In the past decade, a specialized type of fund gained increased popularity, funds implementing leverage over a given index. A previous article explored funds leveraging the S&P 500 index. This article will focus on a portfolio-level approach mixing stocks and treasury bonds, to quantitatively explore the outcome of leveraging in the context of a long-term buy and hold approach.
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Leveraging S&P 500 – Quantitative Analysis
In the past decade, a specialized type of fund gained increased popularity, funds implementing leverage over a given benchmark. The most popular benchmark being the S&P 500, this article will quantitatively explore the outcome of such leveraging technique in the context of a long-term buy and hold approach.
Early Retirement and Time Value of Money (Part 2)
This follow-up article keeps exploring Time Value of Money concepts in the context of early retirement. The intent is to find a flexible way to manage one’s portfolio savings and annual spending levels in combination with various types of irregular cash flows while waiting for stable fixed income (e.g. social security, pension) to settle in.
As we have seen in Part 1, a few spreadsheet formulas can go a long way. Such ‘annuitization’ approach involves some extra risks though and this follow-up article will discuss ways to mitigate such risks.
Posted in Investing, Retirement
Early Retirement and Time Value of Money (Part 1)
This article will explore Time Value of Money concepts in the context of early retirement. The intent is to find a flexible way to manage one’s portfolio savings and annual spending levels in combination with various types of irregular cash flows while waiting for stable fixed income (e.g. social security, pension) to settle in. As we will see, a few spreadsheet formulas can go a long way.
Posted in Investing, Retirement
Revisiting Risk and Reward (Part 3)
A previous blog article explored income-centric risk and reward definitions, which could be viewed as more suitable to retirement than the usual academic definitions. Corresponding quantitative analysis of some simple US portfolios was provided. A follow-up article explored the perspective of retirees located outside the US.
This article extends this investigation by exploring in more technical depth the tie-in between Safe Withdrawal Rates (SWR) and variable withdrawal methods, through the use of a clever metric named Withdrawal Efficiency Rate (WER).
Revisiting Risk and Reward (Part 2)
A previous blog article explored income-centric risk and reward definitions, more suitable to retirement than the usual academic definitions. Corresponding quantitative analysis of some simple US portfolios was provided.
This article extends this investigation by taking the perspective of investors located in various developed countries (a form of ‘out of sample’ testing).
Revisiting Risk and Reward
Financial literature from academics has been strongly influenced by the ground-breaking work of Harry Markowitz and William Sharpe, and the concept of risk & reward for a multi-asset portfolio. Although brilliantly innovative, this work is often misused, equating risk with (portfolio) volatility and reward with (portfolio) returns, and applying such principles without acknowledging the fundamental differences between investors and speculators, or accumulators and retirees.
This article will explore risk and reward from a perspective more suitable to retirement, and perform corresponding quantitative analysis of some simple portfolios.
Posted in Asset allocation, Market history, Market statistics, Portfolios, Retirement, Value premium
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.
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.
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).
- Episode 058: Mike Piper on ”More than Enough,” host Jon Luskin
- Episode 057: Dr. Derek Horstmeyer on multiple investment topics, host Rick Ferri
- Episode 056: Dr. Daniel Crosby on the behavioral investor, host Rick Ferri
- Episode 055: Edward Chancellor on economic history and today’s markets, host Rick Ferri
- Episode 054: Christine Benz discusses taxes and safe withdrawal rates in retirement, host Rick Ferri
- Episode 053: JL Collins on the simple path to wealth, host Rick Ferri
- Episode 052: Ryan Barrett and Mike Piper on estate planning, host Rick Ferri
- Episode 051: Christine Franquin and Michael Perre on international stock index funds, host Rick Ferri
- Episode 050: Craig Lazzara on active versus passive funds, host Rick Ferri
- Episode 049: Antti Ilmanen on investing amid low expected returns, host Rick Ferri
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