Blog Archives

Global investment portfolios 2018 update

The Credit Suisse Global Investment Yearbook 2018 summary is now available for download from Publications – Credit Suisse. The yearbooks are an extension of the research of Elroy Dimson, Paul Marsh, and Mike Staunton, first published in the 2002 edition

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Posted in Market statistics

Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others

This guest article is authored by Bogleheads forum member lack_ey.  See  this forum post for additional commentary. Vanguard’s factor funds, which launched in February 2018, provide yet another take on long-only factor investing within US stocks, joining similar mutual funds

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Posted in Market statistics, Vanguard

Under the hood – Vanguard US stock index funds in 2017

Vanguard issues annual reports for the firm’s international and global index funds on October 31 of each year. The reports provide information that can highlight some of the underlying conditions affecting a fund’s future capital gains distribution outlook; an indication of a fund’s foreign tax credit; the level of security lending in each fund, and […]

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Posted in indexing, Market statistics, Vanguard

CAPE and Safe Withdrawal Rates

Michael Kitces wrote an intriguing article in 2008, which notably quantified the (empirical) relationship between the Cyclically Adjusted PE ratio (aka CAPE) and safe withdrawal rates (SWR) of subsequent retirement cycles. This blog article extends this study, adding ten more years of data (i.e. up to 2017), and then ponders about the practical applicability of such findings.

Posted in Market history, Market statistics, Retirement

Reducing transaction costs: cross trading and in-kind redemption

One of the main arguments for investing in passive index funds is the relative assurance of reaping a fair share of market returns. But as market benchmarks bear no costs, an index fund manager needs to reduce frictional costs in

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Posted in Market statistics, Vanguard

Telling Tales – 2017 update

This article provides updated Telltale charts, including 2017 returns. It focuses on the relative past performance of value and size factors compared to the total US market, as well as studying international and real estate funds. 
Using Telltale charts can be very informative, truly ‘telling the tale’ of what happened over time to portfolio trajectories, illustrating return to the mean properties, or lack thereof.

Posted in Asset allocation, international stocks, Market history, Market statistics, Portfolios, REITS, Value premium

Under the hood – Vanguard international index funds in 2017

Vanguard issues annual reports for the firm’s international and global index funds on October 31 of each year. The reports provide information that can highlight some of the underlying conditions affecting a fund’s future capital gains distribution outlook; an indication

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Posted in international stocks, Market statistics, Vanguard

Simba backtesting spreadsheet: miscellaneous topics

This blog article is the fourth of a series intended to document the inner workings of the Simba backtesting spreadsheet. […]
The intent of this fourth article is to address a few miscellaneous topics (e.g. end label on charts, compatibility issues, spreadsheet analytics).

Posted in Asset allocation, Market history, Market statistics, Portfolios

Simba backtesting spreadsheet: advanced topics

This blog article is the third of a series intended to document the inner workings of the Simba backtesting spreadsheet. […]
The intent of this third article is to elaborate on more advanced topics (e.g. unbalancing, safe withdrawal rate, etc). We’ll notably discover that a Safe Withdrawal Rate is just a simple harmonic mean.

Posted in Asset allocation, Market history, Market statistics, Portfolios

Simba backtesting spreadsheet: risk metrics, risk ratios

This blog article is the second of a series intended to document the inner workings of the Simba backtesting spreadsheet. […]
The intent of this second article is to elaborate on how risk metrics (e.g. volatility, drawdowns, etc) and risk ratios (e.g. Sharpe, Sortino, etc) are computed.

Posted in Asset allocation, Market history, Market statistics, Portfolios
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