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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: 56
Views: 5081

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: 56
Views: 5081

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: 56
Views: 5081

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: 56
Views: 5081

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: 56
Views: 5081

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: 56
Views: 5081

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: 56
Views: 5081

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: 979

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: 979

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: 979

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: 979

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: 654

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: 259

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: 3099

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: 49
Views: 4285

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: 2676

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: 2676

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: 2676

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: 2947

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: 3099

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: 3099

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: 3099

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: 2676

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: 2947

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: 2676

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: 3099

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: 2947

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: 3099

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: 2947

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: 2676

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: 2676

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: 1305

Re: look at small value etfs

btw- REIT performance can often impact which fund does best/worst in period based on including or not--IMO should not be. BTM or even p/e not helpful for REIT analysis/valuation even without considering it a separate asset class. REITS it's [price to cash flow or similar metric DFA and Bridgeway I k...
by larryswedroe
Fri Aug 22, 2014 6:53 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2947

Re: look at small value etfs

sorry should have thought about adding holdings, looked at the largest ones
Larry
by larryswedroe
Fri Aug 22, 2014 1:02 pm
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2947

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

Few quick thoughts (if interested read section on commodities in my alternative investment book) a) commodities hedge two things, unexpected inflation and SUPPLY shocks --but not demand shocks b) negatively correlated with bonds and about zero with stocks--demands on whether we have more supply shoc...
by larryswedroe
Fri Aug 22, 2014 1:01 pm
 
Forum: Investing - Theory, News & General
Topic: Can a Commodities Fund be a Long-Term Investment?
Replies: 45
Views: 2676

look at small value etfs

by larryswedroe
Fri Aug 22, 2014 10:43 am
 
Forum: Investing - Theory, News & General
Topic: look at small value etfs
Replies: 34
Views: 2947

Re: Bridgeway Omni SCV (BOTSX) vs PXSV

Browser I only suggested worth looking at 150 stocks to me is okay if say large or even large value, but not enough for me for small stocks where have much more idiosyncratic risks and thus need more stocks. Also small number of stocks limits amount of money that can be managed effectively before yo...
by larryswedroe
Thu Aug 21, 2014 12:05 pm
 
Forum: Investing - Theory, News & General
Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
Replies: 15
Views: 1301

Re: High Yield Bonds - Uncorrelated to Stocks and Bonds?

Tail risk becomes extremely important in withdrawal phase where order of returns matters a great deal. Also tail risk can matter greatly in keeping people disciplined, adhering to their plan, avoiding panicked selling, IMO a major issue and cutting it can provide major benefit--of course you take on...
by larryswedroe
Thu Aug 21, 2014 12:02 pm
 
Forum: Investing - Theory, News & General
Topic: High Yield Bonds - Uncorrelated to Stocks and Bonds?
Replies: 73
Views: 4749

Re: High Yield Bonds - Uncorrelated to Stocks and Bonds?

garland From what I know I believe HY does tend to lead some, both up and down. IMO it's because bond market more efficient/smarter than stock market. Less influenced by noisy retail investors. And correlations do drift But bottom line is that in portfolio context I've never seen evidence of value i...
by larryswedroe
Thu Aug 21, 2014 11:11 am
 
Forum: Investing - Theory, News & General
Topic: High Yield Bonds - Uncorrelated to Stocks and Bonds?
Replies: 73
Views: 4749

Re: Bridgeway Omni SCV (BOTSX) vs PXSV

Robert
That makes sense because if you reconstitute more frequently you sell the winners and buy the losers
BUT, if you screen for MOM and avoid the losers dropping in, and hold the winners longer then should mitigate that problem
Larry
by larryswedroe
Thu Aug 21, 2014 10:45 am
 
Forum: Investing - Theory, News & General
Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
Replies: 15
Views: 1301

Re: Bridgeway Omni SCV (BOTSX) vs PXSV

I would just add this RAFI indices reconstitute ONLY ANNUALLY, causing them to lose some exposure to value over the course of the year. DFA/Bridgeway reconstitute their buy universes MONTHLY allowing for more consistent loading Note value loading may depend on metric used to look at it, if p/B and y...
by larryswedroe
Wed Aug 20, 2014 9:45 pm
 
Forum: Investing - Theory, News & General
Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
Replies: 15
Views: 1301

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

thx I completely agree. That's why I think I have one of hardest jobs in world. Five years ago I decided to take on challenge of pretty much writing a daily piece for then exclusively CBS--5 days a week. Prior to that was once 3 days and prior to that 1 day. Saying basically the same thing, same mes...
by larryswedroe
Wed Aug 20, 2014 12:06 pm
 
Forum: Investing - Theory, News & General
Topic: John Hussman, smart guy, should you listen to his forecasts
Replies: 20
Views: 2486

Re: Indexing in EM, and Templeton's Mobius

Running Red My apologies for the error, obviously when I was transposing from my notes to the computer screen I copied the wrong data It will be corrected with data as of August 18 The following are the returns for the 5-year, 10-year, and 15-year periods ending August 18, 2014. 5-Year Annualized Re...
by larryswedroe
Tue Aug 19, 2014 2:44 pm
 
Forum: Investing - Theory, News & General
Topic: Indexing in EM, and Templeton's Mobius
Replies: 10
Views: 964

Indexing in EM, and Templeton's Mobius

http://www.cbsnews.com/news/passive-management-still-wins-in-inefficient-markets/
Often hear that active wins in less efficient markets, and Mobius often cited as a guru
Record says otherwise
Larry
by larryswedroe
Tue Aug 19, 2014 9:31 am
 
Forum: Investing - Theory, News & General
Topic: Indexing in EM, and Templeton's Mobius
Replies: 10
Views: 964
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