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Re: Poll: Has your AA changed in the last 18 months

I added bonds (TBM) to my portfolio, after learning about them and how they work on this site. This change of AA was not made quickly; I waited for a period of many months and asked for the opinion of Bogleheads before making the change. I also simplified my portfolio into a 3-fund portfolio as soon...
by longinvest
Sun Jul 20, 2014 5:18 pm
 
Forum: Investing - Theory, News & General
Topic: Poll: Has your AA changed in the last 18 months
Replies: 46
Views: 1978

Re: ETF Liquidity for the long term

There are usually some protections for ETF investors. For example, in case there was not enough liquidity on the market for trading ETF shares, an investor could redeem his units in cash without having to make a market order. Here's what the Vanguard Canada ETFs prospectus says: Page 57 of https://w...
by longinvest
Fri Jul 18, 2014 9:28 am
 
Forum: Investing - Theory, News & General
Topic: ETF Liquidity for the long term
Replies: 12
Views: 892

Re: Three questions about how mutual fund redemptions work

3) (Thinks out loud... Ask price ≥ bid price... Bid price = what you wish you could buy at. Ask price = what you actually can buy at.... Ask price = what you would wish you could sell for. Bid price = what you actually can sell for. ...yes?) It would seem then that if mutual funds base their redemp...
by longinvest
Fri Jul 18, 2014 9:11 am
 
Forum: Investing - Theory, News & General
Topic: Three questions about how mutual fund redemptions work
Replies: 6
Views: 798

Re: Bet it ALL on Small Cap Value when you're young

Longinvest Look this is simple. First yes the market is highly, but not perfectly efficient. That is fact not opinion.There are many anomalies documented that prove that. It's not in dispute at all. So we know that in real world TSM is not the most efficient portfolio. You can simply screen out the...
by longinvest
Wed Jul 16, 2014 10:20 am
 
Forum: Investing - Theory, News & General
Topic: Bet it ALL on Small Cap Value when you're young
Replies: 64
Views: 6017

Re: Bet it ALL on Small Cap Value when you're young

Larry, I do not agree that investing in total markets is making a bet. Le me prove it to you. http://www.stanford.edu/~wfsharpe/art/active/active.htm A passive investor always holds every security from the market, with each represented in the same manner as in the market. Thus if security X represen...
by longinvest
Tue Jul 15, 2014 11:49 pm
 
Forum: Investing - Theory, News & General
Topic: Bet it ALL on Small Cap Value when you're young
Replies: 64
Views: 6017

Re: Persistence of SV performance

Leif Suggest you read Reducing the Risk of Black Swans Larry Larry, This is an example of what I perceive as a conflict of interest. I do not mean that as being something negative, but it is a fact that you are the author of the book. Normally, authors have a personal monetary interest in selling m...
by longinvest
Tue Jul 15, 2014 11:11 pm
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3775

Re: Due diligence on RAFI Pure Small Value

Bernston,

Thanks for the detailed explanation. I was viewing the index change like VTSMX's change from MSCI to CRSP, which was not something very important in regards to performance.

Regards
by longinvest
Tue Jul 15, 2014 8:55 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 82
Views: 6926

Re: Bet it ALL on Small Cap Value when you're young

Investing in total markets is not betting!

Investing in total markets is the most efficient approach to investing, according to several Nobel prize winners.
by longinvest
Tue Jul 15, 2014 8:07 pm
 
Forum: Investing - Theory, News & General
Topic: Bet it ALL on Small Cap Value when you're young
Replies: 64
Views: 6017

Re: Due diligence on RAFI Pure Small Value

I'm saying that the change of index does not change the fact that PSVX was a small-value fund since inception. It is so convenient for a fund to change its index when the old one didn't work well. :oops:
by longinvest
Tue Jul 15, 2014 7:37 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 82
Views: 6926

Re: Bet it ALL on Small Cap Value when you're young

OP, do not forget that small-cap stocks constitute a very small fraction of the stock market. By investing in only a small sub-fraction, the value stocks among small-cap stocks, you are effectively betting on the outperformance of a very tiny part of the stock market. Here's what Nobel prize winner ...
by longinvest
Tue Jul 15, 2014 7:17 pm
 
Forum: Investing - Theory, News & General
Topic: Bet it ALL on Small Cap Value when you're young
Replies: 64
Views: 6017

Re: Due diligence on RAFI Pure Small Value

If anybody is interested, here is the TellTale chart of PXSV vs VTSAX : http://i58.tinypic.com/x4rq5u.jpg :oops: From the OP by Robert T. "This is now tracked by the Powershares Fundamental Pure Value Series (PXSV) starting June 16, 2011 (note that PXSV tracked a different index before June 20...
by longinvest
Tue Jul 15, 2014 6:54 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 82
Views: 6926

Re: Due diligence on RAFI Pure Small Value

If anybody is interested, here is the TellTale chart of PXSV vs VTSAX:
Image
by longinvest
Tue Jul 15, 2014 6:46 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 82
Views: 6926

Re: Variable Percentage Withdrawal (VPW)

To longinvest: Thanks! for all of the work regarding VPW. Steady state solutions to a dynamic problem always bug me, but I'm neither imaginative nor knowledgeable enough to develop an approach like yours. The simplicity (ie multiply balance by up to max of VPW percentage) & 'never fail' are ver...
by longinvest
Tue Jul 15, 2014 6:36 pm
 
Forum: Investing - Theory, News & General
Topic: Variable Percentage Withdrawal (VPW)
Replies: 454
Views: 48145

Re: Persistence of SV performance

Larry, Statistical tests are data mining, by definition (see: http://www.anderson.ucla.edu/faculty/jason.frand/teacher/technologies/palace/datamining.htm). You are free to share your opinion on this forum. But, as far as I know, you are in a conflict of interest position, as you are likely to make m...
by longinvest
Tue Jul 15, 2014 11:39 am
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3775

Re: Persistence of SV performance

Question for the board... if 20 years from now the DFA small cap value fund has a 20 year annual return 3 or 4% lower than the S&P 500, what would that mean for the small cap value framework? Over the next 20 years TSM (or S&P 500) mathematically cannot do worse than the aggregate market......
by longinvest
Tue Jul 15, 2014 10:49 am
 
Forum: Investing - Theory, News & General
Topic: Persistence of SV performance
Replies: 71
Views: 3775

Re: a close look at value and momentum

Ketawa wrote:No need to pay an advisor for deep SV exposure. PXSV will do. It just beats the G Fund for my largest holding (used to be VSS, but I moved to AQR core funds in international).


Here's the TellTale chart of PXSV vs VTSAX:
Image
by longinvest
Mon Jul 14, 2014 7:09 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: a close look at value and momentum

To follow up on the previous thought (then I'll leave it alone), some Telltale charts of SV vs SG and Large Blend... Against SG there is little to no period dependency. Against LB there is a kind of period dependency, but it is an alternating of UP periods and FLAT periods. No real SV down periods....
by longinvest
Mon Jul 14, 2014 6:47 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: When you envision efficient frontier, do you include bon

Do you maintain the same portfolio weights as the market weights (implication: your portfolio = tangency portfolio)? Someone said in another thread it's about 50/50 for US. Follow on: If you think in terms of tangency portfolio do you then do the theoretical optimal thing and dilute with cash (or &...
by longinvest
Mon Jul 14, 2014 6:06 pm
 
Forum: Investing - Theory, News & General
Topic: When you envision efficient frontier, do you include bonds?
Replies: 15
Views: 1158

Re: Plan B

What's a plan B? I thought that the Bogleheads Investment Philosophy said to "stay the course". Have I missed a modification of our philosophy? longinvest: In a 2009 interview with Kiplinger , near the bottom of a bear market, Mr. Bogle said : "If you literally cannot afford to lose ...
by longinvest
Sun Jul 13, 2014 8:59 pm
 
Forum: Investing - Theory, News & General
Topic: Is There Need for Plan 'C' (Inverse of Plan B)?
Replies: 12
Views: 1047

Re: Is There Need for Plan 'C' (Inverse of Plan B)?

What's a plan B? I thought that the Bogleheads Investment Philosophy said to "stay the course".

Have I missed a modification of our philosophy?
by longinvest
Sun Jul 13, 2014 7:51 pm
 
Forum: Investing - Theory, News & General
Topic: Is There Need for Plan 'C' (Inverse of Plan B)?
Replies: 12
Views: 1047

Re: Boglehead Rules Of Thumb To Investing?

Add: Buy low, sell high. It's not timing, it's the way to make money. Actually, this is a fallacy. It assumes that the market is a zero sum game with winners and losers. Many Bogleheads invest through buying index funds of stocks and bonds. Stocks give a return on your investment in the form of div...
by longinvest
Sun Jul 13, 2014 6:33 pm
 
Forum: Investing - Help with Personal Investments
Topic: Boglehead Rules Of Thumb To Investing?
Replies: 23
Views: 3082

Re: Thoughts on 100% stock allocation for 33 year old

Here is a graph of risk vs performance: "An Efficient Frontier: the power of diversification . Notice how even fairly small bond allocations greatly reduce risk, with only a little impact on expected gains. Actually, this graph can be a little misleading to someone that doesn't fully understan...
by longinvest
Sun Jul 13, 2014 4:14 pm
 
Forum: Investing - Help with Personal Investments
Topic: Thoughts on 100% stock allocation for 33 year old
Replies: 85
Views: 6111

Re: a close look at value and momentum

This is what makes investing so interesting. A lot of paradoxes. There is a value premium but there is also a momentum premium. Not only is there a value premium but there is a quality premium (as JoMoney describes it). And of course, "quality" corresponds to large stocks and to growth st...
by longinvest
Sun Jul 13, 2014 11:20 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: International exposure: does it really help?

Longinvest, since you live in Canada and your country has a small share of the world stock market I would certainly not have the bulk of my stock market investments in Canada. The Canadian stock market is not well diversified and as I recall is dominated by four sectors. Nedsaid, It's true that it ...
by longinvest
Sat Jul 12, 2014 9:27 pm
 
Forum: Investing - Theory, News & General
Topic: International exposure: does it really help?
Replies: 75
Views: 7253

Re: a close look at value and momentum

Longinvest Of course there is no guarantee, as I have said there is a NON ZERO chance of any factor having negative premium no matter how long the horizon. So what? The right question IMO is do you want to have all your eggs in one factor when there is no guarantee that any single factor will deliv...
by longinvest
Sat Jul 12, 2014 3:41 pm
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: Merton: 401(k) retirement plans face crisis

An adaptive withdrawal strategy married to a portfolio that contains a significant portion of risky assets will almost certainly result in an unintended high variation of annual income . The point of good retirement strategy is to minimize the amount of unintended income variation. This is best acc...
by longinvest
Sat Jul 12, 2014 10:59 am
 
Forum: Investing - Theory, News & General
Topic: Merton: 401(k) retirement plans face crisis
Replies: 188
Views: 16610

Re: a close look at value and momentum

Matjen, You didn't answer my question: What guarantee can you offer me that 2014-2019 won't see a reversal of fortune for DFSVX? Also I forgot to mention a very important detail: The chart for DFSVX ignores the actual fee paid by its investor to his DFA-friendly advisor, as DFSVX is not available on...
by longinvest
Sat Jul 12, 2014 9:08 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: a close look at value and momentum

Matjen, You're good at picking start dates, aren't you? :wink: How about looking at the TellTale chart of DFSVX vs VTSMX which is not subject to start date bias: http://i60.tinypic.com/2ns5078.jpg So, did DFSVX outperform the market between February 25, 1994 and July 10, 2014? Yes, it did. Actually,...
by longinvest
Sat Jul 12, 2014 9:00 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: Variable Percentage Withdrawal (VPW)

I've been swapping a few PMs with Longinvest, and he suggested to share a few highlights. First, I stumbled upon an old BH thread where the very exact same idea of using PMT down to depletion was discussed. This is an interesting read. http://www.bogleheads.org/forum/viewtopic.php?t=41514 Thank you...
by longinvest
Fri Jul 11, 2014 9:31 pm
 
Forum: Investing - Theory, News & General
Topic: Variable Percentage Withdrawal (VPW)
Replies: 454
Views: 48145

Re: The Impact of Currency on The World Portfolio

Nisiprius, Thanks for the article. It was a very interesting read. It partly addressed my ultimate objective to find a rational basis for determining a proper allocation between domestic and foreign equities, given the real-world set of factors affecting foreign investments: currency fluctuations, w...
by longinvest
Fri Jul 11, 2014 1:02 pm
 
Forum: Investing - Theory, News & General
Topic: The Impact of Currency on The World Portfolio
Replies: 3
Views: 490

Re: a close look at value and momentum

Richard, Steve,

Thanks.
by longinvest
Fri Jul 11, 2014 11:33 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: a close look at value and momentum

Larry,

Thank you for having taken the time to clarify.

longinvest
by longinvest
Fri Jul 11, 2014 11:11 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: a close look at value and momentum

longinvest Sorry to disagree but you are making a "bet" in that you are betting on beta. A single factor. Now you are accepting the market return, with no risk of underperforming, that's the trade off. Larry Larry, I'm not sure that I understand what you wrote. Are you saying that accepti...
by longinvest
Fri Jul 11, 2014 10:46 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

The Impact of Currency on The World Portfolio

Take two investors invested in the world stock market portfolio: ⋅  A U.S. investor invested in VT. ⋅  A European investor invested in VT (or some equivalent Europe-traded index fund). For the sake of simplicity, ignore taxes and other investment-related fees (like currency excha...
by longinvest
Fri Jul 11, 2014 10:41 am
 
Forum: Investing - Theory, News & General
Topic: The Impact of Currency on The World Portfolio
Replies: 3
Views: 490

Re: What ONE investing book or article for skeptical sibling

Maybe I'm wrong, but here it goes... I don't believe that you can convince your sibling. This is not a logical argument, it's is a "who's right" argument. Convicing your sibling would mean that you "won" the argument. This can't work. You should just drop the argument, continue t...
by longinvest
Fri Jul 11, 2014 9:41 am
 
Forum: Investing - Theory, News & General
Topic: What ONE investing book or article for skeptical sibling?
Replies: 30
Views: 2837

Re: a close look at value and momentum

The important thing that must be understood is that no matter what the factor is, including beta, there is a non zero chance of going very long periods, even multiple decades, of the premiums disappearing. To me that makes the strongest case for not putting all your eggs in one factor basket. Now t...
by longinvest
Fri Jul 11, 2014 9:22 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: a close look at value and momentum

. On momentum from Bernstein's recent book: Risk : "momentum strategies get savaged immediately after a market bottom" ... "the so-called momentum crash" "The key thing is that the overall return of momentum exposure during the bad times surrounding the market bottom is neg...
by longinvest
Fri Jul 11, 2014 8:27 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: Online Ruin Rate Calculator

That brings up another excellent point about "ruin rate calculators"" they model income generation in a way that no one or just about no one uses in real life. Have you looked at the calculators that were linked? They do not do only what you just wrote. They allow for more sophistica...
by longinvest
Thu Jul 10, 2014 3:49 pm
 
Forum: Investing - Theory, News & General
Topic: Online Ruin Rate Calculator
Replies: 19
Views: 2172

Re: International exposure: does it really help?

I'm Canadian. Our stock market represents 3% or 4% of the world's stock markets. Here are two questions: ⋅  Would you invest 100% of your stock allocation in the domestic market, if you were in my shoes? ⋅  Would you only invest 4% of your stock alocation, according to market cap...
by longinvest
Thu Jul 10, 2014 12:00 pm
 
Forum: Investing - Theory, News & General
Topic: International exposure: does it really help?
Replies: 75
Views: 7253

Re: Online Ruin Rate Calculator

Why don't you try the VPW method that cannot fail, instead?

Here are the relevant links to VPW:
by longinvest
Thu Jul 10, 2014 11:32 am
 
Forum: Investing - Theory, News & General
Topic: Online Ruin Rate Calculator
Replies: 19
Views: 2172

Re: a close look at value and momentum

It is interesting to note that Cliff Asness (co-founder of AQR Capital Management) admits that what he does is active management and stock picking: (from http://www.cnbc.com/id/101776486) "Do we try to do better than benchmarks? Yes. That makes us active, yes," Asness said. "When I'm ...
by longinvest
Wed Jul 09, 2014 7:26 am
 
Forum: Investing - Theory, News & General
Topic: a close look at value and momentum
Replies: 253
Views: 15899

Re: How many veteran investor have LARGE MAJORITY in three-f

After investing in individual stocks until 2007 (I didn't know better) I moved to index funds early 2008. I then discoved the Bogleheads in 2012. I lately simplified my 5 funds portfolio down to a 3 funds portfolio, which is much simpler to manage across 3 accounts (tax-deffered, tax-free, and taxab...
by longinvest
Tue Jul 08, 2014 8:06 pm
 
Forum: Investing - Theory, News & General
Topic: How many veteran investor have LARGE MAJORITY in three-fund?
Replies: 56
Views: 3783

Re: 4% Withdrawals Through 2000 and 2008 Bear Markets

Have you looked at VPW?.... Very simple to understand and it cannot fail. To save you a forum search, here are the relevant links for VPW: ⋅  The Bogleheads Wiki VPW Page ⋅  It was developed on the following forum thread: http://www.bogleheads.org/forum/viewtopic.php?f=10&t=...
by longinvest
Mon Jul 07, 2014 3:02 pm
 
Forum: Investing - Theory, News & General
Topic: 4% Withdrawals Through 2000 and 2008 Bear Markets
Replies: 26
Views: 3312

Re: Does corporate credit risk add value

Vanguard's Total Market Bond Index Fund contains 6579 distinct bonds spawning across a wide range of maturities and low levels of credit risk. I guess that an investor that decides to only invest in a small subset of these bonds (short and intermediate treasuries) must really feel lucky! Or and inv...
by longinvest
Fri Jul 04, 2014 2:43 pm
 
Forum: Investing - Theory, News & General
Topic: Does corporate credit risk add value
Replies: 71
Views: 4037

Re: Does corporate credit risk add value

Larry, If academics were unanimous about it, it would be a better argument. Unfortunately, they're not. On the other hand, both academics and non-academics agree on the fundamentals that Investor Returns are equal to gross market returns minus fees. Investing in total market indices, as long as it i...
by longinvest
Fri Jul 04, 2014 2:34 pm
 
Forum: Investing - Theory, News & General
Topic: Does corporate credit risk add value
Replies: 71
Views: 4037

Re: Does corporate credit risk add value

Here's the fundamental law of investor returns: Gross returns in the financial markets minus the costs of financial intermediation equal the net returns actually delivered to investors. See: http://www.vanguard.com/bogle_site/sp20060101.htm and http://www.stanford.edu/~wfsharpe/art/active/active.htm...
by longinvest
Fri Jul 04, 2014 9:43 am
 
Forum: Investing - Theory, News & General
Topic: Does corporate credit risk add value
Replies: 71
Views: 4037

Re: POLL: Mortgage as a negative bond

If you want to consider your mortgage in your asset allocation, then it think that you should: ⋅  consider your mortgage as leverage (not as a meaningless "negative bond"), and ⋅  consider your home as a colateral for this leverage. My personal position: ⋅  I ...
by longinvest
Wed Jul 02, 2014 8:49 am
 
Forum: Personal Finance (Not Investing)
Topic: POLL: Mortgage as a negative bond
Replies: 89
Views: 2867

Re: Trick question for new investors.

I proprose that: A Boglehead knows that he can't predict markets. Therefore, a Boglehead devises a plan that will work regardless of how markets do. A Boglehead limits his concerns to things under his control. For example: living below his means, his saving rate, his ability to earn an income, his a...
by longinvest
Tue Jul 01, 2014 6:09 pm
 
Forum: Investing - Theory, News & General
Topic: Trick question for new investors.
Replies: 25
Views: 2068
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