Search found 1700 matches

by Random Walker
Wed Jun 21, 2017 8:40 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Equal Weighting Not So Magical
Replies: 3
Views: 710

Re: Larry Swedroe: Equal Weighting Not So Magical

In Lussier's book Successful Investing Is A Process, Lussier states that some of the excess return of an equal weight protocol could be attributed to better smoothing of price noise. He comments that all the diversification benefits of the S&P 500 can be obtained with 100 equally weighted securi...
by Random Walker
Wed Jun 21, 2017 12:22 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Equal Weighting Not So Magical
Replies: 3
Views: 710

Larry Swedroe: Equal Weighting Not So Magical

http://www.etf.com/sections/index-inves ... so-magical

Looks like equal weight funds just provide a little tilt to size and value. No real advantage over cap weighting when account for market beta, size factor, value factor loadings.

Dave
by Random Walker
Mon Jun 19, 2017 10:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: More Evidence Against Active
Replies: 5
Views: 1105

Re: Larry Swedroe: More Evidence Against Active

Invst65 and others who believe they've seen a change in Larry's perspective over time or contradictory beliefs on his part, I'm not Larry, but I've read a lot of his books, essays, and posts. I have found him to be tremendously consistent over time. He has seen an era when skill in investing was app...
by Random Walker
Mon Jun 19, 2017 1:42 pm
Forum: Investing - Theory, News & General
Topic: Why Wouldn't Everyone Customize His Own Glidepath?
Replies: 17
Views: 1609

Re: Why Wouldn't Everyone Customize His Own Glidepath?

A great read is William Bernstein's e-book The Ages of the Investor: A Critical Look At Life Cycle Investing. In the last chapter "The Mid Game", he recommends just such an adaptation.

Dave
by Random Walker
Mon Jun 19, 2017 10:26 am
Forum: Investing - Theory, News & General
Topic: Why Wouldn't Everyone Customize His Own Glidepath?
Replies: 17
Views: 1609

Re: Why Wouldn't Everyone Customize His Own Glidepath?

Yes, It's more about timing ones personal financial circumstance relative to financial goals and less about specifically timing the market. That being said, when valuations are generous, expected returns are modest and the potential for really bad negative returns increases. Ones current financial c...
by Random Walker
Mon Jun 19, 2017 9:56 am
Forum: Investing - Theory, News & General
Topic: Anyone else gotten totally bored with investing?
Replies: 88
Views: 7024

Re: Anyone else gotten totally bored with investing?

Rad audit,
Taste of my own medicine :-) I just posted that article in a separate thread about an hour ago :-)

Dave
by Random Walker
Mon Jun 19, 2017 9:53 am
Forum: Investing - Theory, News & General
Topic: Why Wouldn't Everyone Customize His Own Glidepath?
Replies: 17
Views: 1609

Re: Why Wouldn't Everyone Customize His Own Glidepath?

Rkhusky,
Sounds like you and I are in agreement.

Dave
by Random Walker
Mon Jun 19, 2017 9:28 am
Forum: Investing - Theory, News & General
Topic: Anyone else gotten totally bored with investing?
Replies: 88
Views: 7024

Re: Anyone else gotten totally bored with investing?

I'm the opposite of OP, I'm fascinated by the market. My portfolio has gotten more complex over time and I follow it closely. Through an advisor and funds with higher ERs, I pay more in fees. He may well do significantly better than me over a 30 year time period. I would be fascinated to see the com...
by Random Walker
Mon Jun 19, 2017 9:20 am
Forum: Investing - Theory, News & General
Topic: Why Wouldn't Everyone Customize His Own Glidepath?
Replies: 17
Views: 1609

Why Wouldn't Everyone Customize His Own Glidepath?

As we age and accumulate assets, most of us cool off our asset allocations over time. Many people use target date funds or follow their own age based stock/bond ratios. But why wouldn't a person make these changes in a fashion more customized to their individual circumstance and market conditions. I...
by Random Walker
Mon Jun 19, 2017 8:57 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: More Evidence Against Active
Replies: 5
Views: 1105

Larry Swedroe: More Evidence Against Active

http://www.etf.com/sections/index-inves ... nst-active

Results of a study performed by DFA. Emphasizes Bogle's "Costs Matter Hypothesis". Also emphasizes that taxes are frequently our greatest investing expense, not ER or trading costs.

Dave
by Random Walker
Sat Jun 17, 2017 6:49 pm
Forum: Investing - Theory, News & General
Topic: Use of options, leverage, and short sales
Replies: 2
Views: 296

Re: Use of options, leverage, and short sales

Many people buy and sell options as a form of volatility insurance. Volatility is way more often associated with down markets than up markets. I've recently learned that when people smarter than me look at option prices, the realized volatility is generally less than the volatility priced into the o...
by Random Walker
Sat Jun 17, 2017 5:07 pm
Forum: Investing - Theory, News & General
Topic: Use of options, leverage, and short sales
Replies: 2
Views: 296

Re: Use of options, leverage, and short sales

it seems the most efficient portfolios are portfolios closer to risk parity. If one wants to increase return on say a 50/50 portfolio, he could simply increase the % equities or take the same 50/50 portfolio and leverage it up. The leveraged portfolio will have the higher expected return for the sam...
by Random Walker
Fri Jun 16, 2017 4:49 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

Tomcat, Exactly! We don't know what the actual returns and volatilities of various portfolio components will be in the future. But we can make modest reasonable assumptions about returns based on valuations and historical Premia for different factors. With regard to volatilities of different asset c...
by Random Walker
Fri Jun 16, 2017 4:19 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

Tomcat, I only read the top quarter of your post before I wrote my response. The initial assumption about initial and final value didn't make sense because final value will depend on volatilitynalong the way. I think you clarified that several lines down in your post, so I may have been overly harsh...
by Random Walker
Fri Jun 16, 2017 3:11 pm
Forum: Investing - Theory, News & General
Topic: The two envelope problem and some thoughts on diversification, rebalancing, variance
Replies: 12
Views: 850

Re: The two envelope problem and some thoughts on diversification, rebalancing, variance

Psteinx,
Need to diversify across a lot more sources of return than market beta. When you extrapolate from one stock to TSM you are only diversifying single stock risk within exposure to one factor, market beta. Need to diversify across other sources of return.

Dave
by Random Walker
Fri Jun 16, 2017 3:05 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

TomCat, Yes you are wrong. If two portfolios have the same simple average return, but one achieves that return with more volatility, then the final end value of the portfolio with less volatility will be greater: it will have had a greater geometric return. So the problem with your objection A is th...
by Random Walker
Fri Jun 16, 2017 10:55 am
Forum: Investing - Theory, News & General
Topic: Wealthfront ignores own advice; adds Smart-Beta
Replies: 24
Views: 2352

Re: Wealthfront ignores own advice; adds Smart-Beta

With regard to Bogle and TSM investing, I can't help but feel he has a bit of a value tilt in his spirit. He certainly appreciates that valuations matter and I believe he has held on to VG Windsor for many decades. I realize he does it for sentimental value and he has huge capital gains, but nonethe...
by Random Walker
Fri Jun 16, 2017 10:44 am
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

Oicurvy provided a link to this excellent website. There's a lot of math, but if you breeze to the bottom of the page there is some very interesting stuff. There's a calculator one can use to see the effects of volatility on geo return, a graph showing how for a given average return geo return decre...
by Random Walker
Fri Jun 16, 2017 9:03 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Persistent Returns Remain Elusive
Replies: 15
Views: 2177

Larry Swedroe: Persistent Returns Remain Elusive

http://www.etf.com/sections/index-inves ... in-elusive

Larry reviews recent SPIVA scorecard showing that passive is the winning strategy

Dave
by Random Walker
Fri Jun 16, 2017 8:54 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Stocks, Bonds, & Risk
Replies: 61
Views: 4882

Re: Larry Swedroe: Stocks, Bonds, & Risk

I am a huge fan of Monte Carlo Simulation. With MCS one can evaluate different end points. For example, the asset allocation that maximizes expected mean terminal wealth might be less likely to achieve more realistic must have goals. One can use MCS to evaluate the effect of AA changes and changes i...
by Random Walker
Thu Jun 15, 2017 12:30 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Stocks, Bonds, & Risk
Replies: 61
Views: 4882

Re: Larry Swedroe: Stocks, Bonds, & Risk

Dbr, You and I are in agreement. I'm just pointing out that as years progress, the investor will anchor on his current investment value or maximum value, and that could drop at any time. In the present, the investor is not thinking about where he started. Rather, he is thinking about where he curren...
by Random Walker
Thu Jun 15, 2017 9:12 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Stocks, Bonds, & Risk
Replies: 61
Views: 4882

Re: Larry Swedroe: Stocks, Bonds, & Risk

Gilgamesh, That statement got my attention as well. I certainly think it is true that the longer the holding period, the more likely a positive outcome and the greater expected terminal wealth. But the dispersion of outcomes is way bigger! Moreover, we all tend to anchor on where we are now or what ...
by Random Walker
Thu Jun 15, 2017 9:06 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Stocks, Bonds, & Risk
Replies: 61
Views: 4882

Re: Larry Swedroe: Stocks, Bonds, & Risk

Nova1968, Did you know that a 60/40 portfolio has about 85-90% of its risk on the equity side? I too am a huge fan of passive investing and adhering to a plan. That being said, I wonder if you might be better off during this critical period in your financial life customizing your AA glidepath a bit ...
by Random Walker
Thu Jun 15, 2017 8:09 am
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

Simp = expected simple average return of portfolio Geo = expected geometric (compound) average return of portfolio We can look at the expected effect of different volatilities on two portfolios with same expected return. Geo1 = Simp1 - 1/2 SD1^2 Geo2 = Simp2 - 1/2 SD2^2 To see effect of changes in p...
by Random Walker
Thu Jun 15, 2017 7:55 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Stocks, Bonds, & Risk
Replies: 61
Views: 4882

Re: Larry Swedroe: Stocks, Bonds, & Risk

A big point of the article was the issue of alternative histories. Siegel's book and data is based on one sample, the U.S over one long 200 year period. Larry comments that the earlier data is perhaps sketchy and we really only have a good US sample of perhaps 90 years. The U.S. is the winner. I bel...
by Random Walker
Wed Jun 14, 2017 2:17 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Stocks, Bonds, & Risk
Replies: 61
Views: 4882

Re: Larry Swedroe: Stocks, Bonds, & Risk

I remember Bob Brinker long ago commenting that a 50/50 portfolio would make 80% of the gains that a 100% equity portfolio makes. I think this fits perfectly with my posts on volatility drag / portfolio efficiency.

Dave
by Random Walker
Wed Jun 14, 2017 1:58 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Persistence Of The Value Premium
Replies: 47
Views: 4752

Re: Larry Swedroe: Persistence Of The Value Premium

MindtheGAAP, I believe in both the small and value premia. But if you have to choose one over the other, I believe the value premium is more certain. Seems more people are convinced value is real while some question small. Part of the problem is in definitions: value is bottom 1/3 by BtM while small...
by Random Walker
Wed Jun 14, 2017 1:58 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Persistence Of The Value Premium
Replies: 47
Views: 4752

Re: Larry Swedroe: Persistence Of The Value Premium

MindtheGAAP, I believe in both the small and value premia. But if you have to choose one over the other, I believe the value premium is more certain. Seems more people are convinced value is real while some question small. Part of the problem is in definitions: value is bottom 1/3 by BtM while small...
by Random Walker
Wed Jun 14, 2017 12:05 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Stocks, Bonds, & Risk
Replies: 61
Views: 4882

Re: Larry Swedroe: Stocks, Bonds, & Risk

Nedsaid, You and I are in very similar situations. I'm 54 years old, was 80/20 for many years, and started derisking about 2 years ago. But hurts a bit to just go to big dose Bonds. FWIW, I have actually done a combination of derisking and changing the risks I'm exposed to. I initially started incre...
by Random Walker
Wed Jun 14, 2017 11:53 am
Forum: Investing - Theory, News & General
Topic: Utah 529 plan changing age-based glide paths
Replies: 14
Views: 1129

Re: Utah 529 plan changing age-based glide paths

I have Utah 529. My kids are 8 and 10. Currently have fixed 70/30 allocation. Just like with regard to retirement, I like the idea of setting up my own personalized glide path. It's only going one direction over time, but I think it makes sense to individualize one's own glide path based on where on...
by Random Walker
Wed Jun 14, 2017 9:37 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Stocks, Bonds, & Risk
Replies: 61
Views: 4882

Larry Swedroe: Stocks, Bonds, & Risk

http://www.etf.com/sections/index-investor-corner/swedroe-stocks-bonds-risk This is an outstanding, short, very Bogleheadish article by Larry. He contrasts Siegel's "Stocks For The Long Run" with Bodie's view of TIPs as the truly riskless investment. While long term allocation to equities ...
by Random Walker
Mon Jun 12, 2017 9:07 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Solid Case For Active Management
Replies: 0
Views: 549

Larry Swedroe: Solid Case For Active Management

http://www.etf.com/sections/index-investor-corner/swedroe-case-active-mgmt The title does not represent the article! Larry discusses the lack of active management benefit in different market conditions. Most of the article focuses on the period immediately preceding, including, and after the 2008 fi...
by Random Walker
Mon Jun 12, 2017 9:02 am
Forum: Investing - Theory, News & General
Topic: HEHR-tolerance versus Loss Aversion--why setting and maintaining your own AA might be a mistake
Replies: 139
Views: 6637

Re: HEHR-tolerance versus Loss Aversion--why setting and maintaining your own AA might be a mistake

Lieutenant Columbo, The custodian's website just shows the values. My Excel file shows where I am compared to rebalancing bands, adds my 401K and 529's to the mix, incorporates my house, has a graph of wealth over time, a pie chart displaying the AA. Guess the only productive part of the exercise is...
by Random Walker
Fri Jun 09, 2017 4:41 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Persistence Of The Value Premium
Replies: 47
Views: 4752

Re: Larry Swedroe: Persistence Of The Value Premium

For those who find the value factor iffy, I guess it makes sense to be a TSMer since the value factor may well be the factor that is on most solid footing. But then the investor is putting all his eggs in one basket, market beta. Another way to approach the issue though is to instead diversify acros...
by Random Walker
Fri Jun 09, 2017 1:54 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Persistence Of The Value Premium
Replies: 47
Views: 4752

Re: Larry Swedroe: Persistence Of The Value Premium

Triceratop, you got me interested. I'll hunt down the article and take a peek.

Dave
by Random Walker
Fri Jun 09, 2017 12:21 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Persistence Of The Value Premium
Replies: 47
Views: 4752

Re: Larry Swedroe: Persistence Of The Value Premium

Triceratop, Haven't seen the article. I can only give you my cumulative opinion from the lay person's reading I have done. To me the risk story for value makes complete sense: higher cost of capital, more leveraged, distressed, more variable earnings. When I started my interest in value I thought it...
by Random Walker
Fri Jun 09, 2017 10:37 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Persistence Of The Value Premium
Replies: 47
Views: 4752

Larry Swedroe: Persistence Of The Value Premium

http://www.etf.com/sections/index-inves ... ue-premium

This article from Larry discusses the value premium and lends additional strength to the argument that a good portion of the value premium is behavioral in nature.

Dave
by Random Walker
Tue Jun 06, 2017 10:31 pm
Forum: Investing - Theory, News & General
Topic: HEHR-tolerance versus Loss Aversion--why setting and maintaining your own AA might be a mistake
Replies: 139
Views: 6637

Re: HEHR-tolerance versus Loss Aversion--why setting and maintaining your own AA might be a mistake

Pretty sure I'm guilty of looking to frequently and myopic loss aversion. I'm 54, likely in those critical pre retirement years. I check how funds do daily and enter values into my portfolio spreadsheet almos every week. Tough to distinguish the behavioral errors of myopic loss aversion from rationa...
by Random Walker
Mon Jun 05, 2017 4:57 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

TJSI, How much money you end up with is the geometric return. Take two portfolios with the same yearly average return and different volatilities. The one with less volatility will have a greater geometric return, greater terminal wealth. And one can also look at it this way. Say one is looking for a...
by Random Walker
Mon Jun 05, 2017 4:36 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

Dbr, This is my take on the issues. All that matters is final wealth, which is a function of the portfolio's geometric return. Looking forward, when constructing portfolios, we can use estimates of mean expected returns of individual potential portfolio components to make decisions about whether a s...
by Random Walker
Mon Jun 05, 2017 4:22 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

TomCat, 100% Equity is not relevant. You can be 100% Equity and diversify across non, negatively, weakly, correlated sources of return (value, size, Momentum, geography) or not diversify and just be 100% TSM. Sharpe ratio increased and volatility drag decreased when diversify. The diversification po...
by Random Walker
Mon Jun 05, 2017 2:55 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

Dirghatamas, It is very real and very actionable. Diversify across as many weakly, non, negatively correlated sources of return as possible and rebalance. The arithmetic Mean return of the portfolio will be the weighted average Mean return of the components. The Mean volatility of the portfolio will...
by Random Walker
Mon Jun 05, 2017 9:52 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factor ETFs Raise Active Bar
Replies: 1
Views: 237

Larry Swedroe: Factor ETFs Raise Active Bar

http://www.etf.com/sections/index-inves ... active-bar

As alpha changes to beta, investors are catching on and funds are flowing out of active funds into passive factor based funds.

Dave
by Random Walker
Sat Jun 03, 2017 10:41 pm
Forum: Investing - Theory, News & General
Topic: Murphy's Law Of Retirement
Replies: 33
Views: 5156

Re: Murphy's Law Of Retirement

Heyyou,
For a rant that was pretty wise, concise, and informative :-) keep them coming!

Dave
by Random Walker
Fri Jun 02, 2017 3:51 pm
Forum: Investing - Theory, News & General
Topic: Good New Book: Successful Investing Is A Process by Lussier
Replies: 3
Views: 861

Re: Good New Book: Successful Investing Is A Process by Lussier

I pulled this book out again to read about Variance drain and diversification benefit. Just thought I'd bump this thread back into existence because the book is so excellent. For those trying to read something a little more textbookish or higher level than most books commonly mentioned here, I think...
by Random Walker
Fri Jun 02, 2017 3:12 pm
Forum: Investing - Theory, News & General
Topic: Murphy's Law Of Retirement
Replies: 33
Views: 5156

Murphy's Law Of Retirement

I've been reading Michael Zwecher's Retirment Portfolios. The book is highly recommended by William Bernstein. Anyways, the author describes "Murphy's Law Of Retirement". This was previously referenced in a thread titled " The Long Run Is Only Longer Than The Short Run, Not Safer"...
by Random Walker
Fri Jun 02, 2017 2:15 pm
Forum: Investing - Theory, News & General
Topic: Why do people make 10 year return predictions?
Replies: 23
Views: 1743

Re: Why do people make 10 year return predictions?

Most predictions based on CAPE or discount dividend model I believe are not linked to a time frame. 10 year as reasonable as 30 years. But the predictions can be helpful for long term planning. How does one make a rational AA decision if he does not have some idea of the return he needs and the expe...
by Random Walker
Thu Jun 01, 2017 2:24 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Explaining The Low Vol Anomaly
Replies: 16
Views: 1929

Re: Larry Swedroe: Explaining The Low Vol Anomaly

Tchoupitoulas,
I think that is one of the points Larry made in the essay. The returns of low vol strategies are overwhelmingly explained by Factor models that include value. So there is no added benefit to low vol exposure.

Dave
by Random Walker
Wed May 31, 2017 6:28 pm
Forum: Investing - Theory, News & General
Topic: Do you think about volatility drag on your portfolio?
Replies: 206
Views: 11753

Re: Do you think about volatility drag on your portfolio?

I assume we all rebalance for risk control.

Dave

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