 2006/01 - 2012/06 fund entire history Mkt-RF SmB HmL Mom alpha yearly alpha loadings 0.964 -0.063 0.316 -0.156 0.062 0.751% standard error 0.024 0.049 0.044 0.020 0.103 r2 0.978 t-stat 40.264 -1.285 7.165 -7.717 0.605 PRF 2006...
by Ketawa
Thu Sep 27, 2012 7:57 pm
Forum: Investing - Theory, News & General
Topic: Comparison of small-cap value ETFs
Replies: 69
Views: 17226

Re: Comparison of small-cap value ETFs

You can get MSCI data for the US here . Note that for regressions you want the gross data (including dividends), not the price. Also, it's daily, so to do monthly regressions you'll need to extract the month-end values. If you want to fire me a PM with your email I'll send you the spreadsheet I use...
by Ketawa
Thu Sep 27, 2012 2:34 pm
Forum: Investing - Theory, News & General
Topic: Comparison of small-cap value ETFs
Replies: 69
Views: 17226

Re: Comparison of small-cap value ETFs

Technically I think those are expected returns over the F-F risk free rate, which is currently 0, so they would be nominal. This leads me to a couple of questions if anyone has any insight. 1. Bill Bernstein's tutorial takes the fund return, then subtracts RF. Would it make more sense to take the Mk...
by Ketawa
Thu Sep 27, 2012 1:04 pm
Forum: Investing - Theory, News & General
Topic: Comparison of small-cap value ETFs
Replies: 69
Views: 17226

Re: Comparison of small-cap value ETFs

There's many ways to calculate expected returns so I'm not sure how useful this is. I just looked at the factor loadings for that same time period, March 2004 through September 2011, and calculated expected returns based solely on those and the historical equity/size/value/momentum premiums. Very ro...
by Ketawa
Thu Sep 27, 2012 12:45 pm
Forum: Investing - Theory, News & General
Topic: Comparison of small-cap value ETFs
Replies: 69
Views: 17226

Re: Comparison of small-cap value ETFs

Is there any easy way to get MSCI index data? I haven't been able to track it down and would like to be able to run regressions on the index itself in addition to live funds. I can only go back to March 2004 with live fund data from VBR. RAFI Fundamental Small Value Index (since inception) RAFI Smal...
by Ketawa
Wed Sep 26, 2012 6:42 am
Forum: Personal Consumer Issues
Topic: Favorite podcasts?
Replies: 14
Views: 1102

Re: Favorite podcasts?

EconTalk
Freakonomics
The Poscast with Joe Posnanski (if you follow his work, he just started it at his new venture Sports on Earth)
Marc Maron's podcast (probably not typical of the Boglehead crowd)
by Ketawa
Tue Sep 25, 2012 7:04 am
Forum: Investing - Theory, News & General
Topic: Comparison of small-cap value ETFs
Replies: 69
Views: 17226

Re: Comparison of small-cap value ETFs

ClosetIndexer, Thanks for this analysis, fascinating stuff, as well as for the link to the S&P index data. Have you considered running the above simulation using momentum factors? VBR and RZV have historically had a negative MOM loading, while it is typically close to zero for VIOV/IJS. Was curious ...
by Ketawa
Sun Sep 23, 2012 11:08 am
Forum: Investing - Theory, News & General
Topic: How Many Mutual Funds Do You Own?
Replies: 95
Views: 5063

Re: How Many Mutual Funds Do You Own?

7 different funds across three accounts. Taxable Vanguard Emerging Markets ETF (VWO) Vanguard MSCI EAFE ETF (VEA) Vanguard FTSE All-World ex-US Small Cap ETF (VSS) Navy Federal CD at 4% (just added) Roth IRA at Vanguard Vanguard Emerging Markets ETF (VWO) Vanguard S&P Small Cap 600 Value ETF (VIOV) ...
by Ketawa
Fri Sep 21, 2012 3:19 pm
Forum: Personal Finance (Not Investing)
Topic: Navy Federal - 1 Year 4% CD (Up to $4K) Offer until Sep 23
Replies: 30
Views: 4678

Re: Navy Federal - 1 Year 4% CD (Up to $4K) Offer until Sep

Just wanted to bump this thread in case anyone missed it. The promotion ends on Sunday. I confirmed with the customer representative that you can add to it after the promotion date ends. I made an initial deposit of $100 and will max it next month when I realize some LTCG at a 0% rate. Sure beats 1....
by Ketawa
Wed Sep 19, 2012 10:43 pm
Forum: Investing - Theory, News & General
Topic: Will Your (TSM) Equity Bet Pay Off?
Replies: 222
Views: 13264

Re: Will Your (TSM) Equity Bet Pay Off?

I'm not really trying to suggest anything sinister about Mr. Fama, rather that the thought jumped out at me as I read your post and quotes. +1. I think both sides of this TSM/Tilt debate are too eager to find the definitive quote by their favored investment guru to support their side, or find one b...
by Ketawa
Mon Sep 17, 2012 10:17 am
Forum: Investing - Theory, News & General
Topic: A question for value tilters about the average investor
Replies: 51
Views: 6073

Re: A question for value tilters about the average investor

The advantages of value and small cap investing cannot be arbitraged away for the same reason that the higher return of equities over bonds cannot be arbitraged away -- it's a risk story. Larry sometimes posts a long list of academic papers that establish this.
by Ketawa
Tue Sep 11, 2012 12:32 pm
Forum: Investing - Theory, News & General
Topic: the liquidity premium
Replies: 43
Views: 5917

Re: the liquidity premium

Just for fun, a little while ago I ran some 4-factor regressions on AMOMX and ASMOX. I used the HmL, SmB, Mkt, and Mom data from the Ken French library. Here is what I came up with, not sure how accurate it is. Sometimes my numbers end up a little off from what others calculate. The large negative a...
by Ketawa
Wed Sep 05, 2012 2:31 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard Lump Sum vs DCA study
Replies: 47
Views: 8211

Re: Vanguard Lump Sum vs DCA study

Say your "portfolio" consists of 100000 shares, each worth $1.00. On the day you sell, the share price drops to $0.95/share, so you need to sell 10526.3158 shares to raise $10,000. You have 89473.6842 shares left (worth $85,000). When they rise 1% from their original $1.00/share value on Day 0 , th...
by Ketawa
Tue Sep 04, 2012 3:25 pm
Forum: Investing - Theory, News & General
Topic: Investors lack basic financial literacy, study finds
Replies: 15
Views: 2168

Re: Investors lack basic financial literacy, study finds

Freakonomics had an interesting podcast about education and financial literacy a while ago. To be honest, I can't remember the exact content, I listed to it a while ago. The first link mashes it up with some other finance-related content. http://www.freakonomics.com/2012/04/26/lottery-loopholes-and-...
by Ketawa
Sun Sep 02, 2012 6:32 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard Lump Sum vs DCA study
Replies: 47
Views: 8211

Re: Vanguard Lump Sum vs DCA study

Some interesting points: All of the academic research on LS vs DCA, including this one on my site by Bill Jones: http://www.efficientfrontier.com/ef/997/dca.htm does show that LS dominates most of the time. That's because nearly all of this work is predicated on the post-1926 Ibbotson/CRSP database...
by Ketawa
Tue Aug 21, 2012 12:43 am
Forum: Investing - Theory, News & General
Topic: why has an ounce of gold bought a suit?
Replies: 47
Views: 6032

Re: why has an ounce of gold bought a suit?

Obviously this statement doesn't really mean much. To indulge the question, the total supply of gold in the world increases at 2-3% per year due to mining, not sure of the exact number. When the world used a gold standard, this is how fast the supply of money would grow, and consequently inflation. ...
by Ketawa
Thu Aug 16, 2012 8:32 pm
Forum: Investing - Help with Personal Investments
Topic: Int SV
Replies: 15
Views: 2153

Re: Int SV

A combination of a small-cap fund and a value fund would get you close. Personally I think VSS is great for small-cap -- it has about the same size and value loadings as SCZ, includes emerging markets, is cheaper, and is a Vanguard fund. SCZ only covers EAFE. Unfortunately, you're limited in interna...
by Ketawa
Thu Aug 16, 2012 1:06 pm
Forum: Investing - Theory, News & General
Topic: Total Bond Market vs TIPS
Replies: 34
Views: 11088

Re: Total Bond Market vs TIPS

My understanding is that there are two main components to interest rates: expected real return, and expected inflation. Disregarding the difference in duration: The funds would respond about the same to changes in expected real rates. If expected inflation stays the same, similar performance. If exp...
by Ketawa
Thu Aug 16, 2012 11:58 am
Forum: Investing - Theory, News & General
Topic: ETF Deathwatch--Three Vanguard ETFs on the List
Replies: 31
Views: 9772

Re: ETF Deathwatch--Three Vanguard ETFs on the List

Out of curiosity I looked at the share class breakdown of the extra S&P index funds, didn't bother with the Russell funds. It turns out that for the 500 Value, 500 Growth, 600 Value, and 600 Growth funds, all of their assets are in the ETF share class and there are none in the institutional shares. ...
by Ketawa
Thu Aug 16, 2012 2:52 am
Forum: Investing - Help with Personal Investments
Topic: TSP for a young person in her 20's
Replies: 13
Views: 2034

Re: TSP for a young person in her 20's

I can't find a current yield for the F fund, but Total Bond Market, which tracks the same index, has a 1.85% yield before expenses, which would be 1.83% after expenses. The current yield on the G fund appears to be about 1.4%. 1.25%. Sorry, but that's really bad. That's close to two-year CD territo...
by Ketawa
Wed Aug 15, 2012 3:31 pm
Forum: Investing - Help with Personal Investments
Topic: TSP Loan to Pay Off Rental Mortgage?
Replies: 8
Views: 1750

Re: TSP Loan to Pay Off Rental Mortgage?

I don't think you're missing anything. It's a great deal as long as you don't foresee any possibility that you will lose your job and be forced to pay back the loan immediately, or have difficulty paying it back if you lose the rental income. You could also consider the PenFed Home Equity Loan if yo...
by Ketawa
Wed Aug 15, 2012 12:54 pm
Forum: Investing - Help with Personal Investments
Topic: Cost vs. Slice and Dice Tradeoff
Replies: 27
Views: 1728

Re: Cost vs. Slice and Dice Tradeoff

There isn't much of a cost issue when you consider that the Net ER of Total Stock Market (VTI) is 6 bp, while Vanguard Small-Cap Value (VBR) is 10 bp. See: http://www.bogleheads.org/wiki/Acquired_fund_fees_and_expenses . Some of the expense ratio is a "phantom" expense ratio that does not represent ...
by Ketawa
Mon Aug 13, 2012 11:45 pm
Forum: Investing - Theory, News & General
Topic: Why isn't mean reversion easily visible in this chart?
Replies: 38
Views: 6686

Re: Why isn't mean reversion easily visible in this chart?

Wow, that's a very serious allegation, that could surely affect the careers of the authors. Which point in the paper did you disagree with? Here's another paper finding again that momentum disappeared about the time it was added to the three factor model: The Disappearance of Momentum From the abst...
by Ketawa
Mon Aug 13, 2012 11:03 am
Forum: Personal Finance (Not Investing)
Topic: Easy calculator for determining early payoff of mortgage?
Replies: 9
Views: 2157

Re: Easy calculator for determining early payoff of mortgage

The Mortgage Professor has a calculator for almost anything mortgage-related at his web site. See calculator 2a. http://www.mtgprofessor.com/calculators.htm
by Ketawa
Mon Aug 06, 2012 9:43 am
Forum: Investing - Theory, News & General
Topic: ETF spreads widen without Knight Capital
Replies: 13
Views: 2785

Re: ETF spreads widen without Knight Capital

The spread right now on VSS is about 2%. Is that higher than normal? I think you're just calculating it incorrectly. The spread right now is $0.19 for an $83 share, or 23 bp. This is below the average that Vanguard gives here of 29 bp. https://advisors.vanguard.com/VGApp/iip/site/advisor/investment...
by Ketawa
Tue Jul 24, 2012 6:43 pm
Forum: Investing - Theory, News & General
Topic: This is why you diversify
Replies: 173
Views: 17578

Re: THIS is why you diversify

Bongleur wrote:>if you google "Robert T"'s personal resource page

Need more precise name to succeed.
Here's the thread. Robert T's Collective thoughts
by Ketawa
Mon Jul 23, 2012 7:06 pm
Forum: Personal Finance (Not Investing)
Topic: Do I have to buy a house?
Replies: 53
Views: 6930

Re: Do I have to buy a house?

What I am declaring is that I do not know what the effect is of interest rates in a complex system like the housing market. My attempts at some very basic statistical analysis were merely to shed some daylight on various claims. Perhaps the Fed wants to keep rates low to increase turnover in the hou...
by Ketawa
Mon Jul 23, 2012 4:37 pm
Forum: Personal Finance (Not Investing)
Topic: Do I have to buy a house?
Replies: 53
Views: 6930

Re: Do I have to buy a house?

I'm sorry; you're right. Artificially low interest rates are not stimulative to house prices and when the Fed is done creating this unprecedented interest rate environment it most assuredly will have no effect on home prices. Is this really your position? That Greenspan's unprecedented lowering of ...
by Ketawa
Mon Jul 23, 2012 9:15 am
Forum: Personal Finance (Not Investing)
Topic: Do I have to buy a house?
Replies: 53
Views: 6930

Re: Do I have to buy a house?

I see an obvious relationship between interest rates being held artificially low after 1999 and the ridiculous run up in prices we experienced. It's in the very chart you posted. Even further, most of the data in the chart you posted is not relevant. It occurred while we were on the gold standard a...
by Ketawa
Sun Jul 22, 2012 3:27 pm
Forum: Personal Finance (Not Investing)
Topic: Do I have to buy a house?
Replies: 53
Views: 6930

Re: Do I have to buy a house?

I do not live in DC but I do think that it is a great time to buy - low interest rates, depressed market. I agree with the poster that cited historical home appreciation and think that people are too hung up on the most recent past. In my lifetime, home ownership has been a good thing and has helpe...
by Ketawa
Fri Jul 20, 2012 12:59 pm
Forum: Investing - Help with Personal Investments
Topic: Sending dividends and CG to Money Market
Replies: 11
Views: 1320

Re: Sending dividends and CG to Money Market

Just keep in mind that if you TLH in a taxable account, reinvested dividends in an IRA may trigger a wash sale.
by Ketawa
Wed Jul 18, 2012 2:43 pm
Forum: Personal Consumer Issues
Topic: Switching from iPhone to Android: some questions
Replies: 19
Views: 2685

Re: Switching from iPhone to Android: some questions

The best way, by far, I have found to sync iTunes with Android phones is using the iSyncr app. It's well worth $3 for the app, and for an extra $1 you can purchase an add-on that allows you to sync over WiFi. It's easy to sync unplayed podcasts and any other playlist from iTunes automatically. Used ...
by Ketawa
Wed Jul 11, 2012 8:18 pm
Forum: Personal Finance (Not Investing)
Topic: Do Bogleheads buy nice suits?
Replies: 87
Views: 10043

Re: Do Bogleheads buy nice suits?

For a decent half-canvassed suit, I've heard that Suit Supply (full price) or Brooks Brothers 1818 line (on sale) are both good options. I've been doing some research as I'm thinking about picking up my first suit sometime soon.
by Ketawa
Sat Jul 07, 2012 4:31 pm
Forum: Investing - Theory, News & General
Topic: TSP G Fund: YTD yield 0.79%
Replies: 38
Views: 6242

Re: TSP G Fund: YTD yield 0.79%

I'll be sticking with 100% G Fund, probably forever. It really is the only free lunch in investing. You get the yield and credit quality of Intermediate Treasuries with none of the interest rate risk. Of course, F Fund has looked good because of declining rates. But when (if?) rates rise, it'll take...
by Ketawa
Mon Jul 02, 2012 1:36 pm
Forum: Investing - Help with Personal Investments
Topic: Question on Taxation of Capital Loss Carryover
Replies: 4
Views: 614

Re: Question on Taxation of Capital Loss Carryover

I think you misunderstood what I meant; I just wanted to compare doing nothing vs realizing $1500 in LTCG. My carryover losses are wiped out first by the LTCG, and since these reduce my taxes at a rate of 15%, I am "paying" 15% tax on my first $1500 in LTCG (or STCG, for that matter). I can only ben...
by Ketawa
Mon Jul 02, 2012 11:33 am
Forum: Investing - Help with Personal Investments
Topic: Question on Taxation of Capital Loss Carryover
Replies: 4
Views: 614

Re: Question on Taxation of Capital Loss Carryover

Ah, ok thanks, I think I was just having some trouble walking through the forms. After simulating both, it turns out that $1500 STCG and $2500 LTCG incurs the same amount of tax as $4000 LTCG. I also calculated the tax owed for the last 3 situations. For number 2, the additional $1500 in LTCG is eff...
by Ketawa
Mon Jul 02, 2012 10:21 am
Forum: Investing - Help with Personal Investments
Topic: Question on Taxation of Capital Loss Carryover
Replies: 4
Views: 614

Question on Taxation of Capital Loss Carryover

I couldn't find the answer to my specific question in the forums, and I had trouble decoding Schedule D and the Capital Gain Tax Worksheet. My marginal tax bracket is 15 Federal/0% State. I have $1500 in short-term capital loss carryovers, and I have some space to use up at the 15% bracket this year...
by Ketawa
Mon Jul 02, 2012 1:52 am
Forum: Investing - Theory, News & General
Topic: Old School Debate: Putting 100% in index funds is foolish
Replies: 26
Views: 2908

Re: Old School Debate: Putting 100% in index funds is foolis

There is no free lunch because index funds have unique sources of error (tracking error, reliance on market makers, reliance on over saturation of speculator) that cause it to have a minor associated cost. This is not a problem. All you have to do is compare how an index fund performs relative to i...
by Ketawa
Mon Jul 02, 2012 1:48 am
Forum: Personal Consumer Issues
Topic: Best Cash Back Credit Card?
Replies: 56
Views: 646577

Re: Best Cash Back Credit Card?

Try out NerdWallet; you can input your spending patterns and preferences, and it will determine which cards might be best for you.
by Ketawa
Thu Jun 28, 2012 12:34 am
Forum: Investing - Help with Personal Investments
Topic: Old Question-Paying Off Mortgage?
Replies: 18
Views: 1757

Re: Old Question-Paying Off Mortgage?

Something strange is going on with your numbers -- paying off your mortgage is a guaranteed return of 5.375% minus an appropriate amount for interest rate tax deduction if you itemize. I am skeptical that you are benefiting from the full deduction, but it is not a 7.7% return, it is 5.375% or less. ...
by Ketawa
Tue Jun 19, 2012 2:46 pm
Forum: Investing - Help with Personal Investments
Topic: Pacific ETF (VPL) vs Pacific Admiral Index (VPADX)
Replies: 8
Views: 1121

Re: Pacific ETF (VPL) vs Pacific Admiral Index (VPADX)

Your time periods are different so you're not comparing apples to apples. Try going to the Morningstar page for VPADX, use the Growth of $10k Chart, and add VPL to it.
by Ketawa
Sun Jun 17, 2012 11:37 pm
Forum: Personal Finance (Not Investing)
Topic: Critique my rent vs. buy decision and analysis of mortgage
Replies: 7
Views: 993

Re: Critique my rent vs. buy decision and analysis of mortga

A few more costs to factor in. I didn't see the real estate agents commission and other selling costs subtracted out when you eventually sell the condo when you move. When you want to sell the condo you will likely need to paint it and put new carpets in. If you have to leave the condo empty for si...
by Ketawa
Sun Jun 17, 2012 7:57 pm
Forum: Personal Finance (Not Investing)
Topic: Critique my rent vs. buy decision and analysis of mortgage
Replies: 7
Views: 993

Re: Critique my rent vs. buy decision and analysis of mortga

The savings is 8-9k annually, or about 33k over 4 years. Main inputs into NYT calculator are: Monthly rent: 1,700 Home price: 300,000 Down payment: 8% Mortgage rate: 2.75% Property taxes: 1% Annual home price change: 3% Annual rent increase: 3% In advanced settings change: Rate of return on investme...
by Ketawa
Sun Jun 17, 2012 6:54 pm
Forum: Investing - Help with Personal Investments
Topic: Fixed Income Question
Replies: 4
Views: 685

Re: Fixed Income Question

Larry Swedroe had a good post about California muni bonds a couple of weeks ago. Recommendations come at the end. http://www.cbsnews.com/8301-505123_162-57446280/why-you-shouldnt-buy-california-go-bonds/ In short, a national muni fund is probably the correct choice (if munis make sense for you). As ...
by Ketawa
Sun Jun 17, 2012 6:39 pm
Forum: Personal Finance (Not Investing)
Topic: Critique my rent vs. buy decision and analysis of mortgage
Replies: 7
Views: 993

Re: Critique my rent vs. buy decision and analysis of mortga

What is your goal? Are you just trying to game the BAH? Are you thinking that the BAH money is coming back to you in equity versus going straight to a landlord? Why are you locking all your extra cash (BAH) into a property you are holding short term? My goal is to make the decision that makes the m...
by Ketawa
Sun Jun 17, 2012 6:05 pm
Forum: Personal Finance (Not Investing)
Topic: Critique my rent vs. buy decision and analysis of mortgage
Replies: 7
Views: 993

Critique my rent vs. buy decision and analysis of mortgage

Sorry I originally posted this in the wrong forum. I was wondering if I could get some advice on 1) a rent vs. buy decision, and 2) a type of mortgage and how to pay it down. First some background: I am active duty military 25 years old at time of move Would be at next duty station for at least 4 ye...
by Ketawa
Thu Jun 14, 2012 10:12 am
Forum: Investing - Help with Personal Investments
Topic: 401(k) Vs. Roth 401(k)
Replies: 37
Views: 2532

Re: 401(k) Vs. Roth 401(k)

Here's a good breakdown by tfb. Traditional is typically better since there's a good chance you can get a 0% tax rate on the gains by filling up your lower tax brackets later in life or performing Roth conversions.

http://thefinancebuff.com/case-against-roth-401k.html
by Ketawa
Sat Jun 09, 2012 4:28 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Indexes are a mess
Replies: 57
Views: 8061

Re: Vanguard Indexes are a mess

I had a hard time justifying Russell 2000 Value (IWN/VTWV) and S&P SC 600 Value (IJS/VIOV) over MSCI SCV Index (VBR). Looking at the Morningstar growth chart for over 10 years, a $10k initial investment has only about $250 difference. http://i46.tinypic.com/2zje0ef.jpg In the end I decided to just s...
by Ketawa
Mon Jun 04, 2012 3:27 pm
Forum: Personal Finance (Not Investing)
Topic: Anyone regret paying off mortgage early?
Replies: 505
Views: 114135

Re: Anyone regret paying off mortgage early?

I'll be so bold and raise my hand to state paying your mortgage off right now is a foolish idea. Primary Reasons: - Too much NW into one asset (that's illiquid to boot!) - Your primary residence is not an investment ... I find it very interesting Bogleheads are all about asset allocation, yet many ...