Who's the fairest of them all?

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Post by Robert T »

jeffyscott wrote:I wonder if that fund will close before the asset bloat gets to be a problem?

Looking forward to seeing how all these strategies have fared in 2010.
Berkowitz says he will close the fund when asset bloat becomes a problem. My sense is that it is becoming a problem. In the interview his 'best idea' seemed to be MBIA, then he said that it is a small company, and that the fund is restricted to owning up to about 9 percent of an insurance company. These factors combined with the size of assets in the Fairholme fund results in a relatively small holding (in the range of 1% of the fund - for one his 'best ideas').

Code: Select all

2010 YTD returns (%) according to M*

ETF                              -0.81
DFA TM                           -0.80
Total Market                     -2.00	

Cumming-Ackman-Lampert            7.79
Fairholme                         4.09
Dodge and Cox                    -2.04	

10 Month Moving Average           1.37
GMO Valuations/Forecast          -1.08
Inverted Yield Curve             -1.10

.
SP-diceman
Posts: 3968
Joined: Sun Oct 05, 2008 9:17 am

Post by SP-diceman »

Robert T wrote:
jeffyscott wrote:I wonder if that fund will close before the asset bloat gets to be a problem?

Looking forward to seeing how all these strategies have fared in 2010.
Berkowitz says he will close the fund when asset bloat becomes a problem. My sense is that it is becoming a problem. In the interview his 'best idea' seemed to be MBIA, then he said that it is a small company, and that the fund is restricted to owning up to about 9 percent of an insurance company. These factors combined with the size of assets in the Fairholme fund results in a relatively small holding (in the range of 1% of the fund - for one his 'best ideas').

Code: Select all

2010 YTD returns (%) according to M*

ETF                              -0.81
DFA TM                           -0.80
Total Market                     -2.00	

Cumming-Ackman-Lampert            7.79
Fairholme                         4.09
Dodge and Cox                    -2.04	

10 Month Moving Average           1.37
GMO Valuations/Forecast          -1.08
Inverted Yield Curve             -1.10

.
I thought it was a 16 month average?


Thanks
SP-diceman
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Post by Robert T »

SP-diceman wrote:I thought it was a 16 month average?
Yes it was. It changed to a 10 month moving average on 2/16/10 after further analysis. While the market portfolio still shows 16 months as the ‘optimal’ (backtested) time period (highest return, highest sharpe using the FF research data back to 1928), the 'optimal' (backtested) period for a value tilted portfolios has historically been shorter (closer to 10). And the 10 month period is also closer to the commonly used 200 day MA.

Robert
.
SP-diceman
Posts: 3968
Joined: Sun Oct 05, 2008 9:17 am

Post by SP-diceman »

Robert T wrote:
SP-diceman wrote:I thought it was a 16 month average?
Yes it was. It changed to a 10 month moving average on 2/16/10 after further analysis. While the market portfolio still shows 16 months as the ‘optimal’ (backtested) time period (highest return, highest sharpe using the FF research data back to 1928), the 'optimal' (backtested) period for a value tilted portfolios has historically been shorter (closer to 10). And the 10 month period is also closer to the commonly used 200 day MA.

Robert
.
Thats good, I actually like 10 better. (since its like the 200day)

Thanks
SP-diceman
bearcub
Posts: 1118
Joined: Sat Mar 08, 2008 6:54 am
Location: Twilight Zone

Post by bearcub »

I did like when Berkowitz stated that he hires people to try to talk him out of investing in something. However doesnt being 60 something % financials kind of make it almost something of a sector fund?
dbonnett
Posts: 726
Joined: Tue Jun 10, 2008 3:59 pm

Post by dbonnett »

Robert: Is there a large variance between 10-month and 24-month moving averages or is 10-month simply optimum for value tilt and 16-month optimum for a market portfolio? The 24-month moving average has always appealed to me as a buy and hold with a safety valve just before the market heads for a "deep" hole.
SP-diceman
Posts: 3968
Joined: Sun Oct 05, 2008 9:17 am

Post by SP-diceman »

dbonnett wrote:Robert: Is there a large variance between 10-month and 24-month moving averages or is 10-month simply optimum for value tilt and 16-month optimum for a market portfolio? The 24-month moving average has always appealed to me as a buy and hold with a safety valve just before the market heads for a "deep" hole.
10 seems to be popular because of the IVY Portfolio.
(and it matches the "old" 200 day average,
there are about 21 trading days in a month)


Thanks
SP-diceman
dbonnett
Posts: 726
Joined: Tue Jun 10, 2008 3:59 pm

Post by dbonnett »

If you look to trend following moving average as risk control, the longer time period has a definite appeal
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Post by Robert T »

dbonnett wrote:Robert: Is there a large variance between 10-month and 24-month moving averages or is 10-month simply optimum for value tilt and 16-month optimum for a market portfolio? The 24-month moving average has always appealed to me as a buy and hold with a safety valve just before the market heads for a "deep" hole.
FWIW - From my earlier analysis

Code: Select all


6/1928 to 12/2009
               
Annualized return (%)

               Market        Value-small cap
               Portfolio/    Portfolio/
               5yr T-Notes   5 yr T-Notes
                
100% equity       9.21        10.42 
10 month MA      11.07        13.13
16 month MA      11.31        12.37
24 month MA      10.43        11.89

16 month MA had highest Sharpe ratio for market portfolio, 10 month MA had highest Sharpe ratio for value-small cap tilted portfolio (with 0.2 size load and 0.4 value load).

Robert
.
dbonnett
Posts: 726
Joined: Tue Jun 10, 2008 3:59 pm

Post by dbonnett »

Tax liability more than wipes out any advantage, except in a non-taxed account. Probably wouldn't hurt to use highly tax inefficient funds since one would be paying taxes almost yearly as the result of selling yearly or every other year on average. However putting equity funds in tax deferred accounts seems to run contrary to conventional wisdom.
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Re: Who's the fairest of them all?

Post by Robert T »

.
FWIW - I see morningstar now has three year returns for the ETF and DFA Tax Managed portfolios.

3 year returns
ETF +13.6%
DFA TM +13.5%
.
gulliver
Posts: 94
Joined: Wed Aug 05, 2009 12:54 pm

Re: Who's the fairest of them all?

Post by gulliver »

Thanks, Robert T. Too bad smallhi's not around to challenge the data!

Interesting, too, unless I read the 3 year numbers wrong, to see that both portfolios spanked the heck out of FAIRX.

I've always been a closet fan of DFA, if only for their rigorous approach. But it does seem like the old DFA/ETF debate is becoming more and more of a push (when factoring expense ratios).
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Re: Who's the fairest of them all?

Post by Robert T »

.
A few more with 3 yr returns:

3 yr returns
ETF ....................................+11.07%
DFA ....................................+10.69%
10 month moving average ...........+9.65%
Total market ..........................+9.54%
Fairhome ...............................+8.76%
.
DP
Posts: 660
Joined: Thu Apr 17, 2008 5:19 pm

Re: Who's the fairest of them all?

Post by DP »

It would be useful if some measure of risk could be included as well, such as max drawdown or standard deviation. To me a 10% return with a 10% drawdown and 10% standard deviation is far superior to a 10% return with a 30% drawdown and a 20% standard deviation.

Don
SteveB3005
Posts: 1425
Joined: Mon Feb 19, 2007 8:29 pm

Re: Who's the fairest of them all?

Post by SteveB3005 »

gulliver wrote:Thanks, Robert T. Too bad smallhi's not around to challenge the data!
Maybe Boglehead members, Multifactor Advisor or A Devout Indexer will join in with their thoughts. Both have an amazingly similar take on value investing and portfolio construction as SmallHi, and seemingly much of the same data.

Thank you Robert T, always enjoy your well thought out posts and information.
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Re: Who's the fairest of them all?

Post by Robert T »

.
According to M*, here are the 2011 returns for the portfolios described in the OP, as well as a few more under each category (for interest all of which I set up in M*). Some of the portfolio have 3-year returns, also added to the table below. As a note - all portfolios have an expected average long-term bond allocation of 20 to 25 percent (this varies over time for the market timing portfolios). That's as closely as they match on risk profiles.
  • Image
Portfolios in M* http://socialize.morningstar.com/NewSoc ... &viewTab=6

So far, here are some emegring answers to the five questions in the OP. Still early days, but nevertheless interesting.
  • 1. Will a DFA portfolio (of similar expected tax efficiency) add 1 to 2% [to 3%] (in alpha) over the same (very similar) factor loaded ETF portfolio?

    The two portfolios with the same portfolio factor loads are the ETF and DFA TM portfolios. According to M* the three year returns are the same at 11.9 percent. So the answer to this question so far is no. FWIW the RAFI Fundamental and DFA Vector/Core portfolios have similar portfolio factor loads (but not as closely matching as the ETF and DFA TM portfolios).

    2. Is it possible to select a future “winning active management” fund following Swensen’s criteria (from his books)? [re: the Fairholme fund]

    Well Fairholme got clobbered in 2012. Still early days, but its now a steep hill to climb. So the answer to this question so far is no (time will tell). Just to note that two of the actively managed portfolios - Dodge and Cox, and IVA Worldwide performed fairly well over the last three years - but is still only 2 of the 5 activitely managed portfolios.

    3. Will a highly concentrated portfolio of the best “public equity” investment ideas of highly regarded “hedge fund” managers outperform?

    The highly concentrated 6 stock portfolio of highly regarded hedge fund managers "Cumming-Ackman-Lampert" aslo declined signficiantly in 2012, however there is no three year record yet.

    4. Will the commonly advocated moving average, inverted yield curve, or valuation based market timing schemes add value?

    Mixed results so far. The moving average portfolio's three year returns are similar to the market portfolio, the inverted yield curve portfolio three year returns are 2.4 percent higher (simply because of its higher stock allocation over this period).

    5. Will any of the above outperform a simple total market portfolio?

    Over the last three year period, the value tilted (index-type) portfolios had higher returns that the total market portfolio. But still early days.
Best for the New Year.

Robert
.
A Devout Indexer
Posts: 320
Joined: Sun Sep 04, 2011 11:11 am

Re: Who's the fairest of them all?

Post by A Devout Indexer »

Robert,

In early November, 2008, you made the following comment:
FWIW, yesterday I set-up the following portfolios in the M* tracker. They cover (i) some options available for a 60/40 one fund portfolio, or there abouts (each has about a 60:40 benchmark), (ii) a simple core/vector portfolio, and (iii) a component portfolio.

1. One Fund Portfolio: "60/40" Options from Vanguard, DFA, PIMCO, and GMO
2. Core/Vector Portfolio: with DFA funds
3. Component portfolio: with iShares, Bridgeway and Vanguard funds
By my estimate, the latter two portfolios have similar expected returns (using assumption that the DFA US and Intl vector funds both have a size and value load of 0.4 and 0.4 respectively, and the EM core size and value loads are 0.2 and 0.2 respectively).

Will leave them in the tracker, and check back in periodically to see how they are doing.

So, with about a 1.7% annualized difference over the last 3 years between the original portfolios designed to have similar expected returns, it appears like the answer to this question:
1. Will a DFA portfolio (of similar expected tax efficiency) add 1 to 2% [to 3%] (in alpha) over the same (very similar) factor loaded ETF portfolio?
...would be yes, with the caveat that 3 years is too short to mean anything.

Agree with all your other points.
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Re: Who's the fairest of them all?

Post by Robert T »

.
Devout Indexer,

There's a difference between comparing performane of portfolios with very similar factors loads across US, Intl, EM, & Fixed Income allocations, and portfolios with similar long-term 'expected returns' but different factor loads across US, Intl, EM & Fixed Income. The short-term performance comparions of the former will be more similar than the latter (as I inidicated in that earlier thread - "There will likely be annual 'tracking' error between the two portfolios given the differences in their size and value exposure"). So you are answering a different question to the one posed in the OP. FWIW since inception of the two portfolios in November 2008 - the repective returns have been ETF=13.00, DFA Vector/Core=13.68, so a 0.68 percent difference - so even if the question related to 'expected return' rather than 'factor loads' my answer would still be no so far.

Just two points on expected returns: (i) There is a difference in the accuracy in portfolio contruction between using actual estimated factor loads and assumed factor loads. The Vector/Core portfolio used assumed factor loads. Personally I have more faith in the accuracy of comparisons using estimated factor loads. And you had suggested in some of your earlier posts that the value load for vector may have been closer to 0.45 suggesting higher expected portfolio returns, and (ii) the Vector/Core portfolio also assumes the EM size and value premiums are the same as the US and Intl markets. As you had indicated in an earlier thread, these premiums are likely higher in EM leading to a higher expected return of the Vector/Core portfolio, so perhaps another weak assumption in the contruction of the portfolio (given these two factors, the standard errors in the factor loads, factor premiums, and expected returns of the Vector/Core portfolio are likely higher). Fair assessment?

The most accurate comparison (acutal estimated factor loads using the same time period estimates, very similar size and value loads individually in US, Intl, and EM allocations, and similar expected tax efficiency) is between the ETF and DFA TM portfolios re: my answer to the question so far.

Robert
.
ScottW
Posts: 165
Joined: Tue Mar 25, 2008 8:13 am

Re: Who's the fairest of them all?

Post by ScottW »

I'm jumping into this thread a little late, but since the RAFI portfolio seems to be the current winner, I thought I'd share some disturbing results I saw when I reviewed Schwab's October 2011 annual report for their RAFI index funds.

While their domestic funds' tracking error wasn't too egregious, Schwab's international offerings seemed to consistently underperform their corresponding RAFI indexes by about 2-3% per year over the periods measured. Even if RAFI funds do manage to outperform conventional indexes by 1-2% per year (as Arnott claims they should), it doesn't appear you'll see any of that extra return if you invest using Schwab funds. I did not look at the higher-expense PowerShares ETFs.

Code: Select all

         1-yr     3-yr    Inception
Large    -7.9     10.4    -4.3  Fund
         -6.0     12.3    -3.0  Index

Mid      -1.8     19.3     1.5  Fund
          0.4     22.6     4.0  Index

Emerging -11.0    20.2    -0.1  Fund
          -8.5    23.9     2.6  Index
User avatar
BlueEars
Posts: 3968
Joined: Fri Mar 09, 2007 11:15 pm
Location: West Coast

Re: Who's the fairest of them all?

Post by BlueEars »

Scott, which fund are you referring to for the International Mid? SFILX (Schwab Fundamental International Small/Mid Index) seems to have a different 3 yr performance (as of 1/11/12) according to M* . Also where do you get the index performance numbers?

I'm interested because I might want another International Midcap and SFILX looks decent.
ftobin
Posts: 1071
Joined: Fri Mar 20, 2009 3:28 pm

Re: Who's the fairest of them all?

Post by ftobin »

Les wrote:Scott, which fund are you referring to for the International Mid? SFILX (Schwab Fundamental International Small/Mid Index) seems to have a different 3 yr performance (as of 1/11/12) according to M* . Also where do you get the index performance numbers?

I'm interested because I might want another International Midcap and SFILX looks decent.
I see those numbers in the SFILX annual report (https://quote.morningstar.com/fund-fili ... bf621d892a)

I was looking them up to verify because I have holdings in all the Schwab international RAFI funds to help get get some international value tilt. If I did it over I'd probably use EFV instead of SFNNX (RAFI Large Int.), but capital gains prevent this. I wasn't aware of any good alternative for the Int. Small or Emerging RAFI funds in the international space at the time. Fortunately the expense ratios are fairly small.

The Powershares ETF versions did roughly the same as the Schwab funds over the past year, with the exception of the RAFI Int. Small, where PDN did significantly better than SFILX.
User avatar
BlueEars
Posts: 3968
Joined: Fri Mar 09, 2007 11:15 pm
Location: West Coast

Re: Who's the fairest of them all?

Post by BlueEars »

Hi Ftobin, thanks for the report link. For 3 year performance it shows that SFILX - index = 19.95 - 20.43 = 0.48%. Maybe this is due to the SFILX ER=0.54%.

I think that when I last looked at it, SFILX was more attractive to me then PDN because:
1) ER = 0.75% for PDN, and ER = 0.54% for SFILX
2) bid/ask spreads were wide for PDN (as I recall, probably due to small size of 61M assets)
3) my worries that intraday variations on an International Midcap ETF could get strange in wild markets.
ftobin
Posts: 1071
Joined: Fri Mar 20, 2009 3:28 pm

Re: Who's the fairest of them all?

Post by ftobin »

Les wrote:Hi Ftobin, thanks for the report link. For 3 year performance it shows that SFILX - index = 19.95 - 20.43 = 0.48%. Maybe this is due to the SFILX ER=0.54%.

I think that when I last looked at it, SFILX was more attractive to me then PDN because:
1) ER = 0.75% for PDN, and ER = 0.54% for SFILX
2) bid/ask spreads were wide for PDN (as I recall, probably due to small size of 61M assets)
3) my worries that intraday variations on an International Midcap ETF could get strange in wild markets.
I think you're looking at the returns for the Schwab RAFI US mid/small index (page 9), not the international (page 13).

Note that SFILX has a subsidy on its expense ratio; the gross expense ratio is 1.07%, net at 0.55%, according to the annual report. I have no expectation of the duration of the subsidy.

While you are simply holding PDN (or any ETF), volatility shouldn't effect you. It's only when you buy or sell shares that you have to tread more carefully.
User avatar
BlueEars
Posts: 3968
Joined: Fri Mar 09, 2007 11:15 pm
Location: West Coast

Re: Who's the fairest of them all?

Post by BlueEars »

ftobin wrote:...
I think you're looking at the returns for the Schwab RAFI US mid/small index (page 9), not the international (page 13).

Note that SFILX has a subsidy on its expense ratio; the gross expense ratio is 1.07%, net at 0.55%, according to the annual report. I have no expectation of the duration of the subsidy.

While you are simply holding PDN (or any ETF), volatility shouldn't effect you. It's only when you buy or sell shares that you have to tread more carefully.
Oops, you are right. The original data by Scott is correct.

For my purposes, there are no tax consequences for trading. So for an investor like me who will trade a little (but not excessively), the negatives for PDN vs SFILX still hold. Since all my investment money is in nontaxable or tax deferred accounts I don't worry about cap gains. Not the typical investor profile here.
A Devout Indexer
Posts: 320
Joined: Sun Sep 04, 2011 11:11 am

Re: Who's the fairest of them all?

Post by A Devout Indexer »

Robert T wrote:.
Devout Indexer,

There's a difference between comparing performane of portfolios with very similar factors loads across US, Intl, EM, & Fixed Income allocations, and portfolios with similar long-term 'expected returns' but different factor loads across US, Intl, EM & Fixed Income. The short-term performance comparions of the former will be more similar than the latter (as I inidicated in that earlier thread - "There will likely be annual 'tracking' error between the two portfolios given the differences in their size and value exposure"). So you are answering a different question to the one posed in the OP. FWIW since inception of the two portfolios in November 2008 - the repective returns have been ETF=13.00, DFA Vector/Core=13.68, so a 0.68 percent difference - so even if the question related to 'expected return' rather than 'factor loads' my answer would still be no so far.

Just two points on expected returns: (i) There is a difference in the accuracy in portfolio contruction between using actual estimated factor loads and assumed factor loads. The Vector/Core portfolio used assumed factor loads. Personally I have more faith in the accuracy of comparisons using estimated factor loads. And you had suggested in some of your earlier posts that the value load for vector may have been closer to 0.45 suggesting higher expected portfolio returns, and (ii) the Vector/Core portfolio also assumes the EM size and value premiums are the same as the US and Intl markets. As you had indicated in an earlier thread, these premiums are likely higher in EM leading to a higher expected return of the Vector/Core portfolio, so perhaps another weak assumption in the contruction of the portfolio (given these two factors, the standard errors in the factor loads, factor premiums, and expected returns of the Vector/Core portfolio are likely higher). Fair assessment?

The most accurate comparison (acutal estimated factor loads using the same time period estimates, very similar size and value loads individually in US, Intl, and EM allocations, and similar expected tax efficiency) is between the ETF and DFA TM portfolios re: my answer to the question so far.

Robert
.
Robert,

In the 3 years since 12/08 (latest update on factors), HmL has been negative in every region of the world, so that wouldn't have meant anything. Further, despite your fear of a mismatched factor allocation between US Vector and the US ETF mix, I show 3 year #s (size/value) of 0.56/0.28 for the ETF and 0.57/0.26 for Vector--as close as close gets.

Seemingly, the only standout difference between the Vector/ETF mix is a duration mismatch between bond strategies (3-7yr t-note has greater term risk than 5YR Global), which certainly helped the ETF mix given that TERM was +9.3% per year over this period. Surprising, actually, that the DFA mix was ahead by ~1-2% depending on the time period given the 'term tailwind'.

To correct for this, I swapped 5YR Global for Int'd Govt in the Vector mix, and then compared this allocation rebalanced monthly to the ETF mix you came up with (using live data for BRSIX and IEI and index returns for MV, SV, ILV, ISC, and EM for ease of access) for the 3 years through November as I wait for Dec data. I came up with +15.6% for the Vector mix and +14.0% for the index data (probably 0.2% or so less net of ETF fees). So that 1-2% seems to hold over this period.

Both good portfolios, of course.
ilmartello
Posts: 1075
Joined: Sun Nov 06, 2011 5:59 pm

Re: Who's the fairest of them all?

Post by ilmartello »

why no gno 3 yr
ScottW
Posts: 165
Joined: Tue Mar 25, 2008 8:13 am

Re: Who's the fairest of them all?

Post by ScottW »

I personally wouldn't invest in PowerShares because I think they're too expensive and I don't have a great deal of confidence (respect?) for them as a company.

As for Schwab's funds, ftobin is correct that their RAFI funds are being subsidized, but I believe that Schwab capped the expense ratios when they merged the share classes a year or so ago (they used to have two or three classes for each fund). The prospectus states that they've agree to limit the expenses "so long as the investment adviser serves as the adviser to the fund. This agreement may only be amended or terminated with the approval of the fund’s Board of Trustees." In theory the cap can be lifted to allow the expenses to rise, but it sounds like they intend to keep the expenses capped--it's not the typical "teaser" rate you see companies offer on occasion to sucker in new investors.

I've considered using RAFI in the past for my international large value exposure, but the products currently available haven't filled me with confidence, and as a result I've stuck with EFV. I'm not sure why the tracking error for these funds is so large. I understand that international stocks are more expensive to buy, so maybe that accounts for some of the difference. The large cap fund (which would be the least expensive to manage) has the lowest tracking error, while the small and emerging markets (both more expensive) has the worst. Still, other companies like Vanguard and iShares don't seem to have this much trouble with tracking error for more generic blend funds. Maybe the portfolio managers aren't that good at their jobs?
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Re: Who's the fairest of them all?

Post by Robert T »

A Devout Indexer wrote:.. factor allocation between US Vector and the US ETF mix, I show 3 year #s (size/value) of 0.56/0.28 for the ETF and 0.57/0.26 for Vector--as close as close gets.
3 year returns to end December 2011: US ETF mix = 17.1%, US Vector = 15.6%.

The Intl. small cap premium over this period has been large: e.g. iShares EAFE value = 5.5%, iShares EAFE small = 14.0%. Intl. Vector has a larger small cap tilt than the Intl ETF mix. The EM small cap premium has also been large: e.g. DFA EM = 20.0%, DFA EM Small = 26.2%, DFA EM Core has a larger small cap tilt than Vanguard EM. So the significant difference in size exposure in intl and EM markets in the DFA portfolio led to higher returns over the three years to end December 2011 (due to factor exposure differences).

Robert
.
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Re: Who's the fairest of them all?

Post by Robert T »

ilmartello wrote:why no gno 3 yr
The portfolio was only set up in M* two years ago. The prior year (2009) returns are shown in the OP - which would give the GMO portfolio a 15.7 percent three year annualized return - but I just reported the numbers from M* in the earlier table.

Robert
.
Post Reply