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Post by Chahta on Apr 11, 2021 13:01:06 GMT
How do you calculate SD for a portfolio that changes (in, out ,fund change) in 3 years? IOFIX alone has a 3 year SD of 23.78 and NHMAX is 9.78.
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Post by FD1000 on Apr 11, 2021 16:55:20 GMT
How do you calculate SD for a portfolio that changes (in, out ,fund change) in 3 years? IOFIX alone has a 3 year SD of 23.78 and NHMAX is 9.78. "IOFIX alone has a 3 year SD of 23.78"? true but when you sell it prior to the meltdown and buy after it started to rebound, you do pretty well. But it looks even better when you calculate Sharpe Ratio(Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return). I found only 4 funds with Sharpe over 2 in the last 3 years, my portfolio is around 4. Schwab has performance + SD (but not Sharpe) per portfolio. Attachments:
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Post by steadyeddy on Apr 11, 2021 23:37:45 GMT
FD1000 , what is your AA with all your money invested in the market? Everyone else on this board feels very comfortable disclosing that level of detail. Thanks. The usual according to my goals I posted many times since retirement in 2018: 1) We need to make just 4% annually to cover LT costs+inflation for our portfolio to last for 4-5 decades. 2) I still want to make at least 6% annually with the lowest Standard Deviation (under 3) and without ever losing 3% from any last top and be positive annually. I no longer care to maximize performance but to keep our standard of living 3) Use mainly bonds OEFs with the flexibility to trade more often by using momentum and smoother uptrend. 4) May sometimes use faster trades of other funds(stocks,CEFs, gold and more). 5) Use very concentrated portfolio of usually 2-3 funds. This is according to Buffett "Diversification is a protection against ignorance" 6) I sell at market extreme but, I was invested at 99+% (never cash) 98% of the time in the last 11-12 years. I sold to cash several weeks in Q4/2018 and March/2020 and why my portfolio was never down more than 1% from any last top.. Right now in just 2 bond OEFs. I used to post my funds monthly but I was accused that I promote my funds. Easy solutions, no more what I own. I maintained for years threads about bond OEFs. Right now I only maintain one at armchairinvesting.freeforums.net/thread/616/bond-oefs-2021. So, what have I owned in the last several years? mostly Multi sector/NonTrad(specifically in specialized securitized) + HY Munis FD1000 , thanks for posting a response. I doubt anybody on this board will accuse you of promoting funds you own. Feel free to share if you are open to it. All the best!
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Post by Chahta on Apr 12, 2021 0:09:21 GMT
“FD1000 , thanks for posting a response. I doubt anybody on this board will accuse you of promoting funds you own. Feel free to share if you are open to it. All the best!”
Do not confuse Big Bang! with any of the others. I don’t see the same negativity here.
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Post by FD1000 on Jul 9, 2021 23:12:21 GMT
12-2-2020 (link) "Mike Wilson, Morgan Stanley's chief U.S. equity strategist, says the U.S. stock market is overbought and overvalued and sees the potential for a short-term correction." 2-24-2021(link)-"Buffett's right-hand man says US stock market is overvalued" 6-20-2021(link)-"Beware of inflation ‘headwinds’: It could take a year to break even after a 10% to 20% market correction, economist Mark Zandi warns" 7-7-2021 (link)-"Market Correction On The Way For US Equities, Experts Say....Market strategists from Morgan Stanley(same Mike Wilson from 8 months ago), Goldman Sachs and Citigroup said recently that despite a booming economy with strong returns there is complacency in the market"
The reality: the SP500 closed today at an all-time high. The best bullish signal is a new all-time high. So, where is the top? Are stocks overvalued? I have no clue, and I don't know where the SP500 will be 6-12-60 months, but I know I will be out when the crash arrives. VIX was down today to 16. In my world it means: I don't even think about thinking about a correction.
BTW, the SP500 didn't have a correction(10% decline) since 11/2020, see below.
This is what I have said in my first post. Calling for market tops is a fool’s errand. Investing based on predictions is another fool’s errand.Attachments:
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Post by Norbert on Jul 10, 2021 12:08:32 GMT
You have figured out that market pundits are frequently wrong. Very good.
Calling market tops isn't a "fool's errand", but it's definitely not easy to do. Several fund managers correctly called the 2000 tech bubble top; others understood the 2008 housing subprime crisis and acted accordingly.
Having said that, I'll add that it has become even more difficult to call market tops since the birth of Central Bank "quantitative easing" during the Great Recession. QE seems to have become standard fare.
Central Bank bond purchases have helped drive interest rates to near 0% (even lower in Germany). That has supported the market in an unprecedented way. Investors seem to think that the Fed is there to prevent anything very bad from happening.
Will the party ever end?
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Post by uncleharley on Jul 10, 2021 12:36:57 GMT
"Will the party ever end?" Of course it will. Those who can develop a projection may have a better idea than those who can't. The Dow theory states that for a trend to continue, it must be confirmed by expanding trading volume. The Wilshire 5000 is the broadest measure of domestic stock market activity. stockcharts.com/h-sc/ui?s=$WLSH&p=D&b=3&g=0&id=p1505258675c&a=468031771&listNum=86 The daily chart clearly shows that since a spike in trading volume last Feb, daily trading volume has been declining. According to Dow theory, that indicates that the rising trend in stock prices since Feb has been a false signal and we can expect a correction in the stock market very soon. Of course that may not mean an end to QE.
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Post by FD1000 on Jul 10, 2021 19:50:38 GMT
You have figured out that market pundits are frequently wrong. Very good. FD: correct, stop listening to them.Calling market tops isn't a "fool's errand", but it's definitely not easy to do. Several fund managers correctly called the 2000 tech bubble top; others understood the 2008 housing subprime crisis and acted accordingly. FD: correct but most of these managers were wrong in the next 10 years, think Arnott,GMO,Hussman.Having said that, I'll add that it has become even more difficult to call market tops since the birth of Central Bank "quantitative easing" during the Great Recession. QE seems to have become standard fare. FD: correct, I have been saying it for years.Central Bank bond purchases have helped drive interest rates to near 0% (even lower in Germany). That has supported the market in an unprecedented way. Investors seem to think that the Fed is there to prevent anything very bad from happening. FD: correct, I have been saying it for years.Will the party ever end? FD: the questions, of course: when, how long, how much decline. When I was younger + much smaller portfolio, I was in all the time. Now, in retirement, I learned how to avoid the bid meltdown and stay invested at a very high %. My numbers show I was in 97% invested at 99+%. So, it depends on someone style, goals, capabilities. Most should be invested at all times with no cash (or very small %). Then I see 2 simple solutions: 1) buy and hold, maybe minimal trading 2) more advanced, switch between higher-risk to lower-risk fund. Easy example: switch between 2 good choices SPY<-->PRWCX. You think risk is high sell SPY and buy PRWCX. Market is down 10-20% sell PRWCX and buy SPY.
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Post by FD1000 on Jul 10, 2021 20:03:39 GMT
"Will the party ever end?" Of course it will. Those who can develop a projection may have a better idea than those who can't. The Dow theory states that for a trend to continue, it must be confirmed by expanding trading volume. The Wilshire 5000 is the broadest measure of domestic stock market activity. stockcharts.com/h-sc/ui?s=$WLSH&p=D&b=3&g=0&id=p1505258675c&a=468031771&listNum=86 The daily chart clearly shows that since a spike in trading volume last Feb, daily trading volume has been declining. According to Dow theory, that indicates that the rising trend in stock prices since Feb has been a false signal and we can expect a correction in the stock market very soon. Of course that may not mean an end to QE. Only problem, many predictions/forecasts including T/A, Dow theory, Volume didn't work well for years + the market speed have been amazing and many missed performance by trying to trade + being in cash + many didn't understand the power of the FED. The whole point of this thread is to show that most should stay within their goals, capabilities and be honest of it, compare to a buy and hold simple portfolio with min trading. If you are a good trader, by all means, trade but please compare your risk-adjusted portfolio performance starting by knowing your portfolio Sharpe Ratio.
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Post by Chahta on Jul 11, 2021 16:19:32 GMT
How is a Sharpe ratio calculated for a portfolio?
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Post by johntaylor on Jul 11, 2021 17:36:34 GMT
On March 30, 2000, was reading New York Times and saw a Modigliani article calling a tech bubble.
First, thought was he was wrong.
Then remembered that he was the Nobel laureate and it might be wise to heed.
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Post by Capital on Jul 11, 2021 20:06:39 GMT
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Post by FD1000 on Jul 12, 2021 21:25:44 GMT
How is a Sharpe ratio calculated for a portfolio? I just estimated it and used different funds. See ( link) Sharpe = (return of your portfolio - 1 year treasury rate) / SD. Let's assume 1 year treasury over 3 years average about 1% Looking at M* for 3 years VFIAX(SP500) = (18.53 - 1) / 18.66 = 0.93 while M* is at 0.95 PIMIX = (5.75 -1) / 5.65 = 0.84 while M* is at 0.77 VWIAX (which is my goal to beat long term) (9.79 - 1) / 7.57 = 1.16 while M* is at 1.11I'm pretty close As of 7/9/2021: My portfolio 3 years: performance 13.12% SD=2.4....(13.12 - 1) / 2.4 = 5.05...just to be on the safe side I claimed my portfolio Sharpe=4+(but it's really close to 5). But my portfolio SD is mostly all upside. In the last 3 years highest lost from any last top was less than 1% while VWIAX lost over 16% and PIMIX -12.85%, see attachment 2. Looking at all the funds at Fidelity (9852 funds= link and uncheck No Transaction Fee) HMEZX has the highest Sharp = 2.63 + SD=2.35 + performance=7.5 which is far from my results and VWIAX Sharpe = 1.1 is really far behind. Attachments:
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Post by chang on Jul 13, 2021 0:48:36 GMT
How is a Sharpe ratio calculated for a portfolio? I think Sharpe ratio is overrated, especially for younger investors who should embrace volatility. RPHIX had the highest 10-year Sharpe ratio out of all mutual funds, but if 2.83% APY is your portfolio 10-year return, shame on you. A low Sharpe is nothing to brag about, but a high one isn't either.
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Post by FD1000 on Jul 13, 2021 4:03:08 GMT
How is a Sharpe ratio calculated for a portfolio? I think Sharpe ratio is overrated, especially for younger investors who should embrace volatility. RPHIX had the highest 10-year Sharpe ratio out of all mutual funds, but if 2.83% APY is your portfolio 10-year return, shame on you. A low Sharpe is nothing to brag about, but a high one isn't either. I have been saying the following for years, SD+Sharpe are important, but performance is also important and why my search for funds start with performance first then I look for the rest (SD, Sharpe, Sortino, Max Draw, momentum, chart following, Smoothness)There are always extreme, you can easily claim that if you invest it all in TSLA, you made 115% annually in 3 years so who cares about Sharpe which was less than 1.5. I'm talking about the whole picture, how most invest, and what are your goals and risk tolerance, so take it all together and see how you do. It becomes a lot more important for most retirees, and especially the ones who have enough. I only need 4% annually, I still want to make 6% with the lowest SD+risk I can get. I'm pretty happy with what I have done since retiring in 2018 and I beat any other system/funds I have seen. I'm all about making my goals in retirement, and I don't care about more performance. BTW, my system worked very well when I was at 85+% in stocks for years. In 2000-2010 when the SP500 made nothing my portfolio made about 9% annually with lower SD.
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Post by Norbert on Jul 13, 2021 11:13:11 GMT
You have figured out that market pundits are frequently wrong. Very good. FD: correct, stop listening to them.Calling market tops isn't a "fool's errand", but it's definitely not easy to do. Several fund managers correctly called the 2000 tech bubble top; others understood the 2008 housing subprime crisis and acted accordingly. FD: correct but most of these managers were wrong in the next 10 years, think Arnott,GMO,Hussman.Having said that, I'll add that it has become even more difficult to call market tops since the birth of Central Bank "quantitative easing" during the Great Recession. QE seems to have become standard fare. FD: correct, I have been saying it for years.Central Bank bond purchases have helped drive interest rates to near 0% (even lower in Germany). That has supported the market in an unprecedented way. Investors seem to think that the Fed is there to prevent anything very bad from happening. FD: correct, I have been saying it for years.Will the party ever end? FD: the questions, of course: when, how long, how much decline. When I was younger + much smaller portfolio, I was in all the time. Now, in retirement, I learned how to avoid the bid meltdown and stay invested at a very high %. My numbers show I was in 97% invested at 99+%. So, it depends on someone style, goals, capabilities. Most should be invested at all times with no cash (or very small %). Then I see 2 simple solutions: 1) buy and hold, maybe minimal trading 2) more advanced, switch between higher-risk to lower-risk fund. Easy example: switch between 2 good choices SPY<-->PRWCX. You think risk is high sell SPY and buy PRWCX. Market is down 10-20% sell PRWCX and buy SPY.What would we do without you?
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Post by FD1000 on Jul 13, 2021 12:39:43 GMT
What would we do without you? We could listen to you and sell 20% of our stocks + short the market at the beginning of the year, just to find out several weeks later the market was up several % and see our portfolio lose twice.
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Post by Norbert on Jul 13, 2021 15:17:09 GMT
What would we do without you? We could listen to you and sell 20% of our stocks + short the market at the beginning of the year, just to find out several weeks later the market was up several % and see our portfolio lose twice. Alternatively (had you continued reading the thread), you would have taken huge 2020 profits on the growthier stuff (ARTSX, MATFX, FSEAX, ERTH, and PRGSX) and rolled it into valuey stuff (SCHD, MCDFX, ARTKX, and VGWLX). It was a brilliant move. Look at the charts. Wait, I forgot. You race Yugos. Never mind.
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bf22
Commander
Posts: 135
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Post by bf22 on Jul 13, 2021 17:42:44 GMT
What would we do without you? We could read old post - after all, it has been said for years...
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Post by FD1000 on Jul 13, 2021 19:13:19 GMT
We could listen to you and sell 20% of our stocks + short the market at the beginning of the year, just to find out several weeks later the market was up several % and see our portfolio lose twice. Alternatively (had you continued reading the thread), you would have taken huge 2020 profits on the growthier stuff (ARTSX, MATFX, FSEAX, ERTH, and PRGSX) and rolled it into valuey stuff (SCHD, MCDFX, ARTKX, and VGWLX). It was a brilliant move. Look at the charts. Wait, I forgot. You race Yugos. Never mind. View AttachmentI don't remember seeing when you bought your growth funds. Yugos are not even close since I beat my needed performance I posted in 2018 by more than 3 times and my portfolio is over 40 times our needed yearly expenses not counting SS. Life and future are looking pretty good. My race ended in 2018, I'm driving very safely now and Yugo can't cut it, try a minivan which I own(the other vehicle is a sedan). Minivan is the best vehicle for the money you can buy, big, safe, nice ride, ample space with lots of options and...cheaper than a comparable SUV, which supposedly is cool and cost more. It's not a surprise, after all, it's my style, in investing and other parts of my life. I'm learning new stuff about your investing style...you are a busy trader. BTW, value is lagging growth badly in the last 2 months. QQQ is 14% ahead of SCHD. Attachments:
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Post by Norbert on Jul 13, 2021 20:41:48 GMT
"BTW, value is lagging growth badly in the last 2 months. QQQ is 14% ahead of SCHD.'
There you go again, looking backwards. Tell me about the future.
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bf22
Commander
Posts: 135
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Post by bf22 on Jul 13, 2021 20:53:12 GMT
Alternatively (had you continued reading the thread), you would have taken huge 2020 profits on the growthier stuff (ARTSX, MATFX, FSEAX, ERTH, and PRGSX) and rolled it into valuey stuff (SCHD, MCDFX, ARTKX, and VGWLX). It was a brilliant move. Look at the charts. Wait, I forgot. You race Yugos. Never mind. View AttachmentI don't remember seeing when you bought your growth funds. Yugos are not even close since I beat my needed performance I posted in 2018 by more than 3 times and my portfolio is over 40 times our needed yearly expenses not counting SS. Life and future are looking pretty good. My race ended in 2018, I'm driving very safely now and Yugo can't cut it, try a minivan which I own(the other vehicle is a sedan). Minivan is the best vehicle for the money you can buy, big, safe, nice ride, ample space with lots of options and...cheaper than a comparable SUV, which supposedly is cool and cost more. It's not a surprise, after all, it's my style, in investing and other parts of my life. I'm learning new stuff about your investing style...you are a busy trader. BTW, value is lagging growth badly in the last 2 months. QQQ is 14% ahead of SCHD. You lost me at - Minivan...
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Post by FD1000 on Jul 13, 2021 22:33:33 GMT
"BTW, value is lagging growth badly in the last 2 months. QQQ is 14% ahead of SCHD.' There you go again, looking backwards. Tell me about the future. Already posted about it 2-3 weeks ago. If it was my own money I would buy even earlier. BTW, the Yugo thing shows how childish/foolish you are. Any retiree I know in my situation would love to have my portfolio results. Over the years, hundreds email me, at least 50% were retirees. They would love just to make 6-7% annually, with 10-15% max loss. If my portfolio is a Yugo then VWIAX which is one of the most respected and recommended funds for retirees is a moped. But hey, go ahead and continue with your usual silly stuff. =========== newzg: You lost me at - Minivan FD: as I said already I love my minivan and prefer it over an SUV, I will let you buy these SUVs. Lucky me, Honda and Toyota still make them, which are the only brands I owned in the last 27 years.
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Post by fishingrod on Jul 13, 2021 23:18:32 GMT
I see inflation spiking like I said some 1.5 years ago. Inflation at this point is a forgone issue. It will happen, I believe. It has already hit small restaurants hard, the ones I know are trying not to raise prices as much as the business have felt the squeeze. This can't last, the business must pass along the increase in prices to consumers at some time. I think it is well past time to prepare ones portfolio for a constant rise in inflation for a while.
My question is "Can we have 'Transitory inflation' without a transitory rise in rates? I see this. Fishingrod
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Post by fishingrod on Jul 13, 2021 23:31:11 GMT
If the FED raises rates the World will quickly scoop them up, driving them down once again. It is truly a "New normal" in the world of interest rates!!
Fishingrod
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Post by Chahta on Jul 13, 2021 23:32:48 GMT
I see inflation spiking like I said some 1.5 years ago. Inflation at this point is a forgone issue. It will happen, I believe. It has already hit small restaurants hard, the ones I know are trying not to raise prices as much as the business have felt the squeeze. This can't last, the business must pass along the increase in prices to consumers at some time. I think it is well past time to prepare ones portfolio for a constant rise in inflation for a while. My question is "Can we have 'Transitory inflation' without a transitory rise in rates? I see this. Fishingrod Really? Why? What would you or what did you do to prepare.
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Post by fishingrod on Jul 13, 2021 23:40:56 GMT
Yes, Because food and fuel and materials, health care, real estate, are all spiking in one way or another. I didn't do much except hold on to a losing laggard fund of mine in energy, VDE. It has spiked over 50% lately, and I will continue to reinvest distributions. Fishingrod
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Post by paulr888 on Jul 14, 2021 2:48:55 GMT
Norbert, you know a leopard cannot change his spots.
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Post by FD1000 on Jul 14, 2021 3:32:50 GMT
I see inflation spiking like I said some 1.5 years ago. Inflation at this point is a forgone issue. It will happen, I believe. It has already hit small restaurants hard, the ones I know are trying not to raise prices as much as the business have felt the squeeze. This can't last, the business must pass along the increase in prices to consumers at some time. I think it is well past time to prepare ones portfolio for a constant rise in inflation for a while. My question is "Can we have 'Transitory inflation' without a transitory rise in rates? I see this. Fishingrod Do you know who controls the rates? the Fed Do you realize that the loud screams by many "experts" predicted rates to be already at 2-2.5% and...drumroll...the 10 year Treasury actually went down from 1.7+% to 1.4+%. Do you realize that inflation is a rate of change? If prices are up for 12 months at 5% and if the next month the prices doesn't change then the inflation for that month is zero. Since 2009 I believed in the Fed and I still believe in the Fed. The Fed chair is very clear. ========== How do you prepare your portfolio? Most should just continue to hold with min changes according to their long term goals and asset allocation. If you can predict markets, go ahead and make the changes months in advance, I don't. Predictions are off short term many times. I do make changes, but they are based on real time market conditions and not predictions. ========== paulr888:Norbert, you know a leopard cannot change his spots. FD: our old buddy paul is in the house. If you want to post any thoughts or analysis please do. I will give you the benefit of the doubt.
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bf22
Commander
Posts: 135
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Post by bf22 on Jul 14, 2021 3:51:11 GMT
Do you know who controls the rates? the Fed Really? The Fed hasn't changed rates in a long time but the 10Y went up to 1.4% from about 0.6% a year ago.
If there is continuing higher inflation, the 10Y will go up. How much is anybody's guess..
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