Search found 860 matches

Return to advanced search

Re: Correlations of Risk Factors in Down Markets

Yes I agree with Oneleaf,
In the bad markets all the stocks go down because of the dominance of the market factor. But the tilts to small and value (which are muted because they are long only) still show potential to soften the blows.

Dave
by Random Walker
Thu Dec 18, 2014 5:43 pm
 
Forum: Investing - Theory, News & General
Topic: Correlations of Risk Factors in Down Markets
Replies: 16
Views: 692

Re: Correlations of Risk Factors in Down Markets

So I went through the French yearly data again. I arbitrarily decided to look at single years when the overall market was down 20% or more or any series of 3 years consecutive down markets. What popped out was 1929-1932, 1937, 1973-1974, 2000-2002, 2008. Here's the results: Market to small: 0.05 Mar...
by Random Walker
Thu Dec 18, 2014 4:56 pm
 
Forum: Investing - Theory, News & General
Topic: Correlations of Risk Factors in Down Markets
Replies: 16
Views: 692

Re: Correlations of Risk Factors in Down Markets

Lazy day,
That same question came to my mind as I was driving to lunch. I'll muck around and give you an answer in a bit.

Dave
by Random Walker
Thu Dec 18, 2014 3:32 pm
 
Forum: Investing - Theory, News & General
Topic: Correlations of Risk Factors in Down Markets
Replies: 16
Views: 692

Correlations of Risk Factors in Down Markets

I've played around on Excel with the French data a bit before. I got correlations that fit with what others have stated: Market to size: 0.4 Market to value: 0.14 Size to value: 0.14 Since then I've learned that part of the explanation for some risk premiums is when an asset class does poorly: doing...
by Random Walker
Thu Dec 18, 2014 2:35 pm
 
Forum: Investing - Theory, News & General
Topic: Correlations of Risk Factors in Down Markets
Replies: 16
Views: 692

Re: Best book to learn about tilting

Here are two excellent short reads which fit very well together I believe. The first is a short 3 page essay by Larry Swedroe called Effective Diversification in a 3 Factor World. The second is a 10-12 page essay by Roger Gibson which speaks more generally on the benefits of multiassetclass class in...
by Random Walker
Tue Dec 16, 2014 11:57 am
 
Forum: Investing - Theory, News & General
Topic: Best book to learn about tilting
Replies: 4
Views: 387

Re: An alternative to alternative investments [QSPIX]

Come invest, Yes I think you are correct. An investor in a portfolio comprised of mainly equity mutual funds and QSPIX would have both long and short positions in the same stocks. But his long positions in the funds have a big dose of beta while the QSPIX position is devoid of market exposure. The Q...
by Random Walker
Mon Dec 15, 2014 4:04 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 201
Views: 19181

Re: Another Great Asness/AQR Blog Post - Perspective

I can't believe there hasn't been more talk in this thread about how a fixed rebalanced portfolio of the 3 asset classes would have performed during these 5 year periods and over the whole 45 year time period. Im thinking some number cruncher would be showing excellent value to multi asset class inv...
by Random Walker
Sat Dec 13, 2014 2:11 pm
 
Forum: Investing - Theory, News & General
Topic: Another Great Asness/AQR Blog Post - Perspective
Replies: 38
Views: 2587

Re: Another Great Asness/AQR Blog Post - Perspective

This thread really needs to be bumped. It is really worth reading this article 2 or 3 times. And when reading, really try to do the mind experiment of living through those long 5 year periods. This is effectively a lifetimes worth of investing experience described in a few short pages. I truly belie...
by Random Walker
Fri Dec 12, 2014 10:23 pm
 
Forum: Investing - Theory, News & General
Topic: Another Great Asness/AQR Blog Post - Perspective
Replies: 38
Views: 2587

Re: Another Great Asness/AQR Blog Post - Perspective

I really like this article! And I like his writing style too :-). One of the reasons I like it is that the article gives us a good feel for living through lengthy short periods (his 5 year increments) and how turbulent these can be. Great material for mind experiment to determine risk tolerance and ...
by Random Walker
Thu Dec 11, 2014 3:18 pm
 
Forum: Investing - Theory, News & General
Topic: Another Great Asness/AQR Blog Post - Perspective
Replies: 38
Views: 2587

Re: Asness: "Efficient Frontier Theory for the Long Run"

A great article! A great follow up would be an article looking at the performance of those individual asset classes versus a bogleheadish portfolio combining the three: perhaps 65% S&P 500, 30% bonds, 5% commodities. I bet it would be a strong argument for multi-asset class investing.

Dave
by Random Walker
Thu Dec 11, 2014 12:39 pm
 
Forum: Investing - Theory, News & General
Topic: Another Great Asness/AQR Blog Post - Perspective
Replies: 38
Views: 2587

Re: To Tilt or Not To Tilt, that's the question

For excellent bang for the buck reading, I strongly recommend Larrys brief essay "Effective Diversification in a 3 Factor World". Here's a link to it. http://thebamalliance.com/pdfs/Effective%20Diversification%20in%20a%20Three-Factor%20World%20-%20Larry%20Swedroe.pdf Also, an excellent boo...
by Random Walker
Tue Dec 09, 2014 10:54 am
 
Forum: Investing - Theory, News & General
Topic: To Tilt or Not To Tilt, that's the question
Replies: 52
Views: 2389

Re: Bogle on the past and future of investing

EarlyStart, No I didn't mistype. This is an important concept that I was confused on a while ago as well. The market prices risk. Riskier assets will have their price depressed, resulting in higher expected return. Safer assets will be a bit more expensive, resulting in lower future expected return....
by Random Walker
Tue Dec 09, 2014 10:19 am
 
Forum: Investing - Theory, News & General
Topic: Bogle on the past and future of investing
Replies: 15
Views: 2152

Re: Bogle on the past and future of investing

Harold,
I'll buy that. Small and value are indeed risk premiums and by no means guarantee increased return over any given time span.

Dave
by Random Walker
Mon Dec 08, 2014 7:13 pm
 
Forum: Investing - Theory, News & General
Topic: Bogle on the past and future of investing
Replies: 15
Views: 2152

Re: Bogle on the past and future of investing

Bogle doesn't sound like a believer in the future of small and value. But (and I hate to disagree with Bogle), I feel his logic is faulty. He seems to say that if small and value have potential to generate outsized returns, then the market will bid up their prices to equalize future returns with lar...
by Random Walker
Mon Dec 08, 2014 11:36 am
 
Forum: Investing - Theory, News & General
Topic: Bogle on the past and future of investing
Replies: 15
Views: 2152

Re: HML in a five-factor model

Such a bummer! I very clearly understand why HmL helps explains returns and helps diversify portfolios. "Bad" companies are more stressed, leveraged, volatile earnings, do bad in bad times. I can even handle a four factor model with market, size, value, momentum. But these two other factor...
by Random Walker
Sat Dec 06, 2014 3:51 pm
 
Forum: Investing - Theory, News & General
Topic: HML in a five-factor model
Replies: 2
Views: 357

Re: An alternative to alternative investments [QSPIX]

Hi garlandwhizzer, The problem with a portfolio dominated by beta is exposure to only a single risk factor and subsequent volatility. The goal is to dampen portfolio volatility to bring the portfolio's annualized return closer to the weighted average annual return of the portfolio components. Volati...
by Random Walker
Fri Dec 05, 2014 2:00 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 201
Views: 19181

Re: An alternative to alternative investments [QSPIX]

Just saw this interesting data from the above referenced presentation that Cliff Asness made to the Arizona Retirement group. Correlations: Equities to bonds: 0.1 Equities to commodities: 0.2 Equities to value: 0.0 Equities to momentum: 0.0 Equities to carry: 0.3 Equities to defensive: 0.0 Bonds to ...
by Random Walker
Fri Dec 05, 2014 11:54 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 201
Views: 19181

Re: How much do additional sorts add?

Thanks for the info,
How much of the profitability factor do you think is captured in live fund that screen for it?

Dave
by Random Walker
Wed Dec 03, 2014 5:25 pm
 
Forum: Investing - Theory, News & General
Topic: How much do additional sorts add?
Replies: 2
Views: 556

Re: An alternative to alternative investments [QSPIX]

I think strong belief is necessary to stick with a plan. Every style will go out of favor at some point. Knowing historical data is not enough. One has to have confidence in a plausible risk or behavioral story to stay with a plan when it is out of favor. This sort of belief shouldn't vary much over...
by Random Walker
Tue Dec 02, 2014 12:34 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 201
Views: 19181

Re: What is Defensive Investing Strategy?

Sorry BBL, but I'm really confused :-) so would it be fair to say that the portion of the AQR fund dedicated to defensive accesses the same qualities as the profitability factor which is screened for in DFA funds? I understand that AQR would gain more pure exposure to the factor with the long/short ...
by Random Walker
Tue Dec 02, 2014 11:28 am
 
Forum: Investing - Theory, News & General
Topic: What is Defensive Investing Strategy?
Replies: 9
Views: 973

Re: What is Defensive Investing Strategy?

Thanks BBL, So my understanding is that the fund eliminates beta with the long short strategy. I've heard the term buying/selling volatility. Is defensive related to that at all? Your description of defensive sounds a bit like the profitability factor. They go long profitable companies and short the...
by Random Walker
Tue Dec 02, 2014 10:49 am
 
Forum: Investing - Theory, News & General
Topic: What is Defensive Investing Strategy?
Replies: 9
Views: 973

Re: Does a larger portfolio offer benefits when rebalancing?

Big potential advantages to multi-asset class investing. Smooth the ride and bring annualized return closer to average annual return. Strongly reccommend reading the below link: http://www.amcham-shanghai.org/amchamportal/InfoVault_Library/2008/Multiple_Asset_Class_Investing.pdf This is a short pape...
by Random Walker
Tue Dec 02, 2014 9:48 am
 
Forum: Investing - Theory, News & General
Topic: Does a larger portfolio offer benefits when rebalancing?
Replies: 12
Views: 1020

What is Defensive Investing Strategy?

Hi, I'm strongly interested in diversifying across sources of return. I've been looking at the AQR fund which employs value, carry, momentum, and defensive. I have a pretty good idea on the first 3, but don't know what defensive is. Is it related to volatility? Thanks

Dave
by Random Walker
Tue Dec 02, 2014 9:31 am
 
Forum: Investing - Theory, News & General
Topic: What is Defensive Investing Strategy?
Replies: 9
Views: 973

Re: Any Momentum Investors Out There?

I invest in momentum via the momentum screens in DFA funds and am considering the AQR style premia fund. Must admit I've turned into an asset class junkie. I strongly recommend Roger Gibson's Asset Allocation. The book will turn anyone into a multi asset class / multi sources of return investor. The...
by Random Walker
Mon Dec 01, 2014 6:19 pm
 
Forum: Investing - Theory, News & General
Topic: Any Momentum Investors Out There?
Replies: 95
Views: 7305

Re: An alternative to alternative investments [QSPIX]

Alex wrote "why would you want the factor returns but not the rebalancing bonus?" I totally agree with him there is entertaining satisfaction in rebalancing by buying what has gone down. That being said, there is potentially good reason to want factor returns without seeing the rebalancing...
by Random Walker
Mon Dec 01, 2014 4:08 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 201
Views: 19181

Re: An alternative to alternative investments [QSPIX]

Hi Larry, I previously asked a question about how CCFs would mix with this fund in a portfolio. I didn't quite understand your answer. Is there benefit to having both in a portfolio? Would they have overlapping functions in a portfolio? How do they mix? Any information on their correlations? Would t...
by Random Walker
Fri Nov 28, 2014 12:41 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 201
Views: 19181

Re: Why Alpha is getting more elusive

Trading Places said

"As for the stock market, there are two types of investors: (a) those to whom the market appears efficient, and (b) those who make the market efficient."

I really like that quote!

Dave
by Random Walker
Tue Nov 25, 2014 11:03 am
 
Forum: Investing - Theory, News & General
Topic: Why Alpha is getting more elusive
Replies: 28
Views: 3508

Re: Small cap value premium

Lee and Jo Money, Disagree with you both. Excess returns are not a free lunch. They are compensation for taking on more risk. That risk is not just measured in SD. There are many ways to view risk. For example one is doing especially badly in bad times for value companies. The equilibrium is not jus...
by Random Walker
Mon Nov 24, 2014 6:45 pm
 
Forum: Investing - Theory, News & General
Topic: Small cap value premium
Replies: 150
Views: 14261

Re: An alternative to alternative investments [QSPIX]

Hi Larry,
I just added a 4% allocation to CCFs in my equity rich substantially tilted portfolio. How would this fund mix?

Dave
by Random Walker
Mon Nov 24, 2014 4:12 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 201
Views: 19181

Re: Small cap value premium

The market prices risk. So in an efficient market prices adjust to reflect different perceived risks. Since risks can be qualitatively and quantitatively different, expected returns for different asset classes can be different in an efficient market. If the market priced expected return, then prices...
by Random Walker
Mon Nov 24, 2014 3:56 pm
 
Forum: Investing - Theory, News & General
Topic: Small cap value premium
Replies: 150
Views: 14261

Re: "Why Bother With Bonds" -- A Gem

I think a small allocation to bonds is good even for the young aggressive investor. Just a 10% allocation will have a significant effect on portfolio efficiency and probably more importantly instill disciplined behavior in the investor. Way easier to stick with a plan when one has bonds to use for r...
by Random Walker
Wed Nov 05, 2014 4:00 pm
 
Forum: Investing - Theory, News & General
Topic: "Why Bother With Bonds" -- A Gem
Replies: 33
Views: 8844

Re: Asset Allocation by Roger Gibson

Simple Gift, I agree that I've always got the lowest cost all VG total markets portfolio in the back of my mind for comparison. I'm sure that there are decreasing marginal benefits for each additional asset class added to a portfolio. But some of the best diversifies aren't available at VG: internat...
by Random Walker
Tue Oct 28, 2014 5:32 pm
 
Forum: Investing - Theory, News & General
Topic: Asset Allocation by Roger Gibson
Replies: 21
Views: 2966

Re: Asset Allocation by Roger Gibson

I'm curious, of those who are fans of the book and appreciate the improved portfolio efficiency achieved with multi asset class investing, have you all become tilted slice & dice multi asset class investors? For me books like this led me to accept somewhat higher portfolio maintenance costs for ...
by Random Walker
Tue Oct 28, 2014 2:22 pm
 
Forum: Investing - Theory, News & General
Topic: Asset Allocation by Roger Gibson
Replies: 21
Views: 2966

Re: One important role of advisers? - WSJ today

I'm a pretty good boglehead. I've read several financial history books which I believe help build the psychological muscles to stick to a good plan. And I've proved to myself with real money that I can rebalance into down markets. That being said, I turned it over to an advisor in 2009 and have no r...
by Random Walker
Mon Oct 27, 2014 1:11 pm
 
Forum: Investing - Theory, News & General
Topic: Bad Stock-Market Timing Fueled Wealth Disparity
Replies: 9
Views: 1165

Re: Asset Allocation by Roger Gibson

If you don't like the price of the book, read the short summary paper he wrote.

http://www.amcham-shanghai.org/amchampo ... esting.pdf


Dave
by Random Walker
Mon Oct 27, 2014 9:10 am
 
Forum: Investing - Theory, News & General
Topic: Asset Allocation by Roger Gibson
Replies: 21
Views: 2966

Re: Asset Allocation by Roger Gibson

Wouldn't it be interesting to seen a few of those Gibson multi asset class graphs with other asset classes/styles added to the mix: reits, small value, emerging, momentum, etc?

Dave
by Random Walker
Sun Oct 26, 2014 12:57 pm
 
Forum: Investing - Theory, News & General
Topic: Asset Allocation by Roger Gibson
Replies: 21
Views: 2966

Re: Asset Allocation by Roger Gibson

I still think Gibson's Asset Allocation is required reading. He does the best job of explaining how diversification with multiple asset class investing brings a portfolio's annualized return closer to the average return of its components. He makes the strong argument with only 4 or 5 pretty vanilla ...
by Random Walker
Sat Oct 25, 2014 8:08 pm
 
Forum: Investing - Theory, News & General
Topic: Asset Allocation by Roger Gibson
Replies: 21
Views: 2966

Re: Financial Adviser usage? (vs. 3-fund)

I've been a Boglehead since about 2001. I've read all the books and really like investing. I've enjoyed all the time I devoted to it. I put together a solid do it yourself all Vanguard asset allocation and stuck to it. Even rebalanced into the 2008'crisis. But the more I read, the more I started to ...
by Random Walker
Sun Jul 20, 2014 10:27 am
 
Forum: Investing - Theory, News & General
Topic: Investment Advisor usage? (vs. 3-fund)
Replies: 9
Views: 1639

Re: Persistence of SV performance

Sdsailing, If you are really interested in the true costs and benefits of tilting through an advisor, there are many more factors to consider than the advisor AUM fee and the increased ER. The AUM and ER are easy to quantify and certain. But there are certainly other costs/benefits that are less obv...
by Random Walker
Tue Jul 15, 2014 3:50 pm
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 4071

Re: "Being Done" Saving: White Coat Investor blog post

RunningRad wrote "but I often get the feeling that the goalposts are moving further back and at the same time, someone is taking the air out of the football". I couldn't agree more. I think Bill Bernstein once wrote that the goal of retirement planning was to avoid eating cat food in our l...
by Random Walker
Fri Jun 27, 2014 2:10 pm
 
Forum: Investing - Theory, News & General
Topic: "Being Done" Saving: White Coat Investor blog post
Replies: 47
Views: 8099

William Bernstein's New Book Now On Sale

Just spotted William Bernstein's new book : Rational Expectations: Asset Allocation for Investing Adults for sale on Amazon. I believe this is Dr Bernstein's 21st century version of Intelligent Asset Allocator, one of my favorite all time investing books. Eager to read it and eager to hear from othe...
by Random Walker
Mon Jun 02, 2014 9:52 pm
 
Forum: Investing - Theory, News & General
Topic: William Bernstein's New Book Now On Sale
Replies: 7
Views: 1701

Re: Social Security at 66 vs. 70: A Bird in the Hand?

Definitely read William Bernstein's The Ages of the Investor
by Random Walker
Mon Jun 02, 2014 3:35 pm
 
Forum: Investing - Theory, News & General
Topic: Social Security at 66 vs. 70: A Bird in the Hand?
Replies: 54
Views: 4408

Re: Vanguard or DFA? "Vanguard, in a landslide..."

I think it would reasonably make sense that the size of the size and value premiums should vary over time, but they should always be positive. Otherwise increased risk wouldn't yield increased expected return. More reason to create a plan and stick to it through thick and thin.

Dave
by Random Walker
Sun Jun 01, 2014 9:35 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard or DFA? "Vanguard, in a landslide..."
Replies: 54
Views: 4986

Re: Vanguard or DFA? "Vanguard, in a landslide..."

Calm man,
I agree that costs are certain and all the other benefits are only potential. But there are a lot of those potential benefits. Performance over any single relatively short time period is meaningless. You may be right, but you also may not.

Dave
by Random Walker
Sat May 31, 2014 10:17 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard or DFA? "Vanguard, in a landslide..."
Replies: 54
Views: 4986

Re: Vanguard or DFA? "Vanguard, in a landslide..."

I was a DIY all vanguard portfolio for about 10 years. Then I changed to an all DFA portfolio through an advisor. I read these DFA v. VG comparisons and felt they were all a bit lacking. I think this is especially true for the taxable investor. There are differences that are hard to measure I think....
by Random Walker
Sat May 31, 2014 8:09 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard or DFA? "Vanguard, in a landslide..."
Replies: 54
Views: 4986

Re: Does a small value tilt reduce porfolio volatility?

The correlations between the risk factors are about: Market to small: 0.41 Market to value: 0.14 Small to value: 0.14 So the addition of small value has the potential to smooth portfolio ride, but it is a more risky asset class. So it may dampen portfolio volatility at times and amplify it at times....
by Random Walker
Fri May 23, 2014 4:24 pm
 
Forum: Investing - Theory, News & General
Topic: Does a small value tilt reduce porfolio volatility?
Replies: 53
Views: 3951

Re: An Interview with Charles Ellis

I agree, the book is invaluable for someone who wants to be serious with their money. I would expect it to be on anyone's list of top investing books.

Dave
by Random Walker
Thu May 22, 2014 11:33 pm
 
Forum: Investing - Theory, News & General
Topic: An Interview with Charles Ellis
Replies: 5
Views: 1079

Re: An Interview with Charles Ellis

Ellis turned that paper into a classic book, Winning The Loser's Game. A new edition has come out within the last year or so. His book is one of my most favorites. Each time I've read it, I come away appreciating that the true long term enemy is inflation and I want to increase my % stocks.

Dave
by Random Walker
Thu May 22, 2014 1:06 pm
 
Forum: Investing - Theory, News & General
Topic: An Interview with Charles Ellis
Replies: 5
Views: 1079

Re: Factoring TLH Into Decision Whether To Use An Advisor

Dale G,
But 30 years down the road, you sell that appreciated TSM and minimize tax by offsetting the first 5K in capital gains with the loss from long ago. Yes, eventually you will pay the tax on a lower cost basis, but you have deferred the tax to the future
by Random Walker
Mon May 19, 2014 9:37 pm
 
Forum: Investing - Theory, News & General
Topic: Factoring TLH Into Decision Whether To Use An Advisor
Replies: 34
Views: 1467

Re: Factoring TLH Into Decision Whether To Use An Advisor

I believe you can offset up to $3000 ordinary income with capital losses. But I don't think there is any limit to how much long term capital gains can be offset by long term capital losses. I believe the 3K income issue is relatively minor in the big picture. Please correct my thinking if I am wrong...
by Random Walker
Mon May 19, 2014 5:35 pm
 
Forum: Investing - Theory, News & General
Topic: Factoring TLH Into Decision Whether To Use An Advisor
Replies: 34
Views: 1467
Next

Return to advanced search