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Re: a look at CAPE 10 in other markets

well if you buy low p/e and high profitability stocks you gain both premiums and AQR now has a fund that is value, MOM and profitability Note profitable companies tend to be growth companies Is there a way to buy these funds with under $5 million in assets, and does anyone know the deal with them k...
by pauliec84
Sun Mar 30, 2014 8:31 am
 
Forum: Investing - Theory, News & General
Topic: a look at CAPE 10 in other markets
Replies: 18
Views: 1480

Re: a look at CAPE 10 in other markets

Somewhat different perspective. of course we know that low valuations mean high EXPECTED returns and vice versa. But we need to estimate the level of returns to determine our NEED to take risk, what allocations to risky assets we need. I don't know how you can decide on an AA without estimating ret...
by pauliec84
Sat Mar 29, 2014 2:52 pm
 
Forum: Investing - Theory, News & General
Topic: a look at CAPE 10 in other markets
Replies: 18
Views: 1480

Re: Thoughts on iShares Enhanced ETF [IELG, IESM, IEIL, IEIS

I would say that IEIL and IEIS look like they could be the optimal option for those of us who struggle to get an international value tilt. IEIL has lower expenses and smaller firms than EFV (ishares EAFE value fund). IEIS has more value tilt and smaller firms than PDN. Thanks for bringing these to m...
by pauliec84
Tue Mar 25, 2014 2:47 pm
 
Forum: Investing - Theory, News & General
Topic: Thoughts on iShares Enhanced ETF [IELG, IESM, IEIL, IEIS]
Replies: 16
Views: 2009

Re: Wonderful article on Shiller/Fama debate by Asness/Liew

Very nice article. Thanks for the link. Pretty nice insight about Fama in 1980 saying "of course the market isn't completely efficient in class." Aligns pretty well with the beliefs of most slice and dicers.
by pauliec84
Mon Mar 03, 2014 6:26 pm
 
Forum: Investing - Theory, News & General
Topic: Wonderful article on Shiller/Fama debate by Asness/Liew
Replies: 1
Views: 459

How to Hedge Currancy Risk

I am moving from the US to Canada, and have concerns about the currency risk I will be taking (especially after the pain of seeing CAD drop >5% right accepting job offer). I wanted to consider hedging some of that risk. 1) Are there any books/websites that walk individual investors through implement...
by pauliec84
Tue Feb 18, 2014 5:34 pm
 
Forum: Investing - Theory, News & General
Topic: How to Hedge Currancy Risk
Replies: 2
Views: 288

Re: RZV (S&P 600 Small Cap Pure Vaue ETF) Factor Regression

Everyone regression I have ever run on it has given a momentum loading in the -0.50 range. This effectively wipes out the higher expected return you get from the SMB and HML loading, assuming historic premium.
by pauliec84
Sun Jan 26, 2014 7:59 pm
 
Forum: Investing - Theory, News & General
Topic: RZV (S&P 600 Small Cap Pure Vaue ETF) Factor Regression
Replies: 6
Views: 780

Re: Factor Analysis and Morningstar X-Ray (VFSVX)

I have the Andrea Frazzini Developed Markets factor data loaded into my regression web app. I loaded the VFSVX fund for example's sake so you can see the fund in question at http://www.fundfactors.com/en/funds/VFSVX. It is an issue to use VFSVX which has emerging in it within the developed market f...
by pauliec84
Mon Jan 06, 2014 7:17 pm
 
Forum: Investing - Theory, News & General
Topic: Factor Analysis and Morningstar X-Ray (VFSVX)
Replies: 7
Views: 604

Re: Bridgeway Omni SCV funds

Here's probably the best alternative, though bit less in AUM than I would like to see http://etfs.morningstar.com/quote?t=rzv I would disagree with this. Powershares Purse Small Value (PXSV) much better loads on the the Small and Value factors without the huge negative momentum. Here is a previous ...
by pauliec84
Sun Jan 05, 2014 4:12 pm
 
Forum: Investing - Theory, News & General
Topic: Bridgeway Omni SCV funds
Replies: 9
Views: 707

Re: Comparison between MSCI and CRSP small/mid value indexes

The time period is not the same for the CRSP and MSCI. I did not have free time to sync them. Here are fama french factors for 2 indices though. mktrf smb hml umd CRSP SV 0.909 0.572 0.484 -0.047 MSCI SV 0.914 0.424 0.673 -0.077 CRSP MV 0.919 0.230 0.398 -0.051 MSCI MV 0.941 0.091 0.588 -0.058
by pauliec84
Wed May 29, 2013 3:28 pm
 
Forum: Investing - Theory, News & General
Topic: Comparison between MSCI and CRSP small/mid value indexes
Replies: 8
Views: 927

Re: New CRSP indexes as new funds

I ran the 4-Factor Model on the new CRSP indexes a while back. They are very similar to the MSCI index in terms of the SMB/HML exposure.
by pauliec84
Mon Apr 22, 2013 9:49 pm
 
Forum: Investing - Theory, News & General
Topic: New CRSP indexes as new funds
Replies: 4
Views: 563

Re: Multi-Manager Funds

That is a very interesting theory, and worth exploring in more detail. It is like benching your star athelete so they can't get much money in free agency.
by pauliec84
Mon Apr 22, 2013 3:24 pm
 
Forum: Investing - Theory, News & General
Topic: Multi-Manager Funds
Replies: 7
Views: 601

Re: Multi-Manager Funds

Thanks a lot for the replays. This was a great help for me as I did not find all this info from a google scholar search.
by pauliec84
Sun Apr 21, 2013 12:09 am
 
Forum: Investing - Theory, News & General
Topic: Multi-Manager Funds
Replies: 7
Views: 601

Multi-Manager Funds

I am doing a research project for school.

Does anyone know about any papers/articles that address the difference in performance of funds with a single manager and funds with a multi-manager set up?

Thanks for the help.
by pauliec84
Fri Apr 19, 2013 10:37 am
 
Forum: Investing - Theory, News & General
Topic: Multi-Manager Funds
Replies: 7
Views: 601

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

Does it really matter what the countries are like?

There is the story-time approach that accomplishes nothing.

There is the efficient market approach that says the market knows all of these things and it will be incorporated into the price.
by pauliec84
Sun Apr 14, 2013 9:06 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2210

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

I agree with you that there is a fun aspect to holding this fund. I also think there is a obvious diversification benefit aspect to holding this fund, and it is always nice when there is an asset has the potential to increase both your Return, and simultanously lower your portfolio risk (sort of lik...
by pauliec84
Sun Apr 14, 2013 4:52 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2210

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

For what its worth, over the meager 6th months of its existance, the fund returns have only trailed the index's returns by 0.23%
by pauliec84
Sun Apr 14, 2013 4:10 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2210

Re: Index monkeys beat market cap weighting

Smartmonkey. Thanks for the replay. It is much more constructive to discuss a paper with its author. Per my intellectually dishonest comment, and your subsequent response. "where is the fun in that?": The fun in that is accurately and honestly present your results. It is fine to not presen...
by pauliec84
Sun Apr 07, 2013 5:08 pm
 
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 32
Views: 2543

Re: High ER and Index fund results

Well, it seems to me that if just eliminating the 20-30% of the Highesr ER active funds from the selection pool would change the odds of indexing outperforming to less than 50%, that would be pretty easy to do. This is why I am questioning if the 20% number or even a 50% number has been shown to be...
by pauliec84
Sun Apr 07, 2013 12:18 pm
 
Forum: Investing - Theory, News & General
Topic: High ER and Index fund results
Replies: 19
Views: 1588

Re: Index monkeys beat market cap weighting

I skimmed through the paper so correct me if I am wrong. But the first thing I would do if I wanted to know if one index construction method was better than the other would be to run 4 Factor regression (MKTRF SMB HML UMD) and see what the alphas looked like. Because of the mentioned liquidity issue...
by pauliec84
Sat Apr 06, 2013 6:30 pm
 
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 32
Views: 2543

Re: Index monkeys beat market cap weighting

#1) Historically and probably going forward. Small cap beats large cap. So by moving away from a market-cap weighting you are increasing you loading on the small cap stocks, and thus increase expected returns. So the finding is not a surprise. #2) Trading Costs. A Market-cap weighted system involves...
by pauliec84
Fri Apr 05, 2013 11:47 am
 
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 32
Views: 2543

Re: How to implement my Small Value tilt?

I would advise against RZV. The issue is that while it is smaller and has more value exposure than other ETFs, it has tremendous negative exposure to the momentum factor (UMD). ETF, SMB, HML, UMD RZV 0.900 1.091 -0.299 IJS/VIOV 0.608 0.605 -0.063 VBR 0.572 0.484 -0.047 IWN 0.778 0.512 0.017 The mome...
by pauliec84
Mon Mar 25, 2013 12:02 am
 
Forum: Investing - Theory, News & General
Topic: How to implement my Small Value tilt?
Replies: 19
Views: 1609

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

This story telling doesn't get you anywhere in terms of making actionable investment decisions. The relevant issues are: What is the expected return of asset? What is the riskiness of the asset? How does the asset's risks co-vary with other assets in your portfolio? Per this Vanguard report: https:/...
by pauliec84
Sun Mar 24, 2013 1:10 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2210

Re: iShares MSCI Frontier 100 (FM) [ER 0.79%]

0.79 ER doesn't seem unreasonable given the context. Small cap EM has about that ER, as does Microcap. I would take FM anyday over Microcaps, and think it would be comparable to emerging market small cap in terms of expected return and correlations. With that said the 2-3% upfront haircut is the dea...
by pauliec84
Sat Mar 23, 2013 2:44 pm
 
Forum: Investing - Theory, News & General
Topic: iShares MSCI Frontier 100 (FM) [ER 0.79%]
Replies: 34
Views: 2210

Re: The prudent way to increase expected returns

Larry. Nice article. Two questions: 1) Why did you use the European Market and not EAFE Market in your chart of valuation ratios? It raises an unnecessary question mark. 2) How high would you go with international weighting. I am at 50%, but even that is underweight market portfolio. So if you were ...
by pauliec84
Thu Mar 14, 2013 11:47 am
 
Forum: Investing - Theory, News & General
Topic: The prudent way to increase expected returns
Replies: 31
Views: 4087

Re: international small value

Pauliec84, I would appreciate an analysis of your data. I sometimes think I understand the numbers but obviously, I don't . In my company's profit sharing account, the international allocation is Vanguard Total International index 50%, GWX ( S& P international small cap ETF) 25% and DLS (Wisdom...
by pauliec84
Sat Mar 02, 2013 5:40 pm
 
Forum: Investing - Theory, News & General
Topic: international small value
Replies: 26
Views: 2533

Re: international small value

Here are some factor loadings a ran when I was deciding how to get value internationally. Note, you can't do factor analysis on emerging market as Fama French Data Library does not have loadings for those markets. Fund ALPHA mktrf smb hml umd HEDJ 0.000 0.641 -0.638 0.424 -0.083 FDT -0.004 1.304 0.8...
by pauliec84
Sat Mar 02, 2013 12:32 pm
 
Forum: Investing - Theory, News & General
Topic: international small value
Replies: 26
Views: 2533

Re: Any opinions on this WSJ article - Gross Profitability F

I don't think we should dismiss something out of hand. Per Data-mining Argument: Does the strategy work out of sample? YES Table 2, performed on stocks from developed markets outside the US, including those from Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Great Britain, H...
by pauliec84
Sat Mar 02, 2013 11:46 am
 
Forum: Investing - Theory, News & General
Topic: Any opinions on this WSJ article - Gross Profitability Funds
Replies: 11
Views: 1201

Re: how much tilted is 'a little' or 'a lot'?

Tilts 1. 5% of anything (esp. a small value index that isn't that small or value oriented) isn't mild, its a waste of time. So we can cross that off the list. 2. 75% TSM, 25% S&P 600 Value has only about 0.15 sensitivity to size and value. At the historical 2% and 4% premiums, that is less than...
by pauliec84
Sat Feb 16, 2013 4:00 am
 
Forum: Investing - Theory, News & General
Topic: how much tilted is 'a little' or 'a lot'?
Replies: 18
Views: 1225

Re: Small/Value Tilt question

No need to give up. Take a crack at a little reading.
by pauliec84
Sun Feb 10, 2013 11:06 pm
 
Forum: Investing - Theory, News & General
Topic: Small/Value Tilt question
Replies: 27
Views: 2344

Re: Small/Value Tilt question

Chan_va

I would say most people (including myself) think it is not a free lunch. It is simply a risk not captured by volatility (or CAPM beta). Such as exposure to unemployment risk etc.
by pauliec84
Sun Feb 10, 2013 10:44 pm
 
Forum: Investing - Theory, News & General
Topic: Small/Value Tilt question
Replies: 27
Views: 2344

Re: Small/Value Tilt question

1. Am I understanding this right? Yes 2. If I am, then why would we expect this to continue in the future? Now that the research is public, shouldn't this be priced into the stocks going forward? This is rich debate in finance. One possible explanation is that risk is not completely captured by vol...
by pauliec84
Sun Feb 10, 2013 10:31 pm
 
Forum: Investing - Theory, News & General
Topic: Small/Value Tilt question
Replies: 27
Views: 2344

Re: VTWV [Anyone Own Vg Russell 2000 Value Index ETF?]

Thanks for the info. In that case, assuming the front running issue is no longer an issue for Russell 2000, that may be a better choice than VIOV.

Does anyone know about the current status of frontrunning of the Russell 2000?

Also, any idea what the new fees will be on the CRSP indexes?
by pauliec84
Sun Feb 10, 2013 7:00 pm
 
Forum: Investing - Theory, News & General
Topic: VTWV [Anyone Own Vg Russell 2000 Value Index ETF?]
Replies: 10
Views: 1169

Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

I don't know much about some of these variables. I know what Alpha is, but not MrkRF, SMB, HML, and UMD. What are they? see http://www.bogleheads.org/wiki/Fama_and_French_Three-Factor_Model And how do those variables in CRSP SCV (in what will be VBR) compare to the other SCVfunds used by Bogleheads...
by pauliec84
Sun Feb 10, 2013 12:12 pm
 
Forum: Investing - Theory, News & General
Topic: Factor Loadings on New Vanguard CRSP Value Benchmarks
Replies: 6
Views: 805

Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

What about the change for the value index fund? I am confused that is what I posted. Do you mean growth funds? Is there a similar database for int'l equities as well? http://www.crsp.com/indexes/index-constituent-lists.html Here is the website. I don't really trust the international factor loads an...
by pauliec84
Sat Feb 09, 2013 11:47 pm
 
Forum: Investing - Theory, News & General
Topic: Factor Loadings on New Vanguard CRSP Value Benchmarks
Replies: 6
Views: 805

Re: Factor Loadings on New Vanguard CRSP Value Benchmarks

Haha. You make a good point. Guess that is reason number 1000000 I am not in charge of vanguard.
by pauliec84
Sat Feb 09, 2013 10:50 pm
 
Forum: Investing - Theory, News & General
Topic: Factor Loadings on New Vanguard CRSP Value Benchmarks
Replies: 6
Views: 805

Factor Loadings on New Vanguard CRSP Value Benchmarks

In case anyone is interested I ran 4 Factor regressions on the new vanguard funds. The data is from the CRSP website, the sample period is Jully 2000 to end of 2011 Alpha, MrkRF, SMB, HML, UMD CRSP LCV 0.000 0.913 -0.201 0.225 -0.034 CRSP MCV 0.001 0.919 0.230 0.398 -0.051 CRSP SCV 0.001 0.909 0.572...
by pauliec84
Sat Feb 09, 2013 9:37 pm
 
Forum: Investing - Theory, News & General
Topic: Factor Loadings on New Vanguard CRSP Value Benchmarks
Replies: 6
Views: 805

Re: VTWV [Anyone Own Vg Russell 2000 Value Index ETF?]

I think it is because the S&P 600 Value Fund, VIOV gives you a similar tilt with lower expense ratio vs Russell 2000 value. There is also this front running issue. That has scared me from it. Here are the 4 factor loadings from the funds that folllow each index (VBR, IJS/VIOV, IWN/VTWV) VG ER, F...
by pauliec84
Sat Feb 09, 2013 11:45 am
 
Forum: Investing - Theory, News & General
Topic: VTWV [Anyone Own Vg Russell 2000 Value Index ETF?]
Replies: 10
Views: 1169

Re: VTWV [Anyone Own Vg Russell 2000 Value Index ETF?]

For what its worth Russel 2000 Value is more Valuey and Smaller than VBR. So if that is what you are looking the 11 bp in terms of expense ratio per exposure to risk factor, you probably don't do any worse with the Russell 2000. There has been some talk about investors front running the Russell 2000...
by pauliec84
Sat Feb 09, 2013 12:56 am
 
Forum: Investing - Theory, News & General
Topic: VTWV [Anyone Own Vg Russell 2000 Value Index ETF?]
Replies: 10
Views: 1169

Re: New tax on French equities purchases.

This effectively raises the bid-ask spread of french stocks, which in turn should lower their liquidity.

This should cause investors to demand a higher risk premium (i.e., immediate price drop, long term expected higher return).
by pauliec84
Sun Jan 13, 2013 12:05 pm
 
Forum: Investing - Theory, News & General
Topic: New tax on French equities purchases.
Replies: 4
Views: 655

Re: Are REITS overvalued?

Yes this is very interesting. The numbers are so off it seems to reflect some weird aspect of the accounting. Especially as reits have not had some sort of wild runnup. There returns have been consistant with other small/valuey asset classets.
by pauliec84
Wed Dec 12, 2012 11:49 am
 
Forum: Investing - Theory, News & General
Topic: Are REITS overvalued?
Replies: 20
Views: 4022

Re: International SCV just got cheaper

grap0013 wrote: Those are indirect concerns. VSS trails its index by about ~0.3%. PDN used to trail its index by about ~1%. With the ER reduction it should only trail it's index by ~0.7%. Difference ~0.4% between VSS and PDN. Let's say PDN's value factor load is 0.35 (which I think is resonable) an...
by pauliec84
Sun Dec 09, 2012 11:43 am
 
Forum: Investing - Theory, News & General
Topic: International SCV just got cheaper
Replies: 22
Views: 2683

Re: International SCV just got cheaper

On the subject of PDN being not great...

PDN
Size: 1.703B
Price/Book: 0.94
Price/Earning: 11.64

VSS
Size: 1.242
Price/Book: 1.09
Price/Earning: 11.99

So slightly more value exposure, less small exposure.
One day there will be a real international small value out there
by pauliec84
Fri Dec 07, 2012 4:46 pm
 
Forum: Investing - Theory, News & General
Topic: International SCV just got cheaper
Replies: 22
Views: 2683

Re: Curious – Vanguard vs. iShares - S&P600 Value

VIOX is thinly traded and often trades at a large premium/discount to NAV. In 2011, it traded at a premium/discount greater than 100 basis points more than 10% of the time. If you look at Q3 2011, you'll see the market price dropped less than the NAV and it entered Q4 2011 trading at quite a premiu...
by pauliec84
Sat Oct 20, 2012 3:34 pm
 
Forum: Investing - Theory, News & General
Topic: Curious – Vanguard vs. iShares - S&P600 Value
Replies: 2
Views: 564

Re: Shifts in VG Tracking Indexes Announced

I noticed that vanguard SCV and Emerging Market Fund are going to change indexes too.

Any idea how this is going to effect the smallness and value of the SCV, and the Smallness of the Emerging Market Fund?
by pauliec84
Tue Oct 02, 2012 4:23 pm
 
Forum: Investing - Theory, News & General
Topic: Shifts in VG Tracking Indexes Announced
Replies: 155
Views: 16315

Re: the liquidity premium

If you assume you are going to pay a nasty bid-ask spread this can just be thought of as part of the transaction cost and in my opinion not necessarily a risk. We are talking about stocks, not exotic securities where there may not be a buyer. there are probably 5000 OTC stocks out there that typica...
by pauliec84
Tue Aug 28, 2012 12:15 pm
 
Forum: Investing - Theory, News & General
Topic: the liquidity premium
Replies: 43
Views: 4952

Re: the liquidity premium

A good example of liquidity risk was the financial crisis in 2008 when just about everything that wasn't highly liquid (and highly safe) was selling at a discount, for example TIPS compared to similar nominal treasuries. Those are hardly exotic securities. Again that is one type of liquidity, more ...
by pauliec84
Tue Aug 28, 2012 12:35 am
 
Forum: Investing - Theory, News & General
Topic: the liquidity premium
Replies: 43
Views: 4952

Re: the liquidity premium

The risk is that you want to sell immediately and you can't get full price. If you have a safe liquid asset, you can do that. That is one type of liquidity risk. If you assume you are going to pay a nasty bid-ask spread this can just be thought of as part of the transaction cost and in my opinion n...
by pauliec84
Mon Aug 27, 2012 9:16 pm
 
Forum: Investing - Theory, News & General
Topic: the liquidity premium
Replies: 43
Views: 4952

Re: the liquidity premium

I can't speak to the paper, however there are many different measures of liquidity. From bid-ask spread (which is what classic paper amihud mendelson (1985) use) to more sophisticated measures that are more like a Liquidity Beta which measures how the liquidity of the firm changes relative to market...
by pauliec84
Mon Aug 27, 2012 8:45 pm
 
Forum: Investing - Theory, News & General
Topic: the liquidity premium
Replies: 43
Views: 4952

Re: the liquidity premium

I always thought very rational for a fund company to offer funds that take advantage of the liquidity premium, especially in 401Ks where the money is locked up anyway until retirement. To implement appropriately you would need a closed end fund structure to avoid redeeming issues. I feel like of all...
by pauliec84
Mon Aug 27, 2012 6:37 pm
 
Forum: Investing - Theory, News & General
Topic: the liquidity premium
Replies: 43
Views: 4952

Re: a look at different passive strategies

To my knowledge Bridgeway Omni Small Cap Value fund (BOSVX), which is NOT available to retail investors.
by pauliec84
Tue Aug 14, 2012 12:04 am
 
Forum: Investing - Theory, News & General
Topic: a look at different passive strategies
Replies: 41
Views: 3914
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