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Re: Tax-free growth vs. keeping all bonds in tax-advantaged

How about both bonds and stocks in all accounts? Otherwise, how are you going to rebalance?
by Jebediah
Thu Mar 27, 2014 4:37 pm
 
Forum: Investing - Help with Personal Investments
Topic: Tax-free growth vs. keeping all bonds in tax-advantaged acct
Replies: 19
Views: 1291

Re: Bit of update on CCF

Larry- Why do you think CCF is suddenly surging? Inflation picking up?
by Jebediah
Wed Mar 19, 2014 6:25 pm
 
Forum: Investing - Theory, News & General
Topic: Bit of update on CCF [Collateralized Commodity Futures]
Replies: 10
Views: 1054

Re: A close look at the research on the carry trade

Larry

I hope you don't take this question the wrong way, but in the interest of full disclosure-- Have you ever taken any kind of payment or fee from either DFA or AQR?
by Jebediah
Thu Mar 13, 2014 3:10 pm
 
Forum: Investing - Theory, News & General
Topic: A close look at the research on the carry trade
Replies: 7
Views: 1026

Re: The tell tale chart

Nice article, Larry. Technical Analysis deserves all the mockery we can throw at it. I did, however, find this quote a bit ironic: As Burton Malkiel points out: "If you examine past stock prices in any given period, you will always find some kind of system that would have worked in a given peri...
by Jebediah
Wed Mar 12, 2014 11:50 pm
 
Forum: Investing - Theory, News & General
Topic: The tell tale chart
Replies: 9
Views: 1751

Re: modern financial theory has finally caught up with Buffe

Actually, I see from page 3 that you do get it: As my friend and fellow author Bill Bernstein points out, being the first, or among the first, to discover a strategy that beats the market is what buys you the yachts, not copying the strategy after it’s already well known and all the low-hanging frui...
by Jebediah
Tue Mar 11, 2014 4:36 pm
 
Forum: Investing - Theory, News & General
Topic: modern financial theory has finally caught up with Buffett
Replies: 48
Views: 5443

Re: modern financial theory has finally caught up with Buffe

Larry,

Do you recognize the problem? The one where "smart beta" becomes all the rage and factor tilting stops working as it has in the past?
by Jebediah
Tue Mar 11, 2014 4:25 pm
 
Forum: Investing - Theory, News & General
Topic: modern financial theory has finally caught up with Buffett
Replies: 48
Views: 5443

Re: Staying the Course has never been harder

If you're 100% stocks, or even 80%, and the whole stock thing doesn't work out-- losses for 20 years, say-- do you have a Plan B?
by Jebediah
Sun Mar 09, 2014 3:43 pm
 
Forum: Investing - Theory, News & General
Topic: Staying the Course has never been harder
Replies: 45
Views: 4646

Re: 62 years old - starting all over again

1. Max out the 401k, assuming suitable choices
2. Get a second job
3. Retire at 70
4. Consider Mexico. Lots of modest-means, ex-pat retirees down there
by Jebediah
Fri Mar 07, 2014 3:05 pm
 
Forum: Investing - Help with Personal Investments
Topic: 62 years old - starting all over again
Replies: 27
Views: 4430

Re: Small-cap (over)valuations: should we stop tilting?

Is it the same situation in International small cap? Sorry, too lazy to fish around for it on my own.
by Jebediah
Thu Feb 27, 2014 7:45 pm
 
Forum: Investing - Help with Personal Investments
Topic: Small-cap (over)valuations: should we stop tilting?
Replies: 11
Views: 887

Re: Asset Allocation Disaster - any help appreciated

Advisory services: I'm going to be harsh and you might well disagree, but I consider the JPM and Wells Fargo proposals little more than legalized theft. Such fees would rob you of between half and two thirds of your capital over 30 years or so, while of course you're the one putting all the capital...
by Jebediah
Thu Feb 27, 2014 3:43 pm
 
Forum: Investing - Help with Personal Investments
Topic: Asset Allocation Disaster - any help appreciated
Replies: 39
Views: 3986

Re: Asset Allocation Disaster - any help appreciated

ogd, I think you're over-reacting. magneto is recommending a Dynamic AA, not Tactical AA. There is a difference. And his point is that it might help the OP behaviorally/psychologically. I think that is the main potential benefit, and the potential for harm-- at least in the form magneto recommends--...
by Jebediah
Thu Feb 27, 2014 3:34 pm
 
Forum: Investing - Help with Personal Investments
Topic: Asset Allocation Disaster - any help appreciated
Replies: 39
Views: 3986

Re: No Silver Bullets in Investing

BTW, it think an important point in his paper is that while valuations do matter, it's not something you can time. Rick Ferri Rick, this statement is an oxymoron and I do not agree that this was at all the point of the paper. If valuations matter, then they affect what you hold. Time is embedded in...
by Jebediah
Thu Feb 27, 2014 2:19 pm
 
Forum: Investing - Theory, News & General
Topic: No Silver Bullets in Investing
Replies: 14
Views: 1992

Re: Thought provoking Zweig Article in WSJ

Keep in mind, Vanguard's Muni funds hold about 40% below AA (according to M*).
by Jebediah
Sat Feb 22, 2014 5:42 pm
 
Forum: Investing - Theory, News & General
Topic: Thought provoking Zweig Article in WSJ
Replies: 32
Views: 6947

Re: I'd like to challenge the logic behind a 'disaster fund'

OP makes no sense. The sinister side of me likes that this naive sense of equities' risklessness is alive and well. Means there should be some good buying opportunities yet.
by Jebediah
Wed Dec 04, 2013 1:57 am
 
Forum: Investing - Theory, News & General
Topic: I'd like to challenge the logic behind a 'disaster fund'
Replies: 134
Views: 7041

Re: Bill Bernstein: "Take risk off the table"

Remember when markets have above average/expected returns, future expected returns are now lower---at same time depending on the stage of investing you're in your need to take risk either went up or went down. Thus IMO it's important that you reevaluate your IPS, altering/adapting it if your assump...
by Jebediah
Tue Nov 26, 2013 6:33 pm
 
Forum: Investing - Theory, News & General
Topic: Bill Bernstein: "Take risk off the table"
Replies: 207
Views: 17032

Re: cash vs bond question

You can't possibly convince me that managing a collection of CD accounts is as easy as buying and selling bonds in a brokerage account, an account which everyone with an asset allocation already has , because I've already tried it. Having a CD account is easy as pie. Silly to make it out to be some...
by Jebediah
Sat Nov 16, 2013 3:45 pm
 
Forum: Investing - Theory, News & General
Topic: cash vs bond question
Replies: 18
Views: 2065

Re: cash vs bond question

Yet you will find many tortured arguments here for hanging on to bonds. I think it's mostly due to some kind of familiarity bias, 'stay the course' and all that. I dunno, stay the course seems pretty straightforward to me. What part do you find tortured? If your cash has an equivalent or better yie...
by Jebediah
Sat Nov 16, 2013 3:32 am
 
Forum: Investing - Theory, News & General
Topic: cash vs bond question
Replies: 18
Views: 2065

Re: cash vs bond question

whereas new bank accounts usually entail a phone conversation and maybe some faxing, not to mention the early withdrawals that you'd have to do for rebalancing during a stock market crash ( edit : from a bank that may just happen to be in distress at that time, which really gives me pause). This is...
by Jebediah
Sat Nov 16, 2013 3:25 am
 
Forum: Investing - Theory, News & General
Topic: cash vs bond question
Replies: 18
Views: 2065

Re: cash vs bond question

Yet you will find many tortured arguments here for hanging on to bonds. I think it's mostly due to some kind of familiarity bias, 'stay the course' and all that. How about "I don't want to deal with Random Credit Union and their shared part-time reps for a few basis points, and to have to rely...
by Jebediah
Fri Nov 15, 2013 3:45 pm
 
Forum: Investing - Theory, News & General
Topic: cash vs bond question
Replies: 18
Views: 2065

Re: cash vs bond question

These days the expected return of an intermediate treasury fund (roll return + yield) and a 5 year CD is about the same, so the CD is the clear choice. Yet you will find many tortured arguments here for hanging on to bonds. I think it's mostly due to some kind of familiarity bias, 'stay the course' ...
by Jebediah
Fri Nov 15, 2013 2:03 am
 
Forum: Investing - Theory, News & General
Topic: cash vs bond question
Replies: 18
Views: 2065

Re: If want a good laugh watch this video

I live in Dallas and sometimes listen to Moraif for entertainment value. At the beginning of his program, he includes some oral disclosure about the Barron's ranking. He says that the ranking is based on (1) volume of assets managed, (2) revenues generated and (3) quality of practice; the quality o...
by Jebediah
Wed Nov 13, 2013 8:18 pm
 
Forum: Investing - Theory, News & General
Topic: If want a good laugh watch this [advisor] video
Replies: 41
Views: 3913

AQR Small Cap Core - QSMLX - in taxable?

I'm pondering whether or not to buy this fund in taxable. Anyone have a guess about what kind of tax impact to expect? Also, can't help but notice that the eyebrow-raising outperformance since inception. I know it's not much time to evaluate, but any ideas why it's doing so well? http://i40.tinypic....
by Jebediah
Mon Nov 11, 2013 6:02 pm
 
Forum: Investing - Theory, News & General
Topic: AQR Small Cap Core - QSMLX - in taxable?
Replies: 4
Views: 527

Re: REITs... buy more?

I ditched my REITS soon after the OP. Not because of the OP, but it didn't hurt.
by Jebediah
Fri Nov 08, 2013 7:56 pm
 
Forum: Investing - Help with Personal Investments
Topic: REITs... buy more?
Replies: 39
Views: 4351

Re: Small Cap Premium = January Effect?

If the data holds up, why would it be any less of a bona-fide anomaly than say, momentum?
by Jebediah
Fri Nov 08, 2013 4:37 pm
 
Forum: Investing - Theory, News & General
Topic: Small Cap Premium = January Effect?
Replies: 11
Views: 1110

Re: Small Cap Premium = January Effect?

Here's a plot of SmB average by month, From French, 1927-present. (x axis is months 1-12).

Thing is, I think it's a similar story for all the factors.

Image
by Jebediah
Fri Nov 08, 2013 2:51 am
 
Forum: Investing - Theory, News & General
Topic: Small Cap Premium = January Effect?
Replies: 11
Views: 1110

Re: A One Question Test for 100% Equities

Risk preference. I get the sense that the " everyone must hold some percentage of bonds" camp often holds an implicit belief that a) bonds can't actually drop more than 50% in REAL purchasing power, b) they'll somehow come out ahead by exchanging their bonds for more equities later if the...
by Jebediah
Wed Nov 06, 2013 2:41 pm
 
Forum: Investing - Theory, News & General
Topic: A One Question Test for 100% Equities
Replies: 69
Views: 6211

Re: A One Question Test for 100% Equities

I get the sense that the 100% equities camp often holds an implicit belief that a) stocks can't actually drop more than 50%, b) stocks are more or less guaranteed to recover after a crash. Neither has to be true at all. Who says the next century has to look anything like the last? Remember that an 8...
by Jebediah
Tue Nov 05, 2013 10:15 pm
 
Forum: Investing - Theory, News & General
Topic: A One Question Test for 100% Equities
Replies: 69
Views: 6211

Re: LT Bonds for 29 year old?

Sure an equities crash will hurt in the short term, but if you have the discipline to weather a 30-40% drop and the time horizon to capture the rebound I don't see a need for a larger bond exposure "right now." My advice, take a good risk questionnaire and see what it spits out. Based on ...
by Jebediah
Mon Nov 04, 2013 11:54 pm
 
Forum: Investing - Help with Personal Investments
Topic: LT Bonds for 29 year old?
Replies: 20
Views: 1683

Re: DFA - Where's the alpha?

True about alpha and momentum, but aren't today's fundamentals telling you indirectly what the fund's size-adjusted value loading is right now. Not numerically, but at least relatively?
by Jebediah
Mon Nov 04, 2013 10:20 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: A tale of two woes - commodities and gold

As an aside, it occurs to me that if I could insert unexpected inflation into the graph as well, that might be interesting. After all, one doesn't hold PCRIX to compete with the total stock market. http://i42.tinypic.com/o9kftd.png Exactly. The fact that PCRIX has competed surprisingly well with TS...
by Jebediah
Mon Nov 04, 2013 10:15 pm
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5143

Re: DFA - Where's the alpha?

DFA's funds do tend to be 'cheaper' (lower p/e, p/b, etc) than the alternatives. One thing I notice when I look at the current valuation metrics is that small caps look a lot more expensive than large caps. Is this often or usually the case? Another question- Hope this isn't getting too off topic, b...
by Jebediah
Mon Nov 04, 2013 4:41 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

Close to zero is good. But DFA doesn't seem to be outdoing anyone else in this regard. Right. DFA momentum screens provide no advantage over and above allowing DFA funds to have higher value loadings without also generating more negative momentum. Near as I can tell, DFA funds do not have higher va...
by Jebediah
Mon Nov 04, 2013 2:29 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: A tale of two woes - commodities and gold

Shameless, Bradley. In every CCF thread, Bradley trots out his cherry-picked PCRIX 10-year returns. Cheery picked? It is the current standard 10 year data compiled by M* Including data prior to 2007 when new management took over is of little use IMO. Different manager, different strategies and diff...
by Jebediah
Mon Nov 04, 2013 12:21 am
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5143

Re: DFA - Where's the alpha?

Close to zero is good. But DFA doesn't seem to be outdoing anyone else in this regard.
by Jebediah
Mon Nov 04, 2013 12:02 am
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: A tale of two woes - commodities and gold

Shameless, Bradley.

PCRIX, since inception (6/28/2002):
PCRIX: 10K -> 22,124
SPY: 10K -> 22,147

In every CCF thread, Bradley trots out his cherry-picked PCRIX 10-year returns.


Image
by Jebediah
Sun Nov 03, 2013 4:53 pm
 
Forum: Investing - Theory, News & General
Topic: A tale of two woes - commodities and gold
Replies: 95
Views: 5143

Re: DFA - Where's the alpha?

Robert Keep in mind that during the period you studied DFA used momentum screens to lower the negative exposure to MOM---that is going to lower the value loading --that happened in 2003 if memory serves. That would lower the negative loading on MOM--if memory serves was typically about -0.4 to much...
by Jebediah
Sun Nov 03, 2013 4:01 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

I don't believe anyone has disputed the benefits of DFA’s core funds only the idea that they have significant advantage or certain advantage over separate non core holdings which are rebalanced according to an individual IPS. I'm willing to say, and I think this thread has concluded that DFA's core...
by Jebediah
Sat Nov 02, 2013 7:08 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

I guess my question wasn't clear. Do these International Core funds rebalance developed and EM internally to a set allocation (such as 80/20) or do they just let the developed:EM ratio within the fund drift to wherever the market takes it?
by Jebediah
Thu Oct 31, 2013 6:30 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

Seems to me that there would be very few years where the VBR+VTI investor found themselves having to rebalance SCV in which the DFTCX investor did not have to also rebalance. But speaking of International funds-- Are DFA and Vanguard really rebalancing EM and Developed in their Ex-US funds according...
by Jebediah
Thu Oct 31, 2013 6:06 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

jeb You can disagree all you want but in taxable accounts, there is a big advantage of a core fund in that YOU don't have to rebalance between asset classes with YOUR money and pay taxes when doing so. The fund rebalances with OTHER PEOPLE's money. And obviously core funds save on transactions cost...
by Jebediah
Thu Oct 31, 2013 4:38 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

This conventional wisdom about adviser fees is not necessarily true. One can hire a "hands-off" advisor with DFA access for 1K a year. That's 20 bp on a 500K portfolio, 10 bp on a 1M portfolio. Really? I thought the whole point of DFA working through advisors was that they were not suppos...
by Jebediah
Thu Oct 31, 2013 4:29 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

I would note that the core funds clearly add value by reducing trading costs internally and reducing turnover (estimate about 12bp in trading costs) which improves tax efficiency and importantly for taxable accounts eliminates the need to rebalance between the asset classes, saving K gains. Larry L...
by Jebediah
Thu Oct 31, 2013 4:18 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

Funds I used are (using inception dates through Sept 30, 2013 on 3 Factor model against Fama-French benchmark). Note, I had a typo on DFVEX/DFEVX in my OP (now fixed). Limited my "back of the envelope" search to US only funds. DFA US Targeted Value, DFFVX, 12/1/2000, alpha -0.30% DFA US C...
by Jebediah
Thu Oct 31, 2013 3:45 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

All else equal I'd pick the DFA fund as a SCV option. However, this analysis doesn't consider the additional cost of a DFA advisor. I personally stick with non-DFA options because I don't think the DFA funds are worth it after this additional added cost and hassle. I would still side with DFA not w...
by Jebediah
Thu Oct 31, 2013 2:08 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

True, but a significantly negative past alpha across the board with DFA funds would definitely be of interest given how hard their alpha-adding capabilities (patient trading, securities lending, IPO screens, etc) have been sold here. feature request for pvguy: add alpha x 12 to rolling factor charts...
by Jebediah
Thu Oct 31, 2013 1:19 am
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: DFA - Where's the alpha?

I was noticing this yesterday as well. And also the lameness of the factor loads in the core funds. It would help if you could post a) the fund names b) the analysis dates c) which of the two datasets you used. The differences between the two datasets are significant enough (and not in ways you'd ex...
by Jebediah
Wed Oct 30, 2013 9:39 pm
 
Forum: Investing - Theory, News & General
Topic: DFA - Where's the alpha?
Replies: 96
Views: 8660

Re: How did u diversify before mutual funds?

In the 1970s and 1980s there was a confluence of events that really transformed investing: the end of fixed commissions (formerly around $100 or more, to buy, say, $5,000 worth of stock in a 100-share round lot); the rise of no-load mutual funds; Vanguard's introduction of the index fund; and the i...
by Jebediah
Wed Oct 30, 2013 2:49 pm
 
Forum: Investing - Help with Personal Investments
Topic: How did u diversify before mutual funds?
Replies: 26
Views: 1199

Re: Please help interpret this 3 factor analysis

thanks pvguy- for the reply and for the excellent site.
by Jebediah
Wed Oct 30, 2013 12:04 am
 
Forum: Investing - Theory, News & General
Topic: Please help interpret this 3 factor analysis
Replies: 15
Views: 910

Re: Please help interpret this 3 factor analysis

Many thanks for the help. Another question: what's the difference between the "Fama French Benchmark" and "US Research Returns"? I've read the definitions but don't know their significance. Kelly Same question. It makes a significant difference in the results (especially MOM and...
by Jebediah
Tue Oct 29, 2013 9:00 pm
 
Forum: Investing - Theory, News & General
Topic: Please help interpret this 3 factor analysis
Replies: 15
Views: 910

Re: Please help interpret this 3 factor analysis

Oliver,

Shouldn't your Alpha calculation (-0.7 * 12) = -0.84% ?
by Jebediah
Tue Oct 29, 2013 7:39 pm
 
Forum: Investing - Theory, News & General
Topic: Please help interpret this 3 factor analysis
Replies: 15
Views: 910
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