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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: 17314

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: 17314

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: 7095

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: 17314

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: 17314

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: 17314

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: 17314

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: 17314

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: 17314

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: 17314

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: 17314

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: 17314

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: 17314

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: 2198

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: 3013

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: 6640

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: 6640

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: 4561

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: 2457

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: 1878

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: 1567

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: 3852

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: 855

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: 1126

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: 1367

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: 1126

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: 2347

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: 1830

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: 7091

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: 7091

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: 5141

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: 4554

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: 903

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: 4600

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: 4600

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: 2063

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: 9807

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: 7231

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: 17754

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: 2150

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: 2150

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: 2150

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: 2150

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: 2150

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: 4103

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: 555

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: 4393

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: 1124

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: 1124

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: 6351
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