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Re: Poor Janus, a look at this once high flying fund family

Packer
Sure there might be but we cannot know them or study them to see if they are generating alpha or not. If no public records to study it's meaningless, and certainly meaningless if you cannot invest with them
Larry
by larryswedroe
Tue Sep 02, 2014 6:43 pm
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: Univ of Chicago [Active Manager Luck vs. Skill] Lubos Pa

jvclark
You don't necessarily need to have skill to beat the market, just random good luck
In fact if you throw a few darts you are likely to outperform, all you need is to have small outperform and there are many more small stocks than large stocks!!!!
by larryswedroe
Tue Sep 02, 2014 5:55 pm
 
Forum: Investing - Theory, News & General
Topic: Univ of Chicago [Active Manager Luck vs. Skill] Lubos Pastor
Replies: 7
Views: 721

Re: Poor Janus, a look at this once high flying fund family

Nisiprius If you had been advising people as long as I have you would agree that it's mostly as bad as that. If not how do you explain the continued ignoring the evidence by most pension plans and endowments. Now individuals might not be aware of the evidence (perhaps they don't even want to know or...
by larryswedroe
Tue Sep 02, 2014 5:53 pm
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: John Hussman, smart guy, should you listen to his foreca

Browser The way I suggest forecasting is consider the mean real return. Today for TSM about 4.5% or so. Then add about 8% on either side of that to tell us what the possible range of outcomes might be over the next 10 years. Obviously more of the weight of the potential dispersion of returns will be...
by larryswedroe
Tue Sep 02, 2014 5:50 pm
 
Forum: Investing - Theory, News & General
Topic: John Hussman, smart guy, should you listen to his forecasts
Replies: 37
Views: 3791

Re: Poor Janus, a look at this once high flying fund family

nisiprius There is strong science on human behavior, once someone believes something it literally may not matter if you show them very specific data that they are wrong and in most cases they basically ignore it. They will even interpret tables and charts incorrectly. FWIW I believe nothing anyone c...
by larryswedroe
Tue Sep 02, 2014 2:35 pm
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: John Hussman, smart guy, should you listen to his foreca

Browser Yes I agree, but you have to look at it this way, any forecast should be based on valuations, not your opinion based on whether they are too high or too low (Hussman, Grantham, etc), with the rare exception of when valuations approach TIPS yields. Then you know you have bubble And then you s...
by larryswedroe
Tue Sep 02, 2014 2:32 pm
 
Forum: Investing - Theory, News & General
Topic: John Hussman, smart guy, should you listen to his forecasts
Replies: 37
Views: 3791

Re: John Hussman, smart guy, should you listen to his foreca

NO, just avoiding listening to forecasts!!! and avoid active managers as well who rely on forecasts
And btw that's the advice Buffett provides, ignore all market and economic forecasts as he warns they tell you NOTHING about where the market is headed.
Larry
by larryswedroe
Tue Sep 02, 2014 11:47 am
 
Forum: Investing - Theory, News & General
Topic: John Hussman, smart guy, should you listen to his forecasts
Replies: 37
Views: 3791

Re: Univ of Chicago [Active Manager Luck vs. Skill] Lubos Pa

actually jvclark it's not luck, it's that the newer managers are more skilled, coming out of the MBA programs, etc have the latest academic research and are applying it
Larry
by larryswedroe
Tue Sep 02, 2014 11:45 am
 
Forum: Investing - Theory, News & General
Topic: Univ of Chicago [Active Manager Luck vs. Skill] Lubos Pastor
Replies: 7
Views: 721

Re: John Hussman, smart guy, should you listen to his foreca

James
Well if Hussman's forecasts had value if anyone should be able to benefit from them it's his own fund. And no evidence that has been the case
Larry
by larryswedroe
Tue Sep 02, 2014 10:42 am
 
Forum: Investing - Theory, News & General
Topic: John Hussman, smart guy, should you listen to his forecasts
Replies: 37
Views: 3791

Re: Another look at private equity, new paper

Beliavsky
I won't disagree just adding that venture capital is a form of private equity investments and buyouts are included in the studies, and that is mature companies
Larry
by larryswedroe
Tue Sep 02, 2014 10:39 am
 
Forum: Investing - Theory, News & General
Topic: Another look at private equity, new paper
Replies: 2
Views: 254

Re: Univ of Chicago [Active Manager Luck vs. Skill] Lubos Pa

Yep this is what the research finds The youngest managers employing the latest research from academia do perform better, and the older funds with poor performance disappear, so the COMPETITION is actually getting tougher, making alpha harder and harder to generate, That's the thesis if you will of a...
by larryswedroe
Tue Sep 02, 2014 8:36 am
 
Forum: Investing - Theory, News & General
Topic: Univ of Chicago [Active Manager Luck vs. Skill] Lubos Pastor
Replies: 7
Views: 721

Another look at private equity, new paper

http://www.etf.com/sections/index-investor-corner/23149-swedroe-private-equity-not-worth-the-risk.html

PE typically compares to S&P 500 which IMO is totally inappropriate benchmark for obvious reasons

Larry
by larryswedroe
Tue Sep 02, 2014 8:28 am
 
Forum: Investing - Theory, News & General
Topic: Another look at private equity, new paper
Replies: 2
Views: 254

Re: What if there were only index funds?

That topic is one of the 27 tales in Wise Investing Made Simple Short answer, as more move to indexing, should be much harder to generate alpha because a) liquidity likely falls, making trading costs much higher and market impact costs higher---and alpha is always a zero sum game before costs b) tho...
by larryswedroe
Mon Sep 01, 2014 12:22 pm
 
Forum: Investing - Theory, News & General
Topic: What if there were only index funds?
Replies: 23
Views: 2114

Re: DFA-RAFI & factor diversification within 30:30:40 portfo

Robert
when you use p/e and p/cf you get quality loading more than with btm, one reason why IMO multiple factor value loading is superior approach
by larryswedroe
Mon Sep 01, 2014 9:16 am
 
Forum: Investing - Theory, News & General
Topic: DFA-RAFI & factor diversification within 30:30:40 portfolio
Replies: 6
Views: 890

Re: Poor Janus, a look at this once high flying fund family

Packer FWIW I think all your assumptions are basically false, you have huge amounts of actively managed funds and hedge funds and endowments and pension plans and they are trading and not HFTs and their activity is setting prices, A problem you are having IMO seems to me is failing to separate fund ...
by larryswedroe
Sun Aug 31, 2014 8:43 pm
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: Poor Janus, a look at this once high flying fund family

Packer Sorry, not missing anything. It's all about who is setting the prices and it isn't the indexers. The do tiny amount of all the trading, and thus cannot be the ones setting the prices.If the indexers are buying "overvalued" stock it's the active ones who set the price as overvalued a...
by larryswedroe
Sun Aug 31, 2014 12:20 pm
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: Poor Janus, a look at this once high flying fund family

Packer Sorry but that idea is not correct, doesn't matter the amount held it's the trading that matters and the index funds account for a tiny percentage of the trading. IT's the TRADING that sets prices. That flows you cite explain only a very tiny amount of the trading. The amounts you site as the...
by larryswedroe
Sun Aug 31, 2014 8:42 am
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: Poor Janus, a look at this once high flying fund family

Packer keep this in mind, it's the TRADING that sets the prices, not the dollars invested. And hedge funds and HFTs account for well over half the trading, not even counting all the active funds. If the dollars invested are even 90 percent passive they are just holding, so the remaining 10 percent o...
by larryswedroe
Sat Aug 30, 2014 11:00 pm
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: Poor Janus, a look at this once high flying fund family

It's not the amount of money, it's the marginal buyer. The index fund simply accepts the market price--remember there is seller on other side too. And the optimal weights as you call them are set by the active investors by their actions. That portfolio insurance example is also wrong., They were ver...
by larryswedroe
Sat Aug 30, 2014 2:23 pm
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: Poor Janus, a look at this once high flying fund family

Packer Don't agree at all,. It's the active guys who are setting the prices on the margin The blow up in insurance had nothing, zero, to do with indexing or anything but the fact that insurance made the dumb assumption that markets are continuous and liquid all the time and you can transact without ...
by larryswedroe
Sat Aug 30, 2014 1:00 pm
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: Poor Janus, a look at this once high flying fund family

Toons The research fund has underperformed even the S&P 500 for last 15 years and ranks 49% in category, barely beating average fund that SURVIVED the period. And at 15 year horizon survivorship bias can be huge The other fund did manage to slightly outperform M* moderate allocation fund, by lik...
by larryswedroe
Sat Aug 30, 2014 11:56 am
 
Forum: Investing - Theory, News & General
Topic: Poor Janus, a look at this once high flying fund family
Replies: 69
Views: 6365

Re: Swedroe Value Metrics

golf
premiums are always shown as ANNUAL AVERAGES, compound premiums don't mean much
Larry
by larryswedroe
Fri Aug 29, 2014 6:08 pm
 
Forum: Investing - Theory, News & General
Topic: Swedroe Value Metrics
Replies: 9
Views: 989

Re: Swedroe Value Metrics

jaab I cannot speak for DFA but it's why Bridgeway's Omni funds, which we helped design, use multiple metrics. The benefit of B/p is it's the most stable, so least turnover That I believe is the main reason DFA used and continues to use only btm though now adding profitability screen which they beli...
by larryswedroe
Fri Aug 29, 2014 8:43 am
 
Forum: Investing - Theory, News & General
Topic: Swedroe Value Metrics
Replies: 9
Views: 989

Re: Swedroe Value Metrics

Jaab
One of our team of people that works on portfolio analysis put that table together and thanks for pointing out the error
The correct return on E/P is 6.73% and the t-stat is 3.57

I will have this corrected
Larry
by larryswedroe
Fri Aug 29, 2014 8:18 am
 
Forum: Investing - Theory, News & General
Topic: Swedroe Value Metrics
Replies: 9
Views: 989

Re: Swedroe Value Metrics

midareff
This is for the PREMIUM of value, not the return on stocks, what you are thinking of is the return to BETA PLUS the return on the riskless tbill
Larry
by larryswedroe
Fri Aug 29, 2014 8:13 am
 
Forum: Investing - Theory, News & General
Topic: Swedroe Value Metrics
Replies: 9
Views: 989

Re: Economic Forecasts

yes there is basically nothing actionable IMO in economic forecasts and the main reason is that whatever information is used in the forecast is incorporated by the market into prices already, and thus only SURPISES impact prices, and surprises by definition are unforecastable. And since happy surpri...
by larryswedroe
Thu Aug 28, 2014 8:04 pm
 
Forum: Investing - Theory, News & General
Topic: Economic Forecasts
Replies: 5
Views: 657

second in series on hedge funds

http://www.etf.com/sections/index-investor-corner/23107-swedroe-even-stars-knock-hedge-funds.html

what some of the smartest people have said about them, and some evidence
Larry
by larryswedroe
Wed Aug 27, 2014 11:19 am
 
Forum: Investing - Theory, News & General
Topic: second in series on hedge funds
Replies: 1
Views: 260

Re: The Larry Portfolio - For Tilters and S&D'ers Only

Jaab it's not that small percent is responsible for aggregate return, it's that they are responsible for the DIFFERENCE or excess performance of small or small value stocks, which is one reason you want a broader fund. The trade off is the higher the market cap and lower the btm used while you get m...
by larryswedroe
Tue Aug 26, 2014 12:02 pm
 
Forum: Investing - Theory, News & General
Topic: The Larry Portfolio - For Tilters and S&D'ers Only
Replies: 27
Views: 3102

Re: Emerging markets 1900-2013

Robert I've been making that point for a very long time, if going to take risk of EM might as well take it in EMS/EMV where premiums should logically be large (weaker financial systems should lead to higher premiums) and the correlations of EMS and EMV to EM are close to 1. That also btw allows you ...
by larryswedroe
Tue Aug 26, 2014 11:58 am
 
Forum: Investing - Theory, News & General
Topic: Emerging markets 1900-2013
Replies: 53
Views: 4727

Re: Can a Commodities Fund be a Long-Term Investment?

First, the way you try to look at these issues is test various long period. so you can look at 70-13 which is longest we have for GSCI and you can also look at the longest period for DJ Credit Suisse index, which is early 90s and when I have done that you get the same answers I have found, similar r...
by larryswedroe
Tue Aug 26, 2014 11:54 am
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2687

Re: Can a Commodities Fund be a Long-Term Investment?

few things First, Browser that is nothing more than data mining exercise. eliminate the two great years and start at high valuations. Now try running it for various starting points and you find very different answer Nisiprius Two things, first popularity does negatively correlate with returns. All p...
by larryswedroe
Tue Aug 26, 2014 12:11 am
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2687

Re: Can a Commodities Fund be a Long-Term Investment?

Browser
traveling and don't have time but I am virtually certain that is wrong. I've run portfolios for example on DJ index and shown in past not that outcome, and done it many times for different periods
Larry
by larryswedroe
Mon Aug 25, 2014 6:37 pm
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2687

Re: look at small value etfs

Doc
yes CAN BE a problem but you should make sure the index is logical (based on research and is IMPLEMENTABLE) and the factors you are trying to gain exposure to are persistent and pervasive. so like FF and CRSP type indices or MSCI
Larry
by larryswedroe
Mon Aug 25, 2014 6:35 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2949

Re: The Larry Portfolio - For Tilters and S&D'ers Only

Clive traveling and pretty busy but quick answer equal weighting "overstates" benefits as it overweights (relative to market cap) the tiniest stocks and you probably cannot run a fund that way, so almost all analysis is done once establish buy/hold ranges it's market cap and not equal weig...
by larryswedroe
Mon Aug 25, 2014 6:33 pm
 
Forum: Investing - Theory, News & General
Topic: The Larry Portfolio - For Tilters and S&D'ers Only
Replies: 27
Views: 3102

Re: The Larry Portfolio - For Tilters and S&D'ers Only

Clive While data not perfect in sense you don't have trading costs, DFA SV has come within 10bp AFTER all expenses of matching its index over its life, so the concern really isn't warranted. just need to have a fund manager that is a patient trader and not having to be a buyer of liquidity when mark...
by larryswedroe
Mon Aug 25, 2014 12:16 pm
 
Forum: Investing - Theory, News & General
Topic: The Larry Portfolio - For Tilters and S&D'ers Only
Replies: 27
Views: 3102

first of three part series on hedge funds

http://www.etf.com/sections/index-investor-corner/23079-swedroe-nails-in-the-hedge-fund-coffin.html

amazing how so many institutions and not just individual keep investing in these things, but perhaps the tide if finally turning
Larry
by larryswedroe
Mon Aug 25, 2014 12:11 pm
 
Forum: Investing - Theory, News & General
Topic: first of three part series on hedge funds
Replies: 2
Views: 332

Re: The Larry Portfolio - For Tilters and S&D'ers Only

models are just that, not perfect What we EXPECT when small beats large that mid will also beat large and vice versa, but it doesn't always work that way. We see even fairly long periods where that isn't the case. Re book --tried to keep book very short because have learned many won't read a finance...
by larryswedroe
Mon Aug 25, 2014 2:10 am
 
Forum: Investing - Theory, News & General
Topic: The Larry Portfolio - For Tilters and S&D'ers Only
Replies: 27
Views: 3102

Re: Can a Commodities Fund be a Long-Term Investment?

Browser you can disagree but doesn't change fact that you are incorrect. If correlations are low/negative enough and volatility high enough you can see outcomes with low volatility without negative impact on returns. In fact have shown that very thing here many times

Larry
by larryswedroe
Mon Aug 25, 2014 2:07 am
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2687

Re: look at small value etfs

Doc If you can backtest the index all you have to decide is if a) it gets you exposures you want b) the fund can replicate indexes well, and control trading costs Example, we used Bridgeway's new Omni funds even though their index benchmark was new but they had shown they can trade microcaps well fo...
by larryswedroe
Mon Aug 25, 2014 2:03 am
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2949

Re: Can a Commodities Fund be a Long-Term Investment?

few things First Browser is simply wrong on low returning assets necessarily reducing returns. I've even seen cases of negative returning assets in efficient frontier outcomes due to very high volatility and negative correlation. And the data I have shown on portfolio returns has basically been litt...
by larryswedroe
Sun Aug 24, 2014 12:13 pm
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2687

Re: The Larry Portfolio - For Tilters and S&D'ers Only

few thoughts IMO the LP is very highly diversified, First from geography it owns U.S. and developed and EM in market cap weighted fashion. Second it owns thousands of stocks, minimizing idiosyncratic risk. Third it has exposure to all the key factors. (unlike tsm which is only exposed to beta) Secon...
by larryswedroe
Sun Aug 24, 2014 12:08 pm
 
Forum: Investing - Theory, News & General
Topic: The Larry Portfolio - For Tilters and S&D'ers Only
Replies: 27
Views: 3102

Re: look at small value etfs

Re Vanguard fund and switch index, I don't agree at all on that point that you need 5 years. IMO Vanguard has demonstrated it can manage to a benchmark, so if it changes benchmarks you should be confident it can manage to that new benchmark also. Only issue is do you like that index or some other La...
by larryswedroe
Sun Aug 24, 2014 1:22 am
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2949

Re: The Larry Portfolio - For Tilters and S&D'ers Only

Note that the LP portfolio was massively more efficient even if used one year Treasuries so you don't benefit from falling yields as you would with longer bond portfolio, with say a more "normal" 5 year bond portfolio you would have even more efficient portfolio Now today given lower bond ...
by larryswedroe
Sun Aug 24, 2014 1:18 am
 
Forum: Investing - Theory, News & General
Topic: The Larry Portfolio - For Tilters and S&D'ers Only
Replies: 27
Views: 3102

Re: look at small value etfs

nisiprius
yes , but in fact if you own smaller and more valuey stocks you can then own less equity overall and have a lower risk portfolio without having lower returns, as long as combine with high quality bonds, not HY
try reading my black swan book
larry
by larryswedroe
Sat Aug 23, 2014 1:32 am
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2949

Re: Can a Commodities Fund be a Long-Term Investment?

heyyou
If the CCF were in fact overwhelmed by institutional money please explain to us how the oil futures have been in large and persistent backwardation for well over a year--though it has been shrinking lately again.
Larry
by larryswedroe
Sat Aug 23, 2014 1:28 am
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2687

Re: Can a Commodities Fund be a Long-Term Investment?

dbr,
first remember I'm suggesting two things not one, if adding ccf add duration also,
So you gain some term premium on entire bond portfolio. Also with a highly volatile and at times negatively correlating asset can help even small amounts, like in 73-74

Larry
by larryswedroe
Fri Aug 22, 2014 6:59 pm
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2687

Re: Interesting Asness riff on Fundamental Indexing

I know his views have not changed, and Arnott basically moved toward Asness some and now backtracking
Larry
by larryswedroe
Fri Aug 22, 2014 6:55 pm
 
Forum: Investing - Theory, News & General
Topic: Interesting Asness riff on Fundamental Indexing
Replies: 6
Views: 1309
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