1. All investments should be objective based and horizon based. 今天的投资是为了明天的消费. 消费时间和数量因人而异. 以下我简化成short-term(1yr to 5yr, 譬如计划买房), mid-term (5-20yr, 譬如小孩大学学费), long-term (20yr+, 譬如退休和子孙后代). 更短的请set up emergency fund. 个人情况请自行组合和interpolate.
2. Risk and return should be adjusted to the targeted horizon. 譬如你确定这笔钱要20年后用, 今天的投资组合要考虑整个20年的风险和回报, 不要误用短期的measure. 短期的风险和长期的风险和回报都不一样. 一般的熊市也就一两年不会超过五年, 想navigate熊市不需要提前20年, 但你要两年内用大笔钱, 要想想如果今天熊市就开始你怎么办.
3. Investment should be as tax efficient as possible. 要搞清楚不同income source的tax structure, 哪些fund是ordinary dividend (e.g. most bond funds), qualified dividend (e.g. most large cap stocks), or exempt dividend (e.g. Muni), 哪些fund是derivative-based. 然后决定哪些放到taxable account, 那些放到tax deferred (e.g. 401k), 那些放到tax exempt (e.g. Roth IRA/401k, 529). Taxable account什么情况下claim capital loss, 尽量用new money rebalance, 不到用钱尽量不要sell existing positions.
4. Your portfolio should be adjusted to your own inflation. 譬如你40%的消费在美国外, 可以适当多用international fund对冲一下. 你退休后打算周游世界, 可以适当overweight相关sector.
5. No market timing. Long-term investments should have as low expense ratio as possible. Short-term investments should be as liquid as possible. Use low-commission funds for frequent rebalancing. 下面的例子我全部用Fidelity和iShare commission-free ETFs, 7 funds each.
step-by-step instruction to buy US Treasury Bills on Fidelity: 点Trade; 选Fixed Income; 点Search Inventory; US Treasury tab, Type 选 bills 在出来的表里面，注意选择合适的maturity，yield to worst 是你能拿到的年利率 purplebasil 发表于 5/1/2019 10:01:25 AM
1. All investments should be objective based and horizon based. 今天的投资是为了明天的消费. 消费时间和数量因人而异. 以下我简化成short-term(1yr to 5yr, 譬如计划买房), mid-term (5-20yr, 譬如小孩大学学费), long-term (20yr+, 譬如退休和子孙后代). 更短的请set up emergency fund. 个人情况请自行组合和interpolate.
2. Risk and return should be adjusted to the targeted horizon. 譬如你确定这笔钱要20年后用, 今天的投资组合要考虑整个20年的风险和回报, 不要误用短期的measure. 短期的风险和长期的风险和回报都不一样. 一般的熊市也就一两年不会超过五年, 想navigate熊市不需要提前20年, 但你要两年内用大笔钱, 要想想如果今天熊市就开始你怎么办.
3. Investment should be as tax efficient as possible. 要搞清楚不同income source的tax structure, 哪些fund是ordinary dividend (e.g. most bond funds), qualified dividend (e.g. most large cap stocks), or exempt dividend (e.g. Muni), 哪些fund是derivative-based. 然后决定哪些放到taxable account, 那些放到tax deferred (e.g. 401k), 那些放到tax exempt (e.g. Roth IRA/401k, 529). Taxable account什么情况下claim capital loss, 尽量用new money rebalance, 不到用钱尽量不要sell existing positions.
4. Your portfolio should be adjusted to your own inflation. 譬如你40%的消费在美国外, 可以适当多用international fund对冲一下. 你退休后打算周游世界, 可以适当overweight相关sector.
5. No market timing. Long-term investments should have as low expense ratio as possible. Short-term investments should be as liquid as possible. Use low-commission funds for frequent rebalancing. 下面的例子我全部用Fidelity和iShare commission-free ETFs, 7 funds each.
这么说吧，我身边就坐着fixed income PM。。。fixed income 跟equity很不一样，特别是active vs. passive 方面，你要多看看文章。去年只有17%的 active Government long funds underperforming benchmark。你说 market timing 有意义吗？cash equity，现在大家基本上认同passive investment；但是在equity derivatives和fixed income方面，我认为active management还是非常重要的。
这么说吧，我身边就坐着fixed income PM。。。fixed income 跟equity很不一样，特别是active vs. passive 方面，你要多看看文章。去年只有17%的 active Government long funds underperforming benchmark。你说 market timing 有意义吗？cash equity，现在大家基本上认同passive investment；但是在equity derivatives和fixed income方面，我认为active management还是非常重要的。 purplebasil 发表于 5/2/2019 5:24:47 PM
我不讨论身边坐什么人,早过了那个阶段了.
我也尽量不讨论别人什么view, 譬如active vs passive. 当然你可以表达你的view给大家看. 我写的东西肯定也有我的view. 你有观点引用文章尽可能发出来. 你一句"你要多看看文章", 我感觉平等讨论的base就没有了.
我也尽量不讨论别人什么view, 譬如active vs passive. 当然你可以表达你的view给大家看. 我写的东西肯定也有我的view. 你有观点引用文章尽可能发出来. 你一句"你要多看看文章", 我感觉平等讨论的base就没有了.
有条件尽量多讨论technical的东西.
keynorth01 发表于 5/2/2019 5:50:14 PM [/url]
active vs. passive 文章很多，S&P有一套report，morning star也有一套 这个没有啥好争论的，就说equity derivatives方面，CBOE有个BuyWrite index (BXM)，大部分做covered call / buy write 的PM都能beat它，因为这种完全没有market timing实在适应性太差了。但凡涉及到curve的，passive都不太中用，估计以后引入AI以后能好点？
active vs. passive 文章很多，S&P有一套report，morning star也有一套 这个没有啥好争论的，就说equity derivatives方面，CBOE有个BuyWrite index (BXM)，大部分做covered call / buy write 的PM都能beat它，因为这种完全没有market timing实在适应性太差了。但凡涉及到curve的，passive都不太中用，估计以后引入AI以后能好点？
你没有理解我在说什么。同样是buy write，怎么选strike怎么选maturity ，当然是要根据市场和fund的objectives来选择，passive 的主要问题是没有任何灵活性，overly simplified ，所以在这些领域很难做得跟active一样好。不要 time the market，我觉得在股市适用，在derivatives 和 fixed income 不适用。
I work in asset management, 60/40 is a really stupid split. If you are retired and you have way more money than you need, and you just want steady coupon payments from bonds, then ok. For most people, stocks is the way to go.
Also, if you can get mutual funds for no load and no commission then they are ok, but otherwise ETFs are preferable.
If you are scared of picking the wrong stock, just buy a market index ETF like SPY.
你说的不准确。在fidelity和schwab上面买treasury bills都是commission free, 而且可以设定limit order to get a good price。treasury bid ask spread很小的，而且持有到maturity的话也只有一次交易。而且持有individual bond哪有management fee
请教一下state tax on muni ETF。municipal bond 不用交联邦税，很多州的居民如果买本州发行的muni也不需要交州税。不知道ETF是如何处理的呢？比如你前面贴的MUB是一只municipal bond ETF，里面有CA，NY，NJ，GA 等好几个州的，如果我在NY，收到$100的dividend，有多少应该报州税呢？我猜是按各州比例报税，but not sure.
purplebasil 发表于 5/2/2019 10:38:31 AM
mm是大牛，我只说说我今年用turbo tax报税时候碰到的这个情况。我有一个tax exempt的bond fund，免联邦税的，但是fund里面包含了200多种各个州的小fund，我在填turbotax的时候，被问到这个fund是哪个州的？有一个选项是more than 1 or something similar.我就选了这个，貌似选这个的话，所有收益都会扣州税。我如果从fund里面算出本州的百分比，就能少扣点州税。可是我没有耐心去把所有本州的小fund都找出来算总的百分比。所以我觉得最好的就是买即能免联邦税又能免州税的fund。只免一样的，报税时候还是麻烦。
IRA/401 account could buy any types investment? 403 only for mutual funds? thanks. blue79 发表于 5/1/2019 3:16:18 PM
you can buy stocks, mutual funds, bonds, money markets, etc in IRA account.For 401k account, by default you can only buy mutual funds, bonds, money markets. In order to buy other investment such as stocks, you need to open a brokerage account. In my case, I have to call the company who administers our company's 401k to open the brokerage account inside 401k account for me. however, they usually charge management fees for the trading the stocks and keeping the stocks. Their fee is much more higher than vanguard or fidelity.
T bills with very short term have very tight b/o spread, but they also have tiny returns per run and I think they are not worth the upfront cost and effort compared to an automated ladder with a reasonable cost. This is certainly a personal choice. Everything is.
I believe most people here will not keep up with the roll eventually. If you are this disciplined, there is almost surely some better choice.
mm是大牛，我只说说我今年用turbo tax报税时候碰到的这个情况。我有一个tax exempt的bond fund，免联邦税的，但是fund里面包含了200多种各个州的小fund，我在填turbotax的时候，被问到这个fund是哪个州的？有一个选项是more than 1 or something similar.我就选了这个，貌似选这个的话，所有收益都会扣州税。我如果从fund里面算出本州的百分比，就能少扣点州税。可是我没有耐心去把所有本州的小fund都找出来算总的百分比。所以我觉得最好的就是买即能免联邦税又能免州税的fund。只免一样的，报税时候还是麻烦。
To be clear, I never said 60/40 is universally good. As a matter of fact, fairy619 was using it to challenge my 7-fund portfolio, and I think it's worthy.
I will never call it stupid. Many people here are still far from understanding why it is going to be better than a CD for a mid or long term. The simplicity of a 60/40 cannot be overstated.
Even if you are professional, a 60/40 will always beat your "more advanced" portfolio in certain scenarios, not to mention there are many versions of it. So at least show some respect.
mm是大牛，我只说说我今年用turbo tax报税时候碰到的这个情况。我有一个tax exempt的bond fund，免联邦税的，但是fund里面包含了200多种各个州的小fund，我在填turbotax的时候，被问到这个fund是哪个州的？有一个选项是more than 1 or something similar.我就选了这个，貌似选这个的话，所有收益都会扣州税。我如果从fund里面算出本州的百分比，就能少扣点州税。可是我没有耐心去把所有本州的小fund都找出来算总的百分比。所以我觉得最好的就是买即能免联邦税又能免州税的fund。只免一样的，报税时候还是麻烦。
To be clear, I never said 60/40 is universally good. As a matter of fact, fairy619 was using it to challenge my 7-fund portfolio, and I think it's worthy.
I will never call it stupid. Many people here are still far from understanding why it is going to be better than a CD for a mid or long term. The simplicity of a 60/40 cannot be overstated.
Even if you are professional, a 60/40 will always beat your "more advanced" portfolio in certain scenarios, not to mention there are many versions of it. So at least show some respect. keynorth01 发表于 5/2/2019 10:58:06 PM
I was not directly my post at you personally. I say 60/40 is stupid because for people who want growth, it is stupid. You would be better off more heavily weighted in stocks. In my personal account, I am all equity, no bonds.
Anyone interested can read this Forbes article for a simple explanation.
I was not directly my post at you personally. I say 60/40 is stupid because for people who want growth, it is stupid. You would be better off more heavily weighted in stocks. In my personal account, I am all equity, no bonds.
Anyone interested can read this Forbes article for a simple explanation.
VANGUARD刚刚去世的创始人John C. Bogle死前建议STOCK/BOND的比例是60/40. 长期美债有风险，因为全球通胀如果上行太快央行可能会被迫加息，如果懒的话BSV或者类似期限的BOND基金可以长期持有，最好能自己调配，TREASURIES的话可以做成长短期配合的LADDER，目前是短期限的TREASURES比较划算，因为长短期利率类似，但是短期风险小，能承受更多风险的可以单独买INVESTMENT GRADE CORPORATE BONDS，收益率更高，但CORPORATE BONDS最好买MUTUAL FUND，或者资产很多很大的流动性强的ETF，以为CORPORATE BONDS没有TREASURIES流动性好。BONDS的作用就是在股票跌的时候可以REBALANCE，平时也可以根据FED的MEETING的内容调整。
ScottishFold 发表于 5/3/2019 11:34:05 AM
长短期利率类似或利率倒挂不代表短期treasury比长期有一样或更高的收益. This is a common misunderstanding and let me try to explain.
The yield is calculated under the risk neutral measure. A long-term bond is discounted more today than implied by the real-world measure. A long-term bond investor will almost always be in a rolling ladder with a constant long duration (e.g. 20 years). The difference between the risk-neural price and the physical price is the risk premium, which is bigger when you are further away from the maturity. Even if the yield curve is flat, what you get (in real-world expectation) from holding a long-term bond for a year will still be bigger than holding a short-term bond for a year, even that the implied forward short rate is the same as today's short rate.
Regardless of the duration of a treasury, holding it today will always get you today's short rate plus the risk premium for change of duration. The difference between a long-term bond and a short-term bond is the risk premium. You will be compensated more for taking a risky position, in real-world expectation.
I was not directly my post at you personally. I say 60/40 is stupid because for people who want growth, it is stupid. You would be better off more heavily weighted in stocks. In my personal account, I am all equity, no bonds.
Anyone interested can read this Forbes article for a simple explanation.
I did not interpret it as personal. I just feel that calling a well established idea "stupid" is not appropriate, and can be misleading to others as well, even that you have put in more context now. I don't use 60/40 myself, but I do think it is going to work well for many people compared to what they already have.
You can show many headlines debunking or even mocking such an idea, but that's how headlines work. I do read those but I will give more weights to ideas coming from a collective society such as mutual fund managers and boglehead forum members than a single editor from some media who only get paid from clicks.
(BTW, now two of you linked that article so I read it more carefully. It may take me a whole day to write about faults and ambiguities of that article alone so I am not going to do that.)
A long-term bond investor will almost always be in a rolling ladder with a constant long duration (e.g. 20 years). The difference between the risk-neural price and the physical price is the risk premium, which is bigger when you are further away from the maturity. Even if the yield curve is flat, what you get (in real-world expectation) from holding a long-term bond for a year will still be bigger than holding a short-term bond for a year, even that the implied forward short rate is the same as today's short rate.
Regardless of the duration of a treasury, holding it today will always get you today's short rate plus the risk premium for change of duration. The difference between a long-term bond and a short-term bond is the risk premium. You will be compensated more for taking a risky position, in real-world expectation.
technical details are based on past, not future, 其实现在FED也是摸石头过桥，你看美联储官员讲的话也是走一步看一步，心里也没啥底的，FED3次QE历史上没有，欧洲日本负利率更是历史上没有，但是全球通胀，或者滞涨其实在我看来已经发生，只不过是不同国家严重程度不一样，我觉得基于过去的TECHNICAL DETAILS对未来未必适用。
technical details are based on past, not future, 其实现在FED也是摸石头过桥，你看美联储官员讲的话也是走一步看一步，心里也没啥底的，FED3次QE历史上没有，欧洲日本负利率更是历史上没有，但是全球通胀，或者滞涨其实在我看来已经发生，只不过是不同国家严重程度不一样，我觉得基于过去的TECHNICAL DETAILS对未来未必适用。
ScottishFold 发表于 5/3/2019 2:03:40 PM
You are entitled to argue about any fundamental financial theories. To explain things, I (and anyone) will have to use an established framework.
I personally don't see how what I explained before has changed under your assumptions. What you said is irrelevant to the risk premium argument (i.e. more volatile bonds should be compensated by higher premiums). It is as if you just ignored my explanation and went ahead to express what you already had in mind. That's why I said you didn't seem to understand me. Maybe you can elaborate a bit more.
I did not interpret it as personal. I just feel that calling a well established idea "stupid" is not appropriate, and can be misleading to others as well, even that you have put in more context now. I don't use 60/40 myself, but I do think it is going to work well for many people compared to what they already have.
You can show many headlines debunking or even mocking such an idea, but that's how headlines work. I do read those but I will give more weights to ideas coming from a collective society such as mutual fund managers and boglehead forum members than a single editor from some media who only get paid from clicks.
(BTW, now two of you linked that article so I read it more carefully. It may take me a whole day to write about faults and ambiguities of that article alone so I am not going to do that.)
keynorth01 发表于 5/3/2019 1:24:01 PM [/url]
In my original post, I already clarified that for certain people 60/40 is ok. For most people, it's stupid. Just because someone establishes a guideline doesn't mean it works in real life. Reality has proven that strategy to be foolish.
"I work in asset management, 60/40 is a really stupid split. If you are retired and you have way more money than you need, and you just want steady coupon payments from bonds, then ok. For most people, stocks is the way to go."
I don't disagree that the 60/40 will work in certain scenarios, but in reality such conditions have not existed except for very brief periods. If you sit on a 60/40 split for 20 years and underperform someone who merely buys SPY for 20 years, and on the 21st year you finally outperform for 1 year, did person A really come out ahead?
As the saying goes, even non-working clock is right twice a day.
Anyway, I am not interested in wasting anymore time on this. Everyone can invest anyway they want. Not my money or my clients' money so I don't really care. Just wanted to give an opinion and maybe it could help just one person improve investment return.
In my original post, I already clarified that for certain people 60/40 is ok. For most people, it's stupid. Just because someone establishes a guideline doesn't mean it works in real life. Reality has proven that strategy to be foolish.
"I work in asset management, 60/40 is a really stupid split. If you are retired and you have way more money than you need, and you just want steady coupon payments from bonds, then ok. For most people, stocks is the way to go."
I don't disagree that the 60/40 will work in certain scenarios, but in reality such conditions have not existed except for very brief periods. If you sit on a 60/40 split for 20 years and underperform someone who merely buys SPY for 20 years, and on the 21st year you finally outperform for 1 year, did person A really come out ahead?
As the saying goes, even non-working clock is right twice a day.
Anyway, I am not interested in wasting anymore time on this. Everyone can invest anyway they want. Not my money or my clients' money so I don't really care. Just wanted to give an opinion and maybe it could help just one person improve investment return.
zicklingrad 发表于 5/3/2019 4:45:26 PM
OK then. Not going to argue with you more since you already called it waste of time. Better spending more time with others.
恩， 我给出的60/40回测里面，关键用的是LONG TERM TREASURY，这样的60/40 才跟单纯股票比起来差距不大。 如果换成total bond fund，那立马就performance差了不少了。 我觉得TREASURY是唯一股市暴跌还能上涨的债卷, LONG TERM让他的回报远远超出普通债卷. 当然长期债卷的短期波动要大大超过短期中期债卷。 所以我给出的60/40 SP500+ LONG TERM TREASURY 其实也只适合长期投资。
Thanks for sharing! Mark
Mark!
对大部分人来说,投资买individual bond不如买bond fund. Treasury来说,你如果对bills感兴趣,不如直接买SHV. 你对notes感兴趣,不如直接买SHY, IEI, IEF. 你对bonds感兴趣不如直接买TLH, TLT.你能在Fidelity上买的,大多是secondary, on-the-run (yield低于off-the-run). 你要付commission, bid-offer, management fee, 这些加起来肯定超过譬如SHV的15 bps expense ratio. 你还要花更多的时间roll, 还没有fund的diversification. 只有极少情况下自己操作bond有经济上的优势,譬如你能直接auction买,再譬如你能harvest loss等等, 一般人不用考虑.
想多了解可以看看这个
https://www.bogleheads.org/wiki/Individual_bonds_vs_a_bond_fund
一般新手投资bond入门基本是这样一个过程
先看treasury逐步了解下基础，什么是coupon/maturity etc, 买一两个试试手
->接下来了解什么是duration, 什么是optionality, 什么是convexity, 和risk/return什么关系，之前买的到期了该roll到下一个了，扩大搜索范围，一两个变成好几个
->继续了解发现几个bond的portfolio不够smooth, 不够diversified，开始build bond ladder, 随着时间的推移,逐步build rolling bond ladder
->几个bond的portfolio也不够了, idiosyncratic risk还是不小，继续扩大, 这样你的target就成了一个或几个treasury index. 有可能treasury也不够用了,再加点IG, HY, MBS, etc继续diversify, 就不止treasury index了,逐步变成AGG
->到这里你会发现你的目标其实就是那些现有的ETF. 而人家的price, liquidity, tax structure都比你自己做得好. 所以你清空自己的position, 换成这些ETF.
->如果能进阶到下一步, 还可以扩大到bond futures, bond futures options或其它fixed income instruments, 更liquid, 更容易leverage, 更tax-efficient. 不过能到这步的人很少很少.
我前面给个shortcut, 这些或多或少会考虑到一些.
直接买国债哪里来的management fee？为什么你觉得fund不需要付 bid/ask spread 呢？难道学雷锋？都在expense ratio里面啦。至于build ladder，那是打算长期持有的意思。如果长期，直接去买CD好了，利率还高点。现在这个 yield curve，long duration 没有什么可看的。只买treasury的话，也没有什么好diversify的，都是美国国债。哪里有idiosyncratic risk？Treasury bond 通共也没多少return，还送15 bps出去？SHY 过去52周return 才+2.94%
呵呵😄
mark~~
thx
我没有说fund不付b/o, 你仔细读读. 我是说比你付的少得多. 至于为什么, 你可以了解下fund怎么manage holdings. 简单说和book一样, 都是aggregate好再hedge的, 一百个人买,99个人卖, 其实就需要到market买一套,spread平摊下来能有多少? 这不叫学雷锋, 这叫market efficiency. 说白了就是薄利多销.我列这几个ETF每天volumn都是米级的.
Bond ladder和长短没关系, 这是一个concept, duration长短都有. SHV就是短期的ladder. 如果你说持有时间, ETF都可以分分钟卖掉,还没多少b/o.
你说长期投资买CD,yield curve不好看,我暂时就不跟你argue了. 不过我上面说过一句话, no market timing, 不知道你能不能联系上.
写一点我的认识
1. 如果只是买被动的index fund/ETF，同样产品，选择vanguard更好。cost低，比如VOO 就比SPY和IVV低。
2. 60 40 是很经典的portfolio分配比例，楼主这么复杂的的分配，有跟60% SP500 和40%的T bond fund组合比过吗？
3. 我个人觉得，rebalance频率不是很重要，特别是长期投资。rebalance的最大作用不是提高收益率，而是降低portfolio的波动风险，免得在你必须要取钱的时候，账户却在低点。
4. 如果是20年长期投资，不担心中间的波动，那么只定投SP500， 比60% SP500 和40%的T bond fund+rebalance的收益率更高。
IVV是ETF，不是mutual funds吧。
对于同样的指数产品，我觉得vanguard的产品更好，expense ratio比ishare的更低。
IVV (0.04%) and VOO (0.03%) 基本上没有啥差别吧？LZ用的是Fidelity，不是Vanguard。IVV 可以省点手续费，尤其如果是每月定投的话。其实这些passive fund都差不多，你去Bloomberg COMP 一下，几乎都是重合的，tracking error 什么的都差不多，没有什么＂产品更好＂，长期看来没有区别，哪个便宜用哪个好了。
这么说吧，我身边就坐着fixed income PM。。。fixed income 跟equity很不一样，特别是active vs. passive 方面，你要多看看文章。去年只有17%的 active Government long funds underperforming benchmark。你说 market timing 有意义吗？cash equity，现在大家基本上认同passive investment；但是在equity derivatives和fixed income方面，我认为active management还是非常重要的。
1. 楼主问Fidelity, 我就给Fidelity的例子. 我不是给fidelity卖ETF的. VOO比IVV低0.01%, 但在Fidelity要付commission. 真想省这0.01%, 你也可以买ITOT.我不给vendor站队,不要误解我的意思.
2. 有人觉得复杂,有人还觉得简单,这是个人preference. 不谈horizon, 60/40还是70/30没有意义. 我test过的组合和instrument多几个数量级. 不过你也可以说我吹牛, 网上讨论这个意义不大.
3. 你可能对rebalance premium没有什么概念. 有机会了解下.
4. Take a look yourself. 我没有cherry pick, 就是default. 我没有下任何结论, 不过没有你想的那么简单.
https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=05%2F01%2F2019&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=3&absoluteDeviation=5.0&relativeDeviation=25.0&showYield=false&reinvestDividends=true&symbol1=VITSX&allocation1_1=100&symbol2=VUSTX&total1=100&total2=0&total3=0
https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=05%2F01%2F2019&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=3&absoluteDeviation=5.0&relativeDeviation=25.0&showYield=false&reinvestDividends=true&symbol1=VITSX&allocation1_1=80&symbol2=VUSTX&allocation2_1=20&total1=100&total2=0&total3=0
神啊！真有人信60/40？我们做multi asset strategy back test的时候，因为没有合适的benchmark，会用这个60/40，只是因为约定俗成，并不是因为这玩意儿好，真心话！你可不要道听途说。究竟是什么比例，需要跟你的 investment horizon, risk tolerance, and return objectives 配合起来。
我不讨论身边坐什么人,早过了那个阶段了.
我也尽量不讨论别人什么view, 譬如active vs passive. 当然你可以表达你的view给大家看. 我写的东西肯定也有我的view. 你有观点引用文章尽可能发出来. 你一句"你要多看看文章", 我感觉平等讨论的base就没有了.
有条件尽量多讨论technical的东西.
active vs. passive 文章很多，S&P有一套report，morning star也有一套
这个没有啥好争论的，就说equity derivatives方面，CBOE有个BuyWrite index (BXM)，大部分做covered call / buy write 的PM都能beat它，因为这种完全没有market timing实在适应性太差了。但凡涉及到curve的，passive都不太中用，估计以后引入AI以后能好点？
我知道rebalance premium，但是这个premium不是肯定有的，我觉得rebalance的目的不是为了获取rebalance premium。monthly/quarterly rebalance也不一定比anually 有更高的回报。
用你提供的网站做回测数据，可以支持我之前的看法
1.rebalance 不一定有premium，但是可以减少账户的波动，
2. 定投全仓SP500 比60% sp500 和40% T bond + rebalance收益高，但是账户波动太大。
https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=05%2F01%2F2019&initialAmount=10000&annualOperation=1&annualAdjustment=10000&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&showYield=false&reinvestDividends=true&symbol1=SPY&allocation1_1=60&allocation1_2=80&allocation1_3=100&symbol2=VUSTX&allocation2_1=40&allocation2_2=20&total1=100&total2=100&total3=100
https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=05%2F01%2F2019&initialAmount=10000&annualOperation=1&annualAdjustment=10000&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&showYield=false&reinvestDividends=true&symbol1=SPY&allocation1_1=60&allocation1_2=80&allocation1_3=100&symbol2=VUSTX&allocation2_1=40&allocation2_2=20&total1=100&total2=100&total3=100
哦？
我只是用60/40 作为benchmark来跟楼上讨论她之前提到的比例分配能否beat这个benchmark。
mm有更好的分配策略也可以说说看啊。
我上面楼的链接也可以看出60/40比全仓SP500的return差别很小，但是drawdone小多了。
我还是建议你不要用"这个没有啥好争论的", "神啊"这种字眼.
60/40很多人用,很多比你和你身边坐的人更有经验,更有知识的人用. 因为这些人能认识到简单有简单的优点,复杂有复杂的优点,哪个合适就用哪个.
你说的BuyWrite也好PutWrite也好都有自己的优缺点, 本身和你说的PM可能objective就不一样. 你这个逻辑上证明不了啥. 这些在investor products里本身就是小众产品, 和bond不好比.
我的意图是说明适当组合bond, 长期收益也可能比纯股票高. 风险方面好处就更大了.
不过从概率角度讲, 长期还是要加大股票百分比. 我前面帖子也是80/20. 20中10是Muni, 主要是税务方面考虑. 另外10是TLT, 收益和股票comparable, 而且harvest rebalance premium不需要太大比例.
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第一，60/40不是universal 的，跟年龄和risk tolerance 有关系。20岁的人跟60岁的人 portfolio构成是不一样的。比如我妈的那点钱，我基本上放在bond 里面，再买一点call 以获得market participation ，以保本稳健为主，是不会放60在股市的。
第二，这个60/40是被滥用的一个概念。比如这些年很流行的 risk parity fund，构成通常包括equity, treasury, credit, TIPS, commodities ，allocation 也跟60/40毫无关系，但是因为没有合适的benchmark 而不得不用60/40做benchmark。还有很多fund喜欢用60/40是因为他们在back test里面能做到比60/40更高的sharpe ratio 或者更低的drawdown。一个东西被很多人用，原因有很多，不见得是因为它更superior，我就是想表达这么一个意思。
第三，long term performance 相近但是 drawdown 更低的fund挺多的，说白了就是beta低。你看看S&P 500 low volatility index，也是这样的，它是splv 的underlying, 全equity，选的是标普500里面波动率最小的100只。类似的还有usmv, ishares 的，跟踪msci US minimum volatility index, 用optimization 做的低beta 低vol 全equity portfolio。它们长期收益不比500差，但是vol小 drawdown低，跟market就是一场龟兔赛跑。这不是60/40独有的特性。
Also, if you can get mutual funds for no load and no commission then they are ok, but otherwise ETFs are preferable.
If you are scared of picking the wrong stock, just buy a market index ETF like SPY.
你说的不准确。在fidelity和schwab上面买treasury bills都是commission free, 而且可以设定limit order to get a good price。treasury bid ask spread很小的，而且持有到maturity的话也只有一次交易。而且持有individual bond哪有management fee
mm是大牛，我只说说我今年用turbo tax报税时候碰到的这个情况。我有一个tax exempt的bond fund，免联邦税的，但是fund里面包含了200多种各个州的小fund，我在填turbotax的时候，被问到这个fund是哪个州的？有一个选项是more than 1 or something similar.我就选了这个，貌似选这个的话，所有收益都会扣州税。我如果从fund里面算出本州的百分比，就能少扣点州税。可是我没有耐心去把所有本州的小fund都找出来算总的百分比。所以我觉得最好的就是买即能免联邦税又能免州税的fund。只免一样的，报税时候还是麻烦。
you can buy stocks, mutual funds, bonds, money markets, etc in IRA account.For 401k account, by default you can only buy mutual funds, bonds, money markets. In order to buy other investment such as stocks, you need to open a brokerage account. In my case, I have to call the company who administers our company's 401k to open the brokerage account inside 401k account for me. however, they usually charge management fees for the trading the stocks and keeping the stocks. Their fee is much more higher than vanguard or fidelity.
不好意思,我可能没表达清楚. 我没有特指T bill. 我本意是包括其他bond. Long-term treasury bid-offer也不小.
T bills with very short term have very tight b/o spread, but they also have tiny returns per run and I think they are not worth the upfront cost and effort compared to an automated ladder with a reasonable cost. This is certainly a personal choice. Everything is.
I believe most people here will not keep up with the roll eventually. If you are this disciplined, there is almost surely some better choice.
这个我前面99楼回过了. 有兴趣看下.
I will never call it stupid. Many people here are still far from understanding why it is going to be better than a CD for a mid or long term. The simplicity of a 60/40 cannot be overstated.
Even if you are professional, a 60/40 will always beat your "more advanced" portfolio in certain scenarios, not to mention there are many versions of it. So at least show some respect.
Mark, thanks!
谢谢MM！我后来也查了，Vanguard和iShares都每年会出一张Tax-exempt interest dividends by state，会列出每个fund里面的dividend是怎么split的，就是报税用的。mm以后可以Google一下。不过你说得对，这种很多州的muni fund，本州部分肯定不多，就算exempt也没有多少，还是只买本州的muni fund更合适。
https://www.ishares.com/us/literature/tax-information/2018-ishares-tax-exempt-interest-by-state-icrmh0119u-716327.pdf
https://personal.vanguard.com/pdf/INBST_012019.pdf
金融虽小，不同的领域也是隔行如隔山，个人投资方面我的知识非常有限，以前年轻没有认真考虑过个人portfolio，我也是这两年才开始研究的，大家一起讨论学习吧！
more readings on 60/40:
https://smartasset.com/investing/60-40-portfolio
https://www.investopedia.com/articles/financial-advisors/011916/why-6040-portfolio-no-longer-good-enough.asp
https://www.forbes.com/sites/robisbitts2/2019/04/25/destroying-the-6040-portfolio-myth/#3849046a30d3
https://money.usnews.com/investing/investing-101/articles/why-the-60-40-portfolio-is-dead-for-retirement-planning
https://www.marketwatch.com/story/your-portfolio-may-be-riskier-than-you-think-2018-10-11
60/40现在做benchmark的意义远大于实际做allocation的意义，因为现在做low beta的途径太多了，access to other asset classes 也变得更容易。。
again, different investment objectives. 我妈一辈子没有做过投资，我如果把她的钱弄没了，怕会折了她的寿。
VANGUARD刚刚去世的创始人John C. Bogle死前建议STOCK/BOND的比例是60/40. 长期美债有风险，因为全球通胀如果上行太快央行可能会被迫加息，如果懒的话BSV或者类似期限的BOND基金可以长期持有，最好能自己调配，TREASURIES的话可以做成长短期配合的LADDER，目前是短期限的TREASURES比较划算，因为长短期利率类似，但是短期风险小，能承受更多风险的可以单独买INVESTMENT GRADE CORPORATE BONDS，收益率更高，但CORPORATE BONDS最好买MUTUAL FUND，或者资产很多很大的流动性强的ETF，以为CORPORATE BONDS没有TREASURIES流动性好。BONDS的作用就是在股票跌的时候可以REBALANCE，平时也可以根据FED的MEETING的内容调整。
I was not directly my post at you personally. I say 60/40 is stupid because for people who want growth, it is stupid. You would be better off more heavily weighted in stocks. In my personal account, I am all equity, no bonds.
Anyone interested can read this Forbes article for a simple explanation.
https://www.forbes.com/sites/robisbitts2/2019/04/25/destroying-the-6040-portfolio-myth/
其实我觉得未来最大的风险就是通胀，滞涨，贸易战和地缘政治风险让过去的经验不能用来预测未来，全球天量的债务危机总会爆发，所以我觉得John Bogle死前建议的60/40是有道理的。除了股票债卷其实还应该配置其它类别的避险资产。
长短期利率类似或利率倒挂不代表短期treasury比长期有一样或更高的收益. This is a common misunderstanding and let me try to explain.
The yield is calculated under the risk neutral measure. A long-term bond is discounted more today than implied by the real-world measure. A long-term bond investor will almost always be in a rolling ladder with a constant long duration (e.g. 20 years). The difference between the risk-neural price and the physical price is the risk premium, which is bigger when you are further away from the maturity. Even if the yield curve is flat, what you get (in real-world expectation) from holding a long-term bond for a year will still be bigger than holding a short-term bond for a year, even that the implied forward short rate is the same as today's short rate.
Regardless of the duration of a treasury, holding it today will always get you today's short rate plus the risk premium for change of duration. The difference between a long-term bond and a short-term bond is the risk premium. You will be compensated more for taking a risky position, in real-world expectation.
I did not interpret it as personal. I just feel that calling a well established idea "stupid" is not appropriate, and can be misleading to others as well, even that you have put in more context now. I don't use 60/40 myself, but I do think it is going to work well for many people compared to what they already have.
You can show many headlines debunking or even mocking such an idea, but that's how headlines work. I do read those but I will give more weights to ideas coming from a collective society such as mutual fund managers and boglehead forum members than a single editor from some media who only get paid from clicks.
(BTW, now two of you linked that article so I read it more carefully. It may take me a whole day to write about faults and ambiguities of that article alone so I am not going to do that.)
逆全球化，长期通胀肯定要起来的，你过去的经验不代表未来，债卷是可以DEFAULT的，美元也是可以大幅贬值的，我有更好的避险资产可以选择，债卷不是我唯一的选择，美元资产也不是我唯一的选择。
这不是我的经验. 我只是解释一下具体的technical details. 从你的语气来看, 应该是没看明白.
technical details are based on past, not future, 其实现在FED也是摸石头过桥，你看美联储官员讲的话也是走一步看一步，心里也没啥底的，FED3次QE历史上没有，欧洲日本负利率更是历史上没有，但是全球通胀，或者滞涨其实在我看来已经发生，只不过是不同国家严重程度不一样，我觉得基于过去的TECHNICAL DETAILS对未来未必适用。
mark. thanks.
tangchaoren
2019-05-03 11:10
对我个人来说，买指数sp500，闭着眼买，躺着数钱。。。。bond这点苍蝇肉除非玩期货博杠杆。。。
You are entitled to argue about any fundamental financial theories. To explain things, I (and anyone) will have to use an established framework.
I personally don't see how what I explained before has changed under your assumptions. What you said is irrelevant to the risk premium argument (i.e. more volatile bonds should be compensated by higher premiums). It is as if you just ignored my explanation and went ahead to express what you already had in mind. That's why I said you didn't seem to understand me. Maybe you can elaborate a bit more.
能不能不吹牛？ 什么叫闭着眼睛买，躺着数钱？
今天sp500明明是下降。难道你还能数钱乎？
只买sp500，
https://forums.huaren.us/archiver/showtopic.aspx?topicid=2260345&page=2
去年的点都蒙着踩对了，20%+收益，但低于前年2017.
今年前四个月也近20%收益了。
应该是看错昨天的。LOL
In my original post, I already clarified that for certain people 60/40 is ok. For most people, it's stupid. Just because someone establishes a guideline doesn't mean it works in real life. Reality has proven that strategy to be foolish.
"I work in asset management, 60/40 is a really stupid split. If you are retired and you have way more money than you need, and you just want steady coupon payments from bonds, then ok. For most people, stocks is the way to go."
I don't disagree that the 60/40 will work in certain scenarios, but in reality such conditions have not existed except for very brief periods. If you sit on a 60/40 split for 20 years and underperform someone who merely buys SPY for 20 years, and on the 21st year you finally outperform for 1 year, did person A really come out ahead?
As the saying goes, even non-working clock is right twice a day.
Anyway, I am not interested in wasting anymore time on this. Everyone can invest anyway they want. Not my money or my clients' money so I don't really care. Just wanted to give an opinion and maybe it could help just one person improve investment return.
OK then. Not going to argue with you more since you already called it waste of time. Better spending more time with others.
请问为什么国债是 fixed income，却显现的有亏？
恩，
我给出的60/40回测里面，关键用的是LONG TERM TREASURY，这样的60/40 才跟单纯股票比起来差距不大。
如果换成total bond fund，那立马就performance差了不少了。
我觉得TREASURY是唯一股市暴跌还能上涨的债卷, LONG TERM让他的回报远远超出普通债卷. 当然长期债卷的短期波动要大大超过短期中期债卷。
所以我给出的60/40 SP500+ LONG TERM TREASURY 其实也只适合长期投资。
https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=05%2F01%2F2019&initialAmount=10000&annualOperation=1&annualAdjustment=10000&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&showYield=false&reinvestDividends=true&symbol1=SPY&allocation1_1=60&allocation1_2=60&allocation1_3=100&symbol2=VUSTX&allocation2_1=40&symbol3=VBMFX&allocation3_2=40&total1=100&total2=100&total3=100
你这个帖子比你后面提供的那几个链接写的更好！谢谢！
国债的coupon和面值是固定的，但是利率是波动的，利率上升，那么这些cash flow的现值就会下降，根据no arbitrage 的原则，国债的价格等于未来所有cash flow的现值，所以国债价格会下降。你看到的就是亏损，反映的是国债的价格，但是今后的cash flow不变，你仍然会在固定的时间收到固定的coupon ，仍然会在maturity 拿回面值。国债期限越长，价格对利率越敏感，所以有duration 这个概念。
其实你存CD是一样，如果你拿到的年利是2.8，结果市场利率涨到3，那么你的CD现值就会下降，因为不划算了，但是未来现金流不变。CD不能买卖，所以大家感受不到而已，如果能买卖，价格也会因为利率上升而下降。
mark
放在money market里貌似也有2%的利率，还随时能投资别的，mm能不能说说为啥要买成bills？就是因为利率稍微高点吗2.3，2.4这样？
除了多一点利率以外，U.S. Treasury bills / notes / bonds 还可以不交州税和市税
谢谢解答！