Search found 792 matches

by Jebediah
Tue Nov 17, 2020 2:44 pm
Forum: Investing - Theory, News & General
Topic: Six more ETFs from DFA (Dimensional Fund Advisors)
Replies: 131
Views: 23525

Re: Six more ETFs from DFA (Dimensional Fund Advisors)

These will be available to retail investors or still advisor/institutional only?
by Jebediah
Fri Oct 02, 2020 5:00 pm
Forum: Investing - Theory, News & General
Topic: Reversion to the Mean Sector Investing
Replies: 11
Views: 1213

Re: Reversion to the Mean Sector Investing

Run a second test where you allocate to the same sectors evenly each month instead of all $ to the loser, and compare to the first backtest. That should show whether or not there was a rebalancing bonus. Even if there was, doesn't mean it's not a random occurrence.
by Jebediah
Thu Jul 09, 2020 1:45 pm
Forum: Personal Investments
Topic: Help Needed on Understanding Negative Tips Yield
Replies: 12
Views: 1104

Re: Help Needed on Understanding Negative Tips Yield

One other thing; have you looked into US Series I Savings Bonds? They don't have a negative yield and IMO are a better deal than TIPS at this time. +1 to Series I savings bonds for individual investors. Another useful product that IMHO should be considered more often is the iShares Inflation Hedged Corporate Bond ETF (LQDI). By combining a portfolio of investment-grade corporate bonds (basically the same corporate bonds that are in a total bond market fund) with a small position in inflation swaps, iShares has created what amounts to the corporate bond equivalent of an intermediate-term TIPS fund. With a SEC Yield of 2.7%, LQDI plus either a TIPS ladder or a TIPS fund creates a inflation-protected fixed income allocation with a positive re...
by Jebediah
Mon May 18, 2020 7:01 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: Small Cap Value heads Rejoice !!!

This is just for fun as I doubt anyone would actually go all in on SCV, but Ben Felix recently mentioned that using 4% withdrawals in 30 year periods going back to 1926, 70% US SCV with 30% 5 year treasuries had no failures. It also has a thrilling max drawdown of 77%. This was an aside in a discussion more focused on analyzing allocations in a bond bear market. The 70% remark is at 42:30 and the discussion leading to it starts at 31. https://youtu.be/eVlqOid4GAI Actually, there are those that recommend 100% small value, while also lowering the total amount of stock held in an effort to equalize risk. Search for "Larry Portfolio". I think that strategy is nuts. If it underperforms the broad market, not only will the investor unde...
by Jebediah
Sat May 16, 2020 6:54 pm
Forum: Investing - Theory, News & General
Topic: Rekenthaler: Long Bonds Are for Fools
Replies: 346
Views: 25226

Re: Rekenthaler: Long Bonds Are for Fools

Elysium wrote: Sat May 16, 2020 5:22 pm
The expectation should be to earn 1% annually from holding 20 year Treasury. What do you expect 5 year Treasury to return? it should be something around 0.30% for the next 5 years, after that what do you expect to earn? Obviously, you are betting rates will be higher, and you will get the chance to re-invest at higher rates. Otherwise, why would you buy & hold lower yielding 5 year Treasury with plans to re-invest in 5 years at rates even lower than what is offered today.
You omit that the risks are asymmetric. Reinvestment risk of 5YT < Term risk of LTT.
by Jebediah
Sat May 16, 2020 4:21 pm
Forum: Investing - Theory, News & General
Topic: What's the point of TLH when you already have booked losses?
Replies: 35
Views: 2574

Re: What's the point of TLH when you already have booked losses?

Suppose I have 100K in carryover capital losses and a fund with 10K of unrealized losses. Is there any point to TLHing that fund to realize the loss? Why not just let it exist unrealized? ... 3k is the maximum amount of ordinary income you can offset (and yes, it carries over to next year if you don't use all your losses). But you can offset an unlimited amount (AFAIK) of capital gains. +1 Benefit of additional TLH. In year harvested, CLs offset CGs dollar-for-dollar, $3K/yr limit does not apply. So if you normally receive dividends of $10K/yr in CGs, a $10K TLH will offset the CGs dollar-for-dollar. Then $3K of your $100K carryover loss can be used to offset $3K of ordinary income. I thought carryover losses from years past could be appli...
by Jebediah
Fri May 15, 2020 11:12 am
Forum: Investing - Theory, News & General
Topic: What's the point of TLH when you already have booked losses?
Replies: 35
Views: 2574

Re: What's the point of TLH when you already have booked losses?

The point of leaving it unrealized is not having to transact if you don't have to.

If/when the asset class gains 10K in the future, it'll just offset the loss I took.

If I didn't have a stockpile of losses to use, then it makes sense to realize the loss. Otherwise, I still don't see a financial benefit. The idea of psych/cognitive benefits is interesting, thanks Livesoft
by Jebediah
Fri May 15, 2020 9:34 am
Forum: Investing - Theory, News & General
Topic: What's the point of TLH when you already have booked losses?
Replies: 35
Views: 2574

What's the point of TLH when you already have booked losses?

Suppose I have 100K in carryover capital losses and a fund with 10K of unrealized losses. Is there any point to TLHing that fund to realize the loss? Why not just let it exist unrealized?
by Jebediah
Mon Apr 06, 2020 1:31 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: 1,000 Small-Cap Value Posts

On ARQ's factor set, the alpha of that fund is not statistically significant. I think it's also a sector neutral fund, which results in high tracking error compared to ARQ's long-short sector neutral factor set. I selected the 7 longest running DFA funds and ran a 3/4/5/6-factor regression since 1999. All alpha's were statistically insignificant. After correcting for expense ratio the median alpha appears to be very slightly positive. In order to accurately measure the negative alpha of these funds as a result of trading / friction costs, we need access to a long-only factor set which we don't have. Until that point speculations about negative alpha are mostly theoretical. Even if the funds noted above had a statistically significant negat...
by Jebediah
Mon Apr 06, 2020 10:56 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: Small Cap Value heads Rejoice !!!

I'm not sure you're necessarily missing anything although I like VOE as well to try to get value exposure at every capitalization level. I also hold some MTUM to undo some of the negative momentum of these value holdings. I should mention VFMF is basically my dream fund come true. It also gives value exposure at every capitalization level, while (presumably) staying at least MOM-neutral (and hopefully positive). It also provides quality exposure. I don't care much for the Low-Vol screen but some do like it. Unfortunately, it doesn't have an index that I can regress historically. And I really would prefer if I could see that. I'm sure the fellas at Vanguard do a great job (like the Avantis guys) but it's a bit of a no-go if I can't at least...
by Jebediah
Mon Apr 06, 2020 10:37 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: 1,000 Small-Cap Value Posts

80% total stock market + 20% long term bonds is also 97% correlated with total stock market. You're swamped with beta. Increase parity. You're measuring the usefulness of factor diversification with the wrong tools. If you're going to call something a diversifier then it should have a demonstrable diversification benefit. I also don't agree that trading frictions prevent factors from working, see the absence of negative alpha on DFSVX and other long-running factor funds. I'd venture to say the majority of multifactor funds have a negative alpha problem. (I know you know this is true so I wont bother picking through them). If you're going to pick one, QCELX seems fair considering where it comes from: -2.5% since inception. That momentum, va...
by Jebediah
Sun Apr 05, 2020 10:23 pm
Forum: Investing - Theory, News & General
Topic: Dow Futures Up Again?
Replies: 131
Views: 10220

Re: Dow Futures Up Again?

We don't need to restart the entire economy. Based on Morningstar, only 15% of GDP is idle. Essential services make up 70% of GDP and half of the nonessential businesses are able to continue with employees working remotely. And $2 trillion goes a long way to help the unemployed. https://www.morningstar.com/articles/976107/coronavirus-update-long-term-economic-impact-forecast-to-be-less-than-2008-recession According to the WSJ: "An estimated 29% of the U.S. economy has suddenly gone idle, an analysis shows, an unprecedented shutdown of commerce that economists say has never occurred on such a wide scale". https://www.wsj.com/articles/state-coronavirus-shutdowns-have-taken-29-of-u-s-economy-offline-11586079001 The world we are ente...
by Jebediah
Sun Apr 05, 2020 6:31 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: 1,000 Small-Cap Value Posts

The key is the lack of correlation between the factors. The relevant factors are market, size, value, profitability/quality, momentum, term. Dave Once again, straight from the brochure. In real life, this amounts to nothing. For example, the correlation between QCELX (AQR multifactor) and VTI is 0.98. Can you show us a live multifactor fund with a higher Sharpe ratio than TSM? https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviatio...
by Jebediah
Sun Apr 05, 2020 5:32 pm
Forum: Investing - Theory, News & General
Topic: Is Bogleheads suffering a derivatives epidemic?
Replies: 40
Views: 4860

Re: Is Bogleheads suffering a derivatives epidemic?

whodidntante wrote: Fri Apr 03, 2020 4:38 pm Well, in my defense, the casino is closed. :twisted:
Exactly. How is anybody supposed to not make a small side fortune on puts while they watch their portfolio vaporize under quarantine?
by Jebediah
Sun Apr 05, 2020 5:24 pm
Forum: Investing - Theory, News & General
Topic: Schwab Intelligent Portfolio performance during market downturn
Replies: 24
Views: 4921

Re: Schwab Intelligent Portfolio performance during market downturn

Thank you for posting this. This has to be the most clownish slice and dice portfolio of all time. I laughed out loud.
by Jebediah
Sun Apr 05, 2020 4:45 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: 1,000 Small-Cap Value Posts

Random Walker wrote: Sun Apr 05, 2020 1:36 pm The key is the lack of correlation between the factors. The relevant factors are market, size, value, profitability/quality, momentum, term.

Dave
Once again, straight from the brochure. In real life, this amounts to nothing.

For example, the correlation between QCELX (AQR multifactor) and VTI is 0.98.

Can you show us a live multifactor fund with a higher Sharpe ratio than TSM?
by Jebediah
Fri Apr 03, 2020 2:08 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: Small Cap Value heads Rejoice !!!

According to the board FAQ, you can hide a user's post using the Friends/Foes list.

What are my Friends and Foes lists?
You can use these lists to organize other members of the board. Members added to your friends list will be listed within your User Control Panel for quick access to see their online status and to send them private messages. Subject to template support, posts from these users may also be highlighted. If you add a user to your foes list, any posts they make will be hidden by default.
by Jebediah
Fri Apr 03, 2020 1:35 am
Forum: Investing - Theory, News & General
Topic: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?
Replies: 213
Views: 27584

Re: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?

I am in agreement with a good portion of what you have been saying,not as pessimistic to your level, but at what point does investing just become gambling when taking such an extreme view? When investing more than you can afford to lose. :) Though it is worth noting that the risks here are not symmetric. If there is a miraculous recovery, then I lose the relatively small portion of my portfolio that invested in this gambit, plus potentially a small amount of gain from getting back into the market too slow. If I'm right, I still will probably lose money, because I'm still ~60% equities, and the options probably won't cancel that out. So I guess I'm hedged rather than setting myself up optimally for either "miraculous recovery" or ...
by Jebediah
Thu Apr 02, 2020 11:42 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: Small Cap Value heads Rejoice !!!

For instance, let's say I am investing since late 1999, that means I have spent 20 years already doing this, and have possibly another 10 left. I need to be looking at reducing my risk at this point, if I am heavily tilted towards SCV, the sequence of returns haven't worked in my favor, because I have been buying with smaller amounts when SCV did well in early period, and my larger current balance has taken a big hit with this last 3 years. Given I have only 10 years left and I need a good part of that to de-risk the portfolio, what do you suggest, wait out for SCV to recover, for how long? What if it doesn't recover in next 5 years, then what do I do? after 25 years of following Value tilted portfolio with less amount of dollars than a si...
by Jebediah
Thu Apr 02, 2020 10:04 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: Small Cap Value heads Rejoice !!!

For instance, let's say I am investing since late 1999, that means I have spent 20 years already doing this, and have possibly another 10 left. I need to be looking at reducing my risk at this point, if I am heavily tilted towards SCV, the sequence of returns haven't worked in my favor, because I have been buying with smaller amounts when SCV did well in early period, and my larger current balance has taken a big hit with this last 3 years. Given I have only 10 years left and I need a good part of that to de-risk the portfolio, what do you suggest, wait out for SCV to recover, for how long? What if it doesn't recover in next 5 years, then what do I do? after 25 years of following Value tilted portfolio with less amount of dollars than a si...
by Jebediah
Thu Apr 02, 2020 4:35 pm
Forum: Investing - Theory, News & General
Topic: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?
Replies: 213
Views: 27584

Re: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?

I'm calling you on what might or might not be some recency bias. Perhaps it's the other side of the normalcy bias coin: after a calamitous shock, we tend to become biased to expect further calamity. The bears and the goldbugs of 2009-2013 had wonderfully cogent, air-tight arguments but the market climbed their wall of worry anyway.

I don't have an argument about what the market or economy will do for the next year. I'm saying your bearish conviction reminds me of bearish conviction of yore.
by Jebediah
Thu Apr 02, 2020 4:20 pm
Forum: Investing - Theory, News & General
Topic: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?
Replies: 213
Views: 27584

Re: Sitting on a bunch of cash; what to do with it if I believe we're headed for SPX 1800 and protracted recession?

I am just some random guy on the internet, and am only saying the following to give context to what I will say next, not to try and brag - none of you know me, so what would be the point of that? I have been following the virus since early January. I warned my friends and family to expect a pandemic and to start preparing in late January when everyone else either didn't even know about the virus yet, or was still claiming "it's no worse than the flu". I bought PPE January 24th before it was all sold out because I was expecting it would sell out quickly as the virus spread. I sold out of some of my equities in mid February before the market started to drop when it was obvious to me there was going to be a pandemic and yet the mark...
by Jebediah
Thu Apr 02, 2020 11:54 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: Small Cap Value heads Rejoice !!!

Elysium,

These new anti-tilting arguments are weak.

Sure, tracking error regret is a thing. Larry S and Robert T talk about it all the time. Same applies to the 3-fund regarding international.

Your complexity arguments are way overbaked. DFA offers tilted total market portfolios that are held just like VTI/VXUS (DFTCX/DFTWX). Vanguard tilters can do VTI/VBR/VXUS/VSS. No big deal.
by Jebediah
Wed Apr 01, 2020 4:20 pm
Forum: Personal Investments
Topic: Liquidate Bond VBILX now or wait?
Replies: 29
Views: 2949

Re: Liquidate Bond VBILX now or wait?

1. "Investment grade" is a spectrum. From cash rich to borderline junk. VBILX is 24.9% Baa. That information is public and available in the prospectus. yes, I agree with your assessment but as I said above I have been educated now... I assumed earlier that all investment grade debt is "almost" near the safety of Treasuries... clearly not even close. That was my error. I don't want my bonds to have that kind of volatility and risk as was seen in March. If I wanted a good long term return I would seek it in Stocks not Bonds. I hold bonds purely for safety and stability while hoping to mitigate inflation, absolutely nothing else. Which is why I want to exit my position, I don't want my Bonds to fall another 10% in a span o...
by Jebediah
Wed Apr 01, 2020 3:22 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: Small Cap Value heads Rejoice !!!

Random Walker wrote: Wed Apr 01, 2020 1:29 pm
Jebediah wrote: Wed Apr 01, 2020 12:15 pm
This is true but so over-hyped and over-marketed. The aggregate effect of this 'diversification' shows up in the correlation between SCV and TSM, which is 0.9. So you got 0.1 of less correlation to the market, and you get an extra .05 of noncorrelation with treasuries.
It’s not just about correlation, it’s also about the size of the returns. I believe this variability is measured by covariance. We are seeing that now. TSM and SCV must be highly correlated. Both performing way below their long term averages. But one is performing way worse than the other when look at absolute numbers.

Dave
By that logic I can "diversify" an SP500 fund with a levered SP500 fund.
by Jebediah
Wed Apr 01, 2020 2:34 pm
Forum: Personal Investments
Topic: Why would anyone buy Intermediate Term Treasury Bonds right now?
Replies: 34
Views: 5243

Re: Why would anyone buy Intermediate Term Treasury Bonds right now?

I could drag my money out of my brokerage, open a new account at some random new bank, buy a CD. Sick of that game.

I could buy a brokered CD but it's illiquid. Must hold to maturity. Or build a ladder that I have to manage. No thanks.

I would put up with sending money to my ally savings account but I'm sitting on a fat brokerage retention bonus that mandates I keep the money in for 6 months or something. Savings yield would probably dry up anyway.

I could move into IG or munis but I don't want to sweat the risk.

I could market time treasuries by sitting in sweep cash at 0. But what kind of big upside am I expecting?

Those are the alternatives I can think of. Sorta stuck with it.
by Jebediah
Wed Apr 01, 2020 12:15 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: Small Cap Value heads Rejoice !!!

All of these small cap value threads focus almost entirely on whether size and value will experience increased returns beyond TSM in the future. I think the diversification benefits are equally important in deciding whether to incorporate these factors into a portfolio. Over the long term correlations are very favorable. The numbers I remember from several years ago are about: Mkt:size 0.4 Mkt:value 0.14 Size:value 0.14 Those sorts of correlations have significant positive potential effect on the portfolio. We have to appreciate though some additional features. Most long only SV funds have full exposure to the market factor, a market beta of at least 1.0. In fact, I believe most SV stocks have both the additional exposure to the unique SmL...
by Jebediah
Wed Apr 01, 2020 10:16 am
Forum: Investing - Theory, News & General
Topic: Trend following funds (like VMOT) and dual momentum totally ineffective in this bear market
Replies: 24
Views: 2689

Re: Trend following funds (like VMOT) and dual momentum totally ineffective in this bear market

One thing I noticed is that funds using quantitative methods to 'protect' us from big losses (like VMOT by AlphaArchitect) or strategies like Dual momentum, have been totally ineffective (at least till now) to mitigate losses. The decline has been too fast. The only people who got out are those who relied on their judgement (some wrote about it here) or perhaps those who might have had extra information, like some politicians perhaps: https://www.theguardian.com/us-news/2020/mar/20/republican-senators-sold-stocks-before-markets-plunged-on-coronavirus-fears-reports I don't follow any of the quantitative market timing methods you referenced, but can say that not all timing methods are ineffective. I was implementing the TMF/UPRO hedgefundie ...
by Jebediah
Wed Apr 01, 2020 10:08 am
Forum: Investing - Theory, News & General
Topic: Buying only top 10 S&P500 companies every year
Replies: 56
Views: 5524

Re: Buying only top 10 S&P500 companies every year

Bridgeway has a fund that tracks the top 20 or 30 (or something) companies. I think it tracks the SP500 pretty closely.
by Jebediah
Tue Mar 31, 2020 1:32 pm
Forum: Personal Investments
Topic: Inverse Index ETF's (SH & RWM) to 'short' the market
Replies: 4
Views: 531

Re: Inverse Index ETF's (SH & RWM) to 'short' the market

nolegs wrote: Tue Mar 31, 2020 1:18 pm That rationale is valid, and I agree with you wholeheartedly, in the long run where major index prices will increase. I would never try to justify buying and holding a position in SH or RWM long-term.

That said, if someone believes that the markets will decline more in the coming weeks & months, what are some pros and cons for using SH and RWM to make that 'bet' as opposed to puts or other financial instruments. This is more a question around the right tools to invest in a market that you believe will decline.
More bang for your buck with SPXS. Wouldn't hold for longer than a couple of weeks.
by Jebediah
Tue Mar 31, 2020 12:45 pm
Forum: Investing - Theory, News & General
Topic: Why is the market up today?
Replies: 25
Views: 2775

Re: Why is the market up today?

HomerJ wrote: Tue Mar 31, 2020 12:31 pm
t00sl0w wrote: Tue Mar 31, 2020 12:28 pm the market is so disconnected from reality its insane.

Everyone I know is suffering from either already being laid off/furloughed or is heading that way and at this point we have no end in sight in this country.
There is an end in sight.
Not really. Nobody's quite sure how to phase normalcy back in or how long it'll take. Full normalcy more or less requires a vaccine. 2-3 months seems like the best case (unlikely) minimum required to just begin relaxing a little. Market is still thinking "Easter".
by Jebediah
Tue Mar 31, 2020 10:55 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: [Small Cap Value heads Rejoice !!!]

caklim00 wrote: Tue Mar 31, 2020 10:25 am
I think RZV probably suffers from negative momentum based on some prior research into the S&P600 Pure Value index. AVUV is more valuey which I'm guessing is why it did worse, but possibly the momentum screens helped it not suffer the RZV fate. Who knows though, just guesses. I threw in BRSIX since its just the Bridgeway Microcap fund and it actually didn't do as bad as I first thought.
Where do you get info on AVUV's factor exposures?
by Jebediah
Tue Mar 31, 2020 9:54 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: [Small Cap Value heads Rejoice !!!]

Uncorrelated wrote: Tue Mar 31, 2020 9:16 am I don't think this is the reason that small cap fund performed poorly in this crisis, as neither of these funds appear to have negative profitability exposure. Rather, I think that small caps in general just performed poorly last month. Value did fine (only a little bit worse than total stock market).
YTD:
Russ 2K growth ... -26%
Russ 2K value ... -36%
BOSVX ... -43%
RZV ... -51%
by Jebediah
Mon Mar 30, 2020 6:39 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: [Small Cap Value heads Rejoice !!!]

Don't know if this has been posted here but this paper may have something to say about why deep small value funds like BOSVX, BOTSX, and RZV have fallen so hard (they buy a lot of lousy companies that go out of business).

https://scholar.harvard.edu/files/campb ... jf2008.pdf
by Jebediah
Tue Mar 24, 2020 11:00 am
Forum: US Chapters
Topic: [Archived] Bogleheads community discussion - Coronavirus
Replies: 4963
Views: 304284

Re: Bogleheads community discussion - Coronavirus

Has it been mentioned yet that Italy has inflected? Three days in a row of fewer daily cases. Two weeks from lockdown.

So we need two weeks of intense lockdown followed by very gradual easing. Will require patience, commitment, discipline.

[Political comment removed by Moderator Misenplace]
by Jebediah
Sat Mar 21, 2020 8:04 pm
Forum: Investing - Theory, News & General
Topic: 'Black swan' & Alternative funds YTD & since the market high
Replies: 55
Views: 4647

Re: 'Black swan' & Alternative funds YTD & since the market high

Random Walker wrote: Wed Mar 18, 2020 8:35 am 305,
Your understanding of puts and options may be way ahead of mine. With regard to AVRPX, I’m pretty sure they use modest leverage. I vaguely remember a number like 1.2-1.5. And I think the diversification across asset classes is significant even though at times like this equities dominate. Also, just as with reinsurance where premiums harden after substantial losses, the expected return for variance risk premium rises substantially after volatility spikes. People willing to pay bigger premiums for volatility protection after spikes in volatility. Like I said, sounds like your understanding may well be greater than mine.

Dave
but doesn't it behoove you to understand when you're being ripped off?
by Jebediah
Sat Mar 21, 2020 7:22 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: [Small Cap Value heads Rejoice !!!]

There is a possibility that dedicated small value funds are likely to lose 80% or more of value in this drawdown, with possibility of no recovery for many years to come. Thus wiping out a generation of small value investors, before it becomes attractive to invest again. The current generation of SCV investors may get nothing for their pain, instead they may pave way for new SCV investors 30 years from now with their sacrifices. We may be only at half point so far for both the broad market and small value. Although since the broad market contains large companies that are well capitalized, are likely to be recipients of the stimulus package, and take part in the new initiatives to fight the pandemic, small value companies will simply go out ...
by Jebediah
Sat Mar 21, 2020 5:01 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623443

Re: [Small Cap Value heads Rejoice !!!]

Forester wrote: Sat Mar 21, 2020 1:10 pm Small & mid cap cheap, large cap expensive or middling

https://mebfaber.com/2020/03/21/stock- ... aluations/
cheap for a reason, and that reason is: going out of business.
by Jebediah
Sat Mar 21, 2020 12:36 pm
Forum: Personal Investments
Topic: One simple thing this 50 yo learned...
Replies: 61
Views: 10848

Re: One simple thing this 50 yo learned...

17outs wrote: Sat Mar 21, 2020 12:15 am
I'm fascinated that I have just recently learned about the strategy of treasuries vs TBM. Why is this not discussed more? Is this the equivalent of those that tilt to SCV but on the bond side? In other words I feel like the BH message is TSM and TBM, but it takes a bear market to realize maybe you needed Treasuries instead of the diversification of TBM.
TBM has lost 0% YTD. Intermediate treasury is up 5%. Seems like everything's working as intended.
by Jebediah
Sat Mar 21, 2020 12:13 pm
Forum: Personal Investments
Topic: One simple thing this 50 yo learned...
Replies: 61
Views: 10848

Re: One simple thing this 50 yo learned...

I've learned I need to be less aggressive. Being a 50 year old with an AA of 90/10 I must admit I am not handling this crash like I did in 2008-2009. Being closer to retirement changes how your gut handles these major downturns. I can, however, feel good that my wife and I decided to pay down a $100K mortgage in the last 23 months. Instead of investing that $100K like so many suggested, we attacked the mortgage with a passion. I will be mailing off a cashier's check today with the final $4K. These times will be easier to handle without a mortgage. excellent ! so easy to weather the storm with no mortgage and I wish more people preach this on this forum. In fact, more people than not on these forums preach the opposite - redirect excess fun...
by Jebediah
Fri Mar 20, 2020 12:32 pm
Forum: Personal Investments
Topic: Lock loss or ride the wave with 15 years to go?
Replies: 62
Views: 5211

Re: Lock loss or ride the wave with 15 years to go?

70% down seems to be within the realm of possibility in this situation.

Somebody check my math, but doesn't that require about a 230% gain to break even? That could take a very long time.

It's not really locking in a loss. Maybe those "gains" from the past two years weren't real. All that's real is the value of your account today and whether or not holding risky assets is required for your plan to work going forward.

In other words, if you were 100% cash today, would you want/need to buy stocks?
by Jebediah
Thu Mar 19, 2020 10:16 pm
Forum: Investing - Theory, News & General
Topic: Does anyone else think this is a once in a lifetime opportunity to buy treasuries?
Replies: 68
Views: 9873

Re: Does anyone else think this is a once in a lifetime opportunity to buy treasuries?

Today is the worst day in the history of the universe to buy these so-called "treasuries".

cool thread tho
by Jebediah
Thu Mar 19, 2020 3:26 pm
Forum: Investing - Theory, News & General
Topic: Bond Funds don't work in a crisis
Replies: 179
Views: 16883

Re: Bond Funds don't work in a crisis

PDX_Traveler wrote: Thu Mar 19, 2020 2:40 pm
Jebediah wrote: Thu Mar 19, 2020 12:40 pm
RonSwanson wrote: Thu Mar 19, 2020 12:34 pm
Jebediah wrote: Thu Mar 19, 2020 12:26 pm Vanguard Tax-Exempt Bond Fund (VTEB) is down 13% year to date.

AA rated (average), same as VBTLX, and shorter duration.

The title of this thread is correct.
VWIUX is down less. Maybe the ETF will eventually match?
"maybe" is the right word. that's the problem.
Would the ETF, VTEB be a tax loss harvesting TLH candidate then?
Totally. But you're betting that VTEB's NAV dislocation corrects itself vs gets worse.
by Jebediah
Thu Mar 19, 2020 12:42 pm
Forum: Personal Investments
Topic: Vanguard Muni Bonds Getting Hammered Today (3/18)
Replies: 36
Views: 3980

Re: Vanguard Muni Bonds Getting Hammered Today (3/18)

He isn't discussing NAV dislocation risk, just the relatively small amount of volatility from the commensurate credit risk.
by Jebediah
Thu Mar 19, 2020 12:40 pm
Forum: Investing - Theory, News & General
Topic: Bond Funds don't work in a crisis
Replies: 179
Views: 16883

Re: Bond Funds don't work in a crisis

RonSwanson wrote: Thu Mar 19, 2020 12:34 pm
Jebediah wrote: Thu Mar 19, 2020 12:26 pm Vanguard Tax-Exempt Bond Fund (VTEB) is down 13% year to date.

AA rated (average), same as VBTLX, and shorter duration.

The title of this thread is correct.
VWIUX is down less. Maybe the ETF will eventually match?
"maybe" is the right word. that's the problem.
by Jebediah
Thu Mar 19, 2020 12:26 pm
Forum: Investing - Theory, News & General
Topic: Bond Funds don't work in a crisis
Replies: 179
Views: 16883

Re: Bond Funds don't work in a crisis

Vanguard Tax-Exempt Bond Fund (VTEB) is down 13% year to date.

AA rated (average), same as VBTLX, and shorter duration.

The title of this thread is correct.
by Jebediah
Thu Mar 19, 2020 10:13 am
Forum: Personal Investments
Topic: Why is VTEB (Vanguard Tax Exempt Bond) getting hammered?
Replies: 19
Views: 2133

Re: Why is VTEB (Vanguard Tax Exempt Bond) getting hammered?

Kenkat wrote: Thu Mar 19, 2020 10:06 am People are willing to sell the ETF for less than the valuation of its underlying assets because they need to generate cash immediately. When things settle down this should eventually go away. It’s bad timing if you are looking to rebalance however.
Totally logical but I kind of find it difficult to believe. There's nobody out there, not a single hedge fund or bank or authorized participant that wants to pick up the freebie? They could arb it and still get out of their muni position if they're bearish on munis, I would think.