Search found 1133 matches

by Random Walker
Fri Jul 22, 2016 8:09 pm
Forum: Investing - Theory, News & General
Topic: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?
Replies: 15
Views: 938

Re: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?

Hi Lack_ey,
Where do you fall in the Kool aid spectrum? I've evolved from a pure total markets all VG guy proud of lowest ER to a slicer/dicer, and on to an outright factor junkie.

Dave
by Random Walker
Thu Jul 21, 2016 2:01 pm
Forum: Investing - Theory, News & General
Topic: Another look at corporate bonds
Replies: 192
Views: 11012

Re: Another look at corporate bonds

Oops, looks like I'd better go read lack_ey's prior post. For that matter, I should have read Larry's article first! :-)

Dave
by Random Walker
Thu Jul 21, 2016 1:59 pm
Forum: Investing - Theory, News & General
Topic: Another look at corporate bonds
Replies: 192
Views: 11012

Re: Another look at corporate bonds

Kevin, Great informative post above. Your post doesn't say it explicitly, but I'm guessing that the correlations between investment grade corporate and equity and high yield and equity increased at the wrong times. I bet the worst year draw down for high yield was also in a real bad equity year. The...
by Random Walker
Tue Jul 19, 2016 10:37 am
Forum: Investing - Theory, News & General
Topic: Stock Valuations — Is the U.S. Market Now the Global Growth Index?
Replies: 28
Views: 2348

Re: Stock Valuations — Is the U.S. Market Now the Global Growth Index?

Vwgrrc, EM comprises 25% of my Int allocation. I think that approximates the global weights as well. To be clear, I don't consider myself market timing. This is a likely once in a lifetime AA adjustment that I'm making as life circumstance has changed, I've gained experience regarding risk tolerance...
by Random Walker
Mon Jul 18, 2016 11:09 pm
Forum: Investing - Theory, News & General
Topic: Stock Valuations — Is the U.S. Market Now the Global Growth Index?
Replies: 28
Views: 2348

Re: Stock Valuations — Is the U.S. Market Now the Global Growth Index?

I agree with the OP that this difference in valuations is worth taking note of. I'm not much of a market timer, but given the fact that the worldwide market cap is about 50% US and 50% International, and the fact that most of us underweight international relative to the world market cap in our portf...
by Random Walker
Thu Jul 14, 2016 10:20 pm
Forum: Investing - Theory, News & General
Topic: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?
Replies: 15
Views: 938

Re: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?

The goal is to generate returns through factors other than market beta in the presence of leverage. For QSPIX the factors are value, momentum, carry, defensive.

Dave
by Random Walker
Thu Jul 14, 2016 10:00 pm
Forum: Investing - Theory, News & General
Topic: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?
Replies: 15
Views: 938

Re: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?

Gor,
Eager to hear how those readings influence your thoughts on the long/short funds. It's not how a fund behaves in isolation as much as it is how it affects portfolio behavior.



Dave
by Random Walker
Wed Jul 13, 2016 11:01 pm
Forum: Investing - Theory, News & General
Topic: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?
Replies: 15
Views: 938

Re: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?

GOR, I'm now going to speak more generally about the philosophy that led me to make a small allocation to such an expensive fund. All that matters is the behavior of the portfolio as a whole. Portfolio volatility is a killer. If one invests in a single fund and loses 50%, he has to then make 100% to...
by Random Walker
Wed Jul 13, 2016 10:37 pm
Forum: Investing - Theory, News & General
Topic: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?
Replies: 15
Views: 938

Re: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?

GOR, QSPIX and QSPRX I think are likely just different share classes of the same fund. I arrived at 6% sort of backwards. I have 10% allocated to alternative stuff. Of that stuff, 2.5% is US REITs and 1.5% Int REITs. That leaves 6% for QSPIX. The cost is high, so I wanted to keep the allocation mode...
by Random Walker
Wed Jul 13, 2016 8:27 pm
Forum: Investing - Theory, News & General
Topic: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?
Replies: 15
Views: 938

Re: What is the purpose of a Long/Short Equity Fund fund like AQR QLERX?

I think I can give you a bit of an answer, although I am not specifically familiar with QLERX. The academic literature has identified a number of factors as drivers of equity returns. Some are risk factors, some are persistent behavioral anomalies that don't seem to be arbitraged away, some are a co...
by Random Walker
Mon Jul 11, 2016 8:23 am
Forum: Investing - Theory, News & General
Topic: How Much To Tilt To Small Value?
Replies: 48
Views: 4567

Re: How Much To Tilt To Small Value?

When choosing to tilt to small value, at least part of the purpose should be to diversify across independent risk factors. Thus one wants a fund with heavy factor loadings so that one exposes themselves to small and value with relatively less increased exposure to the market factor. Some funds do th...
by Random Walker
Fri Jul 08, 2016 6:49 pm
Forum: Investing - Theory, News & General
Topic: S+P 500 is not very diversified
Replies: 77
Views: 5376

Re: S+P 500 is not very diversified

Yes my comments are different from OP. I'm looking from a portfolio efficiency viewpoint with the OP's potential portfolio being exclusively S&P 500. Just pointing out that there are at least several ways to view diversification.

Dave
by Random Walker
Fri Jul 08, 2016 6:00 pm
Forum: Investing - Theory, News & General
Topic: S+P 500 is not very diversified
Replies: 77
Views: 5376

Re: S+P 500 is not very diversified

I agree with azanon, It's worse than proposed by the OP. S&P 500 is effectively a large growth index. It is not diversified across risk factors / sources of return: size, value, geography. But is an excellent starting point or foundation for a portfolio. Extremely cheap source of exposure to bet...
by Random Walker
Mon Jul 04, 2016 2:05 pm
Forum: Investing - Theory, News & General
Topic: Devil's Advocate for not significantly changing my International Allocation
Replies: 39
Views: 3059

Re: Devil's Advocate for not significantly changing my International Allocation

Mr wheelerdealer, One more thought. Everyone on this board discusses tilting towards value because total market indices are effectively growth indices. At this time investing in US can be considered more growth and international more value. Being a US (growth) investor could be a rational choice. Gr...
by Random Walker
Sun Jul 03, 2016 8:39 pm
Forum: Investing - Theory, News & General
Topic: Devil's Advocate for not significantly changing my International Allocation
Replies: 39
Views: 3059

Re: Devil's Advocate for not significantly changing my International Allocation

Mr wheelerdealer, Yes the foreign stocks are cheaper for a reason. But your response indicates to me that you are looking at asset classes, in this case international, in isolation. What matters is how an asset class mixes with the rest of the portfolio. How an asset class contributes to a portfolio...
by Random Walker
Sun Jul 03, 2016 1:54 pm
Forum: Investing - Theory, News & General
Topic: Devil's Advocate for not significantly changing my International Allocation
Replies: 39
Views: 3059

Re: Devil's Advocate for not significantly changing my International Allocation

Mr wheelerdealer, All your concerns regarding international exposure are already priced into the values of the equities. The market prices risk. For all the reasons you describe, valuations may be lower and thus expected returns higher than in the US. Currently the P/E ratio of US market substantial...
by Random Walker
Sat Jul 02, 2016 9:35 am
Forum: Investing - Theory, News & General
Topic: Bond Diversification w/ Slice & Dice
Replies: 11
Views: 1250

Re: Bond Diversification w/ Slice & Dice

The best way to minimize correlation with equities is to keep quality high and term short. As far as taxes, seems to me one either chooses treasuries in tax deferred or highest quality munis in taxable.

Dave
by Random Walker
Tue Jun 28, 2016 3:49 pm
Forum: Investing - Theory, News & General
Topic: Tax Loss Harvesting
Replies: 5
Views: 412

Re: Tax Loss Harvesting

The big benefit of TLH is that you use the losses to offset the gains when you liquidate the taxable savings far down the road. You end up delaying a tax and effectively getting an interest free loan from the government. The 3K offset to ordinary income in the current year is nice too.

Dave
by Random Walker
Mon Jun 27, 2016 8:52 am
Forum: Investing - Theory, News & General
Topic: Bond Diversification w/ Slice & Dice
Replies: 11
Views: 1250

Re: Bond Diversification w/ Slice & Dice

Probably not too much Boglehead info on slicing and dicing bonds. As someone above said, moving away from high quality short increases risk. Most Bogleheads I think believe in taking the risk on the equity side and using bonds for risk dampening volatility.

Dave
by Random Walker
Sat Jun 18, 2016 4:10 pm
Forum: Investing - Theory, News & General
Topic: For long-term investing, why is diversification a good thing?
Replies: 24
Views: 2128

Re: For long-term investing, why is diversification a good thing?

1. Long run irrelevant if can't survive short run

2. More efficient portfolio diversified across geography and sources of return more likely to have compounded return closer to average annual return of portfolio components; less likely to be killed by volatility.

Dave
by Random Walker
Fri Jun 17, 2016 1:14 pm
Forum: Investing - Theory, News & General
Topic: Classic Bernstein 10 — Economic Growth and Stock Dilution
Replies: 17
Views: 1532

Re: Classic Bernstein 10 — Economic Growth & Stock Prices

People seem to overpay for growth, whether it's at the individual stock level or at the country level.

Dave
by Random Walker
Sun Jun 12, 2016 10:12 pm
Forum: Investing - Theory, News & General
Topic: Tax Loss Harvesting Literature
Replies: 6
Views: 470

Re: Tax Loss Harvesting Literature

Look up a couple papers written by Belkin and Arnott. I think conclusion is that TLH done right can add 0.5-0.7% per year. Here's one of them.

https://www.firstquadrant.com/system/fi ... vestor.pdf

Dave
by Random Walker
Sat Jun 11, 2016 10:06 am
Forum: Investing - Theory, News & General
Topic: Any thoughts on this? [Why advisors don't like target funds]
Replies: 29
Views: 4242

Re: Any thoughts on this? [Why advisors don't like target funds]

NM Jack, I completely agree with your concerns over market timing. My point is that while no one can time the market, each one of us is the expert on timing our own lives. Knowing all the relevant life factors, financial goals, health, changes to expected retirement, changes to wants and needs, etc,...
by Random Walker
Sat Jun 11, 2016 9:54 am
Forum: Investing - Theory, News & General
Topic: Time horizons and investor discipline i
Replies: 7
Views: 777

Re: Time horizons and investor discipline i

Thanks for a great article Larry, and looking forward to your new book. Seems to me that it is meaningful to look at both longer and shorter time periods. While long time periods dating back to the 1960's helps establish the persistence of factors, what matters to us now is whether they persist afte...
by Random Walker
Wed Jun 08, 2016 8:03 am
Forum: Investing - Theory, News & General
Topic: Unnecessary risk for the sake of unnecessary diversification
Replies: 54
Views: 3812

Re: Unnecessary risk for the sake of unnecessary diversification

If you're totally content with high quality bonds alone, hard to argue with that! But, I think a small dose of stocks added to an all bond portfolio would increase portfolio efficiency a lot! Look up writings by William Bernstein or Larry Swedroe where they look at different stock bond combinations....
by Random Walker
Fri Jun 03, 2016 5:39 pm
Forum: Investing - Theory, News & General
Topic: "6 Reasons The Rich Should Pay-Off Their Mortgage"
Replies: 76
Views: 9756

Re: "6 Reasons The Rich Should Pay-Off Their Mortgage"

For me, there was a huge benefit I discovered after I did it. I found that having a paid off mortgage helped add psychological strength and conviction to stick to my fairly aggressive AA.

Dave
by Random Walker
Tue May 31, 2016 12:30 pm
Forum: Investing - Theory, News & General
Topic: This Bull Seems to be Getting Pretty Long In the Tooth
Replies: 76
Views: 7234

Re: This Bull Seems to be Getting Pretty Long In the Tooth

Vitaflow, There's an excellent book called Value Averaging by Michael Edelson that pretty much describes what you are describing. It is oriented towards allocating a lump sum, but I think it can be adapted to accumulation phase as well. William Bernstein is a big fan of the author and the book. Dave
by Random Walker
Tue May 31, 2016 11:08 am
Forum: Investing - Theory, News & General
Topic: This Bull Seems to be Getting Pretty Long In the Tooth
Replies: 76
Views: 7234

Re: This Bull Seems to be Getting Pretty Long In the Tooth

We definitely cannot time markets. We do eventually have to pay the long term capital gains tax, either sooner or later. The only thing us individual investors can control is our financial goals. I'm just commenting that after this strong run since 2008-9, many of us may be closer to our goals than ...
by Random Walker
Tue May 31, 2016 11:00 am
Forum: Investing - Theory, News & General
Topic: Tax considerations: Only an Asset Location decision??
Replies: 14
Views: 826

Re: Tax considerations: Only an Asset Location decision??

Sounds like several here understand how to calculate the tax hit better than me. My only comment is that the Vanguard Small Value fund does not have as small an average market cap or as large book to market as other funds in the small value category.

Dave
by Random Walker
Fri May 27, 2016 9:31 am
Forum: Investing - Theory, News & General
Topic: Tax considerations: Only an Asset Location decision??
Replies: 14
Views: 826

Re: Tax considerations: Only an Asset Location decision??

Hi, Yes, I think one needs to consider taxes in the design of the portfolio, especially if most of one's savings are in taxable accounts. Tilting to small and value are less tax efficient than TSM. So one may decide to avoid tilting for the sake of taxes, tilt less, or perhaps decide to use tax mana...
by Random Walker
Wed May 25, 2016 10:08 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 4078

Re: a new look at the size premium

An easy way to compare funds:
When evaluating the size and value loadings of a fund, a good start is just to look at the average book value and P/B of the funds

Dave
by Random Walker
Wed May 25, 2016 10:05 am
Forum: Investing - Theory, News & General
Topic: Can I just let my money compound now?
Replies: 51
Views: 6143

Re: Can I just let my money compound now?

I would say NO CHANCE! Even with excellent compounding you are facing big headwinds. First of all the effect of inflation and taxes will be way bigger than you think. Secondly, expected returns from today's generous valuations are modest. Lastly, given the terrible financial condition of the country...
by Random Walker
Wed May 25, 2016 9:59 am
Forum: Investing - Theory, News & General
Topic: This Bull Seems to be Getting Pretty Long In the Tooth
Replies: 76
Views: 7234

This Bull Seems to be Getting Pretty Long In the Tooth

Seems as though the S&P 500 has had a huge, nearly continuous, rise since 2008-9. Anyone getting weary? Anyone pondering taking some risk off the table and cooling off the AA? Anyone struggling with whether to pay a capital gains tax?

Dave
by Random Walker
Mon May 23, 2016 5:43 pm
Forum: Investing - Theory, News & General
Topic: Only 1/4 of stock held in taxable accounts
Replies: 13
Views: 1818

Re: Only 1/4 of stock held in taxable accounts

This certainly doesn't address the question raised, but it does bring up a topic that I think is very relevant here. Is the Boglehead population likewise 1/4 taxable and 3/4 tax advantaged? This is relevant for investors giving and taking advice on this board. Taxes could be a much larger cost for t...
by Random Walker
Sun May 22, 2016 9:25 pm
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 4078

Re: a new look at the size premium

Elbowman, It's hard to argue against lower costs, but it's important to realize that in choosing between a cheaper fund with less factor exposure and a more expensive fund with more concentrated factor exposure, one needs to realize both what he gets and doesn't get. In an effort to diversify across...
by Random Walker
Sat May 21, 2016 12:07 pm
Forum: Investing - Theory, News & General
Topic: Any thoughts on this? [Why advisors don't like target funds]
Replies: 29
Views: 4242

Re: Any thoughts on this? [Why advisors don't like target funds]

To continue afan's point, Target date funds have a glide path that is solely determined by dates. The market will do wild things over much shorter periods than the time to target date. There are times when huge market changes may warrant the individual to change allocation in a way different than th...
by Random Walker
Fri May 20, 2016 8:01 pm
Forum: Investing - Theory, News & General
Topic: Any thoughts on this? [Why advisors don't like target funds]
Replies: 29
Views: 4242

Re: Any thoughts on this? [Why advisors don't like target funds]

Taylor and Leonard, Agree with both of you. I think it's important to know the relevant issues an tradeoffs, then make decisions. Simplicity is wonderful, but important to appreciate the tradeoffs one may be making for simplicity sake. It's spectacular that some of the simplest portfolios are also t...
by Random Walker
Fri May 20, 2016 5:57 pm
Forum: Investing - Theory, News & General
Topic: Any thoughts on this? [Why advisors don't like target funds]
Replies: 29
Views: 4242

Re: Any thoughts on this? [Why advisors don't like target funds]

I believe one adverse feature of target date funds is that by definition the asset location is not optimized. Generally best to use tax advantaged space for bonds and taxable space for equities. Both bonds and equities in same fund means one is possibly not in optimal location.

Dave
by Random Walker
Wed May 18, 2016 10:06 am
Forum: Investing - Theory, News & General
Topic: Another Bernstein Gem-Don't be Greedy
Replies: 42
Views: 7643

Re: Another Bernstein Gem-Don't be Greedy

That Warren Buffet quote about the Long Term Capital Management guys really is poignant : "in an effort to make money they didn't need and didn't have, they risked money they did need and did have". Really makes me think hard about these pre retirement years. Bill Bernstein made another im...
by Random Walker
Wed May 18, 2016 8:42 am
Forum: Investing - Theory, News & General
Topic: Overconfident Investors, Predictable Returns, and Excessive Trading
Replies: 10
Views: 1523

Re: Overconfident Investors, Predictable Returns, and Excessive Trading

I first became interested in value investing about a decade ago because the risk story was so compelling. I then developed the Larry attitude that value is no free lunch, but there might be a free, behavioral based, stop at the dessert tray. Now, the more I read the bigger I feel the behavioral comp...
by Random Walker
Tue May 17, 2016 7:12 pm
Forum: Investing - Theory, News & General
Topic: Another Bernstein Gem-Don't be Greedy
Replies: 42
Views: 7643

Re: Another Bernstein Gem-Don't be Greedy

This thread is really critical for any of us in retirement or nearing retirement. William Bernsteins short E book The Ages of the Investor: A Critical Look at Lifecycle Investing is a must read. On top of that, I also think it's a must re-read! I just read a section where William writes that early i...
by Random Walker
Mon May 16, 2016 2:50 pm
Forum: Investing - Theory, News & General
Topic: The predictability (or not) of the value premium
Replies: 3
Views: 517

Re: The predictability (or not) of the value premium

This article is definitely a must read for any tilters out there who are questioning their strategy after last several years underperformance compared to TSM / S&P 500.

Dave
by Random Walker
Sat May 14, 2016 6:58 pm
Forum: Investing - Theory, News & General
Topic: How to treat a 2nd home or rental property in considering asset allocation?
Replies: 11
Views: 1190

Re: How to treat a 2nd home or rental property in considering asset allocation?

I consider it in net worth calculation, but it's seperate from the investable asset allocation. That being said, its presence does affect my asset allocation. I sort of consider it a Plan B reserve that I can sell in a disaster. Having the rental house has at times helped me stay put on a fairly agg...
by Random Walker
Sat May 14, 2016 10:40 am
Forum: Investing - Theory, News & General
Topic: A 401k after leaving a job...?
Replies: 7
Views: 852

Re: A 401k after leaving a job...?

Don't know specific rules, but I'm quite positive you want to roll it over into your own IRA rather than leave it in 401K: more control.

Dave
by Random Walker
Thu May 12, 2016 2:12 pm
Forum: Investing - Theory, News & General
Topic: "Keep your focus on fees."
Replies: 3
Views: 1324

Re: "Keep your focus on fees."

The ER is the most obvious cost in investing. But there are other costs (positive and negative) that are important yet harder to measure: efficient v inefficient trading, securities lending, bid/ask spreads, rebalancing costs, taxes. Taxes could be largest.

Dave
by Random Walker
Tue May 10, 2016 8:32 am
Forum: Investing - Theory, News & General
Topic: Classic Bernstein 2 — Choosing Portfolio Bond Duration
Replies: 42
Views: 6098

Re: Classic Bernstein 2 — Choosing Portfolio Bond Duration

I did not say that corporate bonds "equate" to equity risk. I'm not a financial pro, but I'm confident that there is a bit of equity type risk in corporates that increases as one goes down the quality spectrum. I think that specific loadings from the 5 factor model can be attributed to cor...
by Random Walker
Tue May 10, 2016 8:26 am
Forum: Investing - Theory, News & General
Topic: Classic Bernstein 5 — What’s a Thing Worth?
Replies: 11
Views: 2390

Re: Classic Bernstein 5 — What’s a Thing Worth?

The market prices risk; more risk, lower price, higher future expected returns. Less risk, higher price, lower expected returns.

Dave
by Random Walker
Sun May 08, 2016 9:37 pm
Forum: Investing - Theory, News & General
Topic: Another Bernstein Gem-Don't be Greedy
Replies: 42
Views: 7643

Re: Another Bernstein Gem-Don't be Greedy

I'm a big fan of considering all my assets as components of a single portfolio and managing it top down. That being said, I'm starting to appreciate the wisdom of something William Bernstein describes in his Investing for Adults series. He describes two separate portfolios for an individual: a Liabi...
by Random Walker
Sun May 08, 2016 7:54 pm
Forum: Investing - Theory, News & General
Topic: Classic Bernstein 2 — Choosing Portfolio Bond Duration
Replies: 42
Views: 6098

Re: Classic Bernstein 2 — Choosing Portfolio Bond Duration

I think it makes great sense to avoid corporates. As one goes down the quality spectrum, the bonds gain equity like characteristics. It's simply more efficient to take one's risk on the equity side.

Dave
by Random Walker
Sat May 07, 2016 7:51 pm
Forum: Investing - Theory, News & General
Topic: Classic Bernstein 3 — Diversifying Portfolio Equities
Replies: 15
Views: 2788

Re: Classic Bernstein 3 — Diversifying Portfolio Equities

Simplegift,
I certainly see where you're coming from. Personally, at this point I've diversified across all I know: size, value, momentum, profitability. But I have the real conviction for the ones with the most straightforward risk explanations: size and value.

Dave

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