Search found 986 matches

by Random Walker
Sat Aug 29, 2015 8:53 pm
Forum: Investing - Theory, News & General
Topic: Should whether you're accumulating, withdrawing, or doing neither affect your capacity for risk?
Replies: 10
Views: 353

Re: Should whether you're accumulating, withdrawing, or doing neither affect your capacity for risk?

I agree with Maynard. The size of portfolio contributions during accumulation relative to the size of the portfolio is significant. The less future portfolio contributions can make up for market declines, the more conservative the investor is likely to want to be.

Dave
by Random Walker
Sat Aug 29, 2015 8:37 pm
Forum: Investing - Theory, News & General
Topic: Why no diversification benefit for international in this week's crash?
Replies: 88
Views: 4825

Re: Why no diversification benefit for international in this week's crash?

FWIW, I just decided to look at the returns of my asset classes over the last year (as opposed to this year). Although my international market and international large value have gone down, I notice international small value is up about 4.4%. I think I've read that international small value provides ...
by Random Walker
Sat Aug 29, 2015 8:31 pm
Forum: Investing - Theory, News & General
Topic: Should whether you're accumulating, withdrawing, or doing neither affect your capacity for risk?
Replies: 10
Views: 353

Re: Should whether you're accumulating, withdrawing, or doing neither affect your capacity for risk?

During accumulation, if the market drops the invested shares have a chance to bounce back in the future. Moreover, the saver is continuously buying new shares at lower cost and rebalancing with new additions. He can take more risk. During withdrawal phase, the withdrawn money will never have a chanc...
by Random Walker
Wed Aug 26, 2015 3:38 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Grap0013,
I agree completely. The lack of correlation satisfies my gambling instinct every night as I compare how my funds have done relative to the S&P 500.

Dave
by Random Walker
Wed Aug 26, 2015 2:53 pm
Forum: Investing - Theory, News & General
Topic: Anybody questioning use of an advisor at this volatile time?
Replies: 19
Views: 1385

Re: Anybody questioning use of an advisor at this volatile time?

Fallible, Here is a description of my evolution from DIY to using an advisor. I started earning money in 1996. From 1996-2001 invested in individual stocks through a friend who was a broker. Suffered the huge 200-2001 Internet bubble losses. Decided to learn and take charge myself. Was a DIY hardcor...
by Random Walker
Wed Aug 26, 2015 2:11 pm
Forum: Investing - Theory, News & General
Topic: Anybody questioning use of an advisor at this volatile time?
Replies: 19
Views: 1385

Re: Anybody questioning use of an advisor at this volatile time?

Retired JG,
I agree, nearly need the knowledge for DIY to choose a good advisor

Dave
by Random Walker
Wed Aug 26, 2015 9:16 am
Forum: Investing - Theory, News & General
Topic: Anybody questioning use of an advisor at this volatile time?
Replies: 19
Views: 1385

Anybody questioning use of an advisor at this volatile time?

One role of an advisor is simply to prevent us from making emotion based behavioral mistakes at times like this. Myself, I think I'm quite disciplined with investing. Nonetheless, I use an advisor and have found that there has been some psychological benefit to the additional roadblock between me an...
by Random Walker
Tue Aug 25, 2015 6:29 pm
Forum: Investing - Theory, News & General
Topic: Is tax loss harvesting always worth all the fuss?
Replies: 66
Views: 4740

Re: Is tax loss harvesting always worth all the fuss?

I believe consistent TLH throughout the year can be worth about 0.5%-0.7% per year over an investing career. There are a couple of papers by Arnott and Belkin that describe this in the Bogleheads Wiki. Proper TLH requires identifying specific lots, HIFO cost basis, and doing it throughout the year. ...
by Random Walker
Sun Aug 23, 2015 5:48 pm
Forum: Investing - Theory, News & General
Topic: "Multi-Factor Investing": Best BH.org Info Sources?
Replies: 6
Views: 342

Re: "Multi-Factor Investing": Best BH.org Info Sources?

These are my two favorite sources regarding multi-asset class investing. Gibson has an entire book, Asset Allocation, that expands on the short paper. Gibson only refers to 4 or 5 asset classes, but the concept can be expanded to any weakly correlated asset classes. These short reads are extremely w...
by Random Walker
Sat Aug 22, 2015 12:01 pm
Forum: Investing - Theory, News & General
Topic: A warning on RBDs [Really Bad Days]
Replies: 46
Views: 6317

Re: A warning on RBDs [Really Bad Days]

One of my favorite William Bernstein quotes is something to the effect "when the market goes up enjoy the ride, and when the market goes down look forward to increased future expected returns". Those words add strength to my will to stay the course.

Dave
by Random Walker
Fri Aug 21, 2015 3:47 pm
Forum: Investing - Theory, News & General
Topic: Anyone Notice How Much Less Bad Russell 2K Did Today?
Replies: 11
Views: 1232

Re: Anyone Notice How Much Less Bad Russell 2K Did Today?

Livesoft,
I was disciplined enough to not look yesterday, couldn't help myself today :-)

Dave
by Random Walker
Fri Aug 21, 2015 3:34 pm
Forum: Investing - Theory, News & General
Topic: Anyone Notice How Much Less Bad Russell 2K Did Today?
Replies: 11
Views: 1232

Anyone Notice How Much Less Bad Russell 2K Did Today?

Granted that a sample of 1 day is meaningless, but nonetheless S&P 500 down 3.19% while Russel 2000 down 1.34%. I believe the long run correlation between size and market is about 0.4. If nothing else, these one day moves may cause one to think about the potential benefits of diversifying across...
by Random Walker
Sun Aug 16, 2015 1:03 pm
Forum: Investing - Theory, News & General
Topic: Slice and dice: optimal for high-risk-tolerant investors?
Replies: 44
Views: 2338

Re: Slice and dice: optimal for high-risk-tolerant investors?

Even if the asset classes one chooses to tilt towards do not have higher expected returns than just the equity risk premium, there can be good reason for the tilt. That reason is the lack of correlation between the asset classes. The portfolio compounded return will always be less than the weighted ...
by Random Walker
Sun Aug 16, 2015 10:18 am
Forum: Investing - Theory, News & General
Topic: When do you notice the compounding at work?
Replies: 52
Views: 7206

Re: When do you notice the compounding at work?

One can really see the benefits of compounding when a bear market ends and a new bull starts. If the investor has been reinvesting dividends throughout the bear, he is buying more shares at lower cost. When the share value then rises, he will see the additional benefit of all the reinvested dividend...
by Random Walker
Sat Aug 15, 2015 3:24 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 46
Views: 3525

Re: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?

I think the DFA route makes most sense for individuals who have aggressive asset allocations. And the diagram behind the start of this post supports this thought. Diversifying into more esoteric asset classes on the non bond side of the portfolio may have greater benefit for individuals with smaller...
by Random Walker
Tue Aug 11, 2015 9:44 am
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 46
Views: 3525

Re: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?

Scott, I wouldn't take credit for any free lunches. I would say a DFA portfolio is quite likely going to be more heavily tilted to the risk factors that provide higher expected returns. One can achieve the same tilts with VG funds, but I doubt most people would tilt as heavily with VG as they would ...
by Random Walker
Sun Aug 09, 2015 1:36 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

I started investing in QSPIX just this year. For us portfolio junkies who may watch things daily, it is very fun to see its daily moves compared to the market.

Dave
by Random Walker
Sun Aug 09, 2015 1:25 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 46
Views: 3525

Re: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?

It can get pretty tricky trying to do the DFA v. VG comparison. The downside of the DFA approach is certain and obvious: the increased ERs and the advisor AUM fee. The upsides for DFA are potential and much less obvious. It only captures part of the potential DFA benefit to for example compare like ...
by Random Walker
Sun Aug 02, 2015 9:15 am
Forum: Investing - Theory, News & General
Topic: “If you want to make a lot of money, you need volatility, and you need volatility to go your way."
Replies: 10
Views: 1494

Re: “If you want to make a lot of money, you need volatility, and you need volatility to go your way."

Actually, portfolio volatility is a return killer. Combining weakly correlated volatile individual assets into a portfolio can improve portfolio efficiency. The compounded (annualized) return of a portfolio is the return that matters to the individual investor. This is always less than the weighted ...
by Random Walker
Sat Aug 01, 2015 8:44 am
Forum: Investing - Theory, News & General
Topic: Financial Advisor v. Bogle Approach?
Replies: 33
Views: 2809

Re: Financial Advisor v. Bogle Approach?

There are lots of good reasons to go with an advisor; I chose that path after a decade doing it myself. But 1.5% is too much. I strongly recommend you check out a short essay by Larry Swedroe on how to choose a financial advisor. The essay is titled How to Choose an Advisor You Can Trust. You can fi...
by Random Walker
Tue Jul 21, 2015 11:55 am
Forum: Investing - Theory, News & General
Topic: Is Harry Markowitz wrong? Why Optimal Portfolios Are So Difficult To Create
Replies: 33
Views: 3043

Re: Is Harry Markowitz wrong? Why Optimal Portfolios Are So Difficult To Create

Hi Rick, I haven't read the article yet, but an off the top of my head question arises from your summary. If correlations are at all less than one, wouldn't it make sense to diversify across risk factors/sources of return anyways? I guess what I'm saying is that isn't it best to bet on MPT and ackno...
by Random Walker
Mon Jul 20, 2015 7:05 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman Small Cap Value "Free Lunch"
Replies: 47
Views: 4119

Re: Paul Merriman Small Cap Value "Free Lunch"

I wouldn't call it a free lunch, but even if SV has same returns as TSM over time, the tilted portfolio can benefit from improved efficiency due to less than perfect correlations. Improved efficiency reveals itself as annualized return closer to average return. Is this worth the cost? I don't know. ...
by Random Walker
Wed Jul 15, 2015 9:32 am
Forum: Investing - Theory, News & General
Topic: diminishing liquidity premium
Replies: 4
Views: 721

Re: diminishing liquidity premium

This seems to support the thought that today's fairly lofty valuations are not a set up for a market crash; rather they represent a sort of new normal with lower long term expected equity returns.

Dave
by Random Walker
Mon Jul 13, 2015 8:56 am
Forum: Investing - Theory, News & General
Topic: Larry Portfolio Shortfall
Replies: 37
Views: 2758

Re: Larry Portfolio Shortfall

Big John, That all makes sense to me, especially since tilting entails higher expenses. I've gone all out the other direction though. One thing that is very difficult for me to guesstimate is the benefit of improved portfolio efficiency: smoother ride raising compounded return closer to average retu...
by Random Walker
Mon Jul 13, 2015 12:45 am
Forum: Investing - Theory, News & General
Topic: Larry Portfolio Shortfall
Replies: 37
Views: 2758

Re: Larry Portfolio Shortfall

Re: Big John & Skating Where The Puck Was I certainly agree with the premise of that book. But when different sources of returns are explained by logical risk stories in addition to historical data, then I think we can somewhat depend on them in the future. When they become easily investable, I ...
by Random Walker
Sun Jul 12, 2015 11:15 pm
Forum: Investing - Theory, News & General
Topic: Larry Portfolio Shortfall
Replies: 37
Views: 2758

Re: Larry Portfolio Shortfall

Maynard Speer brought up the fact that one has to make 100% to recover from a 50% loss. And for me too this is the reason to diversify as much as possible across sources of return. When an asset class declines, you need dry powder from other weakly correlated asset classesto add to it to maximize be...
by Random Walker
Sat Jul 11, 2015 9:28 pm
Forum: Investing - Theory, News & General
Topic: If You Slice and Dice
Replies: 22
Views: 3025

Re: If You Slice and Dice

I agree with staythecourse. When you have a lot of asset classes, you already know some will outperform and some will underperform in a given time period. So the tendency to tinker may be lessened.

Dave
by Random Walker
Sat Jul 11, 2015 12:22 pm
Forum: Investing - Theory, News & General
Topic: If You Slice and Dice
Replies: 22
Views: 3025

Re: If You Slice and Dice

I have become an asset class addict and this resulted in a tendency to tinker. I took on an advisor. This both opened up access for me to some more esoteric asset classes and serves as a brake on the tinkering.

Dave
by Random Walker
Mon Jun 29, 2015 10:26 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Ya, one day is meaningless but interesting nonetheless. The major indices down 2%, Foreign indices down about 2.5%, my muni bonds up 0.2%, CCFs down 0.3%, QSPIX down 0.6%. Based on this 1 day sample, CCFs and QSPIX are good diversifiers. The best diversifier, especially for the cost is bonds. Dave
by Random Walker
Sat Jun 20, 2015 9:02 pm
Forum: Investing - Theory, News & General
Topic: CFA Institute: CIPM Program Thoughts
Replies: 7
Views: 914

CFA Institute: CIPM Program Thoughts

I've been toying with the idea of pursuing the CFA certificate. This is a minimum 2 year program. Then I found the CIPM program offered by the same organization. CIPM is Certificate in Investment Performance Measurement. Anyone have any thoughts on CIPM versus CFA? This is mainly for my own educatio...
by Random Walker
Sun Jun 14, 2015 1:52 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Stlutz, Yes there is. The purpose of this fund is to diversify across sources of risk. Beta is one kind of risk. If we go long risk X and short negative risk X, then we pile on exposure to risk X but cancel out the risk that both investments have in common, the market. There is no net exposure to th...
by Random Walker
Sun Jun 14, 2015 12:30 pm
Forum: Investing - Theory, News & General
Topic: Why High Equity Allocation in Retirement
Replies: 82
Views: 10891

Re: Why High Equity Allocation in Retirement

I thought I'd put a plug in here for Monte Carlo simulations. A good simulation with reasonable forward looking expectations for one's portfolio and various withdrawl rates can be very worthwhile for answering these questions about how much risk to take in retirement.

Dave
by Random Walker
Sun Jun 14, 2015 12:19 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Stlutz, Yes, with regard to equities there are cheaper ways to get the same factor exposure. But! 1. This fund provides access to 4 different styles across multiple asset classes. 2. With regard to equities, this fund provides the factor exposure without increasing exposure to the market factor. All...
by Random Walker
Sat Jun 13, 2015 1:34 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Packer 16 asked "how do you get comfortable?". I think investing is inherently a bit uncomfortable at least! One of the only ways to gain some comfort is to diversify as broadly as possible. When one is appropriately diversified, there is always a portion of the portfolio that is relativel...
by Random Walker
Fri Jun 12, 2015 9:07 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Just thought I'd reiterate that the point of this fund is to improve portfolio efficiency. A more efficient portfolio has a compounded return closer to the weighted average annual return of the components. The benefits of a less volatile ride compound over time.

Dave
by Random Walker
Fri Jun 12, 2015 8:50 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Grap0013, I think it's worthwhile to note that for really volatile or weakly/negatively correlated asset classes, their diversification effect on a portfolio will appear to be bigger than their small % allocation would suggest. Don't remember how to calculate it, but I've seen that sort of example w...
by Random Walker
Thu Jun 11, 2015 6:50 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

I have 3% allocation and will rebalance with it same as any other asset in the portfolio.

Dave
by Random Walker
Thu Jun 11, 2015 3:51 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Wickywack, I agree with you that Skating Where The Puck Was is important reading. I also agree that when an excellent weakly correlated asset class becomes liquid and investable, future expected returns can be muted. And I agree that when crises occur, all correlations head towards one. But diversif...
by Random Walker
Thu Jun 11, 2015 10:07 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Hi Angst, I believe adding QSPIX will increase my sharpe ratio from where it is, but I have no idea what the maximum attainable sharpe ratio is or how to get there. My 3% allocation comes from individual portfolio constraints. I am about 85% taxable and 15% tax deferred. I have CCFs, REITs, Int REIT...
by Random Walker
Thu Jun 11, 2015 8:41 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

LongInvest, I take a broader view of Bogleheads: Passive investing: all index funds are passive, not all passive are index Diversification: across geographies, sources of risk, sources of return Buy, hold, rebalance, tax loss harvest Low costs: but not lowest cost at expense of value Generate a well...
by Random Walker
Wed Jun 10, 2015 10:56 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

I have no idea how much QSPIX is needed to maximize the sharpe ratio. I saw the Illmanen CFA presentation last night, and I think I remember some big chunks like 30% in sample portfolio. Moreover, no one knows where a future efficient frontier may be. I do think it is fair to say though that for us ...
by Random Walker
Tue Jun 09, 2015 8:24 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

With equity valuations generous and interest rates so low, seems like diversifying into another source of risk and expected return would be very interesting. QSPIX does fit this.

Dave
by Random Walker
Tue Jun 09, 2015 8:09 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

I believe how QSPIX affects a portfolio depends on where you take assets from to create the position. If you take from the equity side, I believe you would likely keep expected return about the same and likely decrease portfolio volatility. If you take from the bond side, you would increase expected...
by Random Walker
Mon Jun 08, 2015 11:27 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

Ketawa,
Excellent explanation of the payment of dividends on the shorts. Thanks!

Dave
by Random Walker
Sat Jun 06, 2015 6:07 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

In the 6 months I've been following QSPIX it and the market have definitely zagged and zagged very differently day to day FWIW :-)

Dave
by Random Walker
Sat Jun 06, 2015 2:18 pm
Forum: Personal Finance (Not Investing)
Topic: Financial planning for your demise
Replies: 18
Views: 2914

Re: Financial planning for your demise

Trust made sense because it gave me control over who makes decisions and where assets go if I die.

Dave
by Random Walker
Sat Jun 06, 2015 2:15 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58812

Re: QSPIX - thoughts on interesting fund

I also own the fund through Fidelity 401K. AQR says they cap the ER @ 1.5% but I'm not sure if it works out this way in the 401K. It's surprising how hard it can be to definitively figure out the ER within the Fidelity account.

Dave

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