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Re: "Alternative Indexing Strategies" talked in the latest M

Any diehard mind commenting on the diagram in page 74 of this issue? See http://www.bogleheads.org/forum/viewtopic.php?f=10&t=129589&newpost=1920177 The article is "the new face of stock picking". The diagram says "a test of alternative index strategies found that they all ha...
by Akiva
Tue Jan 14, 2014 12:42 pm
 
Forum: Investing - Theory, News & General
Topic: "Alternative Indexing Strategies" talked in the latest Money
Replies: 27
Views: 2580

Re: Mean Variance Optimization - real-world performance?

"Modern portfolio theory" uses mean-variance optimization to come up with an optimized portfolio for a given level of risk or return. It does this by looking at historical data to compute correlations between different asset classes, and then using these correlations to come up with as di...
by Akiva
Tue Jan 14, 2014 12:35 pm
 
Forum: Investing - Theory, News & General
Topic: Mean Variance Optimization - real-world performance?
Replies: 13
Views: 714

Re: this asset class is (undervalued / overvalued): what met

When reasonably reliable experts say that "Gold is pretty high nowadays" or "REITs are really undervalued", what metric do they tend to use to judge a given asset class? There's a good book by Ilmanen about expected returns. Basically there are a small number of phenomena that a...
by Akiva
Tue Jan 14, 2014 12:23 pm
 
Forum: Investing - Theory, News & General
Topic: this asset class is (undervalued / overvalued): what metric?
Replies: 5
Views: 644

Re: Why Include Bonds in a Portfolio?

Nope. 100% stock still has the highest expected return. Talking dollars in your pocket. Do you have any data to back this up? See the link posted by harikaried in the fifth post in this thread. The curves never slope downward on the right side. Edit: Unless you're in a strange period where bonds ou...
by Akiva
Mon Jan 06, 2014 8:05 pm
 
Forum: Investing - Theory, News & General
Topic: Why Include Bonds in a Portfolio?
Replies: 74
Views: 3844

Re: Somebody's making money off commodities - but it ain't y

Natural gas, for example is completely homogeneous and easily storable. But there simply isn't enough storage to arbitrage things because the cost of building the additional storage hasn't been justified by the returns available. On top of this, natural gas producers are legally unable to turn off ...
by Akiva
Mon Jan 06, 2014 6:49 pm
 
Forum: Investing - Theory, News & General
Topic: Somebody's making money off commodities - but it ain't you
Replies: 13
Views: 1508

Re: Why Include Bonds in a Portfolio?

Diversification is a free lunch. Some small bond allocation (say 10%) would improve your results (and not just your sharpe ratio). Not if by results you mean the amount of dollars in your bank account. Adding a small amount of stocks to 100% bond portfolio does indeed have the magical result of imp...
by Akiva
Mon Jan 06, 2014 6:30 pm
 
Forum: Investing - Theory, News & General
Topic: Why Include Bonds in a Portfolio?
Replies: 74
Views: 3844

Re: Why Include Bonds in a Portfolio?

Diversification is a free lunch. Diversification is not a free lunch. Diversification prevents you from losing all of your lunch. If I have one lunch container which I leave at home, I have lost all of my lunch. If I divide my lunch into 10 containers: 7 are ok, one gets mold, a squirrel eats half ...
by Akiva
Mon Jan 06, 2014 6:05 pm
 
Forum: Investing - Theory, News & General
Topic: Why Include Bonds in a Portfolio?
Replies: 74
Views: 3844

Re: Somebody's making money off commodities - but it ain't y

wshang wrote:Wasn't this subject beaten all to h*ll in an earlier smackdown thread between Larry and Rick?


Yeah. I'm not really sure what the point of this thread is supposed to be.
by Akiva
Mon Jan 06, 2014 6:00 pm
 
Forum: Investing - Theory, News & General
Topic: Somebody's making money off commodities - but it ain't you
Replies: 13
Views: 1508

Re: Somebody's making money off commodities - but it ain't y

akiva the 0 expected real return is correct IMO. Just as there are hedgers (producers) who need insurance and willing to pay for it, there are consumers as well that need insurance and willing to pay for it. Hard to know which side will dominate and lead to contango or backwardation It used to be t...
by Akiva
Mon Jan 06, 2014 6:00 pm
 
Forum: Investing - Theory, News & General
Topic: Somebody's making money off commodities - but it ain't you
Replies: 13
Views: 1508

Re: Why Include Bonds in a Portfolio?

Diversification is a free lunch. Some small bond allocation (say 10%) would improve your results (and not just your sharpe ratio). Not if by results you mean the amount of dollars in your bank account. Adding a small amount of stocks to 100% bond portfolio does indeed have the magical result of imp...
by Akiva
Mon Jan 06, 2014 5:36 pm
 
Forum: Investing - Theory, News & General
Topic: Why Include Bonds in a Portfolio?
Replies: 74
Views: 3844

Re: Somebody's making money off commodities - but it ain't y

http://servowealth.com/resources/articles/somebodys-making-money-commodities-it-aint-you This "article" doesn't show any understanding of the relevant academic research and includes many false statements. Claim #1 - Commodities have stock-like returns. Fact : We can’t be sure that commodi...
by Akiva
Mon Jan 06, 2014 3:03 pm
 
Forum: Investing - Theory, News & General
Topic: Somebody's making money off commodities - but it ain't you
Replies: 13
Views: 1508

Re: Why Include Bonds in a Portfolio?

Lets say there is a Long Term Investor, 28yrs Old, that doesn't listen to any Noise, that has a 100% Stock Portfolio, that doesn't need this money for 40+ Years, that Doesn't Panic Sell During Severe Market Crashes (only adds money), That is OK with the risk of an AA of 100% Equities, that has an a...
by Akiva
Mon Jan 06, 2014 2:56 pm
 
Forum: Investing - Theory, News & General
Topic: Why Include Bonds in a Portfolio?
Replies: 74
Views: 3844

Re: (In)efficient markets, utility curves, and investing ris

It seems to be common among Bogleheads to advocate against putting money into equities when saving for goals less than five years away, but not when saving for long-term things like retirement. The problem is, this only makes sense if either (a) Your utility curves on future consumption are not iso...
by Akiva
Mon Jan 06, 2014 2:41 pm
 
Forum: Investing - Theory, News & General
Topic: (In)efficient markets, utility curves, and investing risk
Replies: 16
Views: 914

Re: Are AQR's Profitability "Core" Funds purely Active Mgmt?

Here are some good papers on MOM The Momentum premium long side vs. short side: "The Role of Shorting, Firm Size and Time on Market Anomalies" Israel, Moskowitz, 2011 Trading Costs of Asset Pricing Anomalies" Frazzini, Israel, Moskowitz, 2012 "How Tax Efficient are Equity Styles...
by Akiva
Mon Jan 06, 2014 2:38 pm
 
Forum: Investing - Theory, News & General
Topic: Are AQR's Profitability "Core" Funds purely Active Mgmt?
Replies: 14
Views: 893

Re: Are AQR's Profitability "Core" Funds purely Active Mgmt?

AQR introduced a small and large cap momentum fund in 2009. (AMOMX, ASMOX). Both have failed to capture a momentum premium for the period of being "live" ( PortfolioVisualizer FF Regression on Size and Value for AMOMX and ASMOX ) Before investing with the approach you outline, I'd want a ...
by Akiva
Sun Jan 05, 2014 2:23 pm
 
Forum: Investing - Theory, News & General
Topic: Are AQR's Profitability "Core" Funds purely Active Mgmt?
Replies: 14
Views: 893

Re: (In)efficient markets, utility curves, and investing ris

It seems to be common among Bogleheads to advocate against putting money into equities when saving for goals less than five years away, but not when saving for long-term things like retirement. The problem is, this only makes sense if either (a) Your utility curves on future consumption are not iso...
by Akiva
Sun Jan 05, 2014 1:49 pm
 
Forum: Investing - Theory, News & General
Topic: (In)efficient markets, utility curves, and investing risk
Replies: 16
Views: 914

Re: Investment Returns 1802-2012 (look at gold)

His chart of real returns for various investment asset classes, adjusted for inflation, shows what would have happened if you had invested one dollar in 1802 and held it through Dec. 31, 2012. The results: One dollar invested in Treasury bills would now be worth $282. One dollar invested in long-te...
by Akiva
Sun Jan 05, 2014 1:29 pm
 
Forum: Investing - Theory, News & General
Topic: Investment Returns 1802-2012 (look at gold)
Replies: 24
Views: 2289

Re: Investing (not speculating) in Bitcoin

3. You keep demanding that I make an argument about monetary policy despite my repeated explanations that such a post is against this forum's rules and isn't relevant to the decision. I don't know what you want me to do here. If I post it, the moderators will just delete it. So it isn't like your d...
by Akiva
Thu Jan 02, 2014 11:59 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Investing (not speculating) in Bitcoin

I am well aware of the saltwater/freshwater division within economics. I said nothing about freshwater economists, so I'm not sure how you can say I made a claim about them. That being said, it seems we do have different takes on how dominant different positions are (I'm not taking Wikipedia as an ...
by Akiva
Thu Jan 02, 2014 9:34 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Small caps overvalued?

Note: near the very begining of the article you cite it actually notes that in stock investing there is a different definition from the stats definition and quotes Seigel. That is the article discusses the stronger form as what is meant in stock investing. The link does not back you up. FWIW: it is...
by Akiva
Thu Jan 02, 2014 4:32 pm
 
Forum: Investing - Theory, News & General
Topic: Small caps overvalued?
Replies: 55
Views: 7388

Re: Investing (not speculating) in Bitcoin

The difference between the S&P and the total market is not very large b/c they are both market cap weighted and most of the US market cap is in the S&P. Furthermore, I was talking about the 90s. I pointed out that the market was going up in the 80s for a different reason and that it kept go...
by Akiva
Thu Jan 02, 2014 1:45 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Small caps overvalued?

Note: near the very begining of the article you cite it actually notes that in stock investing there is a different definition from the stats definition and quotes Seigel. That is the article discusses the stronger form as what is meant in stock investing. The link does not back you up. FWIW: it is...
by Akiva
Wed Jan 01, 2014 10:45 pm
 
Forum: Investing - Theory, News & General
Topic: Small caps overvalued?
Replies: 55
Views: 7388

Re: Investing (not speculating) in Bitcoin

Look, you guys are making this unnecessarily complicated and getting this thread way too far off topic by ignoring my substantive points and griping about tangential off-topic things. As far as making an investment decision goes, all of this economics stuff is going to be irrelevant to the decision....
by Akiva
Wed Jan 01, 2014 1:50 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Investing (not speculating) in Bitcoin

If the theory has no more explanatory power than a properly calibrated "randomness" model, than I don't think you have any basis to say that it "works" for purposes of making predictions. You keep asserting that, but I don't think it's actually correct. Some models, as Valuethin...
by Akiva
Tue Dec 31, 2013 11:53 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Rebalancing the Permanent Portfolio

PRPFX went down 9.88 percent in one day. Does that have something to do with distributions for year end? It's quite disturbing. Probably. But PRPFX isn't following the "permanent portfolio" allocation that people are talking about in this thread either. How far off do you view it to be? T...
by Akiva
Tue Dec 31, 2013 7:54 pm
 
Forum: Investing - Theory, News & General
Topic: Rebalancing the Permanent Portfolio
Replies: 28
Views: 1636

Re: Rebalancing the Permanent Portfolio

Helloeeze wrote:PRPFX went down 9.88 percent in one day. Does that have something to do with distributions for year end? It's quite disturbing.


Probably. But PRPFX isn't following the "permanent portfolio" allocation that people are talking about in this thread either.
by Akiva
Tue Dec 31, 2013 3:58 pm
 
Forum: Investing - Theory, News & General
Topic: Rebalancing the Permanent Portfolio
Replies: 28
Views: 1636

Re: Investing (not speculating) in Bitcoin

Actually the reddit comment told us nothing. I clicked on it for an incisive analysis of why Paul Krugman is wrong re bitcoin, and instead got the old trope 'Paul Krugman is politically biased and his defenders cannot defend him'. Then you missed the point. That's an almost word for word rephrasing...
by Akiva
Tue Dec 31, 2013 3:53 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: duration timing

I do not understand duration timing. Its based on the thought that rates must go up. Which is true to some extent perhaps. I'm not sure if this counts as "duration timing", but the idea with adjusting the duration of your bond portfolio is as follows. The forward curve tells you expected ...
by Akiva
Tue Dec 31, 2013 1:45 pm
 
Forum: Investing - Theory, News & General
Topic: duration timing
Replies: 26
Views: 1532

Re: Permanent Portfolio - A Sympathetic Boglehead's Perspect

jhd1945 wrote:Here is the Morningstar return chart YTD


That fund doesn't follow what people here mean by "Permanent Portfolio", so it's performance can differ dramatically.
by Akiva
Tue Dec 31, 2013 1:38 pm
 
Forum: Investing - Theory, News & General
Topic: Permanent Portfolio - A Sympathetic Boglehead's Perspective
Replies: 203
Views: 21824

Re: Formula Investing International Funds liquidated

. In 2010 a set of US and International mutual funds were established following Joel Greenblatt's 'magic formula' (re: The Little Book that Beats the Market). After 2+ years the two International funds have been liquidated. What happened to long-term investing/committment, and the fund managers bel...
by Akiva
Tue Dec 31, 2013 1:28 pm
 
Forum: Investing - Theory, News & General
Topic: Formula Investing International Funds liquidated
Replies: 1
Views: 233

Re: Investing (not speculating) in Bitcoin

From 1980 through 1999, the S&P went from 108 to 1469. If you break it out, ~376 of that is attributable to a small number of "megacap" companies whose valuations got insanely high (and then unwound in the crash). Another ~440 of that was due to lower inflation and lowered expectation...
by Akiva
Tue Dec 31, 2013 1:18 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Investing (not speculating) in Bitcoin

Another interesting recent post from Krugman about Bitcoin and it's flaws, from an economic point of view: http://krugman.blogs.nytimes.com/2013/12/28/bitcoin-is-evil/. It's also worth following the link to Charlie Stross' post about what's wrong with Bitcoin: http://www.antipope.org/charlie/blog-s...
by Akiva
Mon Dec 30, 2013 11:29 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Investing (not speculating) in Bitcoin

TSM did rather well in the 90s (better, after the crash, then being concentrated in technology stocks). It that's being colossally wrong I can only hope to be that wrong in the future. That's true, but entirely irrelevant. The issue is whether TSM has exposure to Bitcoin -- and the answer is that i...
by Akiva
Mon Dec 30, 2013 7:31 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Investing (not speculating) in Bitcoin

What you are saying is the equivalent of going back to the 90s and saying that the internet isn't that big of a deal because if it amounts to anything, it will impact the whole economy and existing companies will figure out ways to make a profit. Sears, Barnes and Noble, etc. will benefit from onli...
by Akiva
Mon Dec 30, 2013 5:18 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Investing (not speculating) in Bitcoin

So contra what someone else said, you can't actually invest in Bitcoin services right now (and "Total Stock Market" has no exposure). That's taking a very narrow, short term view of the matter. If digital currencies do amount to anything, we can expect a fair amount of creative destructio...
by Akiva
Mon Dec 30, 2013 2:35 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Women Better Investors Than Men?

That's what US News reported last week based on a number of studies. http://money.usnews.com/money/blogs/On-Retirement/2013/12/17/4-ways-women-are-better-investors-than-men Generally speaking, men over-trade (and pay to much in commissions) and do things that have the effect of giving them negative...
by Akiva
Mon Dec 30, 2013 2:14 pm
 
Forum: Investing - Theory, News & General
Topic: Women Better Investors Than Men?
Replies: 69
Views: 3010

Re: Vanguard recommending international bond....

I don't like this fund for two reasons 1. Hedging , which costs money (I don't think it's cheap either, but I wonder if experts could weigh in on this facet) and invalidates the reasons for wanting international bonds in the first place 2. How the fund weights foreign countries? In a perverse way, ...
by Akiva
Mon Dec 30, 2013 2:05 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard recommending international bond....
Replies: 38
Views: 4069

Re: Do you think Warren Buffet was being irresponsible

I don't think Warren Buffett is irresponsible. He expresses his opinions and describes the principles by which he manages his company. His goals are different from the goals of individual investors. Buffett must generate value for his shareholders. In contrast, individual investors balance their hu...
by Akiva
Mon Dec 30, 2013 1:52 pm
 
Forum: Investing - Theory, News & General
Topic: Do you think Warren Buffet was being irresponsible
Replies: 31
Views: 3004

Re: Another free FF3 site

Hello, I made the website so I can probably help you out. The short answer is that I have to load funds into the local database before they are accessible rather than hitting the various financial APIs in realtime. That being said, if you post/PM me a list of fund symbols you're interested in I can...
by Akiva
Mon Dec 30, 2013 1:47 pm
 
Forum: Investing - Theory, News & General
Topic: Another free FF3 site
Replies: 3
Views: 644

Re: Sector Funds

By reading through post here I"ve noticed that many are for not holding the Vanguard Precious Metals + Mining fund.REITS seem to be accepted.The Health Fund gets praise because of it"s past and present performance.The Energy Fund is pretty quiet.Why is it that some sectors seem to be OK t...
by Akiva
Mon Dec 30, 2013 1:40 pm
 
Forum: Investing - Theory, News & General
Topic: Sector Funds
Replies: 9
Views: 568

Re: Question about Fama French regression

When you do a factor regression, you are asking the computer to tell you how much of the variability of the portfolio can be explained by a fixed allocation to your risk factors. If the manager changed his portfolio around during the time of the regression, you'll get some kind of "average&quo...
by Akiva
Mon Dec 30, 2013 1:18 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Fama French regression
Replies: 8
Views: 692

Re: Investing (not speculating) in Bitcoin

I've enjoyed many of the comments about bit coins (BCs) specifically, but would it not make more sense and be less speculative to invest in services that target BCs? If anything, those services would have a more far reaching application (and hopefully appeal) than bit coins. Well, there are two iss...
by Akiva
Mon Dec 30, 2013 1:14 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Theoretical best way to sell individual stock shares?

I need to sell some individual stock so I can invest the money in low cost Vanguard funds. What is the best way to do this, of the following options? I want to get the best possible price and minimize the time out of the market. The shares are held at vanguard and I want to invest in Vanguard tradi...
by Akiva
Fri Dec 27, 2013 11:59 am
 
Forum: Investing - Theory, News & General
Topic: Theoretical best way to sell individual stock shares?
Replies: 12
Views: 743

Re: Investing (not speculating) in Bitcoin

Butterfly Labs has an FAQ . Conspicuously missing among the questions is this one: Q: Why does Butterfly Labs sell its products, instead of keeping them and using them to mine bitcoins for itself? Does anyone know whether Butterfly Labs has ever answered this question (and was the answer convincing...
by Akiva
Thu Dec 26, 2013 11:26 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: The Goals of Traders and Investors Are Light-Years Apart

Good read on Wall Street's obsession with high speed automated trading, and how this is different from investing. http://www.nytimes.com/2013/12/24/your-money/the-goals-of-traders-and-investors-are-light-years-apart.html I don't think this is particularly informative. And there's some misinformatio...
by Akiva
Thu Dec 26, 2013 3:35 pm
 
Forum: Investing - Theory, News & General
Topic: The Goals of Traders and Investors Are Light-Years Apart
Replies: 2
Views: 486

Re: Investing (not speculating) in Bitcoin

The issue is that cryptocurrencies are "platform goods" (i.e. they have a strong network effect). The value isn't so much in the currency, but in the fact that other people are using it. So from the standpoint of investing, the idea is that having a (very small) exposure to bitcoin gives ...
by Akiva
Thu Dec 26, 2013 3:27 pm
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: buying index puts vs dollar cost averaging

If you wanted to get some downside protection, you could sell out of the money calls and buy equivalent out of the money puts. (This is a net-zero transaction.) Assuming you have an underlying stock position, this will cap your gains and limit your losses. But I'm not really sure that this is a goo...
by Akiva
Thu Dec 26, 2013 12:35 pm
 
Forum: Investing - Theory, News & General
Topic: buying index puts vs dollar cost averaging
Replies: 10
Views: 858

Re: Investing (not speculating) in Bitcoin

Buying bitcoins seems like a terrible idea to me. You are better off paying someone to help you make your own cryptocurrency and try to get enough people to market it and mine it that you can cash out with your ground floor advantage. Anyone can make their own cryptocurrency like bitcoin and any co...
by Akiva
Thu Dec 26, 2013 12:37 am
 
Forum: Investing - Theory, News & General
Topic: Investing (not speculating) in Bitcoin
Replies: 119
Views: 8759

Re: Question about Fama French regression

I've been trying to understand the Fama French 3 factor regression with limited success. From a paper on the subject published by Dartmouth I learned that the Three Factor Model often exposes the fact that... You are missing 2 factors (profitability and momentum) - not 3 anymore. 1. THIS may help. ...
by Akiva
Wed Dec 25, 2013 5:21 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Fama French regression
Replies: 8
Views: 692

Re: Buy on dips or dollar cost average?

I have 100K in cash waiting to deploy into my allocation. Any way to semi-automate a strategy to buy on dips rather than using a dollar-cost-averaging approach? Perhaps an alert that notifies me of X% dip of one or more indexes? Don't have it fully thought out - thought I'd ask for opinions on this...
by Akiva
Wed Dec 25, 2013 5:20 pm
 
Forum: Investing - Theory, News & General
Topic: Buy on dips or dollar cost average?
Replies: 49
Views: 3659
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