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Re: A case against Index Funds in India

a. they used 14 years of data but they said "the minimum number of years needed to rule out luck in favor of skill was twenty years" How's that even possible? I think their point was that over 14 years, "[t]wenty-four of the fifty funds had zero or negative alpha, and none of the rem...
by ftobin
Wed Jul 23, 2014 5:50 pm
 
Forum: Investing - Theory, News & General
Topic: A case against Index Funds in India
Replies: 32
Views: 1638

Re: A case against Index Funds in India

avalpert wrote:What the author of that piece demonstrated is that one shouldn't be looking to him for investment advice.
....
He actually should be ashamed of himself for publishing that bit at all.

I feel that way about most financial articles. :-)
by ftobin
Wed Jul 23, 2014 4:01 pm
 
Forum: Investing - Theory, News & General
Topic: A case against Index Funds in India
Replies: 32
Views: 1638

Re: SEC Adopts Money Market Fund Reform Rules

Does anyone know what qualifies an institutional fund as such? I had thought it's merely a marketing term for funds which have lower fees and higher investment minimums.
by ftobin
Wed Jul 23, 2014 3:56 pm
 
Forum: Investing - Theory, News & General
Topic: SEC Adopts Money Market Fund Reform Rules
Replies: 18
Views: 1259

Re: A case against Index Funds in India

What if a fund consistently beat the market not by luck but by skill? Can you still say the indexing works? We argue indexing works not only because the index fund is the 70 percentile (top 30%, and by mathematics certainty) but also because an active fund cannot consistently beat the index. Even i...
by ftobin
Wed Jul 23, 2014 3:49 pm
 
Forum: Investing - Theory, News & General
Topic: A case against Index Funds in India
Replies: 32
Views: 1638

Re: A case against Index Funds in India

Mercer found in its study that over three years, the median (middle value of all observations in the sample listed from smallest to largest) of large-cap funds delivered excess returns of 3.8% after taking into account the fund's fee . The upper quartile of these funds (the value that has 75% of th...
by ftobin
Wed Jul 23, 2014 2:21 pm
 
Forum: Investing - Theory, News & General
Topic: A case against Index Funds in India
Replies: 32
Views: 1638

Re: Vanguard not vigilant about taxes?

What if Medtronic was bought by a larger US company? Wouldn't the shareholders still have to pay capital gains tax on the acquisition price? Yes. So why doesn't the New York Times feel that mutual fund shareholders are "paying the price" when a domestic company acquired another one? When ...
by ftobin
Wed Jul 23, 2014 10:12 am
 
Forum: Investing - Theory, News & General
Topic: Vanguard not vigilant about taxes?
Replies: 15
Views: 1558

Re: A case against Index Funds in India

However, I will not use indexing in emerging markets with corruptions (I'm not saying India is. I have no idea.). One of the key requirements for indexing to work is efficient market. If not, it's easy to beat the market and indexing (even with diversification effect) will not work. This is not tru...
by ftobin
Wed Jul 23, 2014 10:00 am
 
Forum: Investing - Theory, News & General
Topic: A case against Index Funds in India
Replies: 32
Views: 1638

Re: NYT Editorial: Hidden Cost of Trading Stocks

When trading mutual funds you aren't going out to an exchange to buy/sell shares, which is where the charge/rebates happens. By the way, it's good to remember that most brokers pay the fees when you cross the spread on an exchange, and don't pass them on to you. This can be $0.003 per share. Some da...
by ftobin
Mon Jun 23, 2014 4:56 pm
 
Forum: Investing - Theory, News & General
Topic: NYT Editorial: Hidden Cost of Trading Stocks
Replies: 4
Views: 902

Re: How important is an ETF volume?

I wouldn't be concerned with volume unless the ETF was in danger of going under. Vanguard international small cap, VSS, has low volume as well.

What matters is liquidity and spread. I see a spread of 0.10%, and $250K on the offer. I wouldn't be worried. VSS has much less on the bid/offer.
by ftobin
Fri Jun 13, 2014 11:07 am
 
Forum: Investing - Theory, News & General
Topic: How important is an ETF volume?
Replies: 4
Views: 371

Re: Which Vanguard Short Treasury Fund

Strangely, the Treasury-only fund has an average rating of AA, while the more-general government-bond index fund is AAA.
by ftobin
Wed Jun 11, 2014 3:31 pm
 
Forum: Investing - Theory, News & General
Topic: Which Vanguard Short Treasury Fund
Replies: 34
Views: 2103

Re: VWAP and other "not held" orders

Do other Bogleheads use VWAP or other similar orders? If so, when do you choose to do so over placing a standard limit or market order? Is this worth worrying about at all? I would if I could, but most brokerages don't seem to support them for the stocks/ETFs they'd be useful in. Most large-cap ETF...
by ftobin
Sun Jun 08, 2014 4:01 am
 
Forum: Investing - Theory, News & General
Topic: VWAP and other "not held" orders
Replies: 2
Views: 342

Re: No BOSVX or DFSVX -- what other SCV choices?

SLYV also tracking the S&P 600 Value. That's why I'm puzzled as to why it is so special spread-wise. Ah, I overlooked that. I'd guess that SLYV has such low voume it's not on MM's radar yet. Unless the SSGA, the ETF sponsor, starts providing incentives for someone maintain a tighter quote, it m...
by ftobin
Sat May 31, 2014 9:05 pm
 
Forum: Investing - Theory, News & General
Topic: No BOSVX or DFSVX -- what other SCV choices?
Replies: 54
Views: 2867

Re: No BOSVX or DFSVX -- what other SCV choices?

Does anybody know why it would be the SLYV would trade with a much larger spread than VIOV? They both have about the same daily volume, VIOV is even smaller in terms of assets under management, but SLYV's average spread is .24% while VIOV's is .08%. IJS is .05% (all according to etf.com). VIOV and ...
by ftobin
Sat May 31, 2014 12:36 am
 
Forum: Investing - Theory, News & General
Topic: No BOSVX or DFSVX -- what other SCV choices?
Replies: 54
Views: 2867

Re: GoPro IPO

Just as with any stock, yes, it might have great growth potential, but what price are you willing to pay? If the IPO opening price was double, would you still be buying?
by ftobin
Fri May 23, 2014 12:04 pm
 
Forum: Investing - Theory, News & General
Topic: GoPro IPO
Replies: 29
Views: 2635

Re: eBay Hit with Security Breach, Change Password!

For what it's worth, Ebay and Paypal both support Two-Factor Authentication: https://www.paypal.com/cgi-bin/webscr?c ... ey-outside
by ftobin
Wed May 21, 2014 2:27 pm
 
Forum: Personal Consumer Issues
Topic: eBay Hit with Security Breach, Change Password!
Replies: 19
Views: 1519

Re: How much of the value premium do vanguard ETFs pick up?

The value premium is not monotonic, it doesn't increase steadily as you go down in price to book deciles. It's heavily concentrated in the smallest stocks. Correct me if I'm wrong, but I think what you're describing is that they are monotonic -- always increasing as P/B decreases -- just not linear.
by ftobin
Thu May 15, 2014 10:45 am
 
Forum: Investing - Theory, News & General
Topic: How much of the value premium do vanguard ETFs pick up?
Replies: 17
Views: 967

Re: What % of stock market "drive" is gambling?

Even though he was never going to trade on the information, he wanted that hit of adrenaline on the drive home as he learned if the S&P 500 (and thus his account) was up or down for the day. What's funny is that while listening to the radio today, they only mentioned the numbers for the Dow Jon...
by ftobin
Thu Apr 24, 2014 10:08 pm
 
Forum: Investing - Theory, News & General
Topic: What % of stock market "drive" is gambling?
Replies: 44
Views: 5064

Re: How is your Tax-Advantage Portfolio Different?

1) Are there specific investments (if I owned them), that are better if inside a Roth rather than a SEP IRA? No, however Roth IRA space is limited and IMO precious. If you load up Roth IRA with very aggressive holdings, you can experience catastrophic declines in Roth IRA balances. For example, I h...
by ftobin
Mon Apr 21, 2014 5:54 pm
 
Forum: Investing - Theory, News & General
Topic: How is your Tax-Advantage Portfolio Different?
Replies: 20
Views: 1834

Re: Help me understand Michael Lewis' "Flash Boys"

adios_logic wrote:I was referring to IEX's 350 microsecond delay.

Jargon-filled response: The delay is to allow for IEX's NBBO to update so that resting passive peglims don't end up with effectively midspread/aggressive executions from incoming snipes on an NBBO move.
by ftobin
Sat Apr 05, 2014 2:27 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

Surprisingly, the Pinksheet market operates more fairly in this regard. Pinksheets locks in the target MM's obligation when your order is placed. Can you explain a little more? In Pinksheets, for the most part, exchanges don't play a part. Each market maker routes orders to other makers through a c...
by ftobin
Sat Apr 05, 2014 2:19 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

There's nothing technologically challenging or ground-breaking here. Well established synchronization approaches are taught to engineers in their very first digital logic design course. Potential problem areas have been identified and studied to death and there's a rich vocabulary of terms includin...
by ftobin
Sat Apr 05, 2014 2:06 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

Do you think that the smallest several exchanges on this list are adding or extracting value? Brokers basically have to connect and pay their membership and connection fees under Reg NMS. http://batstrading.com/market_summary/ To be fair, with the smaller exchanges, they normally don't have liquidi...
by ftobin
Fri Apr 04, 2014 11:59 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

The idea of Thor was to try to trade on all 8 exchanges at about the same time. This allowed them to avoid leaking the trade information of each exchange that allowed you and others to update your prices. The idea behind Thor is obvious and other people were already doing it... because it was obvio...
by ftobin
Fri Apr 04, 2014 10:49 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

Allow trades to cross only at quantized intervals of time across all exchanges simultaneously, and immediately publish all trades that happened. I like your term "quantized intervals" :) For everyone's knowledge, the usage of a "cross" (in contrast to continuous trading) is some...
by ftobin
Fri Apr 04, 2014 10:18 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

I really am not trying to be Cpt. HFT, but I guess I will be for sake of discussion! Jack's house analogy has some issues. The situation would be more like this, there are 2 houses for sale, both for $100. You walk over to one house and buy it for $100. Your neighbor sees you do that, figures you m...
by ftobin
Fri Apr 04, 2014 6:15 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

Minor point: I think you're conflating RBC and IEX. Thor was developed by Katsuyama, the star of the Lewis book, and his crew while he was at RBC, and it was patented (somehow successfully) by RBC. Katsuyama later left RBC to create IEX. I don't know that IEX has rights to use Thor (maybe you do?),...
by ftobin
Fri Apr 04, 2014 6:09 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

What drove the RBC (Royal Bank of Canada) to create Thor to avoid front running from HFTs? And why did the underlying team go create IEX (investors exchange) to prevent the same? Well, everyone is trying to create systems to get themselves the best execution. Thor is such an implementation, and the...
by ftobin
Fri Apr 04, 2014 6:00 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

nisiprius wrote:Do high-frequency traders get to cancel their orders for free?

Everyone does.
by ftobin
Fri Apr 04, 2014 5:42 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

So: 1) if using the SIP is optional, what was supposed to be the point of regulation NMS? 2) Is Hunsader correct that what the exchanges are doing is not just unfair, but "actually illegal under Reg NMS?" The point of RegNMS was to ensure that you were always executed within the NBBO. Exc...
by ftobin
Fri Apr 04, 2014 5:29 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

If the SIP doesn't have the actual best price, how do you know whether Fidelity got it for you? Fidelity is saying they'll provide NBBO price that they know from the SIP when your order enters. It might be a millisecond or too slow, but that's fine. Your order just getting to Fidelity probably took...
by ftobin
Fri Apr 04, 2014 5:25 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

manwithnoname wrote:Jack Bogle has no problem with HFT.

People from the institutional world have only very, very slowly come to know what occurs in market microstructure.
by ftobin
Fri Apr 04, 2014 5:20 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

the SEC is slow, so what? the rules are still valid. Remember, the rules are not specific. That's what FINRA and compliance departments add to. The SEC provides general rules, like best-ex. It's not a specific rule. But you have to be abiding by it -- your compliance department is supposed to enfor...
by ftobin
Fri Apr 04, 2014 5:19 pm
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

All these trading activities are regulated by the exchanges and the SEC which have not restricted them. So what is the evil being committed under the SEC regs Including NMS? First, the SEC is very, very, very slow to pick on on things. This is also FINRA's responsibilities, who are just as slow. Wa...
by ftobin
Fri Apr 04, 2014 11:53 am
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

At the level of the actual trades, are participants--the front-runners, in this case--allowed to make offers in bad faith, offers to sell stock they actually do not intend to sell (because the only purpose of the offer is to get the would-be buyer to reveal their intentions), and then renege on the...
by ftobin
Fri Apr 04, 2014 11:24 am
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

Question #1: The bad guys actually need to buy X , right? And they don't necessarily know how much of X is collectively on offer at $100.00. Why doesn't it happen that they buy their 49,900 shares, paying $4,990,000, only to find that there's plenty of X out there at $100.00. The RBC gets its order...
by ftobin
Fri Apr 04, 2014 11:10 am
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

larryswedroe wrote:it's in milliseconds.

Small nitpick: microseconds.
by ftobin
Fri Apr 04, 2014 10:50 am
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: Help me understand Michael Lewis' "Flash Boys"

nisiprius wrote:Question #4. So what happens to all those 100-share offers that are being made just to get information?

They don't have to actually place the 100-share offers, just listen to exchange A's data feed to pull the quotes on other exchanges.
by ftobin
Fri Apr 04, 2014 10:49 am
 
Forum: Investing - Theory, News & General
Topic: Help me understand Michael Lewis' "Flash Boys"
Replies: 173
Views: 27497

Re: [High-frequency trading hurts regular customers]

Why do you think market participants can't get access to the relevant technology? I mean, yeah, I don't own a car factory, but that doesn't mean I have to ride a horse to work. [Translation: get a decent broker.] Not all market participants can get access to the "relevant technology" beca...
by ftobin
Thu Apr 03, 2014 11:19 pm
 
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 107
Views: 6972

Re: [High-frequency trading hurts regular customers]

Another note: people keep mentioning about how we now have narrower spreads. Several years ago QQQ went to trading to 4 decimal places; orders could be placed with that precision. It was a mess, with people constantly re-jiggering their price, improving by 0.0001 in front of the next guy, re-pricing...
by ftobin
Thu Apr 03, 2014 2:45 pm
 
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 107
Views: 6972

Re: [High-frequency trading hurts regular customers]

Use limit orders. It's so darn simple. Limit orders don't solve the problems the author was talking about. In one of the problem scenarios, it's not that you don't get a bad price, it's that you don't get the shares you were trying to access. Example: HFT is showing shares on several exchanges. You...
by ftobin
Thu Apr 03, 2014 2:15 pm
 
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 107
Views: 6972

Re: Bogle: Tilt To Corporates For More Yield

But if the Treasury issues more debt, an active manager has to actually buy it and value it in relation to existing debt, no? No. Google Ben Bernanke or Janet Yellen :D But didn't the Bond index followed change explicitly to exclude the Fed's holdings? I thought that's why the "Barclays U.S. A...
by ftobin
Thu Apr 03, 2014 1:24 pm
 
Forum: Investing - Theory, News & General
Topic: Bogle: Tilt To Corporates For More Yield
Replies: 73
Views: 8828

Re: Bogle: Tilt To Corporates For More Yield

Pportfolio manager for an insurance company may have a charter that says he will fund future obligations at the best cost. But if his future obligation is 30 years he can't buy a 10 year note because it has a better value. He is unable by charter to assume the term risk for years 10 through 30. Oth...
by ftobin
Wed Apr 02, 2014 11:23 pm
 
Forum: Investing - Theory, News & General
Topic: Bogle: Tilt To Corporates For More Yield
Replies: 73
Views: 8828

Re: Bogle: Tilt To Corporates For More Yield

I agree with everyone (including, apparently, Bogle) that TBM is not really the optimal bond vehicle as one's fixed income risks shouldn't really be determined by what issuers happen to be adding to the market--just because XYZ is selling doesn't mean I need to be buying. I really don't get this. N...
by ftobin
Wed Apr 02, 2014 12:23 am
 
Forum: Investing - Theory, News & General
Topic: Bogle: Tilt To Corporates For More Yield
Replies: 73
Views: 8828

Re: [High-frequency trading hurts regular customers]

I'm not sure I follow), and they plugged the RBC guy's new trading venue, with the looped-cable delays, without explaining clearly what problem that solved, or how. One of IEX's value-adds solves a different problem. HFT sends an aggressive buy to a darkpool immediately after the offer moved up a p...
by ftobin
Wed Apr 02, 2014 12:11 am
 
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 107
Views: 6972

Re: Why is ordered filled at a split penny price point ?

If I cannot trade in increments smaller then 1.0 cent (I've asked about doing this), how can the fill be done at a tiny fraction below the ask? Orders cannot be placed in subpenny increments, but the person handling the other side of the trade can offer what's called "price improvement", ...
by ftobin
Mon Mar 31, 2014 10:11 am
 
Forum: Investing - Theory, News & General
Topic: Why is ordered filled at a split penny price point ?
Replies: 15
Views: 948

Re: [High-frequency trading hurts regular customers]

. This is a very common practice and you see it when your order clears at some tiny fraction of a cent, like $20.0999. What happens is, let's say I enter a limit order to sell at $20.10, and you are happy with that price, and offer to buy at $20.10. Instead of trade occurring at $20.10, an HFT sees...
by ftobin
Sat Mar 29, 2014 2:04 am
 
Forum: Investing - Theory, News & General
Topic: [High-frequency trading hurts regular customers]
Replies: 107
Views: 6972

Re: Really confused by Bernstein

To provide a more complete picture of retirement savings, Fidelity also studied the combined balance for investors who hold both a 401(k) and Individual Retirement Account (IRA) with the firm3. For these investors, the combined 401(k)/IRA average balance is $261,400, up 16 percent from the end of t...
by ftobin
Mon Mar 24, 2014 5:32 pm
 
Forum: Investing - Theory, News & General
Topic: Really confused by Bernstein
Replies: 168
Views: 14413

Re: Really confused by Bernstein

So passive investing is just as much a fraud as active investing and ultimately is just another way that gurus can make money off of people by selling a philosophy that doesnt work anymore than traditional wall street. Either way you are doomed but it does seem to me that active investing at least ...
by ftobin
Mon Mar 24, 2014 2:29 pm
 
Forum: Investing - Theory, News & General
Topic: Really confused by Bernstein
Replies: 168
Views: 14413

Re: Ordering Rules at Market Open

I found a rules reference here: http://www1.american.edu/academic.depts/ksb/finance_realestate/mrobe/Library/Nasdaq_opening.pdf Just to be clear, each exchange has its own mechanism; NASDAQ and ARCA are very similar, but have different cutoff times. With NY-listed stocks it's manual and not determi...
by ftobin
Mon Mar 24, 2014 12:38 am
 
Forum: Investing - Theory, News & General
Topic: Ordering Rules at Market Open
Replies: 10
Views: 967

Re: Ordering Rules at Market Open

grabiner wrote:I don't know what the rule is for selecting a price.

Whatever price maximizes the executed shares is the one used.
by ftobin
Sun Mar 23, 2014 3:02 am
 
Forum: Investing - Theory, News & General
Topic: Ordering Rules at Market Open
Replies: 10
Views: 967
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