Search found 534 matches

by Lauretta
Thu Apr 19, 2018 2:50 pm
Forum: Investing - Theory, News & General
Topic: (Video) CAPE Fear: Why CAPE Naysayers are Wrong
Replies: 6
Views: 881

Re: (Video) CAPE Fear: Why CAPE Naysayers are Wrong

10.00-10.40 (still global) CAPE has mean reverted at pace of full reversion in 10 years The regression line for CAPE vs 10 year future return has a slope that varies by country, and typically shows about a .1% lower return per year for a 1% increase in CAPE. Some of that lower return is caused by l...
by Lauretta
Thu Apr 19, 2018 6:22 am
Forum: Investing - Theory, News & General
Topic: The portfolio currency-hedging decision
Replies: 4
Views: 268

Re: The portfolio currency-hedging decision

Hi. I've been reading the recent Vanguard paper The portfolio currency-hedging decision, by objective and block by block , and I'm not sure what "currency trailing returns" means. It's Figure 1 on page three. Can you please explain in more detail? Thank you. fig 1 means that if you invest for 10 yr...
by Lauretta
Tue Apr 17, 2018 7:40 pm
Forum: Investing - Theory, News & General
Topic: CAPE mean reversion: country specific or to the global average?
Replies: 20
Views: 1168

Re: CAPE mean reversion: country specific or to the global average?

As noted above, valuations are not reliably mean reverting . Amen. It's puzzling why folks would think that there's a golden mean value at which stocks are destined to trade. I'm not aware of any economic or financial theory that would support this idea. Clearly, from the historical record, folks a...
by Lauretta
Tue Apr 17, 2018 5:15 am
Forum: Investing - Theory, News & General
Topic: CAPE mean reversion: country specific or to the global average?
Replies: 20
Views: 1168

CAPE mean reversion: country specific or to the global average?

This point has puzzled me for some time, and someone just raised a question related to it in another thread. When considering the CAPE of a country or of a set of countries (like EM), and assuming of course that you accept the idea of CAPE mean reversion, does it make more sense to you to think in t...
by Lauretta
Tue Apr 17, 2018 4:39 am
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

Are you familiar with Russia's historical CAPE, Lauretta? It's the mean a value investor might expect it to revert to, not some global average. That is a good point james, and one I have been giving some thought to. If you look at StarCapital's forecasts, they assume that CAPE will revert to the sa...
by Lauretta
Tue Apr 17, 2018 3:13 am
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

As mentioned above, Russia has a PE of 7, so you will earn $1/year for every $7 you invest in it. It will take 7 years to earn back your investment. Amazon has a PE of 314, so you will earn $1/year for every $314 you invest in it. It will take 314 years to earn back your investment. But there's no ...
by Lauretta
Tue Apr 17, 2018 2:05 am
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

Don't encourage us with sensible arguments like that. I posted [in] this thread originally so people would talk me out of a potentially risky investment choice. That said: 1) Are you using an Index type product, or active fund for investing in Russia? 2) What industries or companies are you encoura...
by Lauretta
Mon Apr 16, 2018 11:39 pm
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

Do you believe the earnings numbers though? If Russia overstates earnings by 2x on average, then the actual P/E would be 14, and it looks like less of a bargain. Ah ok I didn't think of that; seems like that would be very dishonest though (when I think of Russia I think of Tolstoy and he was a very...
by Lauretta
Mon Apr 16, 2018 10:27 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Exclude Emerging Markets
Replies: 30
Views: 2975

Re: Larry Swedroe: Don’t Exclude Emerging Markets

http://www.etf.com/sections/index-investor-corner/swedroe-dont-exclude-emerging-markets?nopaging=1 EM comprises about 1/8 of the world market cap. A 50% US / 50% Int investor might consider putting 25% of his international allocation in EM. Larry reviews some destructive investor behaviors in the p...
by Lauretta
Mon Apr 16, 2018 10:07 am
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

decisions based on tips and fads rather than on thoughtful, quantified evaluation of businesses ; Well investing in Russia is supported by a pretty simple quantitative argument as far as I understand : Russia has a CAPE of about 6 and a P/E of 7, so you will earn 1$/year for every 6-7 $ you invest ...
by Lauretta
Sun Apr 15, 2018 11:46 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Underestimate Buyback Power
Replies: 12
Views: 2324

Re: Larry Swedroe: Don’t Underestimate Buyback Power

For the moment I am wondering how this fits in with Jack Bogle's way of estimating future returs (somewhat related to the Gordon equation) which goes: Future Market Returns = Dividend Yield + Earnings Growth per Share +/- Change in P/E Ratio Any ideas/comments welcome Just to point out that if one ...
by Lauretta
Sun Apr 15, 2018 9:39 am
Forum: Investing - Theory, News & General
Topic: You, Too, Can Predict Stock Market Returns
Replies: 63
Views: 6851

Re: You, Too, Can Predict Stock Market Returns

In a recent thread on the equity premium, William Bernstein gently chided us for relying so much on historical data and reminded us of the simple formula for determining long-term expected equity returns — variously called the Gordon equation, the Gordon discounted dividend model or the constant gr...
by Lauretta
Sun Apr 15, 2018 9:35 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Underestimate Buyback Power
Replies: 12
Views: 2324

Re: Larry Swedroe: Don’t Underestimate Buyback Power

Interesting piece. Thank you for sharing (and Mr Swedroe for writing it). I am currently travelling and somewhat jet-lagged, but I hope to read the original paper by Straehl and Ibbotson soon. For the moment I am wondering how this fits in with Jack Bogle's way of estimating future returs (somewhat ...
by Lauretta
Fri Apr 13, 2018 4:25 am
Forum: Investing - Theory, News & General
Topic: Introduction to Treasury Inflation Protected Securities (TIPS)
Replies: 53
Views: 4626

Re: Introduction to Treasury Inflation Protected Securities (TIPS)

Thanks for sharing this excellent presentation! I found it very interesting also because since I live in the Eurozone I hadn't given much thought to inflation linked bonds before, partly because many of them are issued by Italy and so present some credit risk (if I remember correctly Valuethinker po...
by Lauretta
Thu Apr 12, 2018 11:15 am
Forum: Investing - Theory, News & General
Topic: Emerging markets tilt
Replies: 37
Views: 3039

Re: Emerging markets tilt

No tilt to EM per se. I have the market weight. But within EM, I am tilted to small caps. I also thought of buying EM small caps but according to Research Affiliates they are more expensive than EM large caps (the same is true according to RA for Europe, but not for US where SC seem slightly cheape...
by Lauretta
Wed Apr 11, 2018 11:43 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on CAPE: liked the article but disagree with the conclusions
Replies: 25
Views: 1333

Re: Larry Swedroe on CAPE: liked the article but disagree with the conclusions

My understanding is that the research showing that CAPE is inversly related to future returns not only in the US but in the the rest of the world too supports this strategy. One drawback is that for non-US stocks the data seems to go back only to the 70's (at least in the case of StarCapital). If w...
by Lauretta
Wed Apr 11, 2018 10:18 am
Forum: Investing - Theory, News & General
Topic: Factor Investing - A convincing article
Replies: 60
Views: 4865

Re: Factor Investing - A convincing article

Dottie57 wrote:
Wed Apr 11, 2018 10:08 am

What is DD?
drawdown
by Lauretta
Wed Apr 11, 2018 9:58 am
Forum: Investing - Theory, News & General
Topic: Factor Investing - A convincing article
Replies: 60
Views: 4865

Re: Factor Investing - A convincing article

One way to view the extra risk of value stocks is when they do poorly. Value stocks may get hit harder in a recession than safer growth stocks. The extra risk is the stock does poorly at the same time I lose my job: doing badly in bad times. Dave What would value stocks do worse in a recession? I w...
by Lauretta
Wed Apr 11, 2018 8:54 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on CAPE: liked the article but disagree with the conclusions
Replies: 25
Views: 1333

Re: Larry Swedroe on CAPE: liked the article but disagree with the conclusions

One thing to consider is that correlations among all stock asset classes began rising in the early to mid-2000s, and between about 2007 and 2011, correlations were about the highest they've been (~0.8-0.9) for most stock asset classes, including things like REITs which in the past had lower correla...
by Lauretta
Wed Apr 11, 2018 7:54 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on CAPE: liked the article but disagree with the conclusions
Replies: 25
Views: 1333

Re: Larry Swedroe on CAPE: liked the article but disagree with the conclusions

But there is another way of using valuations, and that is to tilt one's allocation in stocks towards those geographical regions (like EM, or Europe) with lower valuations, and then leave it with that tilt for a long time. There are a number of firms, like RA, GMO or StarCapital in Europe, that sugg...
by Lauretta
Wed Apr 11, 2018 7:23 am
Forum: Investing - Theory, News & General
Topic: Factor Investing - A convincing article
Replies: 60
Views: 4865

Re: Factor Investing - A convincing article

Random Walker wrote:
Wed Apr 11, 2018 7:14 am
One way to view the extra risk of value stocks is when they do poorly. Value stocks may get hit harder in a recession than safer growth stocks. The extra risk is the stock does poorly at the same time I lose my job: doing badly in bad times.

Dave
Thanks Dave, that's an interesting point.
by Lauretta
Wed Apr 11, 2018 7:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on CAPE: liked the article but disagree with the conclusions
Replies: 25
Views: 1333

Re: Larry Swedroe on CAPE: liked the article but disagree with the conclusions

But I do use valuations to allocate among risky asset classes. Not sure there is any good research on this. thanks for your feedback. My understanding is that the research showing that CAPE is inversly related to future returns not only in the US but in the the rest of the world too supports this s...
by Lauretta
Wed Apr 11, 2018 6:03 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on CAPE: liked the article but disagree with the conclusions
Replies: 25
Views: 1333

Larry Swedroe on CAPE: liked the article but disagree with the conclusions

I found a good article on CAPE by Larry Swedroe: https://www.advisorperspectives.com/articles/2018/04/02/beware-of-the-misinterpretations-of-the-cape-ratio It describes how a high CAPE implies that expected returns should be lower, but also explains some limitations of CAPE (I liked for example the ...
by Lauretta
Wed Apr 11, 2018 4:58 am
Forum: Investing - Theory, News & General
Topic: Factor Investing - A convincing article
Replies: 60
Views: 4865

Re: Factor Investing - A convincing article

I understand the argument that when a smart beta strategy gets crowded, prices increase and thus future returns are likely to be lower, though I am not sure how it can apply to the value strategy, since by definition the strategy regularly invests in the cheapest stocks. Mr Roth also rightly notes t...
by Lauretta
Wed Apr 11, 2018 2:28 am
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

So I am looking instead to understand if there are valid reasons for NOT overweighting EM or Italy and Spain. I haven't understood yet the reason why one should allocate following what the market does. As I mentioned in a post above for example, the Larry Swedroe portfolio too has nothing to do wit...
by Lauretta
Tue Apr 10, 2018 10:47 am
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

As you are asking the question and tend to argue with anyone who says you shouldn't, why don't you just buy some? I am not really arguing, I was just explaining my reasoning to Victoria. The main reason I asked the question in the OP is that I want to see what the intelligent arguments against this...
by Lauretta
Mon Apr 09, 2018 4:02 pm
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

The answer is always the same: What do you know that the market does not know? Victoria I don't think it's a question of smarter, the better question is: who is on the other side of the trade? Successful investing doesn't require a particularly high IQ, as Warren Bufffett notes. But you can't outpe...
by Lauretta
Mon Apr 09, 2018 3:34 pm
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

As you are asking the question and tend to argue with anyone who says you shouldn't, why don't you just buy some? I am not really arguing, I was just explaining my reasoning to Victoria. The main reason I asked the question in the OP is that I want to see what the intelligent arguments against this...
by Lauretta
Mon Apr 09, 2018 3:13 pm
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

The answer is always the same: What do you know that the market does not know? ...As you know value stocks over the long haul have generated higher returns than the market.... I don't think I "know" this, if you take risk into account and look at risk-adjusted return as measured by the Sharpe ratio...
by Lauretta
Mon Apr 09, 2018 1:28 pm
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

According to StarCapital it's the country with lowest CAPE and P/B ratio and thus with highest long time expected results. Today the index lost more than 10% in Euro terms. If one wants to tilt to value, do you think this is an opportunity to overweight Russia in one's AA? (and what maximal proport...
by Lauretta
Mon Apr 09, 2018 1:27 pm
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

According to StarCapital it's the country with lowest CAPE and P/B ratio and thus with highest long time expected results. Today the index lost more than 10% in Euro terms. If one wants to tilt to value, do you think this is an opportunity to overweight Russia in one's AA? (and what maximal proport...
by Lauretta
Mon Apr 09, 2018 1:17 pm
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

According to StarCapital it's the country with lowest CAPE and P/B ratio and thus with highest long time expected results. Today the index lost more than 10% in Euro terms. If one wants to tilt to value, do you think this is an opportunity to overweight Russia in one's AA? (and what maximal proport...
by Lauretta
Mon Apr 09, 2018 12:33 pm
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Re: Any value investor buying a Russia fund?

The answer is always the same: What do you know that the market does not know? As you know value stocks over the long haul have generated higher returns than the market. Research (e.g. by Research Affiliates or StarCapital) seems to show that this is the case also when you compare whole countries a...
by Lauretta
Mon Apr 09, 2018 11:31 am
Forum: Investing - Theory, News & General
Topic: Any value investor buying a Russia fund?
Replies: 78
Views: 4390

Any value investor buying a Russia fund?

According to StarCapital it's the country with lowest CAPE and P/B ratio and thus with highest long time expected results. Today the index lost more than 10% in Euro terms. If one wants to tilt to value, do you think this is an opportunity to overweight Russia in one's AA? (and what maximal proporti...
by Lauretta
Sun Apr 08, 2018 12:49 pm
Forum: Investing - Theory, News & General
Topic: A simple question
Replies: 9
Views: 842

Re: A simple question

A guy I see frequently at the neighborhood's coffee shop works for an investment firm here locally. He tried to tell me I should let his firm manage my portfolio for me because they have more data points than an average investor does and they have proprietary software they use to analyze the data a...
by Lauretta
Sun Apr 08, 2018 11:33 am
Forum: Investing - Theory, News & General
Topic: A simple question
Replies: 9
Views: 842

Re: A simple question

A lot of endowments suffer low returns because they believe they have the same Swenson wisdom and access (not to mention Yale’s preferential fees). In practice, the Yale Model has been a curse. The Curse of the Yale Model My article was published in 2012. It has been updated by others who have foun...
by Lauretta
Sun Apr 08, 2018 11:12 am
Forum: Investing - Theory, News & General
Topic: Can Big Tech Stocks Grow Without Limits?
Replies: 38
Views: 2980

Re: Can Big Tech Stocks Grow Without Limits?

Eventually companies run out of new markets to compete in, when that happens companies tend to get into new businesses that they don't fully understand. Hence the Peter Lynch term "diworseification." Thanks for these interesting points. Yes I remember now reading the quote you mention in one of Lyn...
by Lauretta
Sun Apr 08, 2018 10:46 am
Forum: Investing - Theory, News & General
Topic: A simple question
Replies: 9
Views: 842

Re: A simple question

The question is quite simple. Assume an all index fund portfolio produces a $10,000 gain. The odds are 4 of 5 an active fund strategy will earn less, and a 1 in 5 you’ll earn more. The average amount of loss is greater than the average amount of gain. Should you use active funds? A Case for Index F...
by Lauretta
Sun Apr 08, 2018 10:28 am
Forum: Investing - Theory, News & General
Topic: Can Big Tech Stocks Grow Without Limits?
Replies: 38
Views: 2980

Re: Can Big Tech Stocks Grow Without Limits?

Eventually companies run out of new markets to compete in, when that happens companies tend to get into new businesses that they don't fully understand. Hence the Peter Lynch term "diworseification." Thanks for these interesting points. Yes I remember now reading the quote you mention in one of Lyn...
by Lauretta
Sun Apr 08, 2018 10:04 am
Forum: Investing - Theory, News & General
Topic: Can Big Tech Stocks Grow Without Limits?
Replies: 38
Views: 2980

Re: Can Big Tech Stocks Grow Without Limits?

IIt used to be that companies could exploite economies of scale until they became too big and hit diseconomies of scale, and which point their growth would become sub-par. I think - andI am not the only one - that there has been a secular change. Computers, internet, new management techniques, rapi...
by Lauretta
Sun Apr 08, 2018 9:48 am
Forum: Investing - Theory, News & General
Topic: Swedroe: Look Beyond 60/40 Portfolio
Replies: 237
Views: 14759

Re: Swedroe: Look Beyond 60/40 Portfolio

Beyond 50% would smack of market timing, and there could be logical reasons for a US investor to somewhat overweight US equity anyways. In the article he does specifically recommend increasing international exposure. He also recommends increased tilt to size and value. As far as I understand overwe...
by Lauretta
Sun Apr 08, 2018 9:17 am
Forum: Investing - Theory, News & General
Topic: 96 percent of stocks are no better then TBills
Replies: 29
Views: 6749

Re: 96 percent of stocks are no better then TBills

Interestingly, in this WSJ article, active fund manager J Anderson (who also manages Vanguard International Growth fund) uses Bessembinder's finding to argue in favour of his own active management style, which consists in holding over the very long haul the companies with the highest growth rate: ht...
by Lauretta
Sun Apr 08, 2018 2:39 am
Forum: Investing - Theory, News & General
Topic: Can Big Tech Stocks Grow Without Limits?
Replies: 38
Views: 2980

Re: Can Big Tech Stocks Grow Without Limits?

There is definitely a limit to the growth of companies simply based on mathematics and the fact that they operate with limits such as the population of the earth. Ah, that's the difference between STEM types and economics/business/finance types. People on the STEM side tend to believe that there mu...
by Lauretta
Sun Apr 08, 2018 12:49 am
Forum: Investing - Theory, News & General
Topic: Swedroe: Look Beyond 60/40 Portfolio
Replies: 237
Views: 14759

Re: Swedroe: Look Beyond 60/40 Portfolio

It’s important to note that valuations are at historically high levels and bond yields are at historically low levels. But that is not a clarion cry to try and time the market. Why not? There's little opportunity cost to wait in cash for more attractive opportunities. I am not sure I wholly agree, ...
by Lauretta
Sat Apr 07, 2018 11:03 am
Forum: Investing - Theory, News & General
Topic: Can Big Tech Stocks Grow Without Limits?
Replies: 38
Views: 2980

Can Big Tech Stocks Grow Without Limits?

Interesting article in the WSJ https://blogs.wsj.com/moneybeat/2018/04/06/can-big-tech-stocks-grow-without-limits/ Will value stocks reassert themselves or is this time different and tech stocks will continue to grow to the sky? I very much feel at home with the ideas behind value investing, but thi...
by Lauretta
Mon Mar 26, 2018 8:56 am
Forum: Investing - Theory, News & General
Topic: DFA Funds Direct Access w/o Advisor ? John Hancock
Replies: 15
Views: 1969

Re: DFA Funds Direct Access w/o Advisor ? John Hancock

UK investor. Been following the Dimensional brand for many years. Looking at the relative records of multi asset Dimensional funds and Vanguard funds available to UK investors over the last 5 years, they are virtually identical. Therefore I find it difficult to justify the 0.5% additional fee to ac...
by Lauretta
Mon Mar 26, 2018 7:23 am
Forum: Investing - Theory, News & General
Topic: Market valuations: CAPE vs the FED model (used by Buffett)
Replies: 19
Views: 1793

Re: Market valuations: CAPE vs the FED model (used by Buffett)

One of the big criticisms of the Fed model is its lack of theorical basis. A seems to follow B, or maybe B follows A? I am not sure what you mean by A and B :confused if you mean whether bond yields follow E/P or viceversa; apparently it's stock valuations that have been found empirically to follow...
by Lauretta
Sun Mar 25, 2018 12:45 pm
Forum: Investing - Theory, News & General
Topic: Market valuations: CAPE vs the FED model (used by Buffett)
Replies: 19
Views: 1793

Re: Market valuations: CAPE vs the FED model (used by Buffett)

I am strong believer of Fed model. That is how I remain high equity allocation this year. The textbook model uses forward market (like S&P 500) earning yield vs 10 yr treasury yield. Thanks for your feedback. One objection that I saw yesterday in a video by RA (I also mentioned something similar in...
by Lauretta
Sat Mar 24, 2018 11:22 pm
Forum: Investing - Theory, News & General
Topic: Invests money, 3 days later the market tanks.
Replies: 58
Views: 7091

Re: Invests money, 3 days later the market tanks.

I invested $6500 on 3-20-18. Then the next day Jerome Powell raises interest rates. The stock market tanks on 3-23-18 and I lose $3,500. If I had known the exact date the FEDS were going to raise interest rates I would not have invested. I read and stay abreast of financial news and I did not see t...
by Lauretta
Sat Mar 24, 2018 2:23 pm
Forum: Investing - Theory, News & General
Topic: Market valuations: CAPE vs the FED model (used by Buffett)
Replies: 19
Views: 1793

Re: Market valuations: CAPE vs the FED model (used by Buffett)

But I nonetheless pay attention to Tobin's Q (if not fully trusting the numbers) and thus Price-to-Book. Since you mention Tobin Q I saw on the interesting video below that based on it EMs are at the highest discount (-60%) relative to US (based on CAPE they are 'only' at a -55% discount): https://...