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Re: Asness/AQR - Smart Beta Not New, Not Beta, Still Awesome

matjen wrote:Here is a link to the PDF which will download. Article classifies the different quant/smart beta strategies.

https://t.co/krAU0gmo1Z

Your link is no longer working.
by Oliver
Tue Oct 07, 2014 8:45 pm
 
Forum: Investing - Theory, News & General
Topic: Asness/AQR - Smart Beta Not New, Not Beta, Still Awesome
Replies: 2
Views: 434

Re: Good article on style premium investing & AQR new fund

It appears that only Class N shares are available for this fund through TD Ameritrade, ticker QSPNX. These have the higher ER, which is capped at 1.75%. Class L shares are 1.50%. Class L shares are available through TD Ameritrade for the Momentum and Core Equity funds. Ouch, ER capped at 1.75%! I w...
by Oliver
Mon Sep 15, 2014 9:44 pm
 
Forum: Investing - Theory, News & General
Topic: Good article on style premium investing & AQR new fund
Replies: 86
Views: 8250

Re: HSA Investing

I clicked the link and some subsequent pages. Has anybody found the fee disclosure (fees other than the fund ER)? I believe the vanguard link leads to HSA Administrators. The fees are $45 per year plus a custodial fee of .0008 per quarter. Here is the fee schedule. http://hsaadministrators.info/hsa...
by Oliver
Fri Nov 08, 2013 4:22 pm
 
Forum: Investing - Help with Personal Investments
Topic: HSA Investing
Replies: 11
Views: 1113

Re: HSA Investing

You might look at the summary in this thread and the links. Since vanguard etfs are available with any brokerage account, I would look at the expected annual cost in relationship with portfolio size.

viewtopic.php?f=1&t=124589
by Oliver
Fri Nov 08, 2013 3:45 pm
 
Forum: Investing - Help with Personal Investments
Topic: HSA Investing
Replies: 11
Views: 1113

Re: SE Florida chapter - 2013/14 next meeting

I would be interested in attending.
by Oliver
Fri Nov 08, 2013 12:40 am
 
Forum: Local Chapters and Bogleheads Community
Topic: SE Florida - Taylor's big birthday meeting 1/26/14
Replies: 50
Views: 4455

Re: Paper: Standby Reverse Mortgages

Thanks for posting. I was thinking about this for my mother. Downloading the paper momentarily.
by Oliver
Tue Nov 05, 2013 9:13 pm
 
Forum: Investing - Theory, News & General
Topic: Paper: Standby Reverse Mortgages
Replies: 1
Views: 669

Re: HSA, HRAs and the last month rule.

Looking into this myself but with no current insurance and under ACA next year. Is there any benefit to getting an HDHP for one month in December to get 2013 contribution and starting with a different HDHP for all of next year? Does the Last Month rule then apply also for 2014 or is it only the fir...
by Oliver
Tue Nov 05, 2013 8:53 pm
 
Forum: Personal Finance (Not Investing)
Topic: HSA, HRAs and the last month rule.
Replies: 17
Views: 1121

Re: Obamacare, increased health costs, disappearing 401k?

This is definitely throwing a wrinkle into my early retirement planning. All the early retirees and/or part-time working people I know of my age demographic (~50) are looking at significant increases when they replace their cancelled policies. There are also people in there 40's and 50's who could ...
by Oliver
Tue Nov 05, 2013 8:46 pm
 
Forum: Personal Finance (Not Investing)
Topic: Obamacare, increased health costs, disappearing 401k?
Replies: 41
Views: 4179

Re: Best Health Insurance Option?

The out of network max out of pocket is double the in network. I think i need to investigate the out of network option. Faced with a serious medical problem and very bad in network choices, could i just pay an additional $6k and be fully covered 100% by insurance. PS Same maximum out of pocket for b...
by Oliver
Mon Nov 04, 2013 5:57 pm
 
Forum: Personal Finance (Not Investing)
Topic: Best Health Insurance Option?
Replies: 23
Views: 2658

Re: HSA help

I might go with Saturna. This would be my first hsa account and will fully fund it at the beginning of the year. I expect I will invest in an etf at the brokerage($14.95). If I can actually have an HSA for $15/year, I will be very happy. As the account balance grows, other alternatives might be bett...
by Oliver
Mon Nov 04, 2013 1:48 pm
 
Forum: Investing - Help with Personal Investments
Topic: HSA help
Replies: 16
Views: 2020

Re: Best Health Insurance Option?

This is an interesting analysis. The author believes bronze plans are a better buy. http://www.hullfinancialplanning.com/bronze-may-be-the-most-precious-metal-under-obamacare/ PS You might consider an HSA. PPS I expect your current grandfathered insurance plan has a lifetime cap and maybe an annual ...
by Oliver
Thu Oct 31, 2013 10:37 pm
 
Forum: Personal Finance (Not Investing)
Topic: Best Health Insurance Option?
Replies: 23
Views: 2658

Re: Please help interpret this 3 factor analysis

Alpha above represents the monthly alpha. You might find this article interesting. http://www.cbsnews.com/8301-505123_162-57413875/how-the-four-stock-premiums-work/ PS You might run the those funds through the four factor model and the rolling regressions at the site. Rolling regressions give some i...
by Oliver
Tue Oct 29, 2013 2:24 pm
 
Forum: Investing - Theory, News & General
Topic: Please help interpret this 3 factor analysis
Replies: 15
Views: 973

Re: If you could have only one fund, what would it be?

I am a big fan of passive investments. However, my one fund is an active fund. It offers factor exposure to microcap stocks (small), value and momentum factors while generating alpha. The fund is Bridgeway's ULTRA-SMALL COMPANY FUND (brusx).

PS It has been closed forever.
by Oliver
Mon Oct 28, 2013 7:27 pm
 
Forum: Investing - Theory, News & General
Topic: If you could have only one fund, what would it be?
Replies: 124
Views: 22901

Re: iphone options?

If things do not work on your off contact iPhone purchase, you might check out the Nexus 5 release later this month. Given the specs, it will make an excellent international phone. The 16gb version should sell for $350 off-contract. To synch your data this somewhat dated article might be useful. htt...
by Oliver
Fri Oct 25, 2013 6:03 pm
 
Forum: Personal Consumer Issues
Topic: iphone options?
Replies: 17
Views: 1681

Re: Whats the diff between index investing vs buying your ow

A number of years ago, I realized I was not as geographically diversified as I thought. My vanguard mutual funds did not include any allocation to Canada. To achieve this exposure, I bought individual stocks. I ended up at interactive brokers. IB has $1 commissions. The expense of owning your own pa...
by Oliver
Sat Oct 19, 2013 11:33 pm
 
Forum: Investing - Theory, News & General
Topic: Whats the diff between index investing vs buying your own?
Replies: 39
Views: 2688

Re: Longleaf Funds

Would you be able to run a similar analysis on SEQUX? Would also like to see that (and I do own it ) You might try the site below to run it yourself. There is an active thread on automating three factor and four factor analysis. http://www.portfoliovisualizer.com/PerformFactorAnalysis http://www.bo...
by Oliver
Sat Oct 19, 2013 5:46 pm
 
Forum: Investing - Theory, News & General
Topic: Longleaf Funds
Replies: 14
Views: 1908

Re: Longleaf Funds

I still own some shares of longleaf international from long ago.

PS For some reason, I am drawing a blank. If you use monthly data is the alpha a monthly alpha?
by Oliver
Sat Oct 19, 2013 8:23 am
 
Forum: Investing - Theory, News & General
Topic: Longleaf Funds
Replies: 14
Views: 1908

Re: Website to perform Fama-French regressions automatically

Thanks for the update! Glad to see the factor loading on Bridgeway's funds. :happy PS I found the definitions given in this article more informative. http://www.cbsnews.com/8301-505123_162-57413875/how-the-four-stock-premiums-work/ While the value premium is defined as the return of the top 30 perce...
by Oliver
Sat Oct 19, 2013 8:13 am
 
Forum: Investing - Theory, News & General
Topic: Website to perform Fama-French regressions automatically
Replies: 39
Views: 2695

Re: Website to perform Fama-French regressions automatically

Looking forward to any and all factor tools. I am looking forward to seeing momentum included in pvguy's application. The rolling 5 year regression factor analysis would be great addition also. PS PVGuy could you verify that your regressions are using the standard definitions of size and value premi...
by Oliver
Thu Oct 17, 2013 7:34 pm
 
Forum: Investing - Theory, News & General
Topic: Website to perform Fama-French regressions automatically
Replies: 39
Views: 2695

Re: Website to perform Fama-French regressions automatically

I created one a while back at www.portfoliovisualizer.com . The factor analysis tool should be pretty close to what you envisioned in your post. I was planning to update the tool to support momentum data from Kenneth French's web site later this week for 4-factor analysis. I suppressed the t-stat a...
by Oliver
Thu Oct 17, 2013 4:36 pm
 
Forum: Investing - Theory, News & General
Topic: Website to perform Fama-French regressions automatically
Replies: 39
Views: 2695

Re: Fund Factor Tilting Data

I found an interesting VERY old post dealing with the size premium. (Probably looking for support for my large microcap allocation). http://www.bogleheads.org/forum/viewtopic.php?t=1951 RE the size and value premiums As I have pointed out many people make a mistake about the size relative to the val...
by Oliver
Thu Sep 26, 2013 7:17 pm
 
Forum: Investing - Theory, News & General
Topic: Fund Factor Tilting Data
Replies: 60
Views: 5549

Re: What are the best funds among the advisor-only funds?

Aqr funds are available to retail investors without an advisor via td ameritrade and fidelity despite the million dollar minimum listed. You might check out http://www.altruistfa.com/dfavanguard.htm
by Oliver
Sun Sep 22, 2013 10:47 pm
 
Forum: Investing - Theory, News & General
Topic: What are the best funds among the advisor-only funds?
Replies: 6
Views: 1012

Re: Fund Factor Tilting Data

What sort of size and value premiums are you assuming in your calculations?
by Oliver
Tue Sep 17, 2013 5:54 pm
 
Forum: Investing - Theory, News & General
Topic: Fund Factor Tilting Data
Replies: 60
Views: 5549

Re: Fund Factor Tilting Data

Thanks to all the posters. This is something I've been interested in. I've read B Bernstein's "Rolling Your Own" and other info on FF. Still, I'm not sure I fully understand what the "loadings" tell us. For example I understand this definition Small Minus Big: The size premium, ...
by Oliver
Wed Sep 11, 2013 5:28 pm
 
Forum: Investing - Theory, News & General
Topic: Fund Factor Tilting Data
Replies: 60
Views: 5549

Re: Spread on Treasurys

You can check at fidelity even if you do not have an account.

https://fixedincome.fidelity.com/ftgw/f ... ding?bar=p
by Oliver
Wed Sep 11, 2013 5:07 pm
 
Forum: Investing - Theory, News & General
Topic: Spread on Treasurys
Replies: 2
Views: 443

Re: Fund Factor Tilting Data

That's ridiculously helpful. Way faster than my primitive cut, paste, and format routine. Since you use R to run regressions, this might also be useful. http://www.calculatinginvestor.com/2011/05/12/downloading-return-data/ In this screencast, I demonstrate how to use R to download historical price...
by Oliver
Wed Sep 11, 2013 12:52 am
 
Forum: Investing - Theory, News & General
Topic: Fund Factor Tilting Data
Replies: 60
Views: 5549

Re: Fund Factor Tilting Data

That's an excellent ambition Oliver. I use R and found this youtube tutorial to be especially helpful: http://www.youtube.com/watch?v=dc1L3zjsgiY . I just used the yearly returns on the standard Morningstar performance page for the returns listed here. But as was suggested earlier, Yahoo seems to h...
by Oliver
Tue Sep 10, 2013 6:06 pm
 
Forum: Investing - Theory, News & General
Topic: Fund Factor Tilting Data
Replies: 60
Views: 5549

Re: Fund Factor Tilting Data

I would like to try my hand at running some regressions myself. Any insight or info that is not covered in the article below? Any other suggested links? http://www.efficientfrontier.com/ef/101/roll101.htm Are you using Morningstar Principia Pro or Morningstar Principia Pro Plus? I hope there is a mu...
by Oliver
Tue Sep 10, 2013 5:15 pm
 
Forum: Investing - Theory, News & General
Topic: Fund Factor Tilting Data
Replies: 60
Views: 5549

Re: Fund Factor Tilting Data

I would be interested in info about WisdomTree Emerging Markets SmallCap Dividend Fund (DGS). PS Of limited interest since it is closed, I would be very interested in what Bridgeway Ultra-Small Company BRUSX looks like. It is an actively managed micro cap fund that is classified as small value by Mo...
by Oliver
Tue Sep 10, 2013 2:25 pm
 
Forum: Investing - Theory, News & General
Topic: Fund Factor Tilting Data
Replies: 60
Views: 5549

Re: TR Price X-Ray Tool

I encountered problems modifying a portfolio using Dolphin browser on an android tablet.
by Oliver
Fri Sep 06, 2013 4:37 pm
 
Forum: Investing - Theory, News & General
Topic: [T. Rowe Price] TR Price X-Ray Tool
Replies: 17
Views: 1910

Re: Individual Stocks - Do you own any?

Vanguard actually caused my foray into stocks. At the time, vanguard offered index funds covering the USA, Europe, Pacific region and emerging markets. Upon examining these index funds, I realized that Canada was not included in any of the indexes. Originally, I paid large commissions at TD Waterhou...
by Oliver
Sun Sep 01, 2013 8:53 pm
 
Forum: Investing - Theory, News & General
Topic: Individual Stocks - Do you own any?
Replies: 97
Views: 7117

Re: how best to diversify

Interesting theory. But how would a retail investor who refuses to pay the high fee's for DFA advisors access these factor? Further, how would one monitor these factors to maintain a balance? Seems like it is all theory without practical implementation advice. I've been asking this same question. I...
by Oliver
Sat Jul 27, 2013 2:01 pm
 
Forum: Investing - Theory, News & General
Topic: how best to diversify
Replies: 8
Views: 1628

Re: Best online portfolio viewing site?

With the exception of Vanguard's Portfolio Watch, are there any sites which break out asset-subclasses well? For instance, most sites clump all international stocks together, and do not provide a breakdown of your emerging markets percentage. the Morningstar star tool at T Rowe Price does. I mentio...
by Oliver
Fri Jul 26, 2013 8:05 pm
 
Forum: Investing - Theory, News & General
Topic: Best online portfolio viewing site?
Replies: 48
Views: 6771

Re: Best online portfolio viewing site?

I use the portfolio watch on Vanguard. I just have to update shares when there is a change through dividends, distributions, or exchanges. I assume that you have a brokerage account or retirement account that can not be linked. I have a Fidelity account and a small checking account. Not sure how to...
by Oliver
Sat Jul 20, 2013 12:57 pm
 
Forum: Investing - Theory, News & General
Topic: Best online portfolio viewing site?
Replies: 48
Views: 6771

Re: Best online portfolio viewing site?

One thing I like about vanguard's website is it will tell you that you 'saved' $xxxx dollars with Vanguard funds relative to your average higher cost mutual funds. I know that the money I saved there will be in the market working for me and not funding some investment person's new boat :moneybag . ...
by Oliver
Sat Jul 20, 2013 12:39 pm
 
Forum: Investing - Theory, News & General
Topic: Best online portfolio viewing site?
Replies: 48
Views: 6771

Re: factor based investing

It doesn't look to me that the bridgeway SCM fund purchases are restricted. The Omni funds are and they have that stated in the prospectus, but the SCM fund prospectus does not state that it is restricted. Not available through Wellstrade. They "do not have a sales agreement" and I was gu...
by Oliver
Sat Jul 20, 2013 4:47 am
 
Forum: Investing - Theory, News & General
Topic: factor based investing
Replies: 38
Views: 3199

Re: factor based investing

AQR is available at TD Ameritrade. I purchased AQR International Core Equity L QICLX. There was no minimum of but there is a fee ($50) to purchase the mutual fund. https://www.aqrfunds.com/OurFunds/EquityFunds/InternationalCoreEquityFund/FeesMinimums.aspx The fund's web page (and M*) indicates a mi...
by Oliver
Sat Jul 20, 2013 4:12 am
 
Forum: Investing - Theory, News & General
Topic: factor based investing
Replies: 38
Views: 3199

Re: factor based investing

There are so many factors these days that it seems like a slippery slope. How many funds would the optimal portfolio have to have? Larry has on multiple occasions here stated he feels it best to find a core type fund that incorporates all of the factors as opposed to an individual fund for each fac...
by Oliver
Fri Jul 19, 2013 7:11 pm
 
Forum: Investing - Theory, News & General
Topic: factor based investing
Replies: 38
Views: 3199

Re: Best online portfolio viewing site?

bengal22 wrote:I use the portfolio watch on Vanguard. I just have to update shares when there is a change through dividends, distributions, or exchanges.

I assume that you have a brokerage account or retirement account that can not be linked.
by Oliver
Thu Jul 18, 2013 11:45 pm
 
Forum: Investing - Theory, News & General
Topic: Best online portfolio viewing site?
Replies: 48
Views: 6771

Re: Best online portfolio viewing site?

niceguy7376 wrote:How about your opinion on sigfig site?

I use the sigfig android application. However, I only use it check my portfolio balance. It does pull info from a number of brokerages and vangaurd.
by Oliver
Thu Jul 18, 2013 11:41 pm
 
Forum: Investing - Theory, News & General
Topic: Best online portfolio viewing site?
Replies: 48
Views: 6771

Re: Best online portfolio viewing site?

Recently, I have been using Morningstar at the T Rowe Price website. Vanguard classifies an etf or fund in one style category. If you use the Morningstar tool at T Rowe Price, it will give the proportion of the fund in each of the nine style boxes. It will also aggregate this info to the portfolio l...
by Oliver
Thu Jul 18, 2013 11:28 pm
 
Forum: Investing - Theory, News & General
Topic: Best online portfolio viewing site?
Replies: 48
Views: 6771

Re: factor based investing

Re low volatility strategies suggest you read this post on the issue http://www.cbsnews.com/8301-505123_162-57591323/can-you-win-with-low-risk-stock-strategies/ Larry Have you had a chance to review the paper listed below. They do address some of the issues raised in the paper you linked to. The au...
by Oliver
Thu Jul 18, 2013 5:43 pm
 
Forum: Investing - Theory, News & General
Topic: factor based investing
Replies: 38
Views: 3199

Re: Trying to Better Understand Safe Withdrawal Rates

One of the papers mentioned in the footnotes of the wiki looks at the results if you replaced the USA data with other countries data. Bottom line - the 4 percent rule does not work in most countries. Wade Pfau |Pfau, Wade D. 2010. “An International Perspective on Safe Withdrawal Rates from Retiremen...
by Oliver
Wed Jul 17, 2013 11:21 pm
 
Forum: Investing - Theory, News & General
Topic: Trying to Better Understand Safe Withdrawal Rates
Replies: 33
Views: 2971

Re: factor based investing

The paper also gives support for etfs like Guggenheim S&P 500 Pure Value ETF (RPV) and Guggenheim S&P SmallCap 600 Pure Value ETF (RZV). These etfs allocate the weighting by value-ness not by capitalization.
by Oliver
Wed Jul 17, 2013 11:08 pm
 
Forum: Investing - Theory, News & General
Topic: factor based investing
Replies: 38
Views: 3199

Re: Trying to Better Understand Safe Withdrawal Rates

This study, overlaid with other studies on portfolio success with varying SWR's and AA's makes me feel that a fixed 4% SWR with at least a 50/50 AA has a pretty good chance for success. But that's for 30 years, right? What would the SWR and AA be if you wanted to be confident for 40 years? 50 years...
by Oliver
Mon Jul 15, 2013 6:48 pm
 
Forum: Investing - Theory, News & General
Topic: Trying to Better Understand Safe Withdrawal Rates
Replies: 33
Views: 2971

Re: Wiring money from overseas and currency conversion

Interactive Brokers is one of the best ways to convert money. It does have a minimum fee of $10 per month ($1 per stock /etf trade). However, ILS is not one of the currencies that IB accepts deposits in. For each account a single base currency designation must be made that determines an account's st...
by Oliver
Sat Jul 13, 2013 3:47 pm
 
Forum: Personal Finance (Not Investing)
Topic: Wiring money from overseas and currency conversion
Replies: 17
Views: 1848

Re: SWR with 100% Allocation 30-Year TIPS

The danger is that you have a collapse of the dollar. The answer would be to hold some gold as a counterbalance, some foreign TIPS, some international stocks or all of the above. You are partially protected from this due to the nature of TIPS. If the dollar collapses, the price of imported goods in...
by Oliver
Mon Jun 24, 2013 6:26 pm
 
Forum: Investing - Theory, News & General
Topic: SWR with 100% Allocation 30-Year TIPS
Replies: 13
Views: 1182

Re: Postmortem

So perhaps a little post mortem? How did everyone do? 1) Was this thread helpful in alerting you to the 30 year tips auction? ... 4) If you skipped the auction because the rate was not high enough for you, what rate would be needed to entice you in the future? cheers, The thread did notify me of th...
by Oliver
Fri Jun 21, 2013 5:43 pm
 
Forum: Investing - Theory, News & General
Topic: 30 year TIPs auction on June 20th, 1.25% real yield???
Replies: 99
Views: 9785

Re: course(free) on investing but it will be hard

I was seriously considering enrolling to update my knowledge and skills. However, it is a course from 2003!

PS I have asked them to confirm the date.
by Oliver
Tue Jun 11, 2013 10:24 pm
 
Forum: Investing - Theory, News & General
Topic: course(free) on investing but it will be hard
Replies: 8
Views: 1092

Re: Alpha, Beta, and Now Gamma

I generally do not cross post. (see NYT thread). However, the paper below is from some of the same authors but has a far more pessimistic conclusion. --------------------- For some more depressing news on the amount you can withdrawal given the current bond rates. The news is not good even if the re...
by Oliver
Sun Jun 09, 2013 2:11 am
 
Forum: Investing - Theory, News & General
Topic: Alpha, Beta, and Now Gamma
Replies: 19
Views: 1591
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