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Re: Due diligence on RAFI Pure Small Value

I hold PXSV and PDN, as well as QICLX and QEELX. Considering moving to QSMLX for domestic SCV and adding QSPIX, but haven't made final decision. AQR funds are available with low minimums at Fidelity and TD Ameritrade, and possibly other brokerages.
by Ketawa
Tue Sep 30, 2014 6:51 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: The volatility of premiums

If I picked any random half of the market, wouldn't the odds of my portfolio premium being negative in any given year be 50%? If so, it looks to me like value is less risky than growth and small is less risky than large, as both are ways to underperform the average less than 50% of the time. Stocks...
by Ketawa
Mon Sep 29, 2014 11:39 pm
 
Forum: Investing - Theory, News & General
Topic: The volatility of premiums
Replies: 21
Views: 1332

Re: Illmanen and AQR style premium fund +interview I did

Larry, about how much of the AQR Style Premia Fund (QSPIX) are you recommending for investors? I was thinking 10% of my equity holdings. It looks like QSPIX is available at Fidelity. I have not made any decision yet about whether I would invest in it. I have to wait until at least February 2015 anyw...
by Ketawa
Mon Sep 29, 2014 11:52 am
 
Forum: Investing - Theory, News & General
Topic: Illmanen and AQR style premium fund +interview I did
Replies: 28
Views: 1468

Re: Future equities 2% real rhetoric is hogwash

I have been reading lately quite a few people discussing future 2% real returns on equities and I just don't understand how that is possible. Corporations are out there to make a profit. When a corporation makes money it has 2 choices with it. One is to invest back in the corporation thereby increa...
by Ketawa
Mon Sep 29, 2014 11:07 am
 
Forum: Investing - Theory, News & General
Topic: Future equities 2% real rhetoric is hogwash
Replies: 43
Views: 3103

Re: Future equities 2% real rhetoric is hogwash

I have been reading lately quite a few people discussing future 2% real returns on equities and I just don't understand how that is possible. Corporations are out there to make a profit. When a corporation makes money it has 2 choices with it. One is to invest back in the corporation thereby increa...
by Ketawa
Mon Sep 29, 2014 10:13 am
 
Forum: Investing - Theory, News & General
Topic: Future equities 2% real rhetoric is hogwash
Replies: 43
Views: 3103

Re: DFA-RAFI & factor diversification within 30:30:40 portfo

Sammy_M wrote:Robert, portfoliovisualizer.com shows the following factor loads when using the Frazzini-Pederson Factors and including Quality factor. Just wondering, why the difference?


One reason is that regression on QUAL has less than a year of data.
by Ketawa
Sun Sep 28, 2014 10:32 am
 
Forum: Investing - Theory, News & General
Topic: DFA-RAFI & factor diversification within 30:30:40 portfolio
Replies: 17
Views: 1985

Re: Emerging Markets Index

According to the fact sheet for CWO: Prior to July 1, 2012, the investment objective of CWO was to replicate, to the extent possible, the performance of the MSCI Emerging Markets Index. Consequently, performance prior to July 1, 2012 for CWO may have been materially different than it would have bee...
by Ketawa
Sat Sep 27, 2014 12:43 pm
 
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index
Replies: 20
Views: 904

Re: Emerging Markets Index

According to the fact sheet for CWO: Prior to July 1, 2012, the investment objective of CWO was to replicate, to the extent possible, the performance of the MSCI Emerging Markets Index. Consequently, performance prior to July 1, 2012 for CWO may have been materially different than it would have been...
by Ketawa
Sat Sep 27, 2014 12:29 pm
 
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index
Replies: 20
Views: 904

Re: Emerging Markets Index

CWO is a Canadian ETF. I'm not familiar with how this works, but I would assume you can't buy it if you are a US investor. I can't buy it on TD Ameritrade. Just guessing again, but the performance difference compared to PXH might be caused by CWO being denominated in the Canadian dollar, if that is ...
by Ketawa
Sat Sep 27, 2014 12:26 pm
 
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index
Replies: 20
Views: 904

Re: Illmanen and AQR style premium fund +interview I did

QSPIX distributed about 1.7% of its NAV in July. About half was STCG and about half was LTCG. It's very tax inefficient.
by Ketawa
Fri Sep 26, 2014 10:00 pm
 
Forum: Investing - Theory, News & General
Topic: Illmanen and AQR style premium fund +interview I did
Replies: 28
Views: 1468

Re: Trying to understand Uber and similar "ride sharing" ser

The only negative I have against uber/uber-x is when they do the "2.5X rate" during busy/peak periods. They do give you the option of opting out of their service so this is good but the rate should be the rate not "We are busy - but if you are willing to pay double we'll come get you...
by Ketawa
Fri Sep 26, 2014 4:46 pm
 
Forum: Personal Consumer Issues
Topic: Trying to understand Uber and similar "ride sharing" service
Replies: 51
Views: 3129

Re: Illmanen and AQR style premium fund +interview I did

I'd consider owning QSPIX if it was available to me, maybe 10% of my equity holdings. Looking at M* growth charts, it appears to zig and zag in different directions from other common asset classes. Unfortunately, this is one of the AQR funds that isn't available through TD Ameritrade, unlike the var...
by Ketawa
Fri Sep 26, 2014 3:36 pm
 
Forum: Investing - Theory, News & General
Topic: Illmanen and AQR style premium fund +interview I did
Replies: 28
Views: 1468

Re: Trying to understand Uber and similar "ride sharing" ser

I have thought about becoming an Uber driver solely to drive during the few times a year we have snow. My truck has 4wd. Last winter, we once had 6-10 inches of snow and the roads around my neighborhood weren't plowed for days. Uber raises prices during bad weather to entice more drivers to become a...
by Ketawa
Fri Sep 26, 2014 1:40 pm
 
Forum: Personal Consumer Issues
Topic: Trying to understand Uber and similar "ride sharing" service
Replies: 51
Views: 3129

Re: Due diligence on RAFI Pure Small Value

A small cap value fund doesn't have to suffer from negative momentum. QSMLX hasn't been around for very long, and there's only 15 months of data for regressions. For comparison over the same time period: VBR: 0.17 QSMLX: 0.10 BOSVX: 0.02 PXSV: -0.13 DFSVX: -0.30 RZV: -0.68 Obviously a very short tim...
by Ketawa
Thu Sep 25, 2014 3:46 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Due diligence on RAFI Pure Small Value

In looking at the AQR fund in question, I don't really see why it would be a better option than PXSV. QSMLX is about as small and a little less valuey. The big differences I see are: 1. QSMLX targets momentum, PXSV has had a pretty big negative loading on momentum 2. QSMLX explicitly targets profit...
by Ketawa
Thu Sep 25, 2014 2:29 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Due diligence on RAFI Pure Small Value

TD Ameritrade lets you buy AQR funds for $50 and the minimum invesment isn't $5 million. They once made a mistake and forgot to charge me, so I bought two funds for an average of $25 each. You just need to limit transactions.
by Ketawa
Thu Sep 25, 2014 10:52 am
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Due diligence on RAFI Pure Small Value

It also gets easier to justify when after 10 years of underperformance, brand new fund Z with half the ER, and a new snazzy index (fundamental, momentum, high quality pure value, small cap fund returned 20%/yr for the past 40 years. Of course only 5 stocks passed its screens:)) is announced. QSMLX ...
by Ketawa
Wed Sep 24, 2014 8:09 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Mango Money as Fixed Income

Oh no I agree that it's an asset. But when I wrote my IPS, I assumed that fixed income assets would have compounding returns. Maybe that's my problem? Yes, that is the problem. Let's say that you only had enough to put $4k into the Mango account. Taking the monthly fee into account, it would earn a...
by Ketawa
Wed Sep 24, 2014 10:04 am
 
Forum: Investing - Help with Personal Investments
Topic: Mango Money as Fixed Income
Replies: 5
Views: 649

Re: Due diligence on RAFI Pure Small Value

QSMLX Top Holdings iShares Russell 2000 10.82% Jpmorgan Us Var 12/49 5.60% What's up with that? Looks inaccurate. It's not uncommon for funds like this to hold a liquid ETF in the same asset class, presumably for redemptions I would guess. From the fund's web site: Top Ten Holdings % of Net Assets ...
by Ketawa
Tue Sep 23, 2014 4:37 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Due diligence on RAFI Pure Small Value

Not that you asked me, but the biggest bugaboo with QSMLX is the lack of underlying index. If this fund were to trail PXSV for 10 years you'd have no idea if it were due to luck of the draw in differences of indexes or if AQR had poor implementation and "frictional costs" were dragging 2%...
by Ketawa
Tue Sep 23, 2014 2:18 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Due diligence on RAFI Pure Small Value

Portfolio Visualizer doesn't incorporate profitability (PMU): Nowadays you can select the Frazzini/Pedersen data set, not just F/F research and benchmark. Then you get two additional options; QMJ (Asness) and BAB (low beta). QMJ seems to be a better idea (multiple metrics), for similar reasons as f...
by Ketawa
Tue Sep 23, 2014 9:59 am
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Due diligence on RAFI Pure Small Value

Ketawa, which of the two would be your choice in the small value space if you had to pick one? PXSV or RZV? PXSV since it is more diversified and has 4-5% higher alpha than RZV. It is currently my largest equity holding. I am skeptical of its ability to maintain a large positive alpha, so I am cons...
by Ketawa
Mon Sep 22, 2014 10:49 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Due diligence on RAFI Pure Small Value

A 3 year period isn't enough time to draw meaningful conclusions. For 1995-07 to 2011-09, the longest period I have data for both the RAFI Pure Small Value Index and S&P 600 Pure Value Index, I get: HML SMB Mkt-RF Mom PMU α yearly α S&P 600 Pure Value 1.15 0.95 1.05 -0.30 0.36 -0.19 -2.3% RA...
by Ketawa
Mon Sep 22, 2014 9:35 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: Due diligence on RAFI Pure Small Value

It is accurate, and that is possible.
by Ketawa
Mon Sep 22, 2014 7:40 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 186
Views: 15695

Re: AliBaba

yes I did all right on my 1000 shares of BABA, just as expected, sold 50% made 3K, holding on to 50% little greedy with my play money, if I make another 3K I will sell another 50% of the 50% remaining, and wait for another opportunity, if it was only so easy and so quick to make so much in Vanguard...
by Ketawa
Sun Sep 21, 2014 12:44 am
 
Forum: Investing - Theory, News & General
Topic: AliBaba
Replies: 128
Views: 8145

Re: Premiums: Size, Value, Beta, Momentum

It should also be noted that the SmB (size) premium has not exited since FF published their 1993 research paper. Don't think this is quite true - if I understand what you are saying. This is what I get. 1993-2013 annualized return Vanguard 500 = 9.16% DFA US Microcap = 12.42% A 3.26% annualized ret...
by Ketawa
Tue Sep 16, 2014 9:59 pm
 
Forum: Investing - Theory, News & General
Topic: Premiums: Size, Value, Beta, Momentum
Replies: 40
Views: 2833

Re: Hamilton watches, worth the money?

I have had a Hamilton Khaki King automatic watch, H64455533, for a few years. It was $370 when I purchased it. It is a more casual style and not something I would wear with anything more formal than chinos or jeans. It is a little fast and probably gains about 1 minute per week. I have been pleased ...
by Ketawa
Mon Sep 15, 2014 10:01 am
 
Forum: Personal Consumer Issues
Topic: Hamilton watches, worth the money?
Replies: 236
Views: 9747

Re: Let me get this straight about SCV & factor diversificat

This isn't true. Look up the returns of the S&P indexes since the inception date of Vanguard's SCV and SCG funds. Both funds are closer to blended funds than true value and true growth funds. That means either is fine if you're only trying to capture the small premium while avoiding the "b...
by Ketawa
Fri Sep 12, 2014 10:55 pm
 
Forum: Investing - Theory, News & General
Topic: Let me get this straight about SCV & factor diversification
Replies: 153
Views: 9172

Re: Let me get this straight about SCV & factor diversificat

This doesn't demonstrate that the value premium has died, more that it demonstrates using a single LCV fund is not a good way to pursue factor investing. I'll also use Portfolio Visualizer since it should be sufficient for this discussion. It should be noted that calling it a large value fund is re...
by Ketawa
Fri Sep 12, 2014 5:00 pm
 
Forum: Investing - Theory, News & General
Topic: Let me get this straight about SCV & factor diversification
Replies: 153
Views: 9172

Re: Let me get this straight about SCV & factor diversificat

And as a follow-up, using PV I looked at the factor loadings of Vanguard's LCV fund (VIVAX) vs. TSM and found that VIVAX loads 0.31 on value, while TSM loads 0.02, for the period 1993-2013 (longest available for VIVAX). Yet the returns of VIVAX and TSM were virtually the same over this 21 years (CA...
by Ketawa
Fri Sep 12, 2014 1:33 pm
 
Forum: Investing - Theory, News & General
Topic: Let me get this straight about SCV & factor diversification
Replies: 153
Views: 9172

Re: Let me get this straight about SCV & factor diversificat

Take all regressions of the Vanguard value/growth funds with a grain of salt. They used to follow S&P indexes, then switched to MSCI indexes. And now they're on CRSP indexes! I'm speaking generally here because I haven't looked at all these numbers recently, but the assorted value indexes from b...
by Ketawa
Thu Sep 11, 2014 12:02 am
 
Forum: Investing - Theory, News & General
Topic: Let me get this straight about SCV & factor diversification
Replies: 153
Views: 9172

Re: What Movie Have You [Recently] Watched?

My favorite movies that I have seen in 2014 came out in 2013. Prisoners Short Term 12 Drinking Buddies 12 Years a Slave The big blockbusters have generally been very good this summer: Guardians of the Galaxy , X-Men: Days of Future Past , new Captain America , Godzilla , Edge of Tomorrow .
by Ketawa
Tue Sep 02, 2014 10:03 am
 
Forum: Personal Consumer Issues
Topic: What Movie Have You Recently Watched?
Replies: 105
Views: 4481

Re: The Larry Portfolio - For Tilters and S&D'ers Only

I have a Larry Portfolio in the sense that I tilt as much as possible while being constricted to the TSP for some of my equities. 27 years old, 80/20 portfolio, so I answered X = -10. My main holdings in my IRA are: QICLX: AQR International Core Equity Fund QEELX: AQR Emerging Core Equity Fund PDN: ...
by Ketawa
Mon Aug 25, 2014 3:28 pm
 
Forum: Investing - Theory, News & General
Topic: The Larry Portfolio - For Tilters and S&D'ers Only
Replies: 27
Views: 3265

Re: Can a Commodities Fund be a Long-Term Investment?

But you aren't investing in commodities, you are investing in commodities futures. They behave differently. Plus, even pure commodities like gold don't have a negative expected real return, they have a zero expected real return. 1. Why would you invest in something that has a zero expected real ret...
by Ketawa
Sat Aug 23, 2014 1:43 am
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2853

Re: Moved from VBR to PXSV in tax Deferred this week

How often do you need to transact more than $25k at once? There's typically at least 1000 shares available at the bid or ask with a 5 cent spread, about 20 bp. Transaction fees add a whopping 3 bp to that. Whoop-de-doo.
by Ketawa
Thu Aug 21, 2014 2:59 pm
 
Forum: Investing - Theory, News & General
Topic: Moved from VBR to PXSV in tax Deferred this week
Replies: 16
Views: 1207

Re: Vanguard International ETF's

in_reality wrote:I think SCHC (Schwab international small cap (0.19%ER) could also be paired with VEA to get total market (minus emerging). There must be a Vanguard fund though.


There isn't a Vanguard fund that is a perfect complement.
by Ketawa
Thu Aug 21, 2014 10:32 am
 
Forum: Investing - Help with Personal Investments
Topic: Vanguard International ETF's
Replies: 7
Views: 505

Re: Long term bond tilting?

Ketawa: I wouldn't do it. The free lunch is too great. We're talking 2%+ above short term yields; the market did consider the availability of 3% long bonds when setting those. Whatever the chemistry between stocks and long bonds (which I'm normally a fan of), it's not worth 2%. Also, I'm jealous. I...
by Ketawa
Tue Aug 19, 2014 7:14 pm
 
Forum: Investing - Theory, News & General
Topic: Long term bond tilting?
Replies: 14
Views: 1275

Re: Long term bond tilting?

There is actually one free lunch in bonds, and it's the G Fund. So here is an interesting question: is adding duration by mixing the G Fund with long term Treasuries worth the potential correlation benefits? Right now, my fixed income is 100% G Fund. 0 duration, 2.375% yield. Let's say I wanted to e...
by Ketawa
Tue Aug 19, 2014 10:38 am
 
Forum: Investing - Theory, News & General
Topic: Long term bond tilting?
Replies: 14
Views: 1275

Re: Hw many credit cards to own?

Eligible for free FICO at PENFED....3 ways....couldn't find how using VISA: "PenFed partnered with FICO to develop and integrate the FICO® Score into its online banking service. Successfully launching the feature on July 12, 2014, the benefit is now available to PenFed members who have active ...
by Ketawa
Tue Aug 19, 2014 10:03 am
 
Forum: Personal Finance (Not Investing)
Topic: Hw many credit cards to own?
Replies: 121
Views: 29968

Re: Berkshire Hathaway A's about to hit $200k/pps

To GTMN: Yes, yes and yes. Think hard about what you're putting in and getting out. The pending Alibaba IPO, a screw job if there even was one, is a perfect example of what I'm talking about. The markets are good for capital formation and wonderful for investment bankers, brokers, and start-up inve...
by Ketawa
Sat Aug 16, 2014 7:10 pm
 
Forum: Personal Finance (Not Investing)
Topic: Berkshire Hathaway A's about to hit $200k/pps
Replies: 42
Views: 2737

Re: USAA Changes effective 6 Aug 14

Sheepdog wrote:You aren't the only one who is having problems with USAA today. See USAA consumer complaints: http://www.consumeraffairs.com/insurance/usaa_auto.html


Every auto insurance company attracts complaints on sites like this. They all have a 1* rating.
by Ketawa
Sat Aug 16, 2014 10:47 am
 
Forum: Investing - Help with Personal Investments
Topic: USAA Changes effective 6 Aug 14
Replies: 28
Views: 3929

Re: How to ensure military members don't get ripped off

1. Limited investment menu. TSP offer only 3 index funds, an international fund and the G fund which invests solely in US tresasuries. Only other options are 5 target funds. About $120B or 40% of the TSP is invested in the G fund which had a compound return of 1.89% in 2013 and will be lower this y...
by Ketawa
Wed Aug 13, 2014 4:32 pm
 
Forum: Investing - Theory, News & General
Topic: How to ensure military members don't get ripped off
Replies: 71
Views: 4454

Re: Can the reverse of market timing work?

So let's say instead that the retired person in question has a target 50-50 AA. So let's say we're in March 2009 when the stock market hit a low, and your AA has now drifted to 25% stock, 75% bond because you didn't rebalance anything and stocks had fallen 50% (let's assume bonds broke even since t...
by Ketawa
Sun Aug 10, 2014 12:05 am
 
Forum: Investing - Theory, News & General
Topic: Can the reverse of market timing work?
Replies: 18
Views: 2100

Re: Poll: What's the name of Argentina's stock market?

Interesting that Vanguard Total International Stock Market would include even one Argentina stock. Argentina isn't even listed as a country included in the FTSE Global All Cap ex US Index. http://www.ftse.com/analytics/factsheets/Home/Search# I don't think it's a case where the fact sheet leaves it ...
by Ketawa
Sat Aug 09, 2014 9:21 pm
 
Forum: Investing - Theory, News & General
Topic: Poll: What's the name of Argentina's stock market?
Replies: 37
Views: 2460

Re: Going 60+% international? (US resident)

Which is it: you want to replicate global weightings, or you want to chase valuations? If the former, 50/50 is the global weight: https://personal.vanguard.com/us/funds/snapshot?FundId=3141&FundIntExt=INT#tab=2 If the latter, good luck. North America includes Canada and Mexico, which is part of...
by Ketawa
Sat Aug 09, 2014 4:40 pm
 
Forum: Investing - Theory, News & General
Topic: Going 60+% international? (US resident)
Replies: 83
Views: 6033

Re: Dividend Strategy Ain't For Everyone

manwithnoname wrote:The reason your theory doesn't work is that you will never know when the market has hit bottom so its impossible to time when to buy sufficient equities to generate income needed for expenses.


This is not an accurate representation of the argument against dividend investing.
by Ketawa
Fri Aug 08, 2014 10:14 pm
 
Forum: Investing - Theory, News & General
Topic: Dividend Strategy Ain't For Everyone
Replies: 149
Views: 11311

Re: Dividend Strategy Ain't For Everyone

Have you heard of the BTFD strategy? (Buy the F--ing Dip!) That has made ex-div dates the most popular day of the year for buying some securities. It's almost comical how people try to buy low on ex-div day and they can't because the price has already rocketed up due to high demand! But if this eff...
by Ketawa
Fri Aug 08, 2014 9:50 pm
 
Forum: Investing - Theory, News & General
Topic: Dividend Strategy Ain't For Everyone
Replies: 149
Views: 11311

Re: More Tax Loss Harvesting Questions

A couple of questions about Tax Loss Harvesting. 1. I have several thousand dollars of realized long term capital gains that I would like to offset through TLH before the end of the year. The only unrealized capital losses I have to TLH are short term (and won’t be long by the end of the year). Doe...
by Ketawa
Fri Aug 08, 2014 8:02 pm
 
Forum: Investing - Help with Personal Investments
Topic: More Tax Loss Harvesting Questions
Replies: 11
Views: 752

Re: Tell Vanguard they need 2 factor authentication

Those companies have the luxury of running large profits in other areas to make up for the costs of areas like this. Vanguard operates on a zero profit basis, and is mutually held. E-Trade can spend more money and charge someone else, or take it out of profits. Vanguard spends more money and only h...
by Ketawa
Fri Aug 08, 2014 7:45 pm
 
Forum: Personal Consumer Issues
Topic: Tell Vanguard they need 2 factor authentication
Replies: 52
Views: 2457
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