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Re: Dave Ramsey says asset allocation does not work

stemikger wrote:
For the record, I'm not a huge fan of Dave Ramsey, but his advice for getting out of debt is pretty solid.


I don't agree. The advice to "get out of debt" is so ubiquitous, old, and obvious that it should be free. Anyone who sells the idea or takes credit for it is a charlatan.
by Jebediah
Wed Oct 01, 2014 3:10 pm
 
Forum: Investing - Theory, News & General
Topic: Dave Ramsey says asset allocation does not work
Replies: 87
Views: 7157

Re: Asset allocation market timing strategy inspired by John

Any argument about market timing strategies, by Bogle or anyone else, runs into the argument equivalent of a wall: how come tactical asset allocation funds do so poorly, the vast majority outperformed by a simple balanced index with the same risk profile. In my opinion, the wall wins. If people wit...
by Jebediah
Wed Oct 01, 2014 2:57 pm
 
Forum: Investing - Theory, News & General
Topic: Asset allocation market timing strategy inspired by John B
Replies: 43
Views: 3220

Re: Holding Cash because Tried to time Market

OP-
Realize that guys/gals like Anakin will have even better reasons not to buy in after the crash.
by Jebediah
Thu Sep 18, 2014 1:49 pm
 
Forum: Investing - Help with Personal Investments
Topic: Holding Cash because Tried to time Market
Replies: 78
Views: 6581

Re: The boglehead way to buy furniture

Buy yourself an Eames chair and matching ottoman from the pre-1990s when they were made with rosewood shells. You'll pay $2500-4000 for a good/great set and if you decide to sell it in 20 years you'll get back every penny you paid. Plus, you'll have a classic. I own two of them and love them. Buy c...
by Jebediah
Tue Sep 16, 2014 6:56 pm
 
Forum: Personal Consumer Issues
Topic: The boglehead way to buy furniture
Replies: 56
Views: 5155

Re: John Hussman, smart guy, should you listen to his foreca

guys guys,arent u being too harsh on john hussman?this childish rebuking of facts and intellect has to stop.it is a shameful behaviour almost reminiscent of religious folks and believers of creationism.......its almost like u guys are afraid of intelligence and masterful analysis and brilliant insi...
by Jebediah
Tue Sep 16, 2014 2:26 pm
 
Forum: Investing - Theory, News & General
Topic: John Hussman, smart guy, should you listen to his forecasts
Replies: 76
Views: 8187

Re: Visit to SFO Area - Dining

I looked at the other thread and I just have to add: DON'T go to the Stinking Rose. It's a tourist gimmick, terrible food.
by Jebediah
Wed Sep 10, 2014 6:05 pm
 
Forum: Personal Consumer Issues
Topic: Visit to SFO Area - Dining
Replies: 14
Views: 1073

Re: Visit to SFO Area - Dining

There are so many options it's almost an impossible question. Just make sure that you get out of Fisherman's Wharf/Marina/North Beach and into the non-touristy neighborhoods, use yelp. Forget seafood, Italian, and Chinese. Think taqueria (in SF), taco truck (in Oakland), Vietnamese, German, Indian, ...
by Jebediah
Wed Sep 10, 2014 5:20 pm
 
Forum: Personal Consumer Issues
Topic: Visit to SFO Area - Dining
Replies: 14
Views: 1073

Re: Age in Stocks: Should you have a Reverse Glidepath?

The alternative strategies considered here are more likely to surprise investors with a bigger drop than lifecycle strategies by the end of an investor’s working life. But, critically important, this potential higher drop should be more than offset by earlier larger gains. In other words, the bette...
by Jebediah
Mon Sep 01, 2014 3:39 pm
 
Forum: Investing - Theory, News & General
Topic: Age in Stocks: Should you have a Reverse Glidepath?
Replies: 21
Views: 1400

Re: "Absolute Return" Using Index Funds?

What "different source" is that, exactly? I don't see any "other" on this chart. Alpha. However, in reality "the source" could be alpha and/or "alternative betas" such as value, mom, quality, bab (as Packer said). matjen: I agree seems fair to call QSPIX an a...
by Jebediah
Sun Aug 31, 2014 9:56 pm
 
Forum: Investing - Theory, News & General
Topic: "Absolute Return" Using Index Funds?
Replies: 18
Views: 2063

Re: What's the Market Neutral fund good for?

Grok, I like the way you're thinking here.

Are you (or anyone else) holding this in taxable? I notice that for 5 years or so the fund has been squeaky clean re distributions. Would it be remiss to count on more of that going forward?

Anyone have a custodian willing to waive the 250K minimum?
by Jebediah
Sun Aug 31, 2014 3:40 pm
 
Forum: Investing - Help with Personal Investments
Topic: What's the Market Neutral fund good for?
Replies: 47
Views: 5806

Re: "Absolute Return" Using Index Funds?

The Vanguard Market Neutral fund is an excellent offering, definitely worth considering. From Morningstar: -- This fund was launched in 2004, but investors should focus on this fund’s track record since Vanguard took over sole management of the fund in late 2010. From that point, the fund's 4.55% an...
by Jebediah
Sun Aug 31, 2014 2:56 pm
 
Forum: Investing - Theory, News & General
Topic: "Absolute Return" Using Index Funds?
Replies: 18
Views: 2063

Re: Bridgeway Omni SCV (BOTSX) vs PXSV

RZV saw a -72% drawdown in 08-09. It's average momentum load is -0.56 and it has reached -1.5 on a few occasions. It's value load is all over the place: currently -0.18. 150 holdings in microcap is asking for trouble.
by Jebediah
Fri Aug 22, 2014 2:16 am
 
Forum: Investing - Theory, News & General
Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
Replies: 33
Views: 2789

Re: Bridgeway Omni SCV (BOTSX) vs PXSV

RZV has similar size and value loads, but also has two problems that make it a no-go, in my opinion. 1) Only 150 holdings. 2) Really bad negative momentum. I mean really bad. Look at how it performed in 2008. It's the last small value fund I would consider owning.
by Jebediah
Wed Aug 20, 2014 9:00 pm
 
Forum: Investing - Theory, News & General
Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
Replies: 33
Views: 2789

Re: When did you hear of Bill Miller and Legg Mason Value Tr

1999 was when my broker was doing backflips for this guy. It's incredible how bad he is. Take a look at his go-anywhere, best-ideas fund, Legg Mason Opportunity Trust.

Return since inception: 5.6%
SD: 40.6%
Worst drawdown: -78.1% :shock:
by Jebediah
Wed Aug 20, 2014 4:38 pm
 
Forum: Investing - Theory, News & General
Topic: When did you hear of Bill Miller and Legg Mason Value Trust?
Replies: 32
Views: 2432

Re: three reading recommendations

Larry

Regarding Montier's book you say "Montier believes that style rotation is the key to maximizing returns." Can you say more about what that means?
by Jebediah
Wed Aug 13, 2014 4:10 pm
 
Forum: Investing - Theory, News & General
Topic: three reading recommendations
Replies: 11
Views: 1869

Re: three reading recommendations

Thanks Larry. I've put The little book of behavioral investing : how not to be your own worst enemy by James Montier on reserve at my local library. They did not have Behavioural Finance: Insights into Irrational Minds and Markets . Hopefully this "little book" version will still be a pro...
by Jebediah
Wed Aug 13, 2014 2:55 pm
 
Forum: Investing - Theory, News & General
Topic: three reading recommendations
Replies: 11
Views: 1869

Re: Dave Ramsey still defending 12% and still angry at "nerd

Some posters seem to think that Ramsey is a very bad person. Very Bad People damage the people around them. Ramsey helps the people around him. The Very Bad Person hypothesis is weak. No, the Very Bad Person hypothesis is strong. DR gives horrible advice regarding SWRs that has serious ill conseque...
by Jebediah
Sun Aug 10, 2014 11:14 pm
 
Forum: Investing - Theory, News & General
Topic: Dave Ramsey still defending 12% and still angry at "nerds"
Replies: 194
Views: 23336

Re: Prove adding SV will lower the risk, given the same E(r)

Again, thanks for the quick reply. Can you address the following issues of SV and your pro argument that I can think of? 1. SV may have low beta (market risk) but high E(r). But as long as size and value are risk factors, SV will carry higher risks in these dimensions. IMO, not addressing these ris...
by Jebediah
Sat Aug 02, 2014 12:57 pm
 
Forum: Investing - Theory, News & General
Topic: Prove adding SV will lower the risk, given the same E(r)
Replies: 79
Views: 4249

Re: Profiting from Unprofitable Companies

Yeah that "bottoming out" of DFSVX has been a real nightmare for its disenchanted investors.

20 years to date: growth of 10K, Sharpe Ratio
DFSVX: $106 K , 0.55
VFINX: $61 K , 0.42
by Jebediah
Sat Aug 02, 2014 12:56 am
 
Forum: Investing - Theory, News & General
Topic: Profiting from Unprofitable Companies
Replies: 22
Views: 2088

Re: Profiting from Unprofitable Companies

If that's all you see then sorry but your observational capacity is lacking. Have a look at the Fama-French data or the Credit Suisse yearbooks or read Asness's Value and Momentum Everywhere. Or ignore the history if you wish, but the data is what it is. We are beyond the question of whether these p...
by Jebediah
Fri Aug 01, 2014 9:55 pm
 
Forum: Investing - Theory, News & General
Topic: Profiting from Unprofitable Companies
Replies: 22
Views: 2088

Re: Profiting from Unprofitable Companies

JoMoney, You said: We have 30 years of out of sample real-world performance of DFA's attempt at a fund using a single strategy that looked good over the historical back-testing, but the out-performance certainly wasn't persistent. --- I take it from this statement that you are interested in whether ...
by Jebediah
Fri Aug 01, 2014 2:57 pm
 
Forum: Investing - Theory, News & General
Topic: Profiting from Unprofitable Companies
Replies: 22
Views: 2088

Re: Profiting from Unprofitable Companies

JoMoney, as usual, tried to mislead by cherry picking the start date of his chart.

Here is what DFSCX since inception vs VFINX looks like (keep in mind it's a log scale):

Image

Growth of 10K
DFSCX: $430K
VFINX: $353K
by Jebediah
Thu Jul 31, 2014 10:59 pm
 
Forum: Investing - Theory, News & General
Topic: Profiting from Unprofitable Companies
Replies: 22
Views: 2088

Re: a close look at value and momentum

Worked in the historical data, worked in the "literature", but as we see with Asness' fund, it simply didn't work in reality. Doesn't that bother you just a little? Working = tracking the momentum index. Has nothing to do with SP500 index. The SP500 and MCSI Momentum indexes are different...
by Jebediah
Sat Jul 19, 2014 5:13 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

I'm all about this factor investing stuff. But "Smart beta" and "Smart Beta 2.0" (seriously, I saw that yesterday) make me want to set my clothes on fire and hide out in a three fund portfolio for the next 10 years. If I were Larry it would drive me nuts.
by Jebediah
Fri Jul 18, 2014 12:48 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: But why not 100% stock index fund?

HenryPorter wrote:The funny part now is I look at some of my index funds and see they have a 2% yield and I am partially comforted. At least some part of the stock portfolio can compete with a multi-year CD or plain vanilla bond fund w/o any heavy lifting.


Henry, stock dividends don't work that way.
by Jebediah
Wed Jul 16, 2014 1:01 am
 
Forum: Investing - Theory, News & General
Topic: But why not 100% stock index fund?
Replies: 76
Views: 7646

Re: a close look at value and momentum

Longinvest, I matched up DFSVX and VTSAX to their closest K French portfolios selecting from his finer-grained 5x5 portfolio set (instead of his 3x2 "asset class" portfolios). I matched them via correlations of annual returns, correlations were around .98 and .94 if I recall; not an academ...
by Jebediah
Mon Jul 14, 2014 11:28 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

It is interesting to note that your SV/LB TellTale chart significantly overstates the advantage of SV, when compared to the real-life chart of DFSVX/VTSMX I showed in http://www.bogleheads.org/forum/viewtopic.php?f=10&t=142483&start=100#p2118876 (which already overstates the returns of DFSV...
by Jebediah
Mon Jul 14, 2014 7:53 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

It's a much bigger leap to pretend they would have performed similarly had people actually invested in such an index. The fact that there are few funds representing this style of investing going back pre-'90s is a big deal to me. Morningstar's longer term benchmark data for funds that matched the S...
by Jebediah
Mon Jul 14, 2014 6:54 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

To follow up on the previous thought (then I'll leave it alone), some Telltale charts of SV vs SG and Large Blend... Against SG there is little to no period dependency. Against LB there is a kind of period dependency, but it is an alternating of UP periods and FLAT periods. No real SV down periods. ...
by Jebediah
Mon Jul 14, 2014 6:04 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

Here are a few visualizations of French's data, wanting to test the idea of period-dependency of the Small value and Value premia. The premia appear to be consistently positive (albeit noisy) on rolling 10, 15, and 20 year horizons, gaining consistency as the horizon grows. LV is somewhat more perio...
by Jebediah
Mon Jul 14, 2014 3:26 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

From the French data, growth of $1, 1926 to present:

SG: $1594
SV: $201,836
LG: $2526
LV: $18,570
by Jebediah
Sun Jul 13, 2014 11:06 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

JoMoney wrote: Depending on the time period you look at, owning growth stocks has beaten the market.


Can you demonstrate with some data?
by Jebediah
Sun Jul 13, 2014 2:04 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

Regarding the SV vs TSM Telltale chart above: would be great to have a longer record of live fund data. In lieu of that, here is a similar comparison using French's data from 1927. I simply subtracted LB annual returns from SV, summed in rolling 5 and 15 year horizons. LB and SV portfolios as define...
by Jebediah
Sat Jul 12, 2014 9:26 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

steve_14 wrote:
Well, you have to do what works for you. The only question is, which risk factor to choose?


You're right, TSM is the only possible investment. What was I thinking? :oops:
by Jebediah
Fri Jul 11, 2014 7:39 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: a close look at value and momentum

Is my rental property a "bet against the market"?

Point is, harvesting multiple sources of risk/return is prudent. FWIW, my IPS allows me to allocate up to 80% of my capital to risky assets, but no more than 40% to any one source (e.g. beta).
by Jebediah
Fri Jul 11, 2014 3:33 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 259
Views: 18772

Re: Online Ruin Rate Calculator

I had a bit of a rude awakening with the monte carlo simulator at portfoliovisualizer.com (amazing site, btw). If I plug in my numbers and choose "historical data" as the database, then I'm at 90+% success with an average endpoint of some ridiculous amount, like 30 million. But if I invoke...
by Jebediah
Thu Jul 10, 2014 5:35 pm
 
Forum: Investing - Theory, News & General
Topic: Online Ruin Rate Calculator
Replies: 19
Views: 2275

Re: If you wouldn't buy (stocks), then you must sell

This is one of my favorite behavioral finance topics. It is subtle, and I think commonly misunderstood (as betrayed by the majority of responses here). It has nothing to do with market timing. The point is that buying and holding are always equivalent (setting aside taxes, etc), but our psyches mist...
by Jebediah
Thu Jul 03, 2014 2:38 am
 
Forum: Investing - Theory, News & General
Topic: If you wouldn't buy (stocks), then you must sell
Replies: 32
Views: 3150

Re: The Two-Fund SVIT Portfolios - Higher Returns and Lower

If you wrote this only for bogleheads, you obviously put in an incredible amount of work. Maybe I'm not seeing part of the doc. All I see is 15 pages of efficient frontier graphs and notes regarding said graphs. Agree that makes for a lengthy forum post, but I wouldn't call it a "paper".
by Jebediah
Fri Jun 27, 2014 12:39 am
 
Forum: Investing - Theory, News & General
Topic: The Two-Fund SVIT Portfolios - Higher Returns and Lower Risk
Replies: 110
Views: 6941

Re: The Two-Fund SVIT Portfolios - Higher Returns and Lower

Sorry to be harsh but this is ridiculous. Yes, the Larry Portfolio, with or without International, backtests really well. This fact is not only well known, it's pretty much the most popular topic on the forum! "Your" 19 portfolios are all the same portfolio re-mixed at 5% increments. Why n...
by Jebediah
Thu Jun 26, 2014 11:37 pm
 
Forum: Investing - Theory, News & General
Topic: The Two-Fund SVIT Portfolios - Higher Returns and Lower Risk
Replies: 110
Views: 6941

Re: investing international, why & how much

berntson wrote: Since it's an international fund, it doesn't belong in a tax advantaged account. Since it has high turnover, it doesn't belong in a taxable account. I'm not sure where I would put it.


GVAL belongs in tax-advantaged, no question.
by Jebediah
Fri Jun 13, 2014 12:42 am
 
Forum: Investing - Theory, News & General
Topic: investing international, why & how much
Replies: 51
Views: 4683

Re: Please help me with the optimal asset allocation

If you haven't already, I'd read Robert T's collected thoughts, it's a sticky thread. You can be diversified and simplified at the same time. You should trust the community when they tell you that you want simplicity. For example, this port: 30% SCV (pxsv) 20% ISV (dls) 10% EMSV (dgs) 40% 5 Yr Treas...
by Jebediah
Wed Jun 04, 2014 12:23 am
 
Forum: Investing - Help with Personal Investments
Topic: Please help me with the optimal asset allocation
Replies: 38
Views: 2489

Re: a tale of two small value funds

Just so people know, there are more than two small cap value funds in the world.

For example, FCPVX...

Image
by Jebediah
Mon May 19, 2014 12:41 pm
 
Forum: Investing - Theory, News & General
Topic: a tale of two small value funds
Replies: 25
Views: 2003

Re: Boglehead equivalent of a Permanent Porfolio (for 27 yo)

Consider this portfolio:

30% US stock
20% ex-US
10% Gold
40% 5 Year Treasury


forget REITS, you don't need them.
by Jebediah
Fri May 16, 2014 12:07 am
 
Forum: Investing - Help with Personal Investments
Topic: Boglehead equivalent of a Permanent Porfolio (for 27 yo)?
Replies: 17
Views: 1606

Re: Jeremy Grantham article [Bull market will "end badly"]

Risk-adjusted performance of GMO's Benchmark-free Asset Allocation fund, GBMFX, (the one that "counts", according to Grantham), has in fact been phenomenal . 10 year annualized returns: GBMFX: 9.76% VG Wellington: 8.55% DFA Global 60/40: 7.18% 10 year SD: GBMFX: 6.78% VG Wellington: 9.76% ...
by Jebediah
Sat May 10, 2014 6:13 pm
 
Forum: Investing - Theory, News & General
Topic: Jeremy Grantham article [Bull market will "end badly"]
Replies: 22
Views: 3957

Re: accessing the profitability factor

larryswedroe wrote:schuyler
That's true if it's free lunch, not a risk story.


Hang on a minute. You're saying beta or small cap factors (purely risk stories) can get bid up into the stratosphere and future expected returns aren't diminished in kind?
by Jebediah
Tue May 06, 2014 1:10 am
 
Forum: Investing - Theory, News & General
Topic: accessing the profitability factor
Replies: 10
Views: 886

Re: Post on bonds and low volatility anomaly

Nice article Larry.

Is it true that there's a sweet spot in credit risk at short durations? Thus low duration / high yield isn't such a bad option?
by Jebediah
Wed Apr 23, 2014 6:53 pm
 
Forum: Investing - Theory, News & General
Topic: Post on bonds and low volatility anomaly
Replies: 10
Views: 1137

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: 1397

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: 1143

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: 17
Views: 2405
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