Search found 642 matches

Return to advanced search

Re: Larry: 20 Dollar Bills and Factor Persistence

"It is difficult to get a man to understand something, when his salary depends upon his not understanding it!"

-- Upton Sinclair
by longinvest
Sun Jul 27, 2014 5:53 pm
 
Forum: Investing - Theory, News & General
Topic: Larry: 20 Dollar Bills and Factor Persistence
Replies: 113
Views: 9453

Re: Best way to reach initial allocation in a bull market?

freyj6 wrote:I guess I should just go for it. Everything's up, so speculation would be the only reason not to go for my AA.

Thanks!

I think that you have made an excellent choice.

All that remains is to Stay the course.
by longinvest
Fri Jul 25, 2014 11:16 am
 
Forum: Investing - Theory, News & General
Topic: Best way to reach initial allocation in a bull market?
Replies: 28
Views: 2563

Re: Profiting from Unprofitable Companies

Jo, does the growth graph account for the DFA advisor fee? It's a standard morningstar chart. It accounts for the funds' expense ratios, but not amounts paid to advisors. So, the growth graph overestimates the returns obtained by a DFSCX investor. DFA funds are only available through selected advis...
by longinvest
Fri Jul 25, 2014 8:55 am
 
Forum: Investing - Theory, News & General
Topic: Profiting from Unprofitable Companies
Replies: 22
Views: 1716

Re: History books on the aftermath of financial crashes

I am currently reading The Great Depression, A Diary by Benjamin Roth. You can search the forum for more information about this book.
by longinvest
Fri Jul 25, 2014 8:37 am
 
Forum: Investing - Theory, News & General
Topic: History books on the aftermath of financial crashes
Replies: 9
Views: 1146

Re: Profiting from Unprofitable Companies

We have 30 years of out of sample real-world performance of DFA's attempt at a fund using a single strategy that looked good over the historical back-testing, but the out-performance certainly wasn't persistent: http://i60.tinypic.com/35mlbf8.png Jo, does the growth graph account for the DFA adviso...
by longinvest
Fri Jul 25, 2014 8:26 am
 
Forum: Investing - Theory, News & General
Topic: Profiting from Unprofitable Companies
Replies: 22
Views: 1716

Re: Can I use 30-YR rolling returns to Calculate ER dispersi

Rolling periods does not make more data and introduces some known problems. See Rodc's post in a prevous thread: viewtopic.php?f=10&t=132539&hilit=rodc&start=150#p1957387
by longinvest
Fri Jul 25, 2014 8:08 am
 
Forum: Investing - Theory, News & General
Topic: Can I use 30-YR rolling returns to Calculate ER dispersion?
Replies: 6
Views: 530

Re: VPW spreadsheet questions

Hello, Thank you for the VPW spreadsheet -- I found it useful for confirming the possible outcomes of my own simple withdrawal plans. I think I get the gist of it, but I confess I am too lazy to explore it deeply. So, a couple of questions: 1) I see the VPW spreadsheet was recently updated. If I we...
by longinvest
Thu Jul 24, 2014 9:37 pm
 
Forum: Investing - Theory, News & General
Topic: VPW spreadsheet questions
Replies: 2
Views: 379

Re: Due diligence on RAFI Pure Small Value

Just curious, how many times have you put John Bogle's Telltale chart on this board? I mean no disrespect, but it appears as though you have in fact based your investment decisions on the opinion of others. A TellTale chart is a tool to compare two investments over time that does not suffer from st...
by longinvest
Thu Jul 24, 2014 8:42 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 98
Views: 8100

Re: The article on tax efficient placement needs to be rewri

Modern capitalist societies work on the concept of "net" as in "net take home pay", "net profit", "net worth", "net return on investment". Ignoring accrued taxes in a 401k and assuming the balance in that account as being "net" is well mis...
by longinvest
Thu Jul 24, 2014 3:18 pm
 
Forum: Investing - Theory, News & General
Topic: The article on tax efficient placement needs to be rewri
Replies: 75
Views: 4153

Re: Due diligence on RAFI Pure Small Value

SnowSkier, some of us don't like to base our investment decisions on trusting the opinion of others. Personally, I prefer to make my own investigation to gather facts and evidence. In absence of firm evidence, I prefer to take a defensive position. This does not mean that I cannot learn from the opi...
by longinvest
Thu Jul 24, 2014 2:51 pm
 
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 98
Views: 8100

Re: Is there any downside to investing in bond futures?

What happens if the bond defaults? If you have the long position in a futures contract, you'll be buying a defaulted bond. Just as if you'd owned the bond itself. No difference. (So, you might consider buying a CDS as well . . . .) I think that I'm starting to understand. Can't munis default? I'm j...
by longinvest
Wed Jul 23, 2014 10:40 am
 
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 73
Views: 1816

Re: Is there any downside to investing in bond futures?

Can't munis default? I'm just trying to understand the mechanics, not trying to predict doom!
by longinvest
Wed Jul 23, 2014 10:30 am
 
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 73
Views: 1816

Re: Is there any downside to investing in bond futures?

longinvest wrote:What happens if the bond defaults?

Bump!
by longinvest
Wed Jul 23, 2014 10:11 am
 
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 73
Views: 1816

Re: Is there any downside to investing in bond futures?

What happens if the bond defaults?
by longinvest
Wed Jul 23, 2014 9:59 am
 
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 73
Views: 1816

Re: Momentum Investing ?

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. All non-total-market-index investors make the...
by longinvest
Wed Jul 23, 2014 9:22 am
 
Forum: Investing - Theory, News & General
Topic: Momentum Investing ?
Replies: 55
Views: 4345

Re: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth,

I like to Invest with simplicity : John Bogle, in his speech, “ Investing With Simplicity, ” said: “Simplicity is the master key to financial success. When there are multiple solutions to a problem, choose the simplest one.” Both approaches, tax-adjusting and not, are valid. But, it is much simpler ...
by longinvest
Tue Jul 22, 2014 8:29 pm
 
Forum: Investing - Theory, News & General
Topic: Do you "Tax Adjust" your Asset Allocation (Pre vs Roth, etc)
Replies: 77
Views: 3687

Re: Thoughts on [not] rebalancing

In retirement, I would do the reverse; I would let distributions get automatically reinvested, but use the Optimal lazy portfolio rebalancing calculator to rebalance using withdrawals (without ever buying anything).
by longinvest
Tue Jul 22, 2014 4:12 pm
 
Forum: Investing - Theory, News & General
Topic: Thoughts on [not] rebalancing
Replies: 12
Views: 670

Re: Thoughts on [not] rebalancing

You could rebalance "optimally" with new contributions (e.g. never sell). That's almost like doing nothing, while also keeping your portfolio close to your traget AA. Ideally, you should select to receive all distributions as cash in order to maximize the rebalancing (without selling) effo...
by longinvest
Tue Jul 22, 2014 3:35 pm
 
Forum: Investing - Theory, News & General
Topic: Thoughts on [not] rebalancing
Replies: 12
Views: 670

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: 58
Views: 3559

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: 916

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: 816

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: 6220

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: 6220

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: 3840

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: 98
Views: 8100

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: 6220

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: 98
Views: 8100

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: 6220

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: 98
Views: 8100

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: 98
Views: 8100

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: 48924

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: 3840

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: 3840

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: 259
Views: 17350

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: 259
Views: 17350

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: 1172

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: 1059

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: 1059

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: 3215

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: 6219

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: 259
Views: 17350

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: 7569

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: 259
Views: 17350

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: 17215

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: 259
Views: 17350

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: 259
Views: 17350

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: 48924

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: 505
Next

Return to advanced search