Lifecycle Investing Challenged - Scott Cederburg

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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by LadyGeek »

I merged retirementdream's thread into the ongoing discussion. I also fixed a typo in the thread title.

(Thanks to the member who reported the post and provided a link to this thread.)
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by exodusing »

Cliff Asness has a take on the paper https://www.aqr.com/Insights/Perspectiv ... 0-Equities

He's not a fan.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by JPM »

This thread brought a couple of things to mind about human nature and its inclination to disconnect theory from practice.

The existence of lazy doctors, fat doctors, doctors who smoke, and lazy fat doctors who smoke when they know as well as anyone, and more than most, that keeping your weight down, not smoking, and exercising 150 minutes per week are the keys to health maintenance and longer health spans for most people.

James Choi's remark that finance professors must not believe what they teach because his surveys show that they do not themselves practice what they teach in regard to their own investing and personal finance practices.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Morse Code »

exodusing wrote: Fri Mar 29, 2024 8:46 pm Cliff Asness has a take on the paper https://www.aqr.com/Insights/Perspectiv ... 0-Equities

He's not a fan.
Asness seems to be making the behavioral argument against 100% equities, but then argues for something called "liquid alts". He then argues one should ignore the behavioral implications of liquid alts and adopt anyway because it's more optimal.

I'm sure Asness is much smarter than I am, but he appears to contradict himself in this article and is pretty snarky about it as well.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by BitTooAggressive »

JPM wrote: Sat Mar 30, 2024 10:47 am This thread brought a couple of things to mind about human nature and its inclination to disconnect theory from practice.

The existence of lazy doctors, fat doctors, doctors who smoke, and lazy fat doctors who smoke when they know as well as anyone, and more than most, that keeping your weight down, not smoking, and exercising 150 minutes per week are the keys to health maintenance and longer health spans for most people.

James Choi's remark that finance professors must not believe what they teach because his surveys show that they do not themselves practice what they teach in regard to their own investing and personal finance practices.
Yes we are not fully rational creatures, thus any model that assumes fully rational behavior is flawed.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Morse Code »

BitTooAggressive wrote: Mon Apr 01, 2024 7:57 am
JPM wrote: Sat Mar 30, 2024 10:47 am This thread brought a couple of things to mind about human nature and its inclination to disconnect theory from practice.

The existence of lazy doctors, fat doctors, doctors who smoke, and lazy fat doctors who smoke when they know as well as anyone, and more than most, that keeping your weight down, not smoking, and exercising 150 minutes per week are the keys to health maintenance and longer health spans for most people.

James Choi's remark that finance professors must not believe what they teach because his surveys show that they do not themselves practice what they teach in regard to their own investing and personal finance practices.
Yes we are not fully rational creatures, thus any model that assumes fully rational behavior is flawed.
What's a better alternative, a model that assumes everyone behaves irrationally exactly the same way?
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Circle the Wagons »

Morse Code wrote: Mon Apr 01, 2024 7:18 am
exodusing wrote: Fri Mar 29, 2024 8:46 pm Cliff Asness has a take on the paper https://www.aqr.com/Insights/Perspectiv ... 0-Equities

He's not a fan.
Asness seems to be making the behavioral argument against 100% equities, but then argues for something called "liquid alts". He then argues one should ignore the behavioral implications of liquid alts and adopt anyway because it's more optimal.

I'm sure Asness is much smarter than I am, but he appears to contradict himself in this article and is pretty snarky about it as well.

My read is that his main argument against is about portfolio efficiency, not behavior.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Morse Code »

Circle the Wagons wrote: Mon Apr 01, 2024 8:47 am
Morse Code wrote: Mon Apr 01, 2024 7:18 am
exodusing wrote: Fri Mar 29, 2024 8:46 pm Cliff Asness has a take on the paper https://www.aqr.com/Insights/Perspectiv ... 0-Equities

He's not a fan.
Asness seems to be making the behavioral argument against 100% equities, but then argues for something called "liquid alts". He then argues one should ignore the behavioral implications of liquid alts and adopt anyway because it's more optimal.

I'm sure Asness is much smarter than I am, but he appears to contradict himself in this article and is pretty snarky about it as well.

My read is that his main argument against is about portfolio efficiency, not behavior.
"We (academics, practitioners, anyone who’s taken a cursory look at modern finance) prefer a diversified portfolio because we believe it has a higher return for the risk taken, not a higher expected return."

Okay. Maybe it's just semantics, but I see accepting lower expected returns for lower risk as a behavioral argument. Distinction without a difference?
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Circle the Wagons »

Morse Code wrote: Mon Apr 01, 2024 9:19 am
Circle the Wagons wrote: Mon Apr 01, 2024 8:47 am
Morse Code wrote: Mon Apr 01, 2024 7:18 am
exodusing wrote: Fri Mar 29, 2024 8:46 pm Cliff Asness has a take on the paper https://www.aqr.com/Insights/Perspectiv ... 0-Equities

He's not a fan.
Asness seems to be making the behavioral argument against 100% equities, but then argues for something called "liquid alts". He then argues one should ignore the behavioral implications of liquid alts and adopt anyway because it's more optimal.

I'm sure Asness is much smarter than I am, but he appears to contradict himself in this article and is pretty snarky about it as well.

My read is that his main argument against is about portfolio efficiency, not behavior.
"We (academics, practitioners, anyone who’s taken a cursory look at modern finance) prefer a diversified portfolio because we believe it has a higher return for the risk taken, not a higher expected return."

Okay. Maybe it's just semantics, but I see accepting lower expected returns for lower risk as a behavioral argument. Distinction without a difference?

Not by my read. He's talking about adjusting risk by levering up or down a Sharpe efficient / risk parity portfolio vs. adjusting the underlying AA -- up to 100% equity in the scenario he's attacking. In other words, all classic finance theory and nothing really behavioral in the core argument.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Morse Code »

Circle the Wagons wrote: Mon Apr 01, 2024 9:27 am
Morse Code wrote: Mon Apr 01, 2024 9:19 am
Circle the Wagons wrote: Mon Apr 01, 2024 8:47 am
Morse Code wrote: Mon Apr 01, 2024 7:18 am
exodusing wrote: Fri Mar 29, 2024 8:46 pm Cliff Asness has a take on the paper https://www.aqr.com/Insights/Perspectiv ... 0-Equities

He's not a fan.
Asness seems to be making the behavioral argument against 100% equities, but then argues for something called "liquid alts". He then argues one should ignore the behavioral implications of liquid alts and adopt anyway because it's more optimal.

I'm sure Asness is much smarter than I am, but he appears to contradict himself in this article and is pretty snarky about it as well.

My read is that his main argument against is about portfolio efficiency, not behavior.
"We (academics, practitioners, anyone who’s taken a cursory look at modern finance) prefer a diversified portfolio because we believe it has a higher return for the risk taken, not a higher expected return."

Okay. Maybe it's just semantics, but I see accepting lower expected returns for lower risk as a behavioral argument. Distinction without a difference?

Not by my read. He's talking about adjusting risk by levering up or down a Sharpe efficient / risk parity portfolio vs. adjusting the underlying AA -- up to 100% equity in the scenario he's attacking. In other words, all classic finance theory and nothing really behavioral in the core argument.
"We’ve found most can’t acknowledge that this rationale is the same as saying “this would improve an investor’s portfolio, but very occasionally it could make them look unconventionally bad relative to others, so they might give up on it. Therefore investors should just stand pat with the less-effective portfolio.” Citing that many can’t do it is not a valid justification for not trying to change things for the better."

This sounds like an argument against classic tracking error regret. Seems like he's talking out of both sides of his mouth. Why would I care if my portfolio with higher expected return is less efficient, except for behavioral reasons?
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Circle the Wagons »

Morse Code wrote: Mon Apr 01, 2024 9:46 am
Circle the Wagons wrote: Mon Apr 01, 2024 9:27 am
Morse Code wrote: Mon Apr 01, 2024 9:19 am
Circle the Wagons wrote: Mon Apr 01, 2024 8:47 am
Morse Code wrote: Mon Apr 01, 2024 7:18 am
Asness seems to be making the behavioral argument against 100% equities, but then argues for something called "liquid alts". He then argues one should ignore the behavioral implications of liquid alts and adopt anyway because it's more optimal.

I'm sure Asness is much smarter than I am, but he appears to contradict himself in this article and is pretty snarky about it as well.

My read is that his main argument against is about portfolio efficiency, not behavior.
"We (academics, practitioners, anyone who’s taken a cursory look at modern finance) prefer a diversified portfolio because we believe it has a higher return for the risk taken, not a higher expected return."

Okay. Maybe it's just semantics, but I see accepting lower expected returns for lower risk as a behavioral argument. Distinction without a difference?

Not by my read. He's talking about adjusting risk by levering up or down a Sharpe efficient / risk parity portfolio vs. adjusting the underlying AA -- up to 100% equity in the scenario he's attacking. In other words, all classic finance theory and nothing really behavioral in the core argument.
"We’ve found most can’t acknowledge that this rationale is the same as saying “this would improve an investor’s portfolio, but very occasionally it could make them look unconventionally bad relative to others, so they might give up on it. Therefore investors should just stand pat with the less-effective portfolio.” Citing that many can’t do it is not a valid justification for not trying to change things for the better."

This sounds like an argument against classic tracking error regret. Seems like he's talking out of both sides of his mouth. Why would I care if my portfolio with higher expected return is less efficient, except for tracking error regret?

He's making an efficiency argument against 100% equity. Separately, and in the quote above, he's making efficiency and anti-behavioral arguments for his love of commodities (you noted the anti-behavioral argument in your earlier post too, and I agree with you).

If you're Sharpe-minded as he is, you believe you can get the same expected return while taking less risk using leverage vs. going 100% equity. So you would care about that. It's not necessarily about comparing two portfolios with different expected returns. Also not about tracking error.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Morse Code »

Circle the Wagons wrote: Mon Apr 01, 2024 10:29 am
Morse Code wrote: Mon Apr 01, 2024 9:46 am
Circle the Wagons wrote: Mon Apr 01, 2024 9:27 am
Morse Code wrote: Mon Apr 01, 2024 9:19 am
Circle the Wagons wrote: Mon Apr 01, 2024 8:47 am


My read is that his main argument against is about portfolio efficiency, not behavior.
"We (academics, practitioners, anyone who’s taken a cursory look at modern finance) prefer a diversified portfolio because we believe it has a higher return for the risk taken, not a higher expected return."

Okay. Maybe it's just semantics, but I see accepting lower expected returns for lower risk as a behavioral argument. Distinction without a difference?

Not by my read. He's talking about adjusting risk by levering up or down a Sharpe efficient / risk parity portfolio vs. adjusting the underlying AA -- up to 100% equity in the scenario he's attacking. In other words, all classic finance theory and nothing really behavioral in the core argument.
"We’ve found most can’t acknowledge that this rationale is the same as saying “this would improve an investor’s portfolio, but very occasionally it could make them look unconventionally bad relative to others, so they might give up on it. Therefore investors should just stand pat with the less-effective portfolio.” Citing that many can’t do it is not a valid justification for not trying to change things for the better."

This sounds like an argument against classic tracking error regret. Seems like he's talking out of both sides of his mouth. Why would I care if my portfolio with higher expected return is less efficient, except for tracking error regret?

He's making an efficiency argument against 100% equity. Separately, and in the quote above, he's making efficiency and anti-behavioral arguments for his love of commodities (you noted the anti-behavioral argument in your earlier post too, and I agree with you).

If you're Sharpe-minded as he is, you believe you can get the same expected return while taking less risk using leverage vs. going 100% equity. So you would care about that. It's not necessarily about comparing two portfolios with different expected returns. Also not about tracking error.
I see your point. Maybe I just conflate anything to do with comparing portfolios on a risk-adjusted basis as a behavioral exercise.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by BitTooAggressive »

Morse Code wrote: Mon Apr 01, 2024 8:06 am
BitTooAggressive wrote: Mon Apr 01, 2024 7:57 am
JPM wrote: Sat Mar 30, 2024 10:47 am This thread brought a couple of things to mind about human nature and its inclination to disconnect theory from practice.

The existence of lazy doctors, fat doctors, doctors who smoke, and lazy fat doctors who smoke when they know as well as anyone, and more than most, that keeping your weight down, not smoking, and exercising 150 minutes per week are the keys to health maintenance and longer health spans for most people.

James Choi's remark that finance professors must not believe what they teach because his surveys show that they do not themselves practice what they teach in regard to their own investing and personal finance practices.
Yes we are not fully rational creatures, thus any model that assumes fully rational behavior is flawed.
What's a better alternative, a model that assumes everyone behaves irrationally exactly the same way?
I don’t think there is a better way that I know of.
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by Hola »

GAAP wrote: Sun Feb 04, 2024 2:53 pm
ParlayBogle wrote: Sun Feb 04, 2024 2:28 pm
GAAP wrote: Sun Feb 04, 2024 1:39 pm
ParlayBogle wrote: Sun Feb 04, 2024 12:58 pm
GAAP wrote: Sun Feb 04, 2024 12:30 pm


If, by "inertia", you mean the laziness suggested by others, I disagree.
Not really sure how you can disagree with the math that underlies the chart you posted, but sure.
See the section in my previous post immediately above your quote. If you have more to say on that, I would like to see it. In particular I would like to see an explanation of how the underlying math can only be caused by laziness, including across parts of the market that are not in the public exchanges.
Please explain precisely how the "equity allocation" line is derived on your graph, ideally with sources.
The Federal Reserve publishes sufficient data to estimate aggregate investor AA:
The Financial Accounts of the United States includes data on transactions and levels of financial assets and liabilities, by sector and financial instrument; full balance sheets, including net worth, for households and nonprofit organizations, non-financial corporate businesses, and non-financial non-corporate businesses; Integrated Macroeconomic Accounts; and additional supplemental detail.

These data are typically released during the second week of March, June, and December, and the third week of September.
Quarterly data is available back to the last quarter of 1951, with prior annual data starting in 1945. The data itself is broken into multiple categories using different units, requiring some basic arithmetic to create a coherent value. The basic AA equation is Equity-Dollars/(Equity-Dollars + Debt-Dollars), yielding the percentage of money allocated to equities.

The Fed reports equities across two categories, Non-financial corporate business and Domestic financial sectors, in millions of dollars. The Fed breaks down debt into five different categories, all expressed in billions of dollars: Non-financial Corporate Business, Households and Nonprofit Organizations, Federal Government, State and Local Governments, and Rest of the World. With some basic math, the data reveals the aggregate AA for the domestic economy.

Finding Aggregate Investor Equity Allocation

1. Create an account at https://fred.stlouisfed.org/
2. From your user account, go to your content page and view Graphs: https://research.stlouisfed.org/useraccount/fredgraph
3. Choose Add New, Graph.
4. Choose the Search option to find data series by name.
5. Start with NCBEILQ027S, and create a graph.
6. From your content list, click on the newly created graph and then choose to edit the graph.
7. Add the following data series:
a) FBCELLQ027S
b) BCNSDODNS
c) CMDEBT
d) FGSDODNS
e) SLGSDODNS
f) DODFFSWCMI
8. If you entered these data series in the order above, your line 1 list will include the following variables:
a) Nonfinancial Corporate Business; Corporate Equities; Liability, Level, Millions of Dollars, Not Seasonally Adjusted (NCBEILQ027S)
b) Domestic Financial Sectors; Corporate Equities; Liability, Level, Millions of Dollars, Not Seasonally Adjusted (FBCELLQ027S)
c) Nonfinancial Corporate Business; Debt Securities and Loans; Liability, Level, Billions of Dollars, Seasonally Adjusted (BCNSDODNS)
d) Households and Nonprofit Organizations; Debt Securities and Loans; Liability, Level, Billions of Dollars, Seasonally Adjusted (CMDEBT)
e) Federal Government; Debt Securities and Loans; Liability, Level, Billions of Dollars, Seasonally Adjusted (FGSDODNS)
f) State and Local Governments; Debt Securities and Loans; Liability, Level, Billions of Dollars, Seasonally Adjusted (SLGSDODNS)
g) Rest of the World; Debt Securities and Loans; Liability, Level, Billions of Dollars, Seasonally Adjusted (DODFFSWCMI)
9. You can then apply the following equation to generate the aggregate equity allocation: (a+b)/1000/(((a+b)/1000)+c+d+e+f+g)
10. From the Account Tools button below the graph, save the graph.
11. Use the download link if desired.
Thank you very much for sharing this. Quick question. Does the aggregate equity in this graph mean domestic US equities only, or all equities including international?
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by bikeeagle1 »

Taylor Larimore wrote: Sun Feb 04, 2024 12:43 pm Bogleheads:

In 1929 when I was a boy my family was 100% invested in stocks. the Dow plunged 89%. Our 4-story Miami waterfront home was sold on the Courthouse steps. We moved into a 3-story walk-up apartment.

This is why I will always own bonds.

Best wishes.
Taylor
Jack Bogle's Words of Wisdom: “Why would an intelligent investor hold any bonds at all? Because the long-run is a series of short-runs, and during many short periods, bonds have provided higher returns than stocks. -- And perhaps more important, reducing the volatility of your portfolio can give you downside protection during large market declines."
Wow. That is a sobering reminder of how things can change. Thanks for the lesson, and for sharing the personal story.

Do you have any other memories from that time? And the subsequent recovery? Going through that as a child would have caused many people to swear off stocks forever, but all these years later, you are still staying the course. Amazing!
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by Jeepergeo »

bikeeagle1 wrote: Tue Apr 02, 2024 8:27 pm
Taylor Larimore wrote: Sun Feb 04, 2024 12:43 pm Bogleheads:

In 1929 when I was a boy my family was 100% invested in stocks. the Dow plunged 89%. Our 4-story Miami waterfront home was sold on the Courthouse steps. We moved into a 3-story walk-up apartment.

This is why I will always own bonds.

Best wishes.
Taylor
Jack Bogle's Words of Wisdom: “Why would an intelligent investor hold any bonds at all? Because the long-run is a series of short-runs, and during many short periods, bonds have provided higher returns than stocks. -- And perhaps more important, reducing the volatility of your portfolio can give you downside protection during large market declines."
Wow. That is a sobering reminder of how things can change. Thanks for the lesson, and for sharing the personal story.

Do you have any other memories from that time? And the subsequent recovery? Going through that as a child would have caused many people to swear off stocks forever, but all these years later, you are still staying the course. Amazing!
Wow. It took nearly two months and ~1.5 pages of posts before Taylor's true wisdom on the this subject was acknowleded.

Thank you bikeeagle1 for commenting on Taylor's post and thank you Taylor for again sharing your true wisdom.
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by Random Musings »

bobcat2 wrote: Sat Feb 03, 2024 4:55 pm The conclusion of the paper suggests that the logical extension of this line of reasoning would be that always holding 110% equities would give even better results. :D

BobK
In academic circles, this is known as the Nigel Tufnel theorem.

At least the authors are giving their sympathies in advance if one can't stomach serious drawdowns and end up bailing out. It looks great on paper, but psychological fortitude is needed in this investing cage match. I venture to say that the majority of investors can't do this, nor is there an 100% guarantee it will work. The "goal" appears to be maximizing wealth at death rather than just winning the game. I agree with investing excess retirement funds at benefactors need of risk, but that may not even be 100% equities.

RM
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by GAAP »

Hola wrote: Tue Apr 02, 2024 7:35 pm Thank you very much for sharing this. Quick question. Does the aggregate equity in this graph mean domestic US equities only, or all equities including international?
Domestic. The Fed may have the international data -- I've never looked, and don't know what they would use for sources.
“Adapt what is useful, reject what is useless, and add what is specifically your own.” ― Bruce Lee
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by exodusing »

Random Musings wrote: Tue Apr 02, 2024 10:05 pm
bobcat2 wrote: Sat Feb 03, 2024 4:55 pm The conclusion of the paper suggests that the logical extension of this line of reasoning would be that always holding 110% equities would give even better results. :D

BobK
In academic circles, this is known as the Nigel Tufnel theorem.
:D
Random Musings wrote: Tue Apr 02, 2024 10:05 pmAt least the authors are giving their sympathies in advance if one can't stomach serious drawdowns and end up bailing out. It looks great on paper, but psychological fortitude is needed in this investing cage match. I venture to say that the majority of investors can't do this, nor is there an 100% guarantee it will work. The "goal" appears to be maximizing wealth at death rather than just winning the game. I agree with investing excess retirement funds at benefactors need of risk, but that may not even be 100% equities.

RM
You bring up an oft overlooked fact - beyond psychological fortitude there's the problem that there's real risk. There isn't a 100% guarantee it will work, there isn't any guarantee it will work. Why should stocks have a risk premium if there's no risk if only you hold for some amount of time?
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by Walkure »

GAAP wrote: Wed Apr 03, 2024 10:51 am
Hola wrote: Tue Apr 02, 2024 7:35 pm Thank you very much for sharing this. Quick question. Does the aggregate equity in this graph mean domestic US equities only, or all equities including international?
Domestic. The Fed may have the international data -- I've never looked, and don't know what they would use for sources.
This may not be exactly what you are looking for, but I find this annual release from the Treasury to be one of the most fascinating reports in all of finance.
https://home.treasury.gov/data/treasury ... o-holdings
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by Hola »

Walkure wrote: Wed Apr 03, 2024 3:47 pm
GAAP wrote: Wed Apr 03, 2024 10:51 am
Hola wrote: Tue Apr 02, 2024 7:35 pm Thank you very much for sharing this. Quick question. Does the aggregate equity in this graph mean domestic US equities only, or all equities including international?
Domestic. The Fed may have the international data -- I've never looked, and don't know what they would use for sources.
This may not be exactly what you are looking for, but I find this annual release from the Treasury to be one of the most fascinating reports in all of finance.
https://home.treasury.gov/data/treasury ... o-holdings
Whoa that was a lot more data than I wanted to find regarding international holdings :). But thanks for sharing.
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by Ben Mathew »

exodusing wrote: Wed Apr 03, 2024 2:18 pm You bring up an oft overlooked fact - beyond psychological fortitude there's the problem that there's real risk. There isn't a 100% guarantee it will work, there isn't any guarantee it will work. Why should stocks have a risk premium if there's no risk if only you hold for some amount of time?
+1

Also, stocks outperforming bonds for sure over a long horizon presents a risk-free arbitrage opportunity: issue long term bonds and invest the proceeds in stocks. There shouldn't be unexploited opportunities like this in well-functioning financial markets.
Total Portfolio Allocation and Withdrawal (TPAW)
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by SantaClaraSurfer »

This comment by a Rational Reminder participant hints that the Target Date Fund failure rates in this study may be related to the TDF example used for comparison in the study holding a minimal amount (18%) of equities in retirement. Click through for graphs and more commentary.
One other thing I noted going through the paper again is that the “TDF” asset allocation strategy example used in the paper has an extraordinarily aggressive glide path - shifting all the way down to 18% equities. I’m sure a TDF like this exists somewhere, but I couldn’t find one and I don’t believe the glide path of the “TDF” asset allocation strategy used in the paper is representative of most target date funds which typically (1) settle at a notably higher stock exposure of 30-40%, (2) usually include TIPS and (3) often include international bonds.

So it’s likely that the selection of this particular TDF as the basis for the “TDF” asset allocation strategy in the paper is doing a lot of heavy lifting - effectively demonstrating more of a TDF worst case scenario and making the glide path strategy look more obviously inferior than a TDF with a less aggressive glide path would.
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Re: Lifecycle Investing Challened - Scott Cederburg

Post by Walkure »

Hola wrote: Wed Apr 03, 2024 5:16 pm
Walkure wrote: Wed Apr 03, 2024 3:47 pm
GAAP wrote: Wed Apr 03, 2024 10:51 am
Hola wrote: Tue Apr 02, 2024 7:35 pm Thank you very much for sharing this. Quick question. Does the aggregate equity in this graph mean domestic US equities only, or all equities including international?
Domestic. The Fed may have the international data -- I've never looked, and don't know what they would use for sources.
This may not be exactly what you are looking for, but I find this annual release from the Treasury to be one of the most fascinating reports in all of finance.
https://home.treasury.gov/data/treasury ... o-holdings
Whoa that was a lot more data than I wanted to find regarding international holdings :). But thanks for sharing.
Yeah, I love it. Most academic papers spend pages and pages hedging to get to an underwhelming conclusion with so many caveats it might as well be useless. But this, because it's just an empirical survey of things as they are, contains an actual cool factoid in every paragraph. And the charts are mind-blowing in a good way.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Hydromod »

Sorry if I missed it, but Tyler has an excellent new follow-up relevant to the paper on Portfolio Charts.
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Re: Lifecycle Investing Challenged - Scott Cederburg

Post by drk »

Hydromod wrote: Thu Apr 04, 2024 12:22 pm Sorry if I missed it, but Tyler has an excellent new follow-up relevant to the paper on Portfolio Charts.
Check out the thread here: viewtopic.php?t=428716
A useful razor: anyone asking about speculative strategies on Bogleheads.org has no business using them.
Hydromod
Posts: 1059
Joined: Tue Mar 26, 2019 10:21 pm

Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Hydromod »

drk wrote: Thu Apr 04, 2024 12:41 pm
Hydromod wrote: Thu Apr 04, 2024 12:22 pm Sorry if I missed it, but Tyler has an excellent new follow-up relevant to the paper on Portfolio Charts.
Check out the thread here: viewtopic.php?t=428716
Thanks. Did miss it.
Hola
Posts: 145
Joined: Thu Nov 04, 2021 2:40 pm

Re: Lifecycle Investing Challenged - Scott Cederburg

Post by Hola »

I broke down the asset allocation of Foreign Portfolio Holdings of U.S. Securities as of June 30, 2023 per this link:

https://ticdata.treasury.gov/Publish/shlptab1.html

Total: 51% US stocks, 49% US bonds
Of which, the Foreign Official Institutions hold: 25% US stocks, 75% US bonds
Of which, other / Not Official institutions hold: 59% US stocks, 41% US bonds
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