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New Paper ". . . and the Cross-Section of Expected Returns"

I don't have access to the full paper but others might and it sounds like it should interest those doubting any future factors or probably and recent ones or perhaps any factors at all... http://www.nber.org/papers/w20592?utm_campaign=ntw&utm_medium=email&utm_source=ntw Hundreds of papers an...
by matjen
Mon Oct 20, 2014 9:06 am
 
Forum: Investing - Theory, News & General
Topic: New Paper ". . . and the Cross-Section of Expected Returns"
Replies: 7
Views: 497

Re: Illmanen and AQR style premium fund +interview I did

QSPIX down 2.1% today. I thought it was supposed to have about half the volatility of equities. Wonder what gives? yep. YTD it is up 1.78%. vs the vanguard market neutral fund is up 2.36%. this is rather surprising given that the vanguard fund just does long/short equities whereas the aqr fund is s...
by matjen
Sat Oct 18, 2014 10:53 am
 
Forum: Investing - Theory, News & General
Topic: Illmanen and AQR style premium fund +interview I did
Replies: 40
Views: 2244

Re: Masters in business interview I did with Barry Ritholtz

Larry, I enjoy and appreciate your contributions to this site and I really enjoyed the interview and have read most of your books. One question I have concerns your statements about RAFI in the interview. The statement concerning the RAFI returns being explained by French Fama. Cliff Asness spent s...
by matjen
Wed Oct 15, 2014 12:08 pm
 
Forum: Investing - Theory, News & General
Topic: Masters in business interview I did with Barry Ritholtz
Replies: 13
Views: 1197

Re: Masters in business interview I did with Barry Ritholtz

Great interview Larry. Would encourage those interested to listen to the long version. Lots of good stuff in the extra period.
by matjen
Sun Oct 12, 2014 1:35 pm
 
Forum: Investing - Theory, News & General
Topic: Masters in business interview I did with Barry Ritholtz
Replies: 13
Views: 1197

Re: Spreadsheet for Rebalancing Bands

A forum member asked me about my own rebalancing spreadsheet. I made a generic version and put it on Google sheets for anyone who'd like to have a look: Rebalancing Bands template I also linked to it on the wiki. I hope someone might find it useful. There are other good spreadsheets on the wiki pag...
by matjen
Sat Oct 11, 2014 3:00 pm
 
Forum: Investing - Theory, News & General
Topic: Spreadsheet for Rebalancing Bands
Replies: 18
Views: 1790

Re: Recommend a NAS HD

Apparently not everyone is as happy as you are: http://www.amazon.com/Cloud-6TB-Personal-Storage-WDBCTL0060HWT-NESN/product-reviews/B00KU686L4/ref=cm_cr_dp_qt_hist_one?ie=UTF8&filterBy=addOneStar&showViewpoints=0 But I'm sure this is like all the other hard drive products from all the hard ...
by matjen
Sat Oct 11, 2014 12:47 pm
 
Forum: Personal Consumer Issues
Topic: Recommend a NAS HD
Replies: 17
Views: 789

Re: Recommend a NAS HD

I recently purchased a Western Digital MyCloud NAS and am quite happy. $150 for 2 TB http://www.amazon.com/Cloud-WDBCTL0020HWT-2TB-Personal-Storage/dp/B00EVVGAFI/ref=sr_1_1?ie=UTF8&qid=1413044250&sr=8-1&keywords=mycloud Review: http://www.cnet.com/products/wd-my-cloud-2-tb/ http://www.pc...
by matjen
Sat Oct 11, 2014 12:20 pm
 
Forum: Personal Consumer Issues
Topic: Recommend a NAS HD
Replies: 17
Views: 789

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

You would have thought Hussman would have crushed it this week. I think he was up 11 bps.
by matjen
Fri Oct 10, 2014 6:29 pm
 
Forum: Investing - Theory, News & General
Topic: John Hussman, smart guy, should you listen to his forecasts
Replies: 76
Views: 8125

Re: Wine - how to keep it from not spoiling?

There are gadgets like vacuum pumps and gas canisters but I think the easiest and most effective method is to just re-cork the bottle and place in refrigerator standing up rather than on its side. If red, remove it 30 minutes before serving.
by matjen
Fri Oct 10, 2014 12:12 pm
 
Forum: Personal Consumer Issues
Topic: Wine - how to keep it from not spoiling?
Replies: 57
Views: 2809

Which Factor has Outperformed in Dollar Bull Markets?

Interesting blog post for those looking at Momentum. It does have a market timing flavor of course but still interesting. "Momentum was the strongest-performing factor with a median annualized gain of 12.61%. Momentum rose in each occurrence. After a double take, momentum was even able to perfo...
by matjen
Fri Oct 10, 2014 8:27 am
 
Forum: Investing - Theory, News & General
Topic: Which Factor has Outperformed in Dollar Bull Markets?
Replies: 1
Views: 348

Re: Hold the Line

Thank you for the update. Much appreciated. :beer
by matjen
Fri Oct 10, 2014 8:22 am
 
Forum: Investing - Theory, News & General
Topic: Hold the Line
Replies: 11
Views: 1409

Morningstar: Doing the Rope-a-Dope

Doing the Rope-a-Dope: Active management has become investing’s punching bag. Can it survive the onslaught?

http://www.nxtbook.com/nxtbooks/morning ... ex.php#/14
by matjen
Thu Oct 09, 2014 11:08 am
 
Forum: Investing - Theory, News & General
Topic: Morningstar: Doing the Rope-a-Dope
Replies: 1
Views: 475

Re: tired of zero hedge, got an alt news site?

Here is a decent one stop shop: http://www.ceoexpress.com/default.asp

To the extent that anyone thinks the Daily Show (and a lesser extent Huffington) is news...I'm speechless.
by matjen
Wed Oct 08, 2014 1:37 pm
 
Forum: Personal Consumer Issues
Topic: tired of zero hedge, got an alt news site?
Replies: 34
Views: 2979

Re: Road trip to Chicago with kids- what to do/recommendatio

For food/entertainment that kids would like Ed Debevics is popular. http://www.eddebevics.com/

Also, Chicago deep dish pizza at Malnati's, Giordano's or Pizzeria Uno.
by matjen
Sat Oct 04, 2014 7:38 pm
 
Forum: Personal Consumer Issues
Topic: Road trip to Chicago with kids- what to do/recommendations?
Replies: 44
Views: 2500

Re: Illmanen and AQR style premium fund +interview I did

So September was a rough month for most asset classes. Thought I would take a quick look and see how QSPIX did. I personally sold some bond funds and REITs to move a bit into this fund. With the enormous caveat that this is only one month I still wanted to take a look. My eyeball tells me that it c...
by matjen
Thu Oct 02, 2014 4:08 pm
 
Forum: Investing - Theory, News & General
Topic: Illmanen and AQR style premium fund +interview I did
Replies: 40
Views: 2244

Re: Illmanen and AQR style premium fund +interview I did

JohnnyFive wrote:Fidelity showing the expense ratio as 211 basis points, not 150

https://fundresearch.fidelity.com/mutua ... /00203H420


Some places list it as 211 but it is 150. AQR has waived the fee to keep it at 150.
by matjen
Thu Oct 02, 2014 3:18 pm
 
Forum: Investing - Theory, News & General
Topic: Illmanen and AQR style premium fund +interview I did
Replies: 40
Views: 2244

Re: Illmanen and AQR style premium fund +interview I did

So September was a rough month for most asset classes. Thought I would take a quick look and see how QSPIX did. I personally sold some bond funds and REITs to move a bit into this fund. With the enormous caveat that this is only one month I still wanted to take a look. My eyeball tells me that it ce...
by matjen
Thu Oct 02, 2014 12:00 pm
 
Forum: Investing - Theory, News & General
Topic: Illmanen and AQR style premium fund +interview I did
Replies: 40
Views: 2244

Re: Portfolio tracking websites?

I don't really care to subscribe to anybody's website. You didn't have to do that at MSN until now, and I believe you have to do it at M* as well. What do you mean by "subscribe?" Morningstar is free for basic functionality but you do have to create login credentials I believe, etc. Even ...
by matjen
Wed Oct 01, 2014 1:26 pm
 
Forum: Investing - Help with Personal Investments
Topic: Portfolio tracking websites?
Replies: 6
Views: 460

Re: Portfolio tracking websites?

Morningstar
by matjen
Wed Oct 01, 2014 12:25 pm
 
Forum: Investing - Help with Personal Investments
Topic: Portfolio tracking websites?
Replies: 6
Views: 460

Iron Rules of Money

Another Morgan Housel/Motley Fool gem. "The first iron rule of money is that wealth is the stuff you don't see. It's the cars not purchased, the clothes not bought, the jewelry forgone. Money buys things, but wealth -- assets such as cash, stocks, bonds, in the bank, unspent -- buys freedom and...
by matjen
Wed Oct 01, 2014 9:24 am
 
Forum: Investing - Theory, News & General
Topic: Iron Rules of Money
Replies: 3
Views: 754

Re: EmergDoc has Surpassed 10,000 posts!

Congratulations EmergDoc and thank you for all your contributions both here and at WCI. :sharebeer
by matjen
Tue Sep 30, 2014 6:11 pm
 
Forum: Local Chapters and Bogleheads Community
Topic: EmergDoc has Surpassed 10,000 posts!
Replies: 32
Views: 3075

Re: Will you invest in Bill Gross's new bond fund?

Pimco (PTTRX) is basically my only option for a bond fund in my 401(k). Till that changes I really have no option.
by matjen
Mon Sep 29, 2014 9:57 pm
 
Forum: Investing - Theory, News & General
Topic: Will you invest in Bill Gross's new bond fund?
Replies: 51
Views: 2813

Re: Interview I did with Michael Covel

Very nice interview Larry. Lots of good info. Thank you for sharing.
by matjen
Mon Sep 29, 2014 6:23 pm
 
Forum: Investing - Theory, News & General
Topic: Interview I did with Michael Covel
Replies: 11
Views: 1256

Bond King Gross to leave Pimco for Janus

Wow. This really surprised me. I literally had to stop for a second and make sure it wasn't April 1st. What a weird development. He literally starts Monday. I also read that Bill Gross is worth more personally than Janus Capital's market cap - $2.3B vs $2.1B http://www.ft.com/intl/fastft?post=212282...
by matjen
Fri Sep 26, 2014 8:46 am
 
Forum: Investing - Theory, News & General
Topic: Bill Gross moving from PIMCO to Janus, Monday
Replies: 113
Views: 10000

Re: Illmanen and AQR style premium fund +interview I did

The Morningstar info got really weird with this fund all of a sudden. Agree with Larry.
by matjen
Thu Sep 25, 2014 6:07 pm
 
Forum: Investing - Theory, News & General
Topic: Illmanen and AQR style premium fund +interview I did
Replies: 40
Views: 2244

Re: Smartphone applications

Google Finance or Bloomberg.
by matjen
Thu Sep 25, 2014 3:13 pm
 
Forum: Personal Consumer Issues
Topic: Smartphone applications
Replies: 1
Views: 236

'Born in strife': Jack Bogle on Vanguard at 40

"Here's the memo Vanguard Group founder John Clifton "Jack" Bogle sent Vanguard Principal managers and 15+-year veteran employees to mark its 40th anniversary this morning under the title, "Vanguard Turns 40! Happy Birthday! And Thanks to our Crew!" http://www.philly.com/phi...
by matjen
Thu Sep 25, 2014 10:59 am
 
Forum: Investing - Theory, News & General
Topic: 'Born in strife': Jack Bogle on Vanguard at 40
Replies: 1
Views: 362

Re: Indoor rowing machine - worth it?

For those more interested in rowing, you may find this site and/or training program interesting. http://thepeteplan.wordpress.com/beginner-training/ "Indoor rowing training isn’t rocket science, though you might think so if you try to understand some of the training plans “on the market” for in...
by matjen
Thu Sep 25, 2014 9:26 am
 
Forum: Personal Consumer Issues
Topic: Indoor rowing machine - worth it?
Replies: 73
Views: 3550

Re: Indoor rowing machine - worth it?

^ +1 Of all the "machines" I think this is the best one-stop shop. It is the LifeStrategy of workouts. :o
by matjen
Wed Sep 24, 2014 11:01 am
 
Forum: Personal Consumer Issues
Topic: Indoor rowing machine - worth it?
Replies: 73
Views: 3550

Re: Hedge Funds & Diversification

assumer, Cliff Asness talks a bit about these exact topics in this video. On the whole, the hedge fund industry gets most of its returns from regular beta/equity exposure. However, there are probably certain types of hedge funds that would give a different type of exposure. http://www.bloomberg.com/...
by matjen
Tue Sep 23, 2014 12:42 pm
 
Forum: Investing - Theory, News & General
Topic: Hedge Funds & Diversification
Replies: 14
Views: 607

Cliff Asness on Hedge Funds, Smart Beta, etc.

I found his comments on Private Equity interesting as well. Clifford Asness, co-founder and managing principal of AQR Capital Management LLC, talks about the performance of hedge funds, investor sentiment and the outlook for financial markets. Asness speaks with Bloomberg's Stephanie Ruhle at the Bl...
by matjen
Tue Sep 23, 2014 8:23 am
 
Forum: Investing - Theory, News & General
Topic: Cliff Asness on Hedge Funds, Smart Beta, etc.
Replies: 0
Views: 167

Re: Good article on style premium investing & AQR new fund

Here's bottom line The more efficient way to do this is clearly with QSPIX, and the reason is that you do save some on the ER---because the administration expenses are 20bp for each fund and that is not split in half as it is a "fixed" cost. So it is 85bp vs 150bp. As you have heard me sa...
by matjen
Mon Sep 22, 2014 7:42 pm
 
Forum: Investing - Theory, News & General
Topic: Good article on style premium investing & AQR new fund
Replies: 86
Views: 8137

Re: Bogle, Asness & Keene on Bloomberg right now

Bogle on Calpers Hedge Funds position - "some advanced form of lunacy."
by matjen
Mon Sep 22, 2014 7:12 pm
 
Forum: Investing - Theory, News & General
Topic: Bogle, Asness & Keene on Bloomberg right now-Taped Video
Replies: 2
Views: 393

Re: Bogle, Asness & Keene on Bloomberg right now

Above was the real-time link. Here is a link to the video for those interested: Asness, Bogle on Investment Strategy, Pension Funds Clifford Asness, managing and founding principal of AQR Capital Management, and John C. Bogle, founder of Vanguard Group Inc., talk about investment strategy, fund mana...
by matjen
Mon Sep 22, 2014 6:55 pm
 
Forum: Investing - Theory, News & General
Topic: Bogle, Asness & Keene on Bloomberg right now-Taped Video
Replies: 2
Views: 393

Bogle, Asness & Keene on Bloomberg right now-Taped Video

http://www.bloomberg.com/tv/livestream/

Bloomberg Markets ‏@BloombergMrkts
Cliff Asness and Jack Bogle discuss investing with @TomKeene WATCH LIVE: http://bloomberg.com/tv/livestream/ #BMMI14
by matjen
Mon Sep 22, 2014 2:31 pm
 
Forum: Investing - Theory, News & General
Topic: Bogle, Asness & Keene on Bloomberg right now-Taped Video
Replies: 2
Views: 393

Re: Premiums: Size, Value, Beta, Momentum

My advice is to invest in factor funds judiciously, perhaps 25% of an equity portfolio, be very patient, and don't plan to earn much of a premium if any after fees. Rick, I am not a believer in the benefits of factor investing but this statement still has me a bit confused. Why would anyone want to...
by matjen
Wed Sep 17, 2014 11:27 pm
 
Forum: Investing - Theory, News & General
Topic: Premiums: Size, Value, Beta, Momentum
Replies: 40
Views: 2923

Re: Car-Certified Lexus LS 460 Vs New ES 350 Vs New RX 350

I would go for the pre-owned Lexus 460 of the choices you gave. However, if buying a new car I would take a long hard look at the new Hyundai Genesis. Hyundai is poised to do to Lexus what Lexus did to the Germans. This car is getting great reviews, has a long warranty, and should be cheaper to mai...
by matjen
Wed Sep 17, 2014 10:30 pm
 
Forum: Personal Finance (Not Investing)
Topic: Car-Certified Lexus LS 460 Vs New ES 350 Vs New RX 350
Replies: 63
Views: 4277

Re: Car-Certified Lexus LS 460 Vs New ES 350 Vs New RX 350

I would go for the pre-owned Lexus 460 of the choices you gave. However, if buying a new car I would take a long hard look at the new Hyundai Genesis. Hyundai is poised to do to Lexus what Lexus did to the Germans. This car is getting great reviews, has a long warranty, and should be cheaper to main...
by matjen
Wed Sep 17, 2014 12:08 pm
 
Forum: Personal Finance (Not Investing)
Topic: Car-Certified Lexus LS 460 Vs New ES 350 Vs New RX 350
Replies: 63
Views: 4277

Re: Cliff Asness note on CALPERS firing hedge funds

I could not agree more Larry. Asness is always worthwhile and especially if you are interested in factor investing. I read the blog post and am in the middle of some of the referenced links. One of which leads to a brief presentation on how they deal with benchmarking/performance/fees in the alterna...
by matjen
Tue Sep 16, 2014 6:32 pm
 
Forum: Investing - Theory, News & General
Topic: Cliff Asness note on CALPERS firing hedge funds
Replies: 6
Views: 821

Re: CalPERS Eliminates Hedge Fund Program

I found this article very insightful. Here is a simple model for hedge fund fees: There are some people who can reliably generate alpha -- returns in excess of the market return -- but those people are rare. -It is somewhat difficult to tell who those people are; in particular, at any given time, th...
by matjen
Tue Sep 16, 2014 1:49 pm
 
Forum: Investing - Theory, News & General
Topic: CalPERS Eliminates Hedge Fund Program
Replies: 44
Views: 2944

Re: CalPERS Eliminates Hedge Fund Program

They can afford them but I can only assume their results showed they could not find them consistently, which is basically the active management story. I wish they'd publish the complete results of their long experiment with hedge funds. Well here is a start....reach your own conclusions ;-) http://...
by matjen
Tue Sep 16, 2014 8:15 am
 
Forum: Investing - Theory, News & General
Topic: CalPERS Eliminates Hedge Fund Program
Replies: 44
Views: 2944

CalPERS Eliminates Hedge Fund Program

Rumored for awhile...now official. Straight from the horse's mouth. "The California Public Employees’ Retirement System (CalPERS) today announced that it will eliminate its hedge fund program, known internally as the Absolute Return Strategies (ARS) program, as part of an ongoing effort to redu...
by matjen
Mon Sep 15, 2014 6:12 pm
 
Forum: Investing - Theory, News & General
Topic: CalPERS Eliminates Hedge Fund Program
Replies: 44
Views: 2944

Asness/AQR - Smart Beta Not New, Not Beta, Still Awesome

Here is a link to the PDF which will download. Article classifies the different quant/smart beta strategies.

https://t.co/krAU0gmo1Z
by matjen
Fri Sep 12, 2014 12:56 pm
 
Forum: Investing - Theory, News & General
Topic: Asness/AQR - Smart Beta Not New, Not Beta, Still Awesome
Replies: 2
Views: 423

Re: Link to webinar I did other day for our clients

Hi Larry. Very nice talk that I would urge those who constantly watch the headlines to listen to.

Well done.
by matjen
Fri Sep 12, 2014 12:46 pm
 
Forum: Investing - Theory, News & General
Topic: Link to webinar I did other day for our clients
Replies: 2
Views: 468

Re: The importance of discipline

grap0013 wrote:I also think DFA incorporating profitability is a much less drastic change than a 35% absolute increase in international. I think Larry is alluding more to the former rather than to the latter.


As the Fonz would say...Exactamundo!
by matjen
Mon Sep 08, 2014 1:42 pm
 
Forum: Investing - Theory, News & General
Topic: The importance of discipline
Replies: 19
Views: 1380

Re: The importance of discipline

I agree that it's difficult to stick with any strategy over the long haul of several years or even decades, including the 3-fund portfolio. We're always questioning the wisdom of any strategy. That's why it's important, IMO, to keep it as simple as possible. Fewer moving parts, less complex rationa...
by matjen
Mon Sep 08, 2014 10:47 am
 
Forum: Investing - Theory, News & General
Topic: The importance of discipline
Replies: 19
Views: 1380

Re: The importance of discipline

Very important paper about the importance of sticking with one's investment strategy over the long haul. Therein lies the rub for most investors. Before embarking on any strategy more complicated than simply holding the total stock market, plus bonds and some cash, you have to sit down and have a c...
by matjen
Mon Sep 08, 2014 10:05 am
 
Forum: Investing - Theory, News & General
Topic: The importance of discipline
Replies: 19
Views: 1380

Univ of Chicago [Active Manager Luck vs. Skill] Lubos Pastor

Interesting new video on active Manager skill. Many of the topics raised here on Bogleheads are covered. Summary: 1) Managers are more skilled now than in the past... but since all are no return difference 2) Skilled managers keep most if not all fees 3) Younger managers with newer strategies may ha...
by matjen
Mon Sep 01, 2014 7:32 pm
 
Forum: Investing - Theory, News & General
Topic: Univ of Chicago [Active Manager Luck vs. Skill] Lubos Pastor
Replies: 7
Views: 881
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