a*p
发帖数: 209 | 1 MPT（modern portfolio theory)确认以下几点：
1. 从长期来看，股票市场比债券市场回报率高
2. 股票的高回报率是因为拥有股票的风险比证券高。即：更高的SD。在某特定年份里
股票的回报会比债券低，或者说亏损更大。比如说2008.
3. 同时拥有股票和债券会显著地降低风险，即SD。而回报率仅略有损失。
4. 应该根据年龄调整股票和债券的比例。
我所迷惑的是在401K中是否也应该运用这个理论？我的考虑如下:
1. 401K的钱在今后的30年中都不会用到（除非极端情况），所以我并不关心第5年或者
是第13年账户的回报率。在那一年中，有可能股市很好，然后纯股票的账户回报率会比
Balanced的回报率高，比如像2012和2013。那一年中也可能股市很差，然后纯股票的账
户比Balanced 的损失要大的多，比如像2008.但是我并不准备在2026年动
用401K。我只关心在2043年底它的大小。所以在2026年的动荡影响不大。重要的是今后
30年股市的年均回报率如何。根据MPT第一点，纯股票的401K账户会比同时拥有股票和
债券的的帐户回报率高。
2. 根据上述MPT的第2点，实际上不可能等到2043年再把一个纯股票的账户变为一个
Balanced的账户。那么，提前5年开始转变总可以吧？提前10年也不错。反正没有必要
在离开时使用401K账户还有30年的时候就加入债券。
3. 401K只是一个家庭财富的一部分。房子，现金的价值是比较平稳的。Social
Security 也可以看作一个价值30-50W的债券。
把这些因素通盘考虑的时候，在目前情况下（25-40岁），把401K全部投入风险高(长期
）收益率高的股票，不买债券基金也许更有利。当然，在离退休只有5-10年的情况下还
是需要逐渐的转化为Balanced的账户的。
我现在是这么做的，但内心慌慌。 请批评指正。 | D*****t
发帖数: 558 | 2 the primary role of bond in a retirement portfolio is to reduce equity risk.
Even in an interest rate environment such as now, I still believe that a 70
/30 or 60/40 portfolio is universally appropriate for most people. To keep a
100% equity portfolio till 5-10 years before retirement is, in my opinion
and forgive my bluntness, wishful thinking. Who can guarantee a stock market
disaster such as the ones in 2000-2001 or the recent financial crisis won't
happen again? Imagine the psychological shock when you see your retirement
saving gets a 40-50% haircut when you 45? whta if the disaster happens just
when you are about to switch to bond? Are you willing to sell at market low?
That's why I am willing to sacrifice a couple of percentage points by
keeping bond in the portfolio. Just to sleep better.
I don't know how to argue with you about treating social security as bond. I
guess you can and it's a valid argument. But it may not be worth that much
depending on 1. life expectancy, and 2. whether social security is still
solvent when we retire. | k******a
发帖数: 2436 | 3 You do not have to cash out all accounts on the day your declare you retire.
Just the opposite, you can invest well into retirement. The problem with
most American at retirement is they are already insured too much. They
should, in their post tax brokerage account, keep a more "aggressive", stock
-centric asset allocation so that they can balance out the annuities and
insurances.
Diversification means your risk adjusted return can be high without choosing
only low-risk holdings. Even with 100% equity you can also choose many
securities that are low beta. Such as preferred stock, REIT, or others.
Large cap companies are also associated with international revenue/profit so
that their domestic stock actually has international exposures. All these
allows you gain a higher risk adjusted expected return.
Going back to LZ, MPT is just one of many theories. The assumption is past
performance is a good prediction of future performance. This may not be
close to true. Fama just won Nobel with Random Walk, which he predicts the
price is not predictable. So, do not trust any theory 100% and always learn
and adjust. What we know is diversification helps. And in the long term, you
can choose more risky holdings if your risk tolerance is high. Sit back and
enjoy the show.
risk.
70
a
market
't
retirement
just
low?
【在 D*****t 的大作中提到】
: the primary role of bond in a retirement portfolio is to reduce equity risk.
: Even in an interest rate environment such as now, I still believe that a 70
: /30 or 60/40 portfolio is universally appropriate for most people. To keep a
: 100% equity portfolio till 5-10 years before retirement is, in my opinion
: and forgive my bluntness, wishful thinking. Who can guarantee a stock market
: disaster such as the ones in 2000-2001 or the recent financial crisis won't
: happen again? Imagine the psychological shock when you see your retirement
: saving gets a 40-50% haircut when you 45? whta if the disaster happens just
: when you are about to switch to bond? Are you willing to sell at market low?
: That's why I am willing to sacrifice a couple of percentage points by
| A*******s
发帖数: 153 | 4 Good post.
retire.
stock
choosing
so
【在 k******a 的大作中提到】
: You do not have to cash out all accounts on the day your declare you retire.
: Just the opposite, you can invest well into retirement. The problem with
: most American at retirement is they are already insured too much. They
: should, in their post tax brokerage account, keep a more "aggressive", stock
: -centric asset allocation so that they can balance out the annuities and
: insurances.
: Diversification means your risk adjusted return can be high without choosing
: only low-risk holdings. Even with 100% equity you can also choose many
: securities that are low beta. Such as preferred stock, REIT, or others.
: Large cap companies are also associated with international revenue/profit so
| m******1
发帖数: 120 | 5 LZ 大致说了跟下面这本书类似的道理, 不过这本书更系统化地阐述了, 强烈建议一读,
特别是对年纪还轻的人, very refreshing and provocative thought -
http://www.amazon.com/gp/product/0465018297/ref=as_li_ss_tl?ie= | D*****t
发帖数: 558 | 6 i stopped reading the brief introduction of the book on Amazon, when I saw
the words " By using leveraging when young...". I will give it the benefit
of the doubt and read it when I have a chance. But as some one who has
experienced the worst of the market twice, my advice would be keep your
emotion and intelligence away from investing. Don't try to outsmart the
market. One practical piece of advice: dont even think about leveraging. To
regular people, there is only one place we can use leveraging. That's your
house and mortgage. | S**C
发帖数: 2964 | 7 There is a good saying that "Leverage can turn a good investment to a bad
ones, but never turns a bad investment to a good one".
benefit
To
【在 D*****t 的大作中提到】
: i stopped reading the brief introduction of the book on Amazon, when I saw
: the words " By using leveraging when young...". I will give it the benefit
: of the doubt and read it when I have a chance. But as some one who has
: experienced the worst of the market twice, my advice would be keep your
: emotion and intelligence away from investing. Don't try to outsmart the
: market. One practical piece of advice: dont even think about leveraging. To
: regular people, there is only one place we can use leveraging. That's your
: house and mortgage.
| l******g
发帖数: 6771 | 8 房屋贷款算不算？
【在 S**C 的大作中提到】
: There is a good saying that "Leverage can turn a good investment to a bad
: ones, but never turns a bad investment to a good one".
:
: benefit
: To
| k******a
发帖数: 2436 | 9 Loan is debt not investment. Your mortgage is the lender's investment.
In other words, if you have a home mortgage, you probably should long a
small amount of mortgage securities just to hedge.
Just like when you have a job, you should short your employer's stock just
to hedge the risk. But most people do not care about these risks.
【在 l******g 的大作中提到】
: 房屋贷款算不算？
| l******g
发帖数: 6771 | 10 呵呵，有意思
【在 k******a 的大作中提到】
: Loan is debt not investment. Your mortgage is the lender's investment.
: In other words, if you have a home mortgage, you probably should long a
: small amount of mortgage securities just to hedge.
: Just like when you have a job, you should short your employer's stock just
: to hedge the risk. But most people do not care about these risks.
| | | r****m
发帖数: 1204 | 11 Please do not be extremists, it hurts your health :)
Make no mistake - a 30-yr fixed mortgage at 4.5% is a very good leverage!
I believe the idea stated in the above book is great (although controversial
) for young middle class families.
To understand that, we need to first understand what makes leverage risky.
It's actually not due to the leveraged product itself, because most
leveraged investors are fully aware of the risk they are taking (take
calculated risks).
What burns the leveraged investors is when they need to post collateral (e.g
., meet margin calls) at inopportune times (e.g. option expires), and when
they can’t, they need to liquidate their positions at fire-sale prices, or
can't roll over positions.
If you agree with above, you will understand the author of the book made a
valid point - for young people who are starting out investing, with long
time horizon, and appropriate stock portfolio, such leverage is only
beneficial, not harmful.
I think LZ made a very good intuitive observation, which was discussed
extensively in the book. I wish I had the time horizon to implement it. | r****m
发帖数: 1204 | 12 To add another point, MPT doesn't preclude leverage, in fact it states that
investors should first find the highest Sharpe ratio portfolio possible,
then leverage or deleverage it to achieve your desired return level.
Sharp ratio = (R-Rf)/(sigma of R) | D*****t
发帖数: 558 | 13 Yes, a 30 yr mortgage at 4.5% with 20% down payment is a very good (cheap)
leverage. But that's about the only leverage I am willing to take.
You have clearly stated the great risk associated with leveraged investing
-- everyone should know this: "What burns the leveraged investors is when
they need to post collateral (e.g., meet margin calls) at inopportune times
(e.g. option expires), and when they can’t, they need to liquidate their
positions at fire-sale prices, or can't roll over positions."
Now how is "leverage only beneficial, not harmful" to a real world 22yr old
college graduate (not a virtual one) with limited income and huge liability
(student loan, car loan, cc debt) who is likely to raise a family and buy a
house using leverage in the next 10 yr? How is this strategy better than say
maximizing 401K and investing in a diversified protfolio (without
leveraging)? How do you expect them to deal with a margin call when market
is down 20-30%?
i admit i have not read the book. The authors are Yale professors. The book
receives accolades from Bob schiller. So it must have some plausible
arguments, maybe even some impeccable mathematical models. But a model is
just a model. Shit happens. This applies to MPT too.
controversial
.g
【在 r****m 的大作中提到】
: Please do not be extremists, it hurts your health :)
: Make no mistake - a 30-yr fixed mortgage at 4.5% is a very good leverage!
: I believe the idea stated in the above book is great (although controversial
: ) for young middle class families.
: To understand that, we need to first understand what makes leverage risky.
: It's actually not due to the leveraged product itself, because most
: leveraged investors are fully aware of the risk they are taking (take
: calculated risks).
: What burns the leveraged investors is when they need to post collateral (e.g
: ., meet margin calls) at inopportune times (e.g. option expires), and when
| D*****t
发帖数: 558 | 14 Mortgage is indeed the lender's investment. But a mortgage usually comes
with a house. when you put down 20% and borrow 80% for a house, it (the
house) is an investment, a leveraged investment. In fact,to lots of people
it's THE investment of their life.
Now this gets straightened out. Do you still think one should long mortgage
backed securities to hedge the risk associated with the house?
【在 k******a 的大作中提到】
: Loan is debt not investment. Your mortgage is the lender's investment.
: In other words, if you have a home mortgage, you probably should long a
: small amount of mortgage securities just to hedge.
: Just like when you have a job, you should short your employer's stock just
: to hedge the risk. But most people do not care about these risks.
| S**C
发帖数: 2964 | 15 Leverage take out two important advantages from ordinary investors, one is
time that is you may not be allowed to ride the downturn out, and two is
psychologically it make one lose his patience. | k******a
发帖数: 2436 | 16 You are absolutely right. This is interesting. Originally I was thinking a
home buyer is equivalent to someone who shorts/sells MBS. Your perspective
is buying a house with mortgage is the equivalent of buying financial
securities using margin, if the house buyer is the investor.
Certainly using loan/margin increases the risk. However to the home buyer a
lot of risk is local to the region (in addition to interest risk etc)
because housing price mostly reflects local demands. So maybe the home buyer
should short muni bond of where they live?
So, maybe the wise choice is to rent and let others assume all the risks.
mortgage
【在 D*****t 的大作中提到】
: Mortgage is indeed the lender's investment. But a mortgage usually comes
: with a house. when you put down 20% and borrow 80% for a house, it (the
: house) is an investment, a leveraged investment. In fact,to lots of people
: it's THE investment of their life.
: Now this gets straightened out. Do you still think one should long mortgage
: backed securities to hedge the risk associated with the house?
| D*****t
发帖数: 558 | 17 exactly. and the modelers can't model human psychology and behavior.
【在 S**C 的大作中提到】
: Leverage take out two important advantages from ordinary investors, one is
: time that is you may not be allowed to ride the downturn out, and two is
: psychologically it make one lose his patience.
| a****t
发帖数: 7049 | 18 哈哈，这本书又来了，写这书人自己的学生2007年开始试用这个办法，结果。。。
http://www.bogleheads.org/forum/viewtopic.php?t=5934
一下子亏了20万，现在才刚回到0。当年跟踪那帖子时这主意还挺有市场的，08年后大
家都当笑话了，原因是除了mortgage很少能贷到长期没funding risk的贷款，而
funding risk必然在最糟糕的时候出现。居然书还在卖。
读,
【在 m******1 的大作中提到】
: LZ 大致说了跟下面这本书类似的道理, 不过这本书更系统化地阐述了, 强烈建议一读,
: 特别是对年纪还轻的人, very refreshing and provocative thought -
: http://www.amazon.com/gp/product/0465018297/ref=as_li_ss_tl?ie=
| D*****t
发帖数: 558 | 19 wow, i went through several pages of that thread. as some one said, this is
indeed an EPIC thread. the guy ( with the name Marketimer who tried the idea
of the book) is extremely intelligent and writes like a master. In a style
almost like a diary, he documented his agonizing journey from 2007 up till
now. this is an excerpt he wrote on nov 15, 2008. SP500 was at 800 two days
later.
"...Just a few days earlier, MYR 2.0 had crash landed at S&P 821. I received
the news by email on my iPhone at Qdoba: my final Notification xxxxx-K. The
market had fallen 3.5% before finishing the day up 6.5%, and I was
liquidated at the bottom. Curious faces followed the loud clang back to its
source as my iPhone landed on a metal tray. Krakatoa was spewing anger and
electronics designed in California but assembled in China.
There was no longer any hope that MYR could save itself. I was out of the
market and owed $210K. Fury quickly evolved into concern. Not only did I owe
$210K, my credit was maxed out. My emergency fund, a credit card charging
15% interest, only had $5K available credit remaining. Is Qdoba
considered an emergency? I wondered how long I could continue spending $
30/day dining out.
Why must a gambler lose everything before he starts over? The market's
leeches had sucked away all my savings in a sort of medieval bloodletting,
then for good measure swallowed my retirement account and available credit.
Surprisingly, I did feel somehow cleansed. Perhaps the old money was cursed.
New blood would need to be pumped to the credit cards before it could
return to the market. I decided to take a third job in the spring and cut
back on impulse spending... "
I feel sorry for him. But it looks like he is somehow coming back and on
his feet again. He will do very well with his intelligence and writing
skills.
(MYR= mortgage your retirement, the reckless strategy the book advocates)
【在 a****t 的大作中提到】
: 哈哈，这本书又来了，写这书人自己的学生2007年开始试用这个办法，结果。。。
: http://www.bogleheads.org/forum/viewtopic.php?t=5934
: 一下子亏了20万，现在才刚回到0。当年跟踪那帖子时这主意还挺有市场的，08年后大
: 家都当笑话了，原因是除了mortgage很少能贷到长期没funding risk的贷款，而
: funding risk必然在最糟糕的时候出现。居然书还在卖。
:
: 读,
|
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