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- ETF splits (EEM, IWN, IJR, EFA, IGE, IJK, IJH, IJJ, IWM, ICF, IJS, IYR) [view article]
- NAR's Lawrence Yun Continues to Mislead on Housing [view article]
- Choosing Your Portfolio Risk Tolerance [view article]
- From The Horse’s Mouth: Yale's Endowment Officer Makes Financial Sense [view article]
- Asset Allocation and the All ETF Portfolio [view article]
- Which is the Most Accurate Home Price Index? [view article]
- Quantitative Evaluation of ‘Lazy Portfolios’ [view article]
- Plotting the April Case/Shiller Housing Numbers [view article]
- Portfolio Planning and the Lost Decade [view article]
- Mortgage Rates Fly Higher [view article]
- Consumer ETFs: Retail and Consumer Discretionary Are Whipping the Indexes [view article]
- Homeowner Equity at Post WWII Low [view article]
loading ...Recent ICF Articles
- Eight US Real Estate ETFs
- Quantitative Evaluation of ‘Lazy Portfolios’
- Case-Shiller: Home Prices Post More Record-Breaking Falls
- Plotting the April Case/Shiller Housing Numbers
- Portfolio Review: No Mirage in Phoenix
- Portfolio Planning and the Lost Decade
- Mortgage Rates Fly Higher
- Consumer ETFs: Retail and Consumer Discretionary Are Whipping the Indexes
- Homeowner Equity at Post WWII Low
- Housing Affordability Proves Elusive
- Full List of Articles »
ETF splits (EEM, IWN, IJR, EFA, IGE, IJK, IJH, IJJ, IWM, ICF, IJS, IYR) [view article]
The correct list of splits from Barclays is:Barclays Global Investors Announces Share Split of Certain iShares® Funds
San Francisco, July 11, 2008 - Barclays Global Investors (BGI), a worldwide leader in exchange-traded funds, announced today that the Board of Directors of iShares, Inc. and the Board of Trustees of iShares Trust have authorized a split of the shares of 15 iShares Funds (listed below) for shareholders of record as of the close of business on July 21, 2008, payable after the close of trading on July 23, 2008. Fund shares will begin trading on a split-adjusted basis on July 24th. Post-split shares are expected to be distributed to shareholders' accounts on July 28, 2008, and shareholders are expected to see the change in their holdings sometime after July 28th, depending upon their brokerage firm's procedures.
Fund Name Ticker U.S. Listing Exchange Split Ratio
iShares S&P Latin America 40 Index Fund ILF NYSE Arca 5 for 1
iShares FTSE/Xinhua China 25 Index Fund FXI NYSE Arca 3 for 1
iShares MSCI Emerging Markets Index Fund EEM NYSE Arca 3 for 1
iShares MSCI Pacific ex-Japan Index Fund EPP NYSE Arca 3 for 1
iShares Russell Midcap Value Index Fund IWS NYSE Arca 3 for 1
iShares S&P Global Energy Sector Index Fund IXC NYSE Arca 3 for 1
iShares S&P North American Natural Resources Sector Index Fund IGE NYSE Arca 3 for 1
iShares Dow Jones Energy Sector Fund IYE NYSE Arca 3 for 1
iShares S&P SmallCap 600 Growth Index Fund IJT NYSE Arca 2 for 1
iShares S&P 1500 Index Fund ISI NYSE Arca 2 for 1
iShares MSCI South Africa Fund EZA NYSE Arca 2 for 1
iShares S&P/TOPIX 150 Index Fund ITF NYSE Arca 2 for 1
iShares MSCI EMU Index Fund EZU NYSE Arca 2 for 1
iShares Russell Midcap Growth Index Fund IWP NYSE Arca 2 for 1
iShares S&P Europe 350 Index Fund IEV NYSE Arca 2 for 1
Reply
NAR's Lawrence Yun Continues to Mislead on Housing [view article]
tj214, tcornelison and Malkiel are misguided fools. Baby-boomers have been active housing market participants for years; there is simply no reason to believe that they represent any sort of new buying momentum at the present time.Cornelison and Malkiel sound like shills for the real estate industry. Anyone who thinks housing is reasonably priced in many markets is either ignorant of the facts or chooses to ignore them. By most reasonable estimates at least 60% of the working, adult population of the country cannot afford to purchase a home in the community where they live. Many who did purchase used sub prime loans as a means to obtain the home they cannot afford. Now they find themselves among the millions who will be unable to refinance the ARM's used to purchase the homes in the first place. Their ability to obtain traditional mortgage financing is non-existent and always was; hence the explosion in sub prime lending. No, unfortunately Mr. Stathis is right on the money and the blood-bath he is predicting has the potential to destroy the US economy; in another twenty years the streets America may well look those of Mexico City or any other Third World oligarchy Reply
Choosing Your Portfolio Risk Tolerance [view article]
I have read most of your articles, they have answered all of my questions but these:How about leverage, or lack of leverage - cash. If we have a risk free return on the Y axis, we can reduce risk in an efficient way by combining cash and something close to a P75 portfolio in a linear fashion; on a line from the risk free return on the y axis tangent to the efficient frontier. Like wise the line would extend to the right, above the frontier, allowing higher returns with less risk by using leverage. So shouldn't we be concerned with finding the portfolio that provides the steepest line (Sharpe ratio?) and then adjusting our risk/return with leverage or cash? Of course its not that simple, our loan rate would not be the risk free rate and leverage might not be good for a long range strategy, but how about options or levered ETFs? Also if the left side of the efficient frontier was high enough we could combine a risky portfolio with cash, no need for leverage. We also have the problem of what to use for cash, a MM or maybe short bonds, if they are held to maturity and not marked to market.
You optimize the asset mix by hand, using experience. How about using Monte Carlo to do the optimization, try many random combinations (0%-100%) and pick among the winners? Might take a while, but my computer is not used while I sleep!
Reply
Considine
From The Horse’s Mouth: Yale's Endowment Officer Makes Financial Sense [view article]
Ranger Ric:First "hedge like" asset classes require considerable care. I have not written about these but they are certainly worth examining. I prefer to get as much as I can get from basic asset allocation, etc. Public private equity funds are a different animal that private equity of course...I have some doubts about the viability of a public private equity stock: a lot of the argument for private equity is that a private firm can be run more efficiently than a public one--so what happens when they go public? BX and FIG do not exactly inspire confidence...
As to why Swensen does not look at utilities as an asset class: I don't know. I think that utilities look like the kind of thing he would like. This is an interesting question. Obviously I see utilities as a rather special "class."
The idea that the right portfolio changes over time is correct. In fact, the old idea among institutional investors of a permanent "policy portfolio" is quite outdated. Inst. investors increasingly revisit asset allocations and shift their portfolios as the world changes.
Reply
Considine
Asset Allocation and the All ETF Portfolio [view article]
It has been a year since I published this--so I wanted to check in. By my calculations, this portfolio is in the black for the 12-month period through June 08, and it has exhibited much lower volatility than the S&P500--as it was designed to. One year is too little time to judge a portfolio, but a down market is a great stress test... ReplyFrom The Horse’s Mouth: Yale's Endowment Officer Makes Financial Sense [view article]
Geoff:I have always supported the concept on diversification and your excellent work has put some important refinements on this concept. I have three questions.
Retail investors have some ability to invest in "hedge-like" funds through long-short mutual funds and private equity through individual companies like Blackstone and Fortress and the Powershares ETF PSP. You have not discussed these alternatives in your work. Do these alternatives not adequately address the asset areas that Swenson is using or do you believe that these asset classes do not add any diversification benefits?
Why do you think that Swenson not have utilities as an asset class as you recommend?
Finally, it appears that diversification benefits are not static. You have pointed out that foreign stocks do not provide the diversification benefits today that one might expect. I believe this is due to increasing globalization. While your models make sense to me, do you see them changing over time? Reply
Choosing Your Portfolio Risk Tolerance [view article]
Thanks, now if seeking alpha would just add a preview feature to this comment system I could see and the correct spelling errors!! ReplyConsidine
Choosing Your Portfolio Risk Tolerance [view article]
FrankM:Yes, QPP does account fully for correlation. This is absolutely crucial. If you read some of my other articles, you will see that I discuss this at length.
Geoff
Geoff Reply
Which is the Most Accurate Home Price Index? [view article]
Are there empirical evidences that SPCS would also forecast the rebound from the housing bottom better? Thanks. ReplyChoosing Your Portfolio Risk Tolerance [view article]
Thanks for the reply.While thinking over the pros and cons of monte carlo simulation this occured to me: In the types of portfolios being discussed, even though there might be a low corrolation between components, there is still some corrolation, somtimes over 50%. That means that independant random draws cannot be used for each component but that that each draw needs to be adjusted to refect the corrolations. Does QPP do this, and does the order of the draws matter? (The first can be used, but susequent draws for each component must be adjusted according to the required corrolations, as each component is assigned a value the problem becomes more complex because each component has corrolations to all others)
I find this tool (QPP) quit interesting and the results you present amazing, too bad I just found it, I could have used something like this about 30 yrs ago! Reply
Considine
Choosing Your Portfolio Risk Tolerance [view article]
Frank: QPP seems to agree quite well with many of PIMCO's perspectives. PIMCO favors commodities, TIPS, etc. as a better match to retirees long-term liabilities specifically because they keep up with inflation. ReplyChoosing Your Portfolio Risk Tolerance [view article]
the correlation between bonds and stocks may change depending on the inflation rate and the feds willingness to fight inflation. Does the optimizer take this into consideration. Since you use TIPs it seems you are aware of this and TIPS are a way out. however we are interested in real returns not nominal and TIPS might not provide good real returns. Have you tested real return portfolios (or the real retun of your portfolios) such as the one(s) that PIMCO has? ReplyQuantitative Evaluation of ‘Lazy Portfolios’ [view article]
For more lazy portfolios and updated performance numbers you can refer to this link.www.maxmoneyblog.com/b.../
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Quantitative Evaluation of ‘Lazy Portfolios’ [view article]
Thank you for putting this together. So much has been made of the issue of asset allocation, and your analysis of these two portfolios is a big help in putting my own strategy in place. While I do like to invest in individual stocks, I have a large rollover 401k that I wish to allocate according to a "lazy" approach.This was very helpful Reply
Considine
Choosing Your Portfolio Risk Tolerance [view article]
Ronnen:I don't think that you are thinking of this fully. The survival age combines both income draws and the probabilities of returns--your argument seems to be focusing just on the returns, if I am not mistaken.
Geoff Reply