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Re: To stay a Boglehead, I have to leave Bogleheads.org

bonaire27 wrote:
I’ll take the simple approach to investing in just a few index funds. So time for me to back off…back way off. Maybe I'll go fishing. To stay a Boglehead, I have to stop visiting the Boglehead world. Oh, the irony. :oops:


Best post ever.

Good luck, Bonaire.
by Roy
Wed Jun 18, 2014 12:27 pm
 
Forum: Investing - Theory, News & General
Topic: To stay a Boglehead, I have to leave Bogleheads.org
Replies: 56
Views: 6151

Re: Philosophy Differs From Strategy

A word of caution at this point: I find that newly enlightened self-managed investors can spend a considerable amount of time and energy trying to figure out a perfect portfolio by seeking a perfect asset allocation, perfect products, perfect tax-efficiency and a perfect maintenance methodology. Do...
by Roy
Mon Jun 16, 2014 6:07 pm
 
Forum: Investing - Theory, News & General
Topic: Philosophy Differs From Strategy
Replies: 33
Views: 3273

Re: Larry Swedroe Q: sequence risk

I understand the "Larry Portfolio" and it seems like a good strategy. But is this necessarily the best strategy for somebody who is saving or drawing down their portfolio over 30 years (as most people are doing one of). With heavy exposure to the SV asset class don't you face a risk that ...
by Roy
Thu Jun 12, 2014 9:47 am
 
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Q: sequence risk
Replies: 5
Views: 940

Re: MOM exposure-- AQR Managed Futures (AQMIX)?

The problems with active management are exactly the same for quant rules-based portfolios as for any other approach. They have higher fees and their average risk adjusted return has to equal the market before fees and trail after fees. Just as you have to hope your active manager had good dreams la...
by Roy
Sat Jun 07, 2014 9:55 am
 
Forum: Investing - Theory, News & General
Topic: MOM exposure-- AQR Managed Futures (AQMIX)?
Replies: 36
Views: 1722

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

Random variation by a landslide. All you can do is maximize diversification and minimize fees and taxes. Steve: I'm sort of with you, but what does "maximize diversification" mean? Marketing aside, there are bright people making very different arguments as to what constitutes a properly d...
by Roy
Sun Jun 01, 2014 2:48 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard or DFA? "Vanguard, in a landslide..."
Replies: 54
Views: 4732

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

Yes, staying the course is important, but you need to be on the right course to begin with. If you're overweighting small caps now, or large caps (S&P 500 fund) circa 2000 after their big run, there's a fair chance you're chasing performance and/or suffering from recency bias. My point was to e...
by Roy
Sun Jun 01, 2014 1:41 pm
 
Forum: Investing - Theory, News & General
Topic: Vanguard or DFA? "Vanguard, in a landslide..."
Replies: 54
Views: 4732

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

A relevant article from the White Coat Investor: http://whitecoatinvestor.com/dfa-vs-vanguard/?print=pdf This article includes opinions from Weston Wellington, a vice president at DFA, who has some advice on the issue of hiring a DFA-authorized advisor just to get cheap (or not cheap) access to the ...
by Roy
Sun Jun 01, 2014 7:20 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard or DFA? "Vanguard, in a landslide..."
Replies: 54
Views: 4732

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

Random variation in a landslide. Doesn't include the DFA advisor fee layer you'd pay on all assets. Methinks a major large cap run is just around the corner, though the market pays about as much attention to me as it does to DFA. GMO predicts a SV return of -5.1% per year over the next seven years ...
by Roy
Sun Jun 01, 2014 7:15 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard or DFA? "Vanguard, in a landslide..."
Replies: 54
Views: 4732

Re: Swedroe's New Book

I share Scone's and Call_Me_Op's observations about Larry's portfolio concept and have started to collect data about different funds that might be assembled to create a pseudo -"Larry Portfolio" that would not use DFA funds (to which I do not have access) or high ER funds. For instance, u...
by Roy
Fri May 30, 2014 8:17 am
 
Forum: Investing - Theory, News & General
Topic: Swedroe's New Book
Replies: 76
Views: 12491

Re: How diversified is the Larry Portfolio

Getting to the finish line Talking about getting to the finish line, the LP is designed to help you keeping most of what you have after crossing the finish line . After winning the game the investors' main goal should be on capital preservation and loss prevention, in this case the LP could be a go...
by Roy
Wed May 28, 2014 4:46 pm
 
Forum: Investing - Theory, News & General
Topic: How diversified is the Larry Portfolio
Replies: 40
Views: 3516

Re: How diversified is the Larry Portfolio

I disagree that downside protection is the main reason for the LP portfolio. If you just wanted downside protection you could go 100% bonds. The purpose of the LP portfolio is to give you the most return for a given amount of risk by using higher risk stocks in lessor quantity. It is a very interes...
by Roy
Wed May 28, 2014 11:04 am
 
Forum: Investing - Theory, News & General
Topic: How diversified is the Larry Portfolio
Replies: 40
Views: 3516

Re: How diversified is the Larry Portfolio

You are focusing on the bonds portion. That isn't what makes the Larry portfolio interesting. People have been suggesting add bonds to portfolios to stabilize them for a very long time. The interesting part is the idea that by going riskier in the stock portion, you can get the same return while ho...
by Roy
Wed May 28, 2014 9:17 am
 
Forum: Investing - Theory, News & General
Topic: How diversified is the Larry Portfolio
Replies: 40
Views: 3516

Re: How diversified is the Larry Portfolio

I am not talking about tracking error. I am talking about not getting rewarded for the risk premium. The idea is that 30% of SV/EM can do the work of 40% of TSM because the return is greater. If that return isn't there, you need to hold more stock. That might happen (and has happened), over periods...
by Roy
Wed May 28, 2014 6:41 am
 
Forum: Investing - Theory, News & General
Topic: How diversified is the Larry Portfolio
Replies: 40
Views: 3516

Re: How diversified is the Larry Portfolio

duplicate post deleted
by Roy
Wed May 28, 2014 6:40 am
 
Forum: Investing - Theory, News & General
Topic: How diversified is the Larry Portfolio
Replies: 40
Views: 3516

Re: "Is Bogle Befuddling?"

Followup from the advisor, Eric D. Nelson: http://servowealth.com/resources/articles/morningstar-gets-it-mostly-right Thank you for this. Eric Nelson beautifully articulates my perspective on some of Jack Bogle's more recent comments in the press: In truth, none of these inconsistencies are all tha...
by Roy
Wed May 28, 2014 6:31 am
 
Forum: Investing - Theory, News & General
Topic: "Is Bogle Befuddling?"
Replies: 57
Views: 7282

Re: How diversified is the Larry Portfolio

If your 30% only returns 8% instead of 10%, you have to take more risk (i.e. hold 50% bonds instead of 60%). People are afraid of the big crashes. They are loud and in your face. The creeping doom of a portfolio that isn't growing fast enough is much harder to comprehend. Freddie: This type of comp...
by Roy
Wed May 28, 2014 5:52 am
 
Forum: Investing - Theory, News & General
Topic: How diversified is the Larry Portfolio
Replies: 40
Views: 3516

Re: How diversified is the Larry Portfolio

My take on the LP is different, as I'm looking at the primary objective being to cut left tail risk (that is, not losing big in Bears), and I'm choosing to view the higher expected equity returns (from that tilt) as a bonus. So the primary objective can be accomplished by holding high quality bonds ...
by Roy
Tue May 27, 2014 7:57 pm
 
Forum: Investing - Theory, News & General
Topic: How diversified is the Larry Portfolio
Replies: 40
Views: 3516

Re: Larry Swedroes The Only guide to a winning investment...

davidkw wrote:The Only Guide to a Winning Investment Strategy I found was the best book for understanding asset allocation and diversification The explanation of adding in additional asset classes was explained straight forward.


Still my favorite for those reasons.
by Roy
Sun May 25, 2014 8:53 am
 
Forum: Investing - Help with Personal Investments
Topic: Larry Swedroes The Only guide to a winning investment...
Replies: 19
Views: 2622

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

The question is this; are you going to "invest" in these technologies by paying higher fees for the hope of a higher return, or buy a simple portfolio of low-cost index funds and be happy matching the markets? I'm inclined to do more of the latter - and have been for quite some time. A 25...
by Roy
Sat May 24, 2014 6:46 pm
 
Forum: Investing - Theory, News & General
Topic: Good article on style premium investing & AQR new fund
Replies: 67
Views: 6664

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

I'm becoming concerned the proliferation of factor investing (also known as "smart beta" strategies) are going to turn risk premiums into risk discounts. Where are all the new dumb investors coming from who are going to supply these future risk premiums? Rick: Lots of premiums are shrinki...
by Roy
Sat May 24, 2014 5:52 pm
 
Forum: Investing - Theory, News & General
Topic: Good article on style premium investing & AQR new fund
Replies: 67
Views: 6664

Re: Does a small value tilt reduce porfolio volatility?

grap0013, VBR (or actually VSIAX) is still better for me because I can just own less TSM and more VSIAX/VBR. This presumably has the effect of causing me to own less large-cap blend and more mid-cap blend and small-cap blend, but that doesn't bother me. I also prefer to use the Vanguard funds vs. E...
by Roy
Sat May 24, 2014 10:56 am
 
Forum: Investing - Theory, News & General
Topic: Does a small value tilt reduce porfolio volatility?
Replies: 53
Views: 3812

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

I also have yet to digest it. It suggests a very complex multi-factoral, multi-asset class model to control risk and improve risk adjusted returns. On the surface it seems to me to be too complex for most of us to execute efficiently and therefore would require skillful active management which of c...
by Roy
Fri May 23, 2014 6:12 am
 
Forum: Investing - Theory, News & General
Topic: Good article on style premium investing & AQR new fund
Replies: 67
Views: 6664

Re: Does a small value tilt reduce porfolio volatility?

Have you done any articles that examined PXSV fund? Does it utilize any screens, etc? It does seems more similar to the DFA fund (maybe even more of a pure value and small play) than is the Vanguard fund and is not too costly, especially sans advisor. Do you have any non-DFA recommendations for Int...
by Roy
Thu May 22, 2014 3:53 pm
 
Forum: Investing - Theory, News & General
Topic: Does a small value tilt reduce porfolio volatility?
Replies: 53
Views: 3812

Re: SCV – more “valuey” or lower expense ratio most importan

In fact Claude Erb found that it's about only premium that has not been shrinking Hi, Larry: Interesting. Who is Claude Erb? Is he a money manager in addition to one who writes papers, or does he do only academic work? Was curious as to his affiliations after your article at SA but I could not find...
by Roy
Thu May 22, 2014 3:49 pm
 
Forum: Investing - Theory, News & General
Topic: SCV – more “valuey” or lower expense ratio most important?
Replies: 21
Views: 1449

Re: Does a small value tilt reduce porfolio volatility?

A significant tilt. Always try to get the most bang for the buck if you're going to spend the money on factor tilts. PXSV - PowerShares Fundamental Pure Small Value Portfolio or DFSVX DFA Small Cap Value Portfolio if you have access. Rick Ferri Thanks, Rick. I'm going to look at PXSV more closely. ...
by Roy
Thu May 22, 2014 12:45 pm
 
Forum: Investing - Theory, News & General
Topic: Does a small value tilt reduce porfolio volatility?
Replies: 53
Views: 3812

Re: "Lower Your Fees. Boost Your Returns."

Great piece. Thanks Taylor.
by Roy
Thu May 22, 2014 10:12 am
 
Forum: Investing - Theory, News & General
Topic: "Lower Your Fees. Boost Your Returns."
Replies: 5
Views: 1256

Re: "Is Bogle Befuddling?"

Followup from the advisor, Eric D. Nelson:

http://servowealth.com/resources/articl ... stly-right
by Roy
Wed May 21, 2014 3:45 pm
 
Forum: Investing - Theory, News & General
Topic: "Is Bogle Befuddling?"
Replies: 57
Views: 7282

Re: DFA Core-- Why bother with bottom 1000 names?

steve_14 wrote:Roy, the definition of an asset class is here: http://www.bogleheads.org/wiki/Asset_class


As explained, when you look under the hood, your comparison was inappropriate. Significantly different stock distribution and different market cap weighting.
by Roy
Wed May 21, 2014 2:11 pm
 
Forum: Investing - Theory, News & General
Topic: DFA Core-- Why bother with bottom 1000 names?
Replies: 19
Views: 1661

Re: DFA Core-- Why bother with bottom 1000 names?

These funds hold the same asset class - stocks. They even hold stocks of the same country. While they do own different groups of companies, as my graph shows this doesn't make much difference in their performance. The funds are both broadly diversified, with a similar average market cap, so are goi...
by Roy
Wed May 21, 2014 1:35 pm
 
Forum: Investing - Theory, News & General
Topic: DFA Core-- Why bother with bottom 1000 names?
Replies: 19
Views: 1661

Re: DFA Core-- Why bother with bottom 1000 names?

As we have now almost 10 years of data, we can see they aren't making any difference. This is a mid cap fund, as M* shows, and will track other such funds: http://i59.tinypic.com/1grdz9.jpg Notes: This compares to Vanguard's higher fee investor share class, and does not include advisor fees require...
by Roy
Wed May 21, 2014 6:59 am
 
Forum: Investing - Theory, News & General
Topic: DFA Core-- Why bother with bottom 1000 names?
Replies: 19
Views: 1661

Re: a tale of two small value funds

To be fair, there are a few things left out of your analysis: 1) DFSVX is not available to most investors without paying an additional adviser fee. Yes, from a practical persepctive this is so. It is a fair criticism, even though the DFA funds can be sometimes found in some plans. And note that fee...
by Roy
Mon May 19, 2014 10:59 am
 
Forum: Investing - Theory, News & General
Topic: a tale of two small value funds
Replies: 25
Views: 1993

Re: commodities and multi-asset class portfolios

The problem with that line of thinking is that it helps in DEMAND shocks but not in supply shocks. It should be noted that physical gold can serve as a hedge in both scenarios (demand shock, and supply shock). - In the 1970s inflation period, gold price went from $40.80 to $612.56 (+1401% over 10 y...
by Roy
Mon May 19, 2014 7:02 am
 
Forum: Investing - Theory, News & General
Topic: commodities and multi-asset class portfolios
Replies: 65
Views: 3624

Re: commodities and multi-asset class portfolios

Did you calculate the effect of taking an incremental amount from stocks and adding it to bonds, rather than to commodities? For example shifting from 50% stock, 50% int term treasuries to 40% stocks and 60% int term treasuries? This would also reduce volatility, is available at very low cost and h...
by Roy
Mon May 19, 2014 6:49 am
 
Forum: Investing - Theory, News & General
Topic: commodities and multi-asset class portfolios
Replies: 65
Views: 3624

Re: commodities and multi-asset class portfolios

larryswedroe wrote: DL If you took the CCF from the equity side it would have made very little difference to your portfolio in that period, and if you had done as I suggested, adding duration to the bond side and done so likely you would have been better off This has been pointed out before in anot...
by Roy
Sun May 18, 2014 6:18 pm
 
Forum: Investing - Theory, News & General
Topic: commodities and multi-asset class portfolios
Replies: 65
Views: 3624

Re: commodities and multi-asset class portfolios

It's been my experience in over 25 years of researching and providing advice that commodities story sounds much better in theory than it actually works in practice. The whole thing is a Rube Goldberg machine; lot's of bells, whistles and moving parts just to perhaps get you where you would be with ...
by Roy
Sun May 18, 2014 9:41 am
 
Forum: Investing - Theory, News & General
Topic: commodities and multi-asset class portfolios
Replies: 65
Views: 3624

Re: why do investors keep buying actively managed funds?

Here's my reason... Difference in growth of initial $10,000 = $5,577 over about 13 years. Volatility about the same. Wellington (and Wellesley) are much cheaper than most active funds--maybe among the very cheapest outside of Vanguard. Here at Bogleheads, many would say these "W" funds ar...
by Roy
Fri May 16, 2014 9:49 am
 
Forum: Investing - Theory, News & General
Topic: why do investors keep buying actively managed funds?
Replies: 104
Views: 7303

Re: International Small Cap Value

VSS (Small-Mid) is a good diversifier to US Large—lots of stocks, been around awhile (see the fund version, VFSVX) inexpensive (among the lowest in cost anywhere), and it includes some Emerging Markets. I was also happy with DLS. If I could access the DFA fund at no added fee, I'd likely do that. Bu...
by Roy
Thu May 15, 2014 7:05 am
 
Forum: Investing - Help with Personal Investments
Topic: International Small Cap Value
Replies: 16
Views: 1636

Re: "Smart Beta" ?

So my Vanguard SCV fund means I have a stake in the Strategic Beta universe? I guess I need to start going to some cocktail parties! Yes. But not a small enough stake or a value-ey enough one. And no momentum screen. Or targeted profitability. But as you can see, some of this smartness is nothing m...
by Roy
Wed May 14, 2014 5:03 pm
 
Forum: Investing - Theory, News & General
Topic: "Smart Beta" ?
Replies: 12
Views: 1177

Re: "Smart Beta" ?

Thanks, Taylor. I liked this piece. I'm interested to see what JPM creates and the costs. Might be cheaper than AQR (who are very expensive but have some smart guys in their shop, like Asness), but pricier than the current lot of smart vehicles, and much more so than basic passive funds.
by Roy
Wed May 14, 2014 3:34 pm
 
Forum: Investing - Theory, News & General
Topic: "Smart Beta" ?
Replies: 12
Views: 1177

Re: Poll:Do small stocks have higher expected returns than l

Barry Ritholz wrote recently (I am parapharsing and taking great liberties in doing so) of all of the studies using historical stock prices, only those studies showing evidence of an anomaly ever get published. The great majority of studies, those not showing anything, get filed in the back of the ...
by Roy
Tue May 13, 2014 12:25 pm
 
Forum: Investing - Theory, News & General
Topic: Poll:Do small stocks have higher expected returns than large
Replies: 78
Views: 4849

Re: Is equity diversification over-hyped?

I don't think diversification is over hyped. But there is diversifying within an asset class and there is diversifying across sources of return. Owning S&P 500 or TSM is basically owning a large growth fund. Because of cap weighting, the contribution of small stocks to the behavior of TSM is ne...
by Roy
Thu May 08, 2014 7:26 am
 
Forum: Investing - Theory, News & General
Topic: Is equity diversification over-hyped?
Replies: 45
Views: 3397

Re: Great Interview with William Sharpe

cessful investing is mainly behavioral. I come across articles from time to time about individuals with modest incomes that left sizable investment portfolios behind to charitable institutions upon death, much to the surprise of family members. These folks often purchased individual blue chip stock...
by Roy
Sun May 04, 2014 9:51 am
 
Forum: Investing - Theory, News & General
Topic: Great Interview with William Sharpe
Replies: 11
Views: 1623

Re: Great Interview with William Sharpe

I think a lot of people are skeptical that so-called "factors" and "smart beta" are the result of sophisticated data-mining and selective reporting of positive findings in the literature rather than anything real. Looks like these folks have some pretty credible support for thei...
by Roy
Sat May 03, 2014 12:19 pm
 
Forum: Investing - Theory, News & General
Topic: Great Interview with William Sharpe
Replies: 11
Views: 1623

Re: Great Interview with William Sharpe

Duplicate post deleted.
by Roy
Sat May 03, 2014 12:18 pm
 
Forum: Investing - Theory, News & General
Topic: Great Interview with William Sharpe
Replies: 11
Views: 1623

Re: Fama/French Factors: "A Come-to-Buffet Moment" (from M*)

What does Fama have to say about the effectiveness, robustness, and importance of all this? I continue to be unclear on why an efficient market is unable to bid up the prices of the precious, scarce asset classes (CRSP decile 9 and 10, for example) that are the key ingredients of the whole portfoli...
by Roy
Thu May 01, 2014 7:24 am
 
Forum: Investing - Theory, News & General
Topic: Fama/French Factors: "A Come-to-Buffet Moment" (from M*)
Replies: 74
Views: 4796

Re: Fama/French Factors: "A Come-to-Buffet Moment" (from M*)

The debate is because of then claim that DFA is adding something to the markets return, that their funds somehow offer "higher expected returns through advanced portfolio design, management, and trading" . Some of us find the claim a bit spurious, just a product being sold with the same o...
by Roy
Wed Apr 30, 2014 5:59 pm
 
Forum: Investing - Theory, News & General
Topic: Fama/French Factors: "A Come-to-Buffet Moment" (from M*)
Replies: 74
Views: 4796

Re: CORRECTION

virtually ALL of the major DFA equity funds have performed amazingly well since inception. In May, 2000, Morningstar's Research Director, John Rekenthaler, conducted an 18 year comparative study of DFA vs. Vanguard. He concluded: "Vanguard in a landslide." Why Investing Isn't Engineering ...
by Roy
Wed Apr 30, 2014 8:55 am
 
Forum: Investing - Theory, News & General
Topic: Fama/French Factors: "A Come-to-Buffet Moment" (from M*)
Replies: 74
Views: 4796

Re: Fama/French Factors: "A Come-to-Buffet Moment" (from M*)

Small caps are due for a long period of underperformance, and when that happens DFA will lag right along with it (and you'll be eating advisor fees while it happens). The fee consumption is always happening, even during SCV outperformance; what matters in this context is the portfolio performance a...
by Roy
Wed Apr 30, 2014 6:57 am
 
Forum: Investing - Theory, News & General
Topic: Fama/French Factors: "A Come-to-Buffet Moment" (from M*)
Replies: 74
Views: 4796

Re: Question about Wellington and Wellesley

I used to hold quite a bit Wellington in my semi-Boglehead days, but not anymore because of taxes and manager risk -- however small in the case of the W funds, there's always a chance that they pull a Bill Miller and concentrate my portfolio in precisely the wrong thing at precisely the wrong time....
by Roy
Mon Apr 28, 2014 3:01 pm
 
Forum: Investing - Theory, News & General
Topic: Question about Wellington and Wellesley
Replies: 55
Views: 42772

Re: Question about Wellington and Wellesley

These funds style drift with their fixed income— maturity and credit quality. As we have seen, that can work or not. Bill Gross has certainly shown that with his fund, though the W&W funds are less aggressive, especially in the international.
by Roy
Mon Apr 28, 2014 8:44 am
 
Forum: Investing - Theory, News & General
Topic: Question about Wellington and Wellesley
Replies: 55
Views: 42772
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