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Re: Asness & Fama on Bloomberg TV NOW

I believe Fama owns market like portfolio because his own investment in DFA is very heavily tilted to small and value already Larry Thanks, Larry. That would make sense from a labor capital risk viewpoint. Asness seemed to imply Fama was invested otherwise, more value tilted. Which one of you two g...
by Roy
Wed Apr 16, 2014 9:39 am
 
Forum: Investing - Theory, News & General
Topic: Asness & Fama on Bloomberg TV NOW
Replies: 23
Views: 1149

Re: Asness & Fama on Bloomberg TV NOW

Thanks Matjen for putting it together. Great seeing these giants talking with someone who can clarify the issues, like Asness. I like Asness and hope to see more of him. But for me AQR is too pricey for its combo-anomaly mousetraps that haven't been live that long. I've seen several different ERs me...
by Roy
Wed Apr 16, 2014 9:02 am
 
Forum: Investing - Theory, News & General
Topic: Asness & Fama on Bloomberg TV NOW
Replies: 23
Views: 1149

Re: Can I get some alpha? (DFA / Wealthfront)

These arguments often become comparisons between Small Value funds. But if one uses an advisor to access the full spectrum of asset allocation, aren't they paying AUM fees for all their fixed income too? (As I understand it, the AUM fee is based on all assets, not just the stocks.) So if one has a a...
by Roy
Fri Apr 11, 2014 5:43 pm
 
Forum: Investing - Theory, News & General
Topic: Can I get some alpha? (DFA / Wealthfront)
Replies: 58
Views: 2965

Re: Index Funds, Active Funds, or Both? WSJ Video

Should you buy index funds, active funds or both? This was the topic of a recent WSJ on-line debate of sorts monitored by Karen Damato and featuring yours truly and a couple of advisers who use active management (because they know how to pick-em'!). I think I held my own. Index Funds, Active Funds,...
by Roy
Fri Mar 07, 2014 11:16 am
 
Forum: Investing - Theory, News & General
Topic: Index Funds, Active Funds, or Both? WSJ Video
Replies: 4
Views: 333

Re: Appreciation For Mel

Munir wrote:IWe, at our forum here, mostly see the "enforcer" side of Mel since he is a moderator but he really has a mellow caring side too. Bravo Mel, and thank you.



Agreed. He also works hard behind the scenes resolving lord knows how many technical issues. Thanks, Mel.
by Roy
Mon Feb 10, 2014 4:43 pm
 
Forum: Investing - Help with Personal Investments
Topic: Appreciation For Mel
Replies: 11
Views: 1275

Re: Convince me to use 3fund rather than Wellesley/Wellingto

Hi, retiredbuthappy, First, I'd say if you are asking this question this way, you haven't done enough investigation. There are many threads that have discussed W&W vs. whatever, and the voices of W&W supporters and Indexers are all well stated. Plus, you have had the funds—lived with them—ju...
by Roy
Sat Feb 01, 2014 11:28 am
 
Forum: Investing - Help with Personal Investments
Topic: Convince me to use 3fund rather than Wellesley/Wellington
Replies: 14
Views: 1609

Re: The Dark Side of Smart Beta

I'm glad Rick wrote this piece. It's the marketer's job to sell product and the investor's job to be on his guard, and the latter takes some work because the cost of being sold can be high. In my exploration, many of these products—the funds themselves—are new, even if the bases on which they are de...
by Roy
Fri Jan 31, 2014 1:31 pm
 
Forum: Investing - Theory, News & General
Topic: The Dark Side of Smart Beta
Replies: 11
Views: 1162

Re: The Funniest Movie Ever

"Bird Cage - Robin Williams, Nathan Lane and Gene Hackman. Too funny."

I forgot that one. Own it and still watch it every time it comes on TV.
by Roy
Thu Jan 02, 2014 6:45 pm
 
Forum: Personal Consumer Issues
Topic: The Funniest Movie Ever
Replies: 201
Views: 10637

Re: The Funniest Movie Ever

This order:

Being There

What About Bob

The Odd Couple
by Roy
Thu Jan 02, 2014 6:43 pm
 
Forum: Personal Consumer Issues
Topic: The Funniest Movie Ever
Replies: 201
Views: 10637

Re: Thinking about chucking it all and going Wellington

I'm usually not a fan of active funds. But if the primary reason for their inferior performance is the cost hurdle, it's not a problem here because it is on the low end of the active management price curve. Plus, if one believes in Value investing or quality in equities, it seems to offer that too.
by Roy
Mon Dec 23, 2013 2:19 pm
 
Forum: Investing - Help with Personal Investments
Topic: Thinking about chucking it all and going Wellington
Replies: 72
Views: 7432

Re: Thinking about chucking it all and going Wellington

If you don't want to struggle with the complexity, Vanguard offers a number of solid balanced funds which are adequate to meet your needs. ...If you're more comfortable with Wellington, just do it. You could do worse and many of us who slice and dice probably will over any particular time frame. Re...
by Roy
Sun Dec 22, 2013 10:51 am
 
Forum: Investing - Help with Personal Investments
Topic: Thinking about chucking it all and going Wellington
Replies: 72
Views: 7432

Re: is there skill in the mutual fund industry

Only question (rhetorical) are you benchmarking against proper benchmarks, like running a factor regression to see if you actually generated alpha or was it just factor exposure This is one of the more important questions that often flies under radar. If approximating the various securities used by...
by Roy
Sat Dec 14, 2013 7:55 am
 
Forum: Investing - Theory, News & General
Topic: is there skill in the mutual fund industry
Replies: 32
Views: 1713

Re: Due diligence on RAFI Pure Small Value

RNJ wrote:According to M*, VTMSX has outperformed both IJS and VBR, and done so with a lower standard deviation. But choose your time parameters wisely.


Yep, saw that too. One concern is the short time period for any of these. But I'll be thinking about it.
by Roy
Mon Nov 25, 2013 10:08 am
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 73
Views: 5600

Re: Due diligence on RAFI Pure Small Value

2) Has anyone else noted the odd behavior of Vanguard Tax managed small cap fund. It has actually beaten DFSVX YTD, 3 and 10 years and IJS over all time periods! Is this a fluke or some mysterious momentum/profitability/low cost factor(s) at work? I vaguely remember Robert T mentioning this fund fa...
by Roy
Mon Nov 25, 2013 9:13 am
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 73
Views: 5600

Re: John Hussman is almost a Boglehead

I like all the posts, above. And, as some others here, I eagerly await the Hussman weekly commentary. He is so entertaining and impressive that I don't care if he's wrong. He doesn't crow too much when right and admits to being wrong (as mindbogle notes). And he surely has discipline. He also seems ...
by Roy
Sun Aug 11, 2013 5:30 pm
 
Forum: Investing - Theory, News & General
Topic: John Hussman is almost a Boglehead
Replies: 5
Views: 867

Re: Larry Swedroe is next to 10,000 posts

Larry is the professional who has most influenced me. His combination of hands-on management and academic experience is staggering. He can make complex issues accessible, and has clearly invested a lot of time to do that here.
by Roy
Wed Jul 24, 2013 7:25 am
 
Forum: Local Chapters and Bogleheads Community
Topic: Larry Swedroe is next to 10,000 posts
Replies: 38
Views: 3039

Re: Does this mean I don't believe in the efficient market t

A world in which a multifactor portfolio beat the market portfolio when they are adjusted to the same risk... Nisi: I'm unclear what "adjusted to the same risk" means. Do you mean portfolios adjusted to have about the same (historical) Standard Deviation, which is one kind of risk? Simila...
by Roy
Sun Jul 14, 2013 3:29 pm
 
Forum: Investing - Theory, News & General
Topic: Does this mean I don't believe in the efficient market theor
Replies: 28
Views: 1690

Re: Does this mean I don't believe in the efficient market t

Agreed with Richard's posts. Fama believes the 3-Factor story is a risk one. Now, since this is a model, that doesn't mean even his belief must be wholly correct, even as there are many papers that support his view. Still, Fama's own belief might be a wise place to start thinking about his model bec...
by Roy
Sun Jul 14, 2013 7:14 am
 
Forum: Investing - Theory, News & General
Topic: Does this mean I don't believe in the efficient market theor
Replies: 28
Views: 1690

Re: The enemy of "left tail" portfolios - bonds

Another aspect of Larry's portfolio it is doesn't track the standard 3-fund port well in the short term. This can lead to "tracking error regret", as illustrated in the opening post. This can lead to a sell off during a bull market, ultimately buying high. Thus, behavior is one of the gre...
by Roy
Sat Jun 29, 2013 1:17 pm
 
Forum: Investing - Theory, News & General
Topic: The enemy of "left tail" portfolios - bonds
Replies: 29
Views: 2318

Re: How Commodities Can Help a Portfolio

Hi, Bradley, Comparing Navs or Returns in isolation is usually (if not always) not helpful, though it is often done even by "experts". The portfolio as a whole is what matters. As Larry has said for years, this is the most important point (Larry didn't manufacture that concept, but speaks ...
by Roy
Mon Jun 10, 2013 4:44 pm
 
Forum: Investing - Theory, News & General
Topic: How Commodities Can Help a Portfolio
Replies: 129
Views: 8523

Re: How Commodities Can Help a Portfolio

Bradley keeps citing such comments as "proof" for his case but it's irrelevant, totally. Larry I do not believe quoting the opinions, statements, recommendations of other highly respected investment professionals is irrelevant. According to you, Bogle is wrong. FF is wrong and/or irreleva...
by Roy
Sun Jun 09, 2013 9:11 pm
 
Forum: Investing - Theory, News & General
Topic: How Commodities Can Help a Portfolio
Replies: 129
Views: 8523

Re: How Commodities Can Help a Portfolio

IF they actually did help portfolio performance pension funds/institutions would not be rethinking the use of commodities. I don't own commodities. But I'm not willing to give these guys a pass; and this is not evidence that commodities don't help. Active managers like these and many others (401ks ...
by Roy
Wed Jun 05, 2013 3:27 pm
 
Forum: Investing - Theory, News & General
Topic: How Commodities Can Help a Portfolio
Replies: 129
Views: 8523

Re: Is Low-Vol Anomaly really explained by Value factor?

Winguy: Depends on which ETFs you use but the returns (below) have been good—outpacing the broad market—and volatility is low, since their inception 1-2 years ago, and well-advertised. So, huge inflows. I think they target the lowest volatility 100 or so stocks in their chosen index. And there may b...
by Roy
Sat May 18, 2013 7:24 am
 
Forum: Investing - Theory, News & General
Topic: Is Low-Vol Anomaly really explained by Value factor?
Replies: 51
Views: 1953

Re: The new profitability factor, US and int'l evidence

And I agree with Roy :happy . Although human behavior is amazingly consistent over generations, I have a lot more faith in risk stories than behavioral ones. Although I do think a behavioral component can only help the value story. Of course the longer the period demonstrating a source of return, e...
by Roy
Fri May 17, 2013 3:50 pm
 
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 169
Views: 10555

Re: The new profitability factor, US and int'l evidence

Crake, Under your case #1, I believe there is a huge difference between taking on more risk by adding more of the same risk versus adding some of a different risk. There is benefit to diversifying across risk factors. For example, for tilters the benefit of small and value is not just increased exp...
by Roy
Fri May 17, 2013 3:04 pm
 
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 169
Views: 10555

Re: disregarding ''daily noise"

Imperabo wrote:Immerse yourself in it until you build up your immunity.


Agreed with the G. Gordon Liddy approach. Boredom follows in time. Then it's on to other things.
by Roy
Thu May 16, 2013 4:43 pm
 
Forum: Investing - Theory, News & General
Topic: disregarding ''daily noise"
Replies: 34
Views: 2021

Re: The new profitability factor, US and int'l evidence

For everyone else. There is a consistent error in "terminology" made here regarding the FF model. The model never explained 90%+ of returns. What it does is explain 90%+ of the variance in returns between WELL DIVERSIFIED portfolios. The smaller the number of issues in the portfolio the m...
by Roy
Thu May 16, 2013 11:17 am
 
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 169
Views: 10555

Re: The new profitability factor, US and int'l evidence

Thanks, RNJ. Unless I'm missing something, the Fees and Minimums are $1,000,000 for QCENX for initial investment. The top holdings do appear to be many of the usual "quality" suspects in a GMO (and others) sense. How they use Momentum to guide them is another thing. FWIW, Fidelity appears...
by Roy
Wed May 15, 2013 3:48 pm
 
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 169
Views: 10555

Re: The new profitability factor, US and int'l evidence

Here is the AQR Core Equity Fund Class N (QCENX). The "N" stands for NOT with respect to having the $5 Million minimum for the less expensive, presumably institutional class shares. From the Vanguard site: Large Value Expense ratio as of 05/01/2013: 1.12% Inception date 03/26/2013 Ticker ...
by Roy
Wed May 15, 2013 3:10 pm
 
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 169
Views: 10555

Re: The new profitability factor, US and int'l evidence

Could this factor help explain why Wellesley and Wellington have done so well for so long? At least, I think of Wellington Management as being in the Graham and Dodd tradition. Hi, Scone, Agreed this has been a good topic. It is true that Wellington management targets undervalued stocks that have g...
by Roy
Wed May 15, 2013 1:41 pm
 
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 169
Views: 10555

Re: The new profitability factor, US and int'l evidence

[Inflammatory comment removed by admin LadyGeek] Vanguard is not just about selling indexing and carries many fund families, but they do charge a transaction fee to access some of them. I believe AQR's 3 funds that apply this strategy (Domestic Large and Small,and one International fund) can be acq...
by Roy
Wed May 15, 2013 9:32 am
 
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 169
Views: 10555

Re: Why do investors chase dividend paying strategies

larryswedroe wrote:That is why I called this a cult. IT's a belief without any evidence of any logic.


Larry: Thank-you for taking the time to unpack all this. I didn't realize how far down the rabbit hole this went.
by Roy
Wed Apr 03, 2013 4:18 pm
 
Forum: Investing - Theory, News & General
Topic: Why do investors chase dividend paying strategies
Replies: 439
Views: 34093

Re: Swedroe versus Ferri on Recommended Asset Classes

Bradley Third, if you were even thinking correctly at all you would compare the return of the high yield in 2008 to the return of what the substitute was, say 5 year Treasury or Investment Grade at very least, and you would see massive underperformance. With CCF you would have compared that return ...
by Roy
Sat Mar 23, 2013 7:22 am
 
Forum: Investing - Theory, News & General
Topic: Swedroe versus Ferri on Recommended Asset Classes
Replies: 127
Views: 24134

Re: Hussman discusses valuations this week

http://www.hussmanfunds.com/wmc/wmc130311.htm He says: Wall Street is grossly overestimating the value of stocks based on profit margins that are 70% above the historical norm. This is a reason for looking at a longer term average of earnings or, alternatively, normalizing the earnings in some othe...
by Roy
Tue Mar 12, 2013 10:25 am
 
Forum: Investing - Theory, News & General
Topic: Shiller PE10 nearing nosebleed territory?
Replies: 290
Views: 22791

Re: Active vs. Passive

Also, I often see people mention Wellington and Wellesley Income as examples of "good" active management, and compare them to the Vanguard Balanced Index. But they are just an example of value investing and taking TERM and CREDIT risk in bonds. If we compare 65/35 and 35/65 blends of Russ...
by Roy
Mon Mar 11, 2013 1:18 pm
 
Forum: Investing - Theory, News & General
Topic: Active vs. Passive
Replies: 21
Views: 1369

Re: Shiller PE10 nearing nosebleed territory?

John Hussman was the first author that I have read that promoted the peak earnings method (he used reported rather than operated earnings). For some reason, which I won’t speculate on here (but I do have a speculation!), John has stopped promoting his price-to-peak earnings method of valuing the st...
by Roy
Sat Mar 09, 2013 4:28 pm
 
Forum: Investing - Theory, News & General
Topic: Shiller PE10 nearing nosebleed territory?
Replies: 290
Views: 22791

Re: Small Caps really necessary??

Roy, Lets say you have a negative equity risk premium for a period (say 00-09), and lets say you also have a negative size and or value premium of a similar magnitude over the same period. While too short a period to say so conclusively, we would be seeing a very high correlation between the return...
by Roy
Sat Mar 02, 2013 11:02 am
 
Forum: Investing - Help with Personal Investments
Topic: Small Caps really necessary??
Replies: 26
Views: 2654

Re: Small Caps really necessary??

Greyfox, Yes, "size" has had the lowest return of 3 factors. Part of the reason is how it's calculated (bottom half of stocks minus top half of stocks), vs value as top 1/3 minus bottom 1/3. If we calculate size the same way, we find the size and value premiums have been similar. Also, si...
by Roy
Sat Mar 02, 2013 9:06 am
 
Forum: Investing - Help with Personal Investments
Topic: Small Caps really necessary??
Replies: 26
Views: 2654

Re: "Time to say goodby to the lost decade"

You could adopt the view of efficient market advocates, such as Fama, that the equity market portfolio is always an efficient portfolio and that the main reason to deviate by tilting towards value would be to take more risk in the hope of higher returns. That the three factor model does a good job ...
by Roy
Wed Feb 27, 2013 1:37 pm
 
Forum: Investing - Theory, News & General
Topic: "Time to say goodby to the lost decade"
Replies: 48
Views: 5090

Re: Irony

One comment that should be considered for its sheer irony is this frequently made point: One of the most interesting things on this board is that total market investors like Taylor and nisiprius will always stress the uncertainty of markets. In contrast, the most devoted of the tilters will stress ...
by Roy
Wed Feb 27, 2013 1:33 pm
 
Forum: Investing - Theory, News & General
Topic: "Time to say goodby to the lost decade"
Replies: 48
Views: 5090

Re: Swedroe Fat Tails Portfolio for VG 529 Plan

I never thought of a "Fat Tails" portfolio as being appropriate for a 529. I see it more as a portfolio for folks who want to preserve most of their current wealth, but want strong upside potential at the same time (i.e., wealthier folks). Agreed with Op re: the 529. I think if the childr...
by Roy
Sat Feb 02, 2013 9:20 am
 
Forum: Investing - Theory, News & General
Topic: Swedroe Fat Tails Portfolio for VG 529 Plan
Replies: 14
Views: 1719

Re: Swedroe Fat Tails Portfolio for VG 529 Plan

Bogle, If I had to try and imitate the original Swedroe concept given your mix, I would likely be 100% Vanguard Small Cap Index (about 30% of your portfolio), and the rest (70%) in ST High Quality Bonds (given current TIPS yields, and once I thoroughly looked under the hood of that ST fund you have ...
by Roy
Fri Feb 01, 2013 8:05 pm
 
Forum: Investing - Theory, News & General
Topic: Swedroe Fat Tails Portfolio for VG 529 Plan
Replies: 14
Views: 1719

Re: Pimco Total Return Bond Fund down 2.41% in a day

Drop in share price,more shares were issued,you still have same amount of money. Time to pay taxman if you hold in taxable john John and others: So I'm clear, you are saying that—the day's market fluctuation aside—an investor would still have the same amount of money in this Pimco fund—assuming div...
by Roy
Thu Dec 13, 2012 5:43 pm
 
Forum: Investing - Help with Personal Investments
Topic: Pimco Total Return Bond Fund down 2.41% in a day
Replies: 25
Views: 4253

Re: "DFA vs. Vanguard. Which is Better?"

. On Roy’s point, all this analysis excludes any advisor fees – I think using 1% is a useful benchmark (i.e. lowering alpha by 0.08 percent per year on average). Thanks, Robert. If this is true, then it seems that the fee-adjusted returns plus the extra ER cost of DFA funds, might make these compar...
by Roy
Sat Dec 01, 2012 1:07 pm
 
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 23564

Re: "DFA vs. Vanguard. Which is Better?"

This is a well-argued and civil discussion on a hot topic. I'm happy to have read it. One question: in the regressions and analyses, I have lost track on whether there has been any consistent advisor's fee assessed for DFA and what that % was (I know that it varies among advisors). Or have these com...
by Roy
Fri Nov 30, 2012 2:16 pm
 
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 23564

Re: Permanent Portfolio Poll

The Permanent Portfolio is future agnostic. When you look at it from this perspective, you can understand why it doesn't need to overweight any particular asset. Yep. Not sure what overweighting is anyway as that also can depend on various definitions. And who knows if the relative volatilities of ...
by Roy
Sun Nov 25, 2012 4:57 pm
 
Forum: Investing - Theory, News & General
Topic: Permanent Portfolio Poll
Replies: 222
Views: 21978

Re: Permanent Portfolio Poll

To test the theory that the PP only performs well when gold is performing well, I looked at the 20 year bear market for gold between 1981 and 2000, and the average annual PP return for this period was 8.34%... Note, however, that this risk to the PP investor doesn't involve losses or a failure of t...
by Roy
Sun Nov 25, 2012 3:07 pm
 
Forum: Investing - Theory, News & General
Topic: Permanent Portfolio Poll
Replies: 222
Views: 21978

Re: Low correlation assets, rebalancing bonus, and taxes

mickens16 wrote:Am I reading correctly, but It appears that Rick looks at each asset separately while Larry looks at how the asset works in a portfolio?


It has been forever thus. Your reading skills are fine.
by Roy
Sun Oct 14, 2012 9:59 am
 
Forum: Investing - Theory, News & General
Topic: Low correlation assets, rebalancing bonus, and taxes
Replies: 38
Views: 3517

Re: THIS is why you diversify

If SCV always outperforms TSM, why isn't it 70-100% of most people's portfolio, who are 20+ years from retirement? Because most people don't know. Given the widespread ignorance about basic concepts of personal finance and investing, this should not be a surprise. I would bet that 99.9% of the popu...
by Roy
Sat Jul 28, 2012 5:57 pm
 
Forum: Investing - Theory, News & General
Topic: This is why you diversify
Replies: 173
Views: 14780
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