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by grap0013
Wed May 06, 2015 11:43 am
Forum: Investing - Theory, News & General
Topic: Gross: stockbug alert, future investment returns will be miniscule
Replies: 67
Views: 5531

Re: Gross: stockbug alert, future investment returns will be miniscule

^Agreed this is a depressing thread. Future bond returns will be current yield minus inflation. Real stock returns = 1/PE1. Plan for +/- 3% of that. Reading this stuff (eg. Gross) will only increase your stress levels which produces more cortisol and will deprive one of future life expectancy. Tune ...
by grap0013
Tue May 05, 2015 7:41 am
Forum: Investing - Theory, News & General
Topic: the missing value premium
Replies: 34
Views: 3310

Re: the missing value premium

^ My linked chart goes all the way back to 1993 right after Fama-French wrote their classic 1992 paper. Note that it took about 8 years after that paper for the premium to start showing up. One must be patient. I think with some of these new factors the first 5-10 years may be rough for them but eve...
by grap0013
Tue May 05, 2015 7:35 am
Forum: Investing - Theory, News & General
Topic: the missing value premium
Replies: 34
Views: 3310

Re: the missing value premium

Whether or not the purported "premium" shows up in some model is one thing, whether or not it shows up in real world mutual funds and indexes is another: Annualized returns for past 20 years May-1995 to May-2015 Vanguard Growth Index (VIGRX) = 9.59% Vanguard Value Index (VIVAX) = 9.06% MS...
by grap0013
Mon May 04, 2015 11:27 am
Forum: Investing - Theory, News & General
Topic: Best Time of Year to Rebalance Portfolio?
Replies: 54
Views: 4029

Re: Best Time of Year to Rebalance Portfolio?

The 3rd Friday in March. I think Research Affliates backtested the bejesus out of their fundamental indexes and found this strategy worked best. See March 2009 for proof in a real life example! :wink:
by grap0013
Mon May 04, 2015 7:29 am
Forum: Investing - Theory, News & General
Topic: the missing value premium
Replies: 34
Views: 3310

Re: the missing value premium

This kinda reminds me of the equity premium. Even if it isn't realized you still don't underperform by much (eg. bonds beat stocks in 30 year period by 0.1%) Therefore, trying to get these premiums is "riskier" but it isn't. Biggest risk is yourself changing strategies frequently and doing...
by grap0013
Wed Apr 29, 2015 10:02 pm
Forum: Investing - Help with Personal Investments
Topic: DFA as a new 401k option - Poll
Replies: 12
Views: 920

Re: DFA as a new 401k option - Poll

IMHO if you have to ask and the answers will influence your decision then you are not ready to tilt. There will be times when tilting does not work well and you'll read some very good arguments not to do it. Staying the course with any strategy is key. When you come in guns a blazin' for tilting no ...
by grap0013
Mon Apr 27, 2015 3:10 pm
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 3783

Re: MSCI Diversified Multi-Factor Index

WORLD ex USA Small DIVERSIFIED MULTI-FACTOR Index (1999-2014 using AQR Factors) Intercept 0.065 MKTRF 1.069 SMB 0.865 HML 0.333 UMD 0.116 QMJ 0.199 This guy looks interesting. Does this include emerging markets? Looks like the iSCV option people have been gushing about wanting for years. Internatio...
by grap0013
Mon Apr 27, 2015 11:58 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

FWIW, I know Arnott called the 2009 annual rebalance In March "lucky" but looking over year-to-year returns they seem to get "lucky" every 5-6 years and have outsized performance relative to classic SCV strategies. I wouldn't expect bonus alpha to show up every year just like I w...
by grap0013
Mon Apr 27, 2015 9:07 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

I just changed back to PRFZ. I held it previously to PXSV in my Roth IRA. Dance with the girl you came with. Longterm backtests shows it outperformed VBR by about 100 basis points if I remember correctly even with higher fees. My spouse uses VSIAX in her 401K so I'm also diversifying my factor expos...
by grap0013
Fri Apr 24, 2015 11:17 am
Forum: Investing - Theory, News & General
Topic: International Stock Poll: Emerging vs Developed Ratio
Replies: 55
Views: 2782

Re: International Stock Poll: Emerging vs Developed Ratio

MindBogler wrote:50-50 because it is simple.


+1

Me too.
by grap0013
Fri Apr 24, 2015 7:41 am
Forum: Investing - Theory, News & General
Topic: Bernstein: A Decade of Super-Low Returns [1.4% for 60/40]
Replies: 232
Views: 23941

Re: Bernstein: A Decade of Super-Low Returns [1.4% for 60/40

I've never understood the "taking money to your grave" problem. It's not like they're going to liquidate your portfolio and stuff your casket full of Benjamins. :happy More seriously, if you're planning to give away a significant amount of money, there's no taking money to your grave prob...
by grap0013
Thu Apr 23, 2015 11:55 am
Forum: Investing - Theory, News & General
Topic: Bernstein: A Decade of Super-Low Returns [1.4% for 60/40]
Replies: 232
Views: 23941

Re: Bernstein: A Decade of Super-Low Returns [1.4% for 60/40

Investing is incredibly simple. Save enough to retire a bit early given 0% real returns. If returns are worse than that, work until normal retirement age. If returns are higher than that, do something fun with the money. Who needs expected returns? :D Is the smiley face for the whole post or just t...
by grap0013
Wed Apr 22, 2015 7:31 am
Forum: Investing - Theory, News & General
Topic: David Booth interviews Eugene Fama
Replies: 11
Views: 1892

Re: David Booth interviews Eugene Fama

Very interesting. I get the impression that most finance academics advise total market funds being good for the masses, but most of them actually invest their own money tilting to small, value, profitability, and momentum. It's the old, "do as I say, not as I do." I guess I have to agree a...
by grap0013
Fri Apr 17, 2015 5:56 pm
Forum: Investing - Theory, News & General
Topic: Fact, Fiction, and Value Investing - Asness/AQR
Replies: 9
Views: 1173

Re: Fact, Fiction, and Value Investing - Asness/AQR

Thanks for sharing! It's 35 pages. "Fact: Value can be measured in many ways, and is in fact best measured by a composite of many variables." My takeaway message: multiple value metrics are better than 1. Probably helps tracking error too as different value metrics may have long periods of...
by grap0013
Fri Apr 17, 2015 5:45 pm
Forum: Personal Finance (Not Investing)
Topic: Can't Just Do Nothing
Replies: 45
Views: 6277

Re: Can't Just Do Nothing

It all sounds a little schemey to me. I guess if it's a hobby it can't hurt too much. I bet your dollars per hour is not very good and does not even come close to your day job. Have you calculated this in an honest way? What's the annual gross on these side gigs? If it's about making more money.... ...
by grap0013
Wed Apr 15, 2015 9:09 pm
Forum: Investing - Theory, News & General
Topic: RBD in Emerging Markets Brewing
Replies: 41
Views: 4475

Re: RBD in Emerging Markets Brewing

PXH today: +1.79%
VEIEX today: +0.47%

PXH 1 month: +15.06%
VEIEX 1 month: +11.58%

Emerging markets are more interesting the past few weeks. Pretty good variation in returns between funds even on a daily basis.

Has EM value turned the corner?
by grap0013
Mon Apr 13, 2015 8:31 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

This change suggests to me that this management is primarily in the business of making money for themselves, rather than looking out for the long term interests of their clients. Hmm...where have I heard that before? Ah, yes, the Forum. Garland Whizzer Very true. I bet some guy over at Powershares ...
by grap0013
Mon Apr 13, 2015 10:11 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

^ The crickets tell me negatory. I did receive my notification about PXSV in the mail though. No new info. in the pamphlet.
by grap0013
Sun Apr 12, 2015 6:37 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 3783

Re: MSCI Diversified Multi-Factor Index

^ BOSVX ? Also, Robert seems to think QSMLX has a trading impact cost problem to the tune of 2.4% a year based on AQR's estimates. However, so far the fund has only a -1% alpha, 3/4 of which is due to the ER. So overall I'm still not sure what to think of the AQR funds....Fantastic in theory BUT ve...
by grap0013
Sun Apr 12, 2015 6:23 am
Forum: Personal Finance (Not Investing)
Topic: Household Gross Income Poll
Replies: 134
Views: 12840

Re: Household Gross Income Poll

27% of bogleheads make more than 300K! I think we need to strive harder to not make new posters feel relatively poor. Easy to say to max out all tax deferred accounts when making 350K vs. 50K. I think the focus should be more on saving 15-20% rather than "checking all the boxes" by maxing ...
by grap0013
Sat Apr 11, 2015 6:06 am
Forum: Investing - Theory, News & General
Topic: My first quarter review of 2015's sure things
Replies: 12
Views: 3066

Re: My first quarter review of 2015's sure things

I think I can do better than the consensus sure things by using math and logic: Gold historically has matched inflation, inflation is low so too should be gold returns. Small caps have a better than 50:50 shot at greater returns than large caps. If I'm going to take a stance it will be that small ca...
by grap0013
Tue Apr 07, 2015 8:23 pm
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 36
Views: 3783

Re: MSCI Diversified Multi-Factor Index

. Also had a look. MSCI US Small Cap Diversified Multifactor Dec 1998 - Feb 2015 Alpha = -0.02 Mkt = 1.12 Size = 0.85 Value = 0.34 Momentum = 0.06 Quality = 0.31 R^2 = 0.89 Used Fama-French factors for mkt, size, value, and momentum; and AQR factor for quality (QMJ) Past return comparisons: 1999-20...
by grap0013
Sun Apr 05, 2015 3:17 am
Forum: Investing - Help with Personal Investments
Topic: 401K Hit First $50,000
Replies: 9
Views: 2180

Re: 401K Hit First $50,000

Congrats! Now you just need to find a spouse who maxes out his/her 401K with a match and you'll be well on your way to 7 figures! :)
by grap0013
Fri Mar 20, 2015 7:29 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

I've said the same thing over the years that really all SCV is one big backtest. One wants a formulaic, low cost, good index tracking, 500+ stock SCV strategy. I still think factor loads have merit but they are not a panacea. For instance, if you look at some of my posts from 2011- early 2013 I was ...
by grap0013
Fri Mar 20, 2015 7:17 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

Second, while I deeply appreciate and respect the generosity of certain forum members in sharing their work with the forum and their willingness to participate in spirited dialogue and the pursuit of ideas, it is my opinion that no one should be looking to them for advice. It is one thing to witnes...
by grap0013
Thu Mar 19, 2015 1:16 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

That is great news that the data will be made available in a month. Should give us enough time to decided what to do before the index actually changes. Right. I'm guessing it will contain 500+ stocks, front running issues have been fixed by Russell I believe, and if it has some sort of profitabilit...
by grap0013
Wed Mar 18, 2015 10:41 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

You'd never hold QSMLX in taxable. There are tax-managed versions of the AQR multi-style funds, but unfortunately it seems like those are only available through an advisor. I bought some of the TM international fund, QIMLX, at TDAmeritrade, no advisor. Interesting, I had only checked the domestic f...
by grap0013
Wed Mar 18, 2015 4:17 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

Which reminds me-- the AQR core funds. I'm surprised there hasn't been more interest there. (They are obtainable sans advisor and sans minimum on TD Ameritrade). That's a good point. Cliff Asness was ready to ride his value approach into the ground during the 1990s tech bubble and was 6 months from...
by grap0013
Tue Mar 17, 2015 8:55 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

Here's the worst part about all of this: Traditional 3 funders: I don't care about SCV! Vanguard S&Ders: I don't care about factor loads or backtesting, but I believe in SCV! VBR/VSIAX all the way! S&D enthusiasts: PXSV. I think there was finally some reasonable consensus PXSV was the cat's ...
by grap0013
Tue Mar 17, 2015 8:46 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

^ That's informative.

I think FNDA and PRFZ/SFSNX are all pretty interchangeable.

For us 100% SCV tilters I'm guessing something like:

70% FNDA
30% MTUM

looks pretty for factor loads?
by grap0013
Sun Mar 15, 2015 10:53 pm
Forum: Investing - Help with Personal Investments
Topic: Should tilters recommend tilting to beginners?
Replies: 49
Views: 3015

Re: Should tilters recommend tilting to beginners?

I direct new investors to target date funds and show them a calculator with compound growth with 1% extra in advisor fees vs. no fees. I also recommend a couple of books such as Swedroe's classic "The Only Winning Strategy...." A little knowledge about tilting is much more dangerous than n...
by grap0013
Sun Mar 15, 2015 10:49 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

One other note: I want to know if the new index is fundamental or not. The backtests between RAFI fundamental indexes and Russell fundamental indexes only differ in about 10 basis points annualized over the length of the series (from 1976?) per Arnott. I think historically RAFI has had a slightly la...
by grap0013
Sun Mar 15, 2015 10:32 pm
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 128
Views: 11330

Re: PXSV has changed indexes

I found some information on the underlying index from the Powershares SEC Filing about the new funds http://www.sec.gov/Archives/edgar/data/1209466/000119312515091387/d888553d485apos.htm#toc888553_6. It sounds like an Russell 2000 version of the S&P 600 Pure Value, although I am a bit confused ...
by grap0013
Tue Mar 10, 2015 4:43 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing into a black hole
Replies: 12
Views: 1369

Re: Rebalancing into a black hole

I've been doing this for a while now.......it's called emerging markets. Slowing bleeding away in real terms by death of a thousand cuts.
by grap0013
Tue Mar 10, 2015 4:40 pm
Forum: Investing - Theory, News & General
Topic: Bernstein: 2% investment returns over next 20 years
Replies: 216
Views: 24505

Re: Bernstein: 2% investment returns over next 20 years

The easy solution to low expected returns on US equities and bonds is to hold more international and less bonds. Problem solved. :sharebeer
by grap0013
Wed Mar 04, 2015 10:04 pm
Forum: Investing - Theory, News & General
Topic: What's your average ER? [Expense Ratio]
Replies: 123
Views: 8042

Re: What's your average ER? [Expense Ratio]

0.51 by my own volition.
by grap0013
Wed Mar 04, 2015 10:03 pm
Forum: Investing - Help with Personal Investments
Topic: 23 year old looking for medical plan advice
Replies: 2
Views: 344

Re: 23 year old looking for medical plan advice

I think HSAs are good if you are young and healthy. Sure max it out. If you are actually going to spend all your medical dollars I'd go with the HRA. You are already maxing out tax advantaged accounts and you'll be fine without the HSA. I wouldn't want to save all those receipts for 30+ years either...
by grap0013
Fri Feb 20, 2015 11:05 am
Forum: Investing - Theory, News & General
Topic: Risk/Return Spectrum
Replies: 19
Views: 1647

Re: Risk/Return Spectrum

^ I respectfully disagree with the EM comment. https://www.portfoliovisualizer.com/backtest-asset-class-allocation?s=y&portfolio3=Custom&portfolio2=Custom&portfolio1=Custom&annualOperation=0&TotalStockMarket2=100&initialAmount=10000&EmergingMarket1=100&endYear=2014&am...
by grap0013
Mon Feb 09, 2015 9:00 am
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 319
Views: 41273

Re: An alternative to alternative investments [QSPIX]

QSPIX max drawdown 2014 = -2.37% QSPIX since grap0013's purchase in 2015: -5.46% I've already beaten the 2014 worst drawdown by more than 2-fold! Darn those arbitrators capitalizing on my public annoucement on Bogleheads that I was going to buy this fund. Probably those guys over at Assnessheads.org...
by grap0013
Tue Feb 03, 2015 1:11 pm
Forum: Investing - Theory, News & General
Topic: The missing value premium- a 10 year global lookback
Replies: 57
Views: 3505

Re: The missing value premium- a 10 year global lookback

^ That's a good point. Just like not everyone needs to small cap tilt or momentum tilt. If you don't need to, then you don't need to. I confess to being a maximizer/optimizer and trying to accumulate a big chunk of money in a relatively short time frame.
by grap0013
Tue Feb 03, 2015 5:13 am
Forum: Investing - Theory, News & General
Topic: The missing value premium- a 10 year global lookback
Replies: 57
Views: 3505

Re: The missing value premium- a 10 year global lookback

Some skepticism is good, but too much..... "Forget heparin for anticoagulation, we've been using leeches for 2500 years and you only have one 80 year data point for heparin!! I'm not changing my mind about leeches!" grap, you are my favorite poster, but that has to be the worst analogy of...
by grap0013
Fri Jan 30, 2015 9:04 am
Forum: Investing - Theory, News & General
Topic: The missing value premium- a 10 year global lookback
Replies: 57
Views: 3505

Re: The missing value premium- a 10 year global lookback

Some skepticism is good, but too much..... "Forget heparin for anticoagulation, we've been using leeches for 2500 years and you only have one 80 year data point for heparin!! I'm not changing my mind about leeches!" I work in healthcare and you must weigh patient care by risks vs. benefits...
by grap0013
Thu Jan 29, 2015 11:21 pm
Forum: Investing - Theory, News & General
Topic: The missing value premium- a 10 year global lookback
Replies: 57
Views: 3505

Re: The missing value premium- a 10 year global lookback

The problem is that you expect the future to look like the past. Why should it? I don't expect stocks to return more than 0% for the next 100 years. That would require faith, not logic. The future will look similar to the past if there are some reasons for the past. Reward and risk have been inextr...
by grap0013
Thu Jan 29, 2015 11:15 pm
Forum: Investing - Theory, News & General
Topic: The missing value premium- a 10 year global lookback
Replies: 57
Views: 3505

Re: The missing value premium- a 10 year global lookback

I of course always like to look at real funds I could have invested in: VG Small Cap Value since inception (1998): 8.79%. Small Cap Growth: 8.85% (I haven't looked at this comparison in a while--value has pulled ahead!) VG Large Cap Value since inception (1992): 9.63% Large Cap Growth: 9.35%. Actua...
by grap0013
Thu Jan 29, 2015 10:34 pm
Forum: Investing - Theory, News & General
Topic: The missing value premium- a 10 year global lookback
Replies: 57
Views: 3505

Re: The missing value premium- a 10 year global lookback

The OP's 10 year backtest is informative. Is this the worst case scenario for value/small tilting? Very little to no premium? Looks like a risk worth taking. Downside is I do the same and upside is that I outperform by several percent annualized. Same thing goes for bonds. A poster will opine and fi...
by grap0013
Thu Jan 29, 2015 10:17 pm
Forum: Investing - Theory, News & General
Topic: The missing value premium- a 10 year global lookback
Replies: 57
Views: 3505

Re: The missing value premium- a 10 year global lookback

The long side of the value premium appears to have gone MIA in the last 10 years. Has it finally been grazed away? US 10 year returns, growth of 10K Vanguard TSM...........22.1 k DFA large value.........21.6 k As long as we are cherry picking time frames I want to play too! 15 year returns S&P ...
by grap0013
Thu Jan 29, 2015 11:12 am
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 319
Views: 41273

Re: An alternative to alternative investments [QSPIX]

*Edit* - And what I mean by "alternative" is that only a slice is actually equity exposure, with exposure to bonds, interest rates, currencies, commodities, etc.....also involved. Yes. Managed fund, complicated concept, exposure to currency, commodities, etc., high ER.....and yet endorsed...
by grap0013
Wed Jan 28, 2015 5:18 am
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 319
Views: 41273

Re: An alternative to alternative investments [QSPIX]

1990-2013 - Average excess return/average return/SD/ Correlation with equities Adjusted composite (QSPIX hypothetical) = 10.2%/13.3%/10.2/ 0.01 The historical simulated equivalent indices for PXSV/PDN/PXH/IEI of 37.5/28/9.5/25 gives the following stats: Index composite (max tilts with some treasurie...
by grap0013
Tue Jan 27, 2015 12:32 pm
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 62
Views: 7646

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

I, too, welcome Cliff Asness to the thread. One detail. He assumed that the only reason someone might not catch a Seinfeld reference is youth. Another possibility is, of course, that one didn't watch the show. Impossible. Everybody watched that show. I too invite Cliff to join the QSPIX thread. I e...

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