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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
Thu Jan 29, 2015 11:12 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

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
Wed Jan 28, 2015 5:18 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

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...
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: 61
Views: 6016

Re: An alternative to alternative investments [QSPIX]

^Excellent stuff Robert T. The adjusted composite compared to the 75:25 index composite is fascinating. Thanks!
by grap0013
Thu Jan 22, 2015 8:19 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

FWIW – a longer simulated ‘style premia’ series (from website linked below). Not sure the exact source of the data – but know from the aqr articles they had done a simulation back to 1990. Not sure how reliable these links are. https://grandstreetwm.files.wordpress.com/2014/01/part-2-1.png https://...
by grap0013
Wed Jan 21, 2015 8:28 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

By contrast, the other factors are hard to explain, and may or may not have ever existed (in the sense of a causal relationship), they existed or didn't exist depending on the statistical time periods observed, and they may or may not exist in the future, even if our economic system otherwise large...
by grap0013
Tue Jan 20, 2015 7:27 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

Since I've been watching it even before I purchased it, it has indeed, been often the best or worst performer of my funds for the day. It is helping to maximize the spread in daily returns with no correlation to other assets. It is a thing of beauty. Well, it only took 1 day to illustrate my above ...
by grap0013
Tue Jan 20, 2015 7:21 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: Today was a Really Bad Day in Shanghai

Despite China being up 60% for the past year, it didn't drag up VWO along with it. That's an excellent point. If China didn't bring VWO up it sure ain't bringing it down! If I have 22% China of 25% EM that makes it 5.5% of my portfolio. An 8% drop in China = -0.44% loss overall . Where is the yawn ...
by grap0013
Tue Jan 20, 2015 8:39 am
 
Forum: Investing - Theory, News & General
Topic: Today was a Really Bad Day in Shanghai
Replies: 27
Views: 4032

Re: An alternative to alternative investments [QSPIX]

I just wanted to make one more point about QSPIX that you can see from the portfoliovisualizer links above. Daily volatility is higher than stock funds, but monthly and yearly volatility have been mucher lower. Fascinating. Hence, a lot of bouncing around day-to-day, but the net effect is not much m...
by grap0013
Tue Jan 20, 2015 8:34 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

I am curious. Does anyone have some ideas as to how the lifting of the cap on the purchase of Euros, by the Swiss National Bank, and Th.'s forthcoming announcement by the ECB, has had and will have upon QSPIX? Ray :-) Macroeconomics and stock returns have no correlation. QSPIX has a correlation of ...
by grap0013
Tue Jan 20, 2015 8:30 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: Today was a Really Bad Day in Shanghai

My AQR EM fund has 32% China and my Schwab fund has 14% China. Looks like other countries were up besides China.... Should be fun to see how much each fund gets whacked tomorrow! :twisted:
by grap0013
Mon Jan 19, 2015 3:56 pm
 
Forum: Investing - Theory, News & General
Topic: Today was a Really Bad Day in Shanghai
Replies: 27
Views: 4032

Re: An alternative to alternative investments [QSPIX]

How has everyone enjoyed QSPIX the last few days? Has it performed as expected? I think this is a snarky comment since it has been down the past 2 days while being up the previous 8 days? :-) I've only owned it a day. QSPIX -0.8% while my best performing fund on Friday was +1.91%. So yes, it is wor...
by grap0013
Mon Jan 19, 2015 7:14 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

Confirmed. Shares of QSPIX are in my account this am.
by grap0013
Fri Jan 16, 2015 8:21 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

Grap I hold you personally responsible for QSPIX breaking its streak yesterday and then its drop today. :annoyed Good day to buy for you though! Hope it went through for you. :D Ok, here's the whole story: I use a fidelity brokerage link through my 403B plan at work. When researching QSPIX the fund...
by grap0013
Thu Jan 15, 2015 9:32 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

^Good points Robert. It is better to have negative correlation than 0 correlation. However, being a 100% equity guy I have not added any bonds as they lower expected return as one incrementally adds them to a portfolio. That is, one pays the price for safety. QSPIX is interesting because it looks li...
by grap0013
Thu Jan 15, 2015 9:07 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

And I actually have to overcome 1.75% in fees because I'm using QSPNX rather than QSPIX! ^ See the post above my other post. I'm not basing my decision on 8 days. That'd be crazy. :-) I don't hold any VTI type funds so my comparison is different. QSPIX outperformed my funds last year. Maybe I just n...
by grap0013
Wed Jan 14, 2015 2:54 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

As to deviation/diversification/Correlation I stole Grap's work and added VTI for fun. I think this answers Protaganist's issue with QSPIX just being riskier (assuming we take deviation as that measure). As always, early days but darn the fund has performed. https://www.portfoliovisualizer.com/asse...
by grap0013
Wed Jan 14, 2015 9:24 am
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: An alternative to alternative investments [QSPIX]

Resurrecting this thread after following this fund for a while on a daily basis and studying up on it. Look at the correlations for this fund: https://www.portfoliovisualizer.com/asset-correlations?s=y&numTradingDays=60&endDate=01%2F13%2F2015&timePeriod=1&symbols=QSPIX%2C+PXSV%2C+SFI...
by grap0013
Tue Jan 13, 2015 10:50 pm
 
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 272
Views: 31101

Re: Let's Celebtate! Which funds are you buying in 2015?

Since I don't see one here I'll plug for my target retirement type funds that I love. I am buying into the same things as always in the retirement accounts. Not sure if/when/how they are re-balanced during major market moves (although I assume daily?) or if anything is out of whack, and I suppose g...
by grap0013
Tue Jan 06, 2015 7:24 pm
 
Forum: Investing - Theory, News & General
Topic: Let's Celebrate! Which funds are you buying in 2015?
Replies: 48
Views: 3593

Re: Poll: How long have you been with your current AA?

100% equities for 8 years and maximum SCV tilts for 4.5 years. I'm in serious deliberation about adding 10 to 20% of the AQR style premium fund though: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=151111&newpost=2275286&start=50 Adding this would put the kibosh on both of these ...
by grap0013
Mon Jan 05, 2015 11:35 pm
 
Forum: Investing - Theory, News & General
Topic: Poll: How long have you been with your current AA?
Replies: 44
Views: 2475

Re: [Annual POLL] What was your 2014 return?

~ +2.4%

100% equity, domestic:international 50:50 with maximum SCV tilts.
by grap0013
Fri Jan 02, 2015 10:01 am
 
Forum: Investing - Theory, News & General
Topic: [Annual POLL] What was your 2014 return?
Replies: 144
Views: 14091

Re: RBD in Emerging Markets Brewing

Futures show opening of better than 1%. This week shows the interaction of a Fed meeting, a Putin news conference, drop in oil prices, Cuba things, dividend distributions, and tax-loss harvesting. So what are you going to buy at the open? Nothing. All my accounts are maxed out for the year! However...
by grap0013
Thu Dec 18, 2014 4:30 pm
 
Forum: Investing - Theory, News & General
Topic: RBD in Emerging Markets Brewing
Replies: 37
Views: 3609

Re: RBD in Emerging Markets Brewing

RGD today. :sharebeer ^ You beat me to it! :) I predict another RGD today. Or maybe it's actually a RBD because I want to buy more cheap shares as I'm a reasonably young accumulator. I'm so confused. :) It reminds me of playing Widow Whist (card game) with my 8 and 6 yo kids. Recently we've changed...
by grap0013
Thu Dec 18, 2014 9:21 am
 
Forum: Investing - Theory, News & General
Topic: RBD in Emerging Markets Brewing
Replies: 37
Views: 3609

Re: Why a Boglehead doesn't invest in individual companies?

I'm not risk averse...just good at math.
by grap0013
Wed Dec 17, 2014 5:27 pm
 
Forum: Investing - Help with Personal Investments
Topic: Why a Boglehead doesn't invest in individual companies?
Replies: 142
Views: 15615

Re: Does it matter where you refill an RX.....

sent you a PM...
by grap0013
Tue Dec 16, 2014 10:20 pm
 
Forum: Personal Consumer Issues
Topic: Does it matter where you refill an RX.....
Replies: 4
Views: 1043

Re: RBD in Emerging Markets Brewing

Russia's large cap ETF RSX dropped 11.84% yesterday. :shock:

One of its top holdings Gazprom now has a PE <2. Fun to look at its top 25 holdings on Morningstar.....
by grap0013
Tue Dec 16, 2014 8:14 am
 
Forum: Investing - Theory, News & General
Topic: RBD in Emerging Markets Brewing
Replies: 37
Views: 3609

Re: RBD in Emerging Markets Brewing

I think VWO should be renamed VWOE to properly reflect its role in investor portfolios as of late. I am finally done with this clunker ... for the next 30 days. I was secretly hoping that its replacement was more auspicious, but so far not good. ^lol Although we don't have much data for EMs, the wo...
by grap0013
Mon Dec 15, 2014 3:44 pm
 
Forum: Investing - Theory, News & General
Topic: RBD in Emerging Markets Brewing
Replies: 37
Views: 3609

Re: RBD in Emerging Markets Brewing

The currency markets were crazy today. In reality internationals and emerging have lost only 0.5% last night in their own exchanges. Something tells me, emerging markets will pull back strongly next year, since only 15% of its index depend on oil with Russia, Nigeria and UAE being the players. For ...
by grap0013
Mon Dec 15, 2014 1:09 pm
 
Forum: Investing - Theory, News & General
Topic: RBD in Emerging Markets Brewing
Replies: 37
Views: 3609

RBD in Emerging Markets Brewing

Livesoft said an RBD was likely today in emerging markets and with some negative momentum it looks like we are heading that way. I've seen a couple of other threads where he has correctly called a daily move in this asset class as well. 100% accuracy. :-) Livesoft, care to give us a number for total...
by grap0013
Mon Dec 15, 2014 11:14 am
 
Forum: Investing - Theory, News & General
Topic: RBD in Emerging Markets Brewing
Replies: 37
Views: 3609

Re: What is your opinion about "tilting?"

I tilt and it is no different than my view on stocks vs. bonds. However, I take no issue with anyone else's strategy. The most important key to any strategy is to stay the course. I also see a lot of posters stating they do not tilt because they do not have a long enough time horizon to see the bene...
by grap0013
Mon Dec 15, 2014 8:59 am
 
Forum: Investing - Theory, News & General
Topic: What is your opinion about "tilting?"
Replies: 116
Views: 9374

Re: Int'l small value exposure without the negative MOM?

I like PDN or SFILX. DLS only tilts value thru dividends and history shows this is the weakest value metric. Plus dividends are currently in vogue. I could easily see there being a dividend value bubble relative to other value parameters. Much better to spread out your value metric tilts IMO.
by grap0013
Mon Dec 15, 2014 8:49 am
 
Forum: Investing - Theory, News & General
Topic: Int'l small value exposure without the negative MOM?
Replies: 18
Views: 2123

Re: A less common risk to emerging markets value tilting

I looked at this stuff a few more hours and could not come to any more meaningful conclusions. Hence, I'm putting my money where my mouth is. I purged my entire DFA value fund and placed it into my brokerage account yesterday. Today I am topping off SFILX, sold SFSNX and replaced the entire amount w...
by grap0013
Wed Dec 10, 2014 2:27 pm
 
Forum: Investing - Theory, News & General
Topic: A less common risk to emerging markets value tilting
Replies: 32
Views: 2230

Re: Help with choosing funds!

I need more info to give good advice. Is this a retirement account? What type?
by grap0013
Tue Dec 09, 2014 5:33 pm
 
Forum: Investing - Help with Personal Investments
Topic: Help with choosing funds!
Replies: 18
Views: 547

Re: To Tilt or Not To Tilt, that's the question

I would consider "don't tilt now, think it over and consider tilting later." I concur. Since you are new to investing you need to make sure you understand more before jumping into anything. I spent several months reading before seriously commiting to tilting. Tilting is kinda like marriag...
by grap0013
Tue Dec 09, 2014 10:40 am
 
Forum: Investing - Theory, News & General
Topic: To Tilt or Not To Tilt, that's the question
Replies: 52
Views: 2610

Re: A less common risk to emerging markets value tilting

For the past 3 years ending 10/31/14: SFILX: +10.17% Index: +11.06% = 0.89% difference With an ER of 0.5% (although I think it was slightly decreased within this period) you lose 0.39% to frictional costs (not terrible really) For the past 3 years ending 9/30/14: PDN only trailed its index by 0.52% ...
by grap0013
Mon Dec 08, 2014 8:53 am
 
Forum: Investing - Theory, News & General
Topic: A less common risk to emerging markets value tilting
Replies: 32
Views: 2230

Re: A less common risk to emerging markets value tilting

I appreciate the replies. Very nice links by lazyday as well. Here's a very nice article I found on the free float issue of RAFI EM: http://www.etf.com/sections/features/16266-rafi-corrects-statements-on-em-backtests.html?showall=&fullart=1 It appears the change to fix it took place in March 201...
by grap0013
Sun Dec 07, 2014 10:37 pm
 
Forum: Investing - Theory, News & General
Topic: A less common risk to emerging markets value tilting
Replies: 32
Views: 2230

Re: A less common risk to emerging markets value tilting

livesoft wrote:I just don't know, but I guess you are staying the course, so to speak, which has to be good, right?


I'm bound and determined to get some EM value $$. :-)
by grap0013
Sun Dec 07, 2014 9:57 am
 
Forum: Investing - Theory, News & General
Topic: A less common risk to emerging markets value tilting
Replies: 32
Views: 2230

Re: A less common risk to emerging markets value tilting

DFEVX was being changed to DFCEX (DFA emerging core) Ugh. Note that SFENX hasn't done a good job following it's index(es). You can find this on the Schwab website. Some people like PXH, and I think it's done ok compared to index in last 3 years, but not over the life of the fund. I posted about tra...
by grap0013
Sun Dec 07, 2014 9:56 am
 
Forum: Investing - Theory, News & General
Topic: A less common risk to emerging markets value tilting
Replies: 32
Views: 2230

A less common risk to emerging markets value tilting

My employer added DFEVX (DFA's emerging value fund) to our standard 403B options about 3-4 years ago. I have happily used this fund for the bulk of my EM exposure (+ a little DGS in a Roth) during this time. Wouldn't you know it but I just received some snail mail stating DFEVX was being changed to ...
by grap0013
Sun Dec 07, 2014 9:39 am
 
Forum: Investing - Theory, News & General
Topic: A less common risk to emerging markets value tilting
Replies: 32
Views: 2230

Re: "Small-Cap Performance Edge on the Wane"

30 years of data. Data from before the effect is first published doesn't count. (Well, you can count it, but I am pretty sure every active fund backtested really well, so why in the world are you indexing?) And those 30 years of data suggest that there is no outperformance. Much like most of these ...
by grap0013
Fri Dec 05, 2014 8:19 am
 
Forum: Investing - Theory, News & General
Topic: "Small-Cap Performance Edge on the Wane"
Replies: 99
Views: 7318

Re: "Small-Cap Performance Edge on the Wane"

I suspect some investors who believe in simplicity ("buy TSM and forget about it") would like to believe that tilting doesn't add to your returns. +1 Emphasis mine. This is an important point. Lots of psychology involved here. Evidence always trumps "feelings" in my book.
by grap0013
Thu Dec 04, 2014 10:40 am
 
Forum: Investing - Theory, News & General
Topic: "Small-Cap Performance Edge on the Wane"
Replies: 99
Views: 7318

Re: "Small-Cap Performance Edge on the Wane"

I'm sure grap0013 understands exactly what he invests in. Probably, I guess I'm not in a position to know. I think I've got a pretty good handle on my strategy. He he he. Actually more importantly is that I've had the same asset allocation without making any changes for 4+ years. Although I think k...
by grap0013
Thu Dec 04, 2014 10:36 am
 
Forum: Investing - Theory, News & General
Topic: "Small-Cap Performance Edge on the Wane"
Replies: 99
Views: 7318

Re: "Small-Cap Performance Edge on the Wane"

Don't worry, I am not making that mistake. I am fully aware that P/B is at least as accurate as P/E, and that people don't like RZV because of "negative momentum", but it looks like the other small value companies are even less desirable compared to the S&P. I expect these companies a...
by grap0013
Thu Dec 04, 2014 10:31 am
 
Forum: Investing - Theory, News & General
Topic: "Small-Cap Performance Edge on the Wane"
Replies: 99
Views: 7318

Re: "Small-Cap Performance Edge on the Wane"

Exactly! I was just contemplating becoming a small cap value investor. I was looking at valuations as a starting point. Here is where they stand now for RZV, the smallest and valuest of them all: Vanguard S&P 500 Index Fund ETF (VOO) price/earnings 18.43 Guggenheim S&P SmallCap 600® Pure Va...
by grap0013
Tue Dec 02, 2014 12:54 pm
 
Forum: Investing - Theory, News & General
Topic: "Small-Cap Performance Edge on the Wane"
Replies: 99
Views: 7318

Re: RAFI vs. DFA

ralph124cf wrote:I'm not sure I understand your comment about having to pay an advisor to buy DFA funds. I have access to do DFA funds in my 401(k) with no restrictions, and I have no advisor.

Ralph


Most people do not have DFA funds in their workplace retirement plans. You are lucky.
by grap0013
Tue Dec 02, 2014 8:16 am
 
Forum: Investing - Theory, News & General
Topic: RAFI vs. DFA
Replies: 131
Views: 25675

Re: RAFI vs. DFA

Hard to see much overcrowding here. If anything, the value stocks are getting cheaper relative to growth stocks. Maybe there are other objective, concrete ways of measuring the overcrowding? Fund inflows or something? +1 International value looks cheap as well. Definitely no overcrowding there. EM ...
by grap0013
Tue Dec 02, 2014 8:16 am
 
Forum: Investing - Theory, News & General
Topic: RAFI vs. DFA
Replies: 131
Views: 25675

Re: RAFI vs. DFA

You can't draw a conclusion from the DFA versus RAFI data because they have different value weights and track different value factors. One year DFA's value factor might outperform RAFI and the next year RAFI's multi-factor value strategy may outperform DFA. No one can tell which value factor will o...
by grap0013
Mon Dec 01, 2014 5:33 pm
 
Forum: Investing - Theory, News & General
Topic: RAFI vs. DFA
Replies: 131
Views: 25675

Re: Small cap value premium

I'd say there's at least a 60% chance (over any period) that behavioral errors like performance chasing will lead to people underperforming a "Total Stock Market" index fund. 10+ year periods where "Small-Cap Value" underperforms shouldn't be hard to imagine http://i61.tinypic.c...
by grap0013
Mon Dec 01, 2014 9:24 am
 
Forum: Investing - Theory, News & General
Topic: Small cap value premium
Replies: 150
Views: 20000

Re: RAFI vs. DFA

^ Thanks Robert! I also ran one from 7/1/11 when PXSV changed to using Fundamental methodology: http://www.portfoliovisualizer.com/factor-analysis?s=y&includeBondFactors=false&includeQualityFactor=false&startDate=07%2F01%2F2011&regressionType=1&symbols=PRFZ+DFSVX+DTMVX+PXSV+VSIAX...
by grap0013
Mon Dec 01, 2014 9:07 am
 
Forum: Investing - Theory, News & General
Topic: RAFI vs. DFA
Replies: 131
Views: 25675

Re: Small cap value premium

In their paper, "Volatility and Preimiums in US Equity Returns", Fama and French state that there is a 6.1% probability of a negative value premium over the next 25 years. I've said in other threads that one should think of tilting as having about 60/40 odds. Where do you come down? Best,...
by grap0013
Wed Nov 26, 2014 9:27 am
 
Forum: Investing - Theory, News & General
Topic: Small cap value premium
Replies: 150
Views: 20000
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