Search found 955 matches

by Random Walker
Mon Jun 29, 2015 10:26 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 378
Views: 31821

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: 823

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: 378
Views: 31821

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: 78
Views: 9764

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 378
Views: 31821

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: 2803

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: 378
Views: 31821

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
by Random Walker
Sat Jun 06, 2015 2:07 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 378
Views: 31821

Re: QSPIX - thoughts on interesting fund

I too have climbed on the QSPIX bandwagon. I'm a big believer in looking at the portfolio as a whole and I hugely influenced by Gibson's Asset Allocation. How an additional fund impacts a portfolio depends on expected return, volatility, correlations, and costs. I've admittedly become an asset class...
by Random Walker
Sat May 30, 2015 9:48 am
Forum: Personal Finance (Not Investing)
Topic: Financial planning for your demise
Replies: 18
Views: 2803

Re: Financial planning for your demise

I responded to the thread about using an advisor. I chose to go the advisor route, and the first thing he did was insist I put a trust in place. Obviously good for the client to do, but I think it also puts the advisor in better position if something happens to client. And by the way, I think one po...
by Random Walker
Thu May 28, 2015 7:50 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Volatility is a Big Drag on Returns
Replies: 51
Views: 4765

Re: Portfolio Volatility is a Big Drag on Returns

For the investor the only thing that matters is the portfolio as a whole. And for the portfolio all that matters is compounded return.
by Random Walker
Thu May 28, 2015 6:07 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Volatility is a Big Drag on Returns
Replies: 51
Views: 4765

Re: Portfolio Volatility is a Big Drag on Returns

I'm not claiming that arithmetic mean can be realized. Only claiming that gap between arithmetic mean and geometric mean can be reduced.


Dave
by Random Walker
Thu May 28, 2015 5:54 pm
Forum: Investing - Theory, News & General
Topic: Any impartial advocates for the other point of view?
Replies: 32
Views: 2959

Re: Any impartial advocates for the other point of view?

One thing I'm starting to learn about investing. I'm in accumulation phase. I think though, that withdrawl phase is much more difficult to negotiate than accumulation. But how one sets up for withdrawl during accumulation can make a very big difference. I use an advisor now during accumulation, but ...
by Random Walker
Wed May 27, 2015 7:53 pm
Forum: Investing - Theory, News & General
Topic: Market Capitalization Flaw in Index Funds
Replies: 11
Views: 1205

Re: Market Capitalization Flaw in Index Funds

Market cap weighting is excellent because it represents the collective wisdom of all market participants in valueing the companies. But one potential problem with a TSM type fund is that it effectively is a large growth fund. The biggest funds get to the top partly by having higher P/E ratios. For e...
by Random Walker
Wed May 27, 2015 6:05 pm
Forum: Investing - Theory, News & General
Topic: Any impartial advocates for the other point of view?
Replies: 32
Views: 2959

Re: Any impartial advocates for the other point of view?

Well, I can make an argument for an advisor. That being said, it is a personal choice dependent on personal circumstances. So let me describe my personal circumstance a bit. I became a do it yourself investor in about 2001 after reading Bogle's Common Sense on Investing and Malkiels Random Walk. Sin...
by Random Walker
Tue May 26, 2015 10:22 pm
Forum: Investing - Theory, News & General
Topic: Reducing the Black Swans
Replies: 69
Views: 7369

Re: Reducing the Black Swans

Browser, I think you are ignoring something very important: that the sequence of returns over time is tremendously important when we enter withdrawl phase. A few bad years during the start of drawdown phase can be a portfolio killer. The portfolio can't recover if money needs to be withdrawn at a ma...
by Random Walker
Tue May 26, 2015 8:15 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Volatility is a Big Drag on Returns
Replies: 51
Views: 4765

Re: Portfolio Volatility is a Big Drag on Returns

RodC, Disagree with you on a couple of points. Putting cash under bed is minimizing volatility and minimizing expected returns. What I'm talking about is diversifying across sources of return closer to the equity risk premium, with correlations less than 1, and volatilities similar to equities as we...
by Random Walker
Tue May 26, 2015 9:39 am
Forum: Investing - Theory, News & General
Topic: Portfolio Volatility is a Big Drag on Returns
Replies: 51
Views: 4765

Re: Portfolio Volatility is a Big Drag on Returns

WoofWoof, What matters is the portfolio as a whole. And you are right, the geo mean will always be less than the weighted average annual return of portfolio components. But a more efficient portfolio will minimize the difference between geo mean and arithmetic mean. What I'm saying is that multiple ...
by Random Walker
Mon May 25, 2015 7:06 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Volatility is a Big Drag on Returns
Replies: 51
Views: 4765

Re: Portfolio Volatility is a Big Drag on Returns

Staythecourse, Excellent post. Very hard to disagree with any of your comments. Have you by chance read William Bernstein's Skating Where The Puck Was? Basically says that correlations go to 1 when bad things happen and that once an asset class becomes investable all advantages of the asset class ar...
by Random Walker
Mon May 25, 2015 5:28 pm
Forum: Investing - Theory, News & General
Topic: Robo-Advisers and Behavioral Investing
Replies: 12
Views: 1257

Re: Robo-Advisers and Behavioral Investing

Nedsaid, Seems like you feel a tilter necessarily can't be a hard core believer in market efficiency. If we feel there are premia, if they are compensation for risk doesn't that fit with efficiency? Even some of the behavioral factors might persist in an efficient market if there are limits to arbit...
by Random Walker
Mon May 25, 2015 4:29 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Volatility is a Big Drag on Returns
Replies: 51
Views: 4765

Re: Portfolio Volatility is a Big Drag on Returns

Bernstein, There are asset classes that have even higher expected returns than the market and are less than perfectly correlated to the market. So if one were to keep expected return the same and tilt away from market portfolio by increasing bond allocation while increasing tilt to small, value, mom...
by Random Walker
Mon May 25, 2015 4:20 pm
Forum: Investing - Theory, News & General
Topic: Portfolio Volatility is a Big Drag on Returns
Replies: 51
Views: 4765

Re: Portfolio Volatility is a Big Drag on Returns

Daufuskie Nate, I'm not clear on the distinction between rebalancing bonus and diversification return. But I think the concepts of volatility drag, rebalancing bonus, factor returns are all implicitly related. Implicit in my post is developing a plan with a fixed asset allocation and sticking to it....
by Random Walker
Mon May 25, 2015 10:31 am
Forum: Investing - Theory, News & General
Topic: Portfolio Volatility is a Big Drag on Returns
Replies: 51
Views: 4765

Re: Portfolio Volatility is a Big Drag on Returns

Thought I'd resurrect this thread because the issue is so interesting to me. All that matters is the performance of the portfolio as a whole, and volatility drag appears to be very significant. It seems that diversifying across more sources of risk and sources of return could yield more dry powder t...
by Random Walker
Sun May 24, 2015 8:22 am
Forum: Investing - Theory, News & General
Topic: Simple (ex: DFA core) Vs Complex (S&D multiple segments)
Replies: 11
Views: 1138

Re: Simple (ex: DFA core) Vs Complex (S&D multiple segments)

I don't think the DFA core funds were a response to the simplicity of VG TSM funds. I think they represent an evolution of asset class tilted investing to become more efficient: minimize forced trading, minimize taxes, minimize rebalancing costs. Now of course, got to admit that those are all excell...
by Random Walker
Sun May 24, 2015 8:17 am
Forum: Investing - Theory, News & General
Topic: another look at dividend paying stocks and valuations
Replies: 64
Views: 4990

Re: another look at dividend paying stocks and valuations

My understanding is that total return of a stock is independent of dividend policy. The total return includes both price appreciation and dividends. But dividend paying stocks are more likely to be value stocks and perhaps higher dividend yield stocks are more valuey. So it is expected that dividend...
by Random Walker
Sat May 23, 2015 7:43 am
Forum: Investing - Theory, News & General
Topic: Simple (ex: DFA core) Vs Complex (S&D multiple segments)
Replies: 11
Views: 1138

Re: Simple (ex: DFA core) Vs Complex (S&D multiple segments)

My understanding is that the DFA Core funds maintain a fixed degree of tilt. In fact I think they maintain more pure exposure to the factors than other funds by rebalancing much more frequently, I think daily. I also believe it makes sense to add component value or small value funds to the core fund...
by Random Walker
Fri May 22, 2015 7:56 pm
Forum: Investing - Theory, News & General
Topic: Risk Factors: Variance Skewness Kurtosis
Replies: 9
Views: 1265

Re: Risk Factors: Variance Skewness Kurtosis

I think I remember reading that the data on momentum is so strong that even Fama has become a believer despite the absence of a risk story.

Dave
by Random Walker
Sat May 16, 2015 1:01 pm
Forum: Investing - Theory, News & General
Topic: The CFA Designation
Replies: 4
Views: 486

Re: The CFA Designation

I've looked at bit of the 1st year curriculum and it looks like pretty solid information that make someone better suited to give advice
by Random Walker
Thu May 14, 2015 6:30 pm
Forum: Investing - Theory, News & General
Topic: Poll: Average E/R [Expense Ratio]
Replies: 49
Views: 3479

Re: Poll: Average E/R [Expense Ratio]

"You'll just have to bare with some of us who see it as the equivalent of taking your investment returns and then paying someone to throw it on a roulette wheel and hope it comes up in your favor.." Actually, I see it the same way :-) I don't know how roulette odds work, but that is a good...
by Random Walker
Thu May 14, 2015 4:40 pm
Forum: Investing - Theory, News & General
Topic: Poll: Average E/R [Expense Ratio]
Replies: 49
Views: 3479

Re: Poll: Average E/R [Expense Ratio]

Sharpjm, That was a bit of a snarky comment. Higher fees clearly take away from returns. As I said, costs are certain. Potential advantages of a non TSM type portfolio are only potential. That being said, one should weigh the the advantages and disadvantages of different investment strategies as bes...
by Random Walker
Thu May 14, 2015 2:39 pm
Forum: Investing - Theory, News & General
Topic: Poll: Average E/R [Expense Ratio]
Replies: 49
Views: 3479

Re: Poll: Average E/R [Expense Ratio]

Well, I'm the outlier that put my expense ratio at 0.9%. I have an advisor who provides DFA access. The AUM fee is 0.5% and the average ER of all my funds rounds to about 0.4%. So, since this is a DIY Vanguard forum, I thought It fair to add the two together to total 0.9%. But here is what I get for...
by Random Walker
Tue May 12, 2015 2:51 pm
Forum: Investing - Theory, News & General
Topic: WSJ Opinion:The Federal Reserve Asset Bubble Machine
Replies: 12
Views: 1587

WSJ Opinion:The Federal Reserve Asset Bubble Machine

Anyone read this opinion piece in the Wall Street Journal. It basically says the Fed's easy money policy has led to lofty valuations in all three major asset classes: stocks, bonds, real estate. Certainly gets my attention. Don't think I'll do anything with the information, but it makes me ponder my...
by Random Walker
Mon May 11, 2015 8:14 am
Forum: Investing - Theory, News & General
Topic: Reducing the Black Swans
Replies: 69
Views: 7369

Re: Reducing the Black Swans

Don't know specific ETFs, but I have a response to your basic premise that the SV tilt is more risky in retirement. The heavy tilt to SV is only in the equity portion. The basic stock/bond split can be adjusted to any risk tolerance level. In fact a person may have a lower equity allocation with sam...
by Random Walker
Fri May 08, 2015 10:58 pm
Forum: Investing - Theory, News & General
Topic: Ang's Book Helped Me Understand Beta Better
Replies: 13
Views: 1140

Re: Ang's Book Helped Me Understand Beta Better

I've become a bit of an asset class junkie. I'm a huge fan of Roger Gibson's Asset Allocation and multi asset class investing. I really appreciate the fact that an asset class' contribution to a portfolio depends on expected return, volatility, and correlations. Never learned much about CAPM, but re...
by Random Walker
Fri May 08, 2015 8:29 pm
Forum: Investing - Theory, News & General
Topic: Ang's Book Helped Me Understand Beta Better
Replies: 13
Views: 1140

Ang's Book Helped Me Understand Beta Better

Trying to read Ang's Asset Management. In describing CAPM, he defines beta very nicely. Previously I had just thought of it as volatility. But apparently it's defined as (Volatility of asset)(correlation to market) / volatility market. He calls beta a measure of the Lack of Diversification Potential...
by Random Walker
Fri May 08, 2015 8:15 pm
Forum: Investing - Theory, News & General
Topic: part two of Facts and fiction on value investing bl
Replies: 70
Views: 4769

Re: part two of Facts and fiction on value investing bl

What matters is the behavior of the portfolio as a whole. Volatility is a return killer. Because of volatility the compounded return of the portfolio is less than the weighted average return of the portfolio components. Adding asset classes to a portfolio that can dampen portfolio volatility can bri...
by Random Walker
Wed May 06, 2015 5:23 pm
Forum: Investing - Theory, News & General
Topic: part two of Facts and fiction on value investing bl
Replies: 70
Views: 4769

Re: part two of Facts and fiction on value investing bl

Browser, I think there is another way to look at it. There do not need to be winners and losers regarding the trade of a value stock. Instead there can be market participants with differing appetites for risk, types of risk, and associated returns. Value stocks earn part of their premium because of ...
by Random Walker
Tue May 05, 2015 11:28 am
Forum: Investing - Theory, News & General
Topic: the missing value premium
Replies: 34
Views: 3557

Re: the missing value premium

And to amplify Grap003's point, It takes a lot more of the relatively more expensive value fund to obtain the same tilt with VG than it does with DFA. Also need to take on more market exposure to obtain same tilt with VG that you can get elsewhere. So the VG portfolio with Factor loadings same as sa...
by Random Walker
Sat May 02, 2015 12:09 pm
Forum: Investing - Theory, News & General
Topic: "Don't invest in something you don't understand."
Replies: 55
Views: 3650

Re: "Don't invest in something you don't understand."

I agree that one needs to take the plunge and invest a bit beyond the level of understanding. I got a pretty good grip on risk, expected returns, diversification, etc. For me though, I understand the powerful diversification benefit of CCFs but have very little understanding of their return drivers,...

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