Search found 1034 matches

by afan
Thu Aug 27, 2015 2:49 pm
Forum: Investing - Theory, News & General
Topic: BNY Mellon's "glitch," sounds very serious to me
Replies: 35
Views: 2658

Re: BNY Mellon's "glitch," sounds very serious to me

Interesting development, but also an illustration of why there is essentially nothing an individual investor can do to avoid such a situation. One could try to diversify across custodians, but there are only a handful of banks big enough to have large custodian businesses. In general, mutual fund co...
by afan
Wed Aug 26, 2015 4:02 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

Let us assume that we think processes A, B, C, and D all each have positive mean (at a significant level), that the expected value is positive*. Also, they have roughly the same standard deviations and distributions that aren't basket cases . So you're saying that a combination 0.25*(A + B + C + D)...
by afan
Wed Aug 26, 2015 12:13 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

If Bonferroni is so well known, then it's a mystery why it or some similar statistical adjustment isn't used more in investing literature. This was addressed in several of the papers already cited in this thread. Of all the fixes for multiple hypothesis testing, out of sample testing is probably th...
by afan
Wed Aug 26, 2015 12:08 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

if you treat all four styles individually as significant or close to it then it is hard to imagine a scenario where you'd be skeptical of any combination of them, especially with the correlations seen. Actually, this situation comes up all the time. This common misunderstanding is why some people a...
by afan
Wed Aug 26, 2015 10:16 am
Forum: Investing - Theory, News & General
Topic: John Greaney reviews Vanguard Personal Advisor Services
Replies: 14
Views: 1649

Re: John Greaney reviews Vanguard Personal Advisor Services

Vanguard has financial planners who work on salary. The advice is not particularly sophisticated, but way better than load funds, high fees or active trading. One could work for them with a clear conscious. I have no idea what they pay.
by afan
Wed Aug 26, 2015 7:52 am
Forum: Investing - Theory, News & General
Topic: John Greaney reviews Vanguard Personal Advisor Services
Replies: 14
Views: 1649

Re: John Greaney reviews Vanguard Personal Advisor Services

And they would look different if the manager subtracted value. "Zero skill" is a well-supported hypothesis.
by afan
Wed Aug 26, 2015 7:48 am
Forum: Investing - Theory, News & General
Topic: [Original Research] [Theory] The Optimal Portolio
Replies: 38
Views: 2434

Re: [Original Research] [Theory] The Optimal Portolio

Very few people know their utility functions, so assuming one can input them into a calculation is a huge problem. You can try a range of functions, but you still have no way of knowing whether real human functions are even included in the range. No one knows the future return distributions, but as ...
by afan
Wed Aug 26, 2015 7:16 am
Forum: Investing - Theory, News & General
Topic: John Greaney reviews Vanguard Personal Advisor Services
Replies: 14
Views: 1649

Re: John Greaney reviews Vanguard Personal Advisor Services

I think he understates the problem. He credits the advisor with several hours of work the first year. This makes sense as someone has to collect information, give the client suggestions and answer questions. Even here, as robo advisors have shown, all but the answering questions part can be done aut...
by afan
Sun Aug 23, 2015 10:52 am
Forum: Investing - Theory, News & General
Topic: Simple 4 fund maybe 5?
Replies: 7
Views: 941

Re: Simple 4 fund maybe 5?

Those portfolios are so similar that differences in performance will depend overwhelmingly on the exact returns over the time of interest. That means it will.depend on the dates you use. Changing the starting or ening points by a year can completely change the rankings. No look back is going to tell...
by afan
Sun Aug 23, 2015 8:55 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

Why doesn't the academic finance literature talk, much, about multiple hypothesis testing? My theory: the authors get much more credit for identifying effects, developing data sets, and characterizing relationships than they do for checking for false positives. The intended audience is other academi...
by afan
Fri Aug 21, 2015 2:10 pm
Forum: Personal Finance (Not Investing)
Topic: Comparison Shopping Homeowner's Insurance
Replies: 8
Views: 948

Re: Comparison Shopping Homeowner's Insurance

Independent agents, certainly. In general, the companies that sell auto also sell homeowners. Some major companies like Gei c o and USAA sell directly. Some, like State Farm, have their own agents.
by afan
Fri Aug 21, 2015 10:38 am
Forum: Investing - Theory, News & General
Topic: Pascal's Wager and prudent investment decisions
Replies: 29
Views: 3053

Re: Pascal's Wager and prudent investment decisions

If someone has more than enough to retire, but a life expectancy of 4-5 decades, are they really better off tilting heavily to fixed income? They reduce the risk of stock volatility, but accept a risk of long term inflation. Besides continuing to work, always a good idea, would they be better off ho...
by afan
Thu Aug 20, 2015 11:56 am
Forum: Personal Finance (Not Investing)
Topic: Need for umbrella liability insurance
Replies: 6
Views: 882

Re: Need for umbrella liability insurance

That is a very high premium for her situation. With her no longer driving, her liability exposure should be reflected in a much lower premium. As to whether she has any risk at all, you might need to hear from an attorney who knows elder law. Say she were to accidentally start a fire at the communit...
by afan
Thu Aug 20, 2015 11:48 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

Free country. Everyone gets to decide whether they want to read up on statistics before trying to interpret statistical arguments. It turns out that there are some excellent references specifically on point for financial data. But they are useful only to those who read them. The wikipedia reference ...
by afan
Thu Aug 20, 2015 8:54 am
Forum: Investing - Theory, News & General
Topic: Is it safe to grant someone limited trading authorization?
Replies: 48
Views: 1993

Re: Is it safe to grant someone limited trading authorization?

If you really believe in active management, you can simply buy shares in an active mutual fund. There are plenty of reputable firms, Vanguard, Fidelity, etc., that will be happy to serve you. They are heavily regulated, registered to do this in the US, provide audited financial statements and track ...
by afan
Wed Aug 19, 2015 10:09 am
Forum: Investing - Theory, News & General
Topic: Good argument for underweighting international stocks?
Replies: 77
Views: 4332

Re: Good argument for underweighting international stocks?

One could argue that the logic is less about efficient markets and correlation of stock returns than about diversifying sovereign risk. For any short to medium term, there is always the chance that the political leaders of a country or a group of countries could make a series of moves that turn out ...
by afan
Wed Aug 19, 2015 9:37 am
Forum: Investing - Theory, News & General
Topic: Good argument for underweighting international stocks?
Replies: 77
Views: 4332

Re: Good argument for underweighting international stocks?

The high and perhaps still rising correlation suggests that it does not much matter what percent allocation one uses. The tax drag might or might not overwhelm diversification advantages. It would depend on just how high the correlations turn out to be. At some point, expenses and taxes could be hig...
by afan
Tue Aug 18, 2015 9:00 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

And in 10-20 years when it is sucessful, do you invest or do you go "now that everyone knows about it, the premiums will be grazed away"? Probably invest. If it is a real finding, I would not worry too much about it being grazed over. Of course, if the apparent premium were steadily decli...
by afan
Mon Aug 17, 2015 2:35 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

"You don't know how much risk you are taking" does not mean "I predict you are taking a lot of risk". It means what it says, the risk implied in this approach is currently unknown. There will be some idea of this, if the approach persists, once there are enough data to see what h...
by afan
Mon Aug 17, 2015 1:03 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

The real risk is a fat-tail event, which has not shown up yet. ... I still don't think you have any idea how much risk you're actually taking though. Those are the points. Until you have enough real world data, you don't know the return distribution of this strategy, even if it were static. Since t...
by afan
Mon Aug 17, 2015 12:55 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

Past data is out of sample only if AQR did not know about it when constructing their tests. This probably describes some data sources, but unlikely that it describes the data that anyone would care about. Perhaps they did not take into account the history of the Zimbabwe market, but then, it is so s...
by afan
Mon Aug 17, 2015 12:02 pm
Forum: Personal Finance (Not Investing)
Topic: Need trustee company for trust
Replies: 36
Views: 2920

Re: Need trustee company for trust

You'll be dead when the trusts under your Will take effect. Ah, misunderstanding. This is not a trust I am establishing under my will. It was established under a revocable trust by another. The grantor died and I am trustee now. Trust has yet to fund, pending settlement of the estate. I am looking ...
by afan
Mon Aug 17, 2015 11:12 am
Forum: Personal Finance (Not Investing)
Topic: Need trustee company for trust
Replies: 36
Views: 2920

Re: Need trustee company for trust

bsteiner, I really appreciate the feedback. I did find some who were willing to work with an outside financial manager, but not so much on the reducing fees. One trust department did have a variety of fee schedules that depended on the nature of the trust (revocable or irrevocable) and the type of i...
by afan
Mon Aug 17, 2015 9:44 am
Forum: Personal Finance (Not Investing)
Topic: Need trustee company for trust
Replies: 36
Views: 2920

Re: Need trustee company for trust

There are professional trustees that we work with who are independent of our company (as they should be). Rick Ferri I really like this design, with a trustee who has custody of the assets and a separate investment manager. Knowing that the investment decisions are made by people who cannot touch t...
by afan
Mon Aug 17, 2015 9:03 am
Forum: Personal Finance (Not Investing)
Topic: Need trustee company for trust
Replies: 36
Views: 2920

Re: Need trustee company for trust

bsteiner, Thanks for the replies. I did some more homework, so in case others are in similar positions, here is what I found. There are essentially two "tiers" of services. The traditional banks and trust companies charge high prices, but will do a lot of things for you. If you need these ...
by afan
Mon Aug 17, 2015 5:11 am
Forum: Investing - Theory, News & General
Topic: Slice and dice: optimal for high-risk-tolerant investors?
Replies: 44
Views: 2334

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

Under the conditions proposed in the first post, investor cannot use leverage and wants more risk than a 100% allocation to the market portfolio, the answer is "maybe". The post assumes that the increase in returns with the tilted portfolios will be enough to compensate for the loss in eff...
by afan
Sun Aug 16, 2015 8:06 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

The point is that the styles chosen are decades old, pointed out and even exploited with live trading for years (perhaps not with some of the specific style/asset class combinations but for a good deal of them). Not exactly. that is true for SOME of them, and as time has gone by the success of thes...
by afan
Sun Aug 16, 2015 7:55 am
Forum: Investing - Theory, News & General
Topic: Build Your Own Robo-Advisor
Replies: 21
Views: 2234

Re: Build Your Own Robo-Advisor

Or annually. Maybe I take too optimistic view of the world, but this is really simple. I think the discount brokers will start offering a similar service for free if you have an account with them. The Schwab Intelligent Portfolios are a major step in that direction. This would be one small step furt...
by afan
Sun Aug 16, 2015 7:46 am
Forum: Investing - Theory, News & General
Topic: From Betterment to Vanguard
Replies: 18
Views: 2658

Re: From Betterment to Vanguard

You can switch to Vanguard and pick a target fund. You will get less control, but you don't need more control. Betterment is not costing you much money, yet, but there is no reason to pay anything to an advisor to manage an asset allocation when Vanguard will do for free.
by afan
Sat Aug 15, 2015 9:03 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 46
Views: 3522

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

jedsaid,

The SSRN paper cited above did what you suggest, but accounted for factor weighting. It did not account for non-normal stock returns. There is more math in looking at higher moments, but you don't need calculus.
by afan
Sat Aug 15, 2015 8:52 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

If you mean 'data mining' in the sense of flawed over-fitted statistics, you haven't provided any evidence. I am not sure you get what "data mining" means. It is not an insult. It is not a careless way of saying one does not like something. It has nothing to do with flawed statistics (unl...
by afan
Fri Aug 14, 2015 4:48 pm
Forum: Investing - Theory, News & General
Topic: More Individual Municipal Bond Shenanigans [Edward Jones SEC overcharge settlement]
Replies: 27
Views: 1843

Re: More Individual Municipal Bond Shenanigans

Johno, For example WASHINGTON - More than half the municipal bonds sold between 1996 and 2005 have been delinquent in filing financial disclosures, showing the secondary market disclosure system for the municipal market is flawed, mostly because there are "no consequences for not filing," ...
by afan
Fri Aug 14, 2015 3:57 pm
Forum: Investing - Theory, News & General
Topic: More Individual Municipal Bond Shenanigans [Edward Jones SEC overcharge settlement]
Replies: 27
Views: 1843

Re: More Individual Municipal Bond Shenanigans

I think Illinois is a great example. The agencies had to respond because they have been so much in the news. This was a case where everyone knew about the problems long before the agencies woke up. That seems to be common. If the problems are not in the news, if learning of them would require tediou...
by afan
Fri Aug 14, 2015 3:12 pm
Forum: Investing - Theory, News & General
Topic: More Individual Municipal Bond Shenanigans [Edward Jones SEC overcharge settlement]
Replies: 27
Views: 1843

Re: More Individual Municipal Bond Shenanigans

you can login to Moody's and check bond ratings. The last time I paid attention to this issue, there were two problems with that. 1. The ratings agencies saw little reason to update their ratings on individual issues. They got paid when they generated their original rating. They did not get paid fo...
by afan
Fri Aug 14, 2015 2:50 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

If you say 'data mining' I really mean "data mining". Looking backward to find a set of relationships that exist over a certain data set, but which may just as easily not be found in other sets. For finance, this typically means out of sample, which is hard to come by. Hence the solution ...
by afan
Fri Aug 14, 2015 2:28 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

If you have some very vague idea of the risk and return and relationship to other assets (or in the extreme, the return distributions, covariances, etc.).... That is precisely the problem. It seems they promise you that the composition will change, so how could you possibly have an idea of risk and...
by afan
Fri Aug 14, 2015 2:23 pm
Forum: Investing - Theory, News & General
Topic: More Individual Municipal Bond Shenanigans [Edward Jones SEC overcharge settlement]
Replies: 27
Views: 1843

Re: More Individual Municipal Bond Shenanigans

I would think a large enough portfolio also gives you the attention of someone who checks to see whether your bond ratings have fallen to the point that you would no longer want to hold them. That could be accomplished by DIY individuals with enough time on their hands, by a fund, or by a money mana...
by afan
Fri Aug 14, 2015 12:47 pm
Forum: Investing - Theory, News & General
Topic: "Investors Are Driving Expense Ratios Down"
Replies: 9
Views: 1335

Re: "Investors Are Driving Expense Ratios Down"

Lots of interesting figures. The overall expense ratios remain obscenely high. Astonishing that Fidelity has lost so little market share with fees so much higher than Vanguard. Fascinating that American manages to hold on in spite of its fees and load. JP Morgan did increase its market share with hi...
by afan
Fri Aug 14, 2015 11:28 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

One post shy of 1,000. Among the many problems with this fund- the proponents argue that it helps smooth out the volatility of your overall portfolio due to its low correlation with the rest of your assets. it also has low correlation with the rest of your financial life. But since it varies its fac...
by afan
Fri Aug 14, 2015 11:07 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

Except vanguard will not be able to offer this fund for .2 ER. Then I will pass. Same reason I am never investing in any other form of hedge fund. Global warming or giant asteroids may kill us all, but lack of an actively managed fund making revolving factor bets has yet to be fatal to any person o...
by afan
Fri Aug 14, 2015 10:42 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 612
Views: 58739

Re: QSPIX - thoughts on interesting fund

Accept that one should only consider adding an asset in the context of the overall portfolio. Looking at it in isolation is meaningless. However, in this case we have lots of backtesting and simulation, with very little real world experience. To something like this one can have two reactions "T...
by afan
Thu Aug 13, 2015 12:50 pm
Forum: Investing - Theory, News & General
Topic: More Individual Municipal Bond Shenanigans [Edward Jones SEC overcharge settlement]
Replies: 27
Views: 1843

Re: More Individual Municipal Bond Shenanigans

Rick, Since you bring it up: What do you think of financial advisors putting their clients into individual bonds rather than funds. I have always assumed that funds would be better for almost everyone. At least until they had bond portfolios the size of funds and full time people checking bid and as...
by afan
Thu Aug 13, 2015 4:27 am
Forum: Investing - Theory, News & General
Topic: Does the Three Fund Portfolio need a roboadviser?
Replies: 65
Views: 5168

Re: Does the Three Fund Portfolio need a roboadviser?

Rebalancing and tax loss harvesting are really easy. If you use 2 funds for each asset class, to stay invested and TLH, or if you use 3 funds total, this should take you very little time or effort. Say 10 minutes once a year to check whether you have a TLH opportunity or need to rebalance. Say 30 mi...
by afan
Wed Aug 12, 2015 2:21 pm
Forum: Investing - Theory, News & General
Topic: Why not diversify beyond the Three Fund Portfolio?
Replies: 78
Views: 7839

Re: Why not diversify beyond the Three Fund Portfolio?

timboktoo wrote:
If you know what portfolio is guaranteed to outperform a Three Fund Portfolio and make me even richer when I retire, then you should quit your day job and become a money manager.

- Tim


Or better still- tell me the secret.
by afan
Wed Aug 12, 2015 2:18 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 46
Views: 3522

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

Sharpe ratio is appealing because it produces a unique ranking of portfolio performance. All risk averse investors would prefer the higher Sharpe ratio portfolio. At least they would if you assume they can borrow at the risk free rate to leverage their investments to get to as high a risk as some mi...
by afan
Wed Aug 12, 2015 1:53 pm
Forum: Investing - Theory, News & General
Topic: Why not diversify beyond the Three Fund Portfolio?
Replies: 78
Views: 7839

Re: Why not diversify beyond the Three Fund Portfolio?

Not at all clear that there is an SCV free lunch. But to the point of GDP diversification, recall that the theory relies on the market setting prices for investable assets. If the prices are not exposed to the market, then this does not work. Government -owned farmland or factories in some closed ec...
by afan
Tue Aug 11, 2015 4:08 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 46
Views: 3522

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

Well, people marketing negatively skewed portfolios don't like to talk about skewness since it makes their anomalies go away. Many people have enough trouble wrapping their minds around variance so they get headaches when people bring up higher moments. K&L, as far as I know, were the first to b...
by afan
Tue Aug 11, 2015 3:49 pm
Forum: Investing - Theory, News & General
Topic: The line between Active vs Passive is blurring: When does chasing risk factors end?
Replies: 44
Views: 2217

Re: The line between Active vs Passive is blurring: When does chasing risk factors end?

The global passive portfolio is not readily investible by many people. It would certainly include real estate (which the authors exclude because much of it is owner occupied- so what? It is still an investment). This portfolio also ignores nearly all privately held businesses. The private equity sli...
by afan
Tue Aug 11, 2015 3:28 pm
Forum: Investing - Theory, News & General
Topic: Front-End Loads: Are They Really THAT Big of a Deal?
Replies: 60
Views: 4254

Re: Front-End Loads: Are They Really THAT Big of a Deal?

We are against them because there is no reason ever to pay front end loads (or any other load). Any kind of fund any rational investor would want is available with low expenses and no loads. Plus, loaded funds virtually always have higher expense ratios than Vanguard. So the choices are invest $1,00...

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