Search found 1541 matches

by Random Walker
Wed Apr 26, 2017 1:36 pm
Forum: Investing - Theory, News & General
Topic: "When Holding is the Hardest Part"
Replies: 10
Views: 1535

Re: "When Holding is the Hardest Part"

I'm guilty of being in the category of people who, affected by two crashes in the last decade, got nervous during the current bull and sold some equity. I've gone from 80/20 to about 47/18/35 (18 in alternatives) That being said, as one accumulates more, gets closer to retirement, gets more clear on...
by Random Walker
Tue Apr 25, 2017 8:20 am
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 4894

Re: What's Wrong With AQR? (Managed Futures)

Excuse me for not reading further up the thread about the Sharpe ratio discussion, but thought I'd add my 2 cents anyways :happy yes I agree that Sharpe ratio is only one measure of risk and certainly doesn't encompass other dimensions of risk. One view of risk in an asset is "doing badly in ba...
by Random Walker
Mon Apr 24, 2017 2:47 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 4894

Re: What's Wrong With AQR? (Managed Futures)

Bjr89, I disagree with you on a Point or two. You said people who invest in TS MOM are looking for alpha. No, we are actually just looking for a different kind of beta. We appreciate that TS MOM is well known, but it is at least partly because it has been well known for 20 years and has still not be...
by Random Walker
Sun Apr 23, 2017 8:40 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 4894

Re: What's Wrong With AQR? (Managed Futures)

Nisiprius, See the AQR paper above I referenced. Not looking at actual data, but how TS MOM would have behaved in prior periods in past. And how the strategy would reasonably be expected to behave selling short into a long bear. Packer, The fund is diversified across equities, bonds, currencies, com...
by Random Walker
Sat Apr 22, 2017 4:06 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 4894

Re: What's Wrong With AQR? (Managed Futures)

Garlandwhizzer, Speaking of a specific individual time period, the longer the time period the more likely the various factors are to come near their expected returns. Never a guarantee, but more likely. The shorter the individual's time period, the more unpredictable it is what the outcome for any g...
by Random Walker
Fri Apr 21, 2017 4:39 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 4894

Re: What's Wrong With AQR? (Managed Futures)

I bet "Barry" is a pretty good source! :-)

Dave
by Random Walker
Fri Apr 21, 2017 4:31 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 4894

Re: What's Wrong With AQR? (Managed Futures)

Grap and lack_ey, Your answers are exactly what I was thinking. No kidding, I wish Larry were here as well. Have you guys seen the AQR paper on Managed Futures with the "smile curve"? TS MOM does best when there is significant extended trend in the market, either up or down. That's why I d...
by Random Walker
Fri Apr 21, 2017 2:05 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 4894

Re: What's Wrong With AQR? (Managed Futures)

Grap and Tarheel, I'm invested in QMHIX as well. I have a couple questions. 1. Why is TS Momentum invested in through Managed Futures rather than the investments themselves? 2. Does poor performance necessarily mean increased future expected return? With stocks, as prices go down expected returns ne...
by Random Walker
Tue Apr 18, 2017 8:18 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 4894

Re: What's Wrong With AQR? (Managed Futures)

You picked a great day for this post: down 1.52% today alone! I have a 3% allocation to QMHRX. I'm really interested to see where Managed Futures goes in the future. TS Momentum has a strong track record, big Sharpe Ratio, but is entirely a behavioral story.

Dave
by Random Walker
Tue Apr 18, 2017 3:01 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe : Integrated Investment Plan
Replies: 35
Views: 6461

Re: Larry Swedroe : Integrated Investment Plan

Big red, Yes I'm sure that you are right: participation in Bogleheads would drive Bogleheads to read his books, read his articles, and might drive a few to check out his firm (it did me). But the benefit he derives from all that other than personal satisfaction in helping others is likely very minim...
by Random Walker
Tue Apr 18, 2017 12:52 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe : Integrated Investment Plan
Replies: 35
Views: 6461

Re: Larry Swedroe : Integrated Investment Plan

Azanon,
I think your view is incorrect. I believe Larry was only trying to give back. He was just trying to get the word out on the winning strategy. he doesn't get much of anything in return except the satisfaction of helping others. I could be wrong, but doubt it strongly.

Dave
by Random Walker
Tue Apr 18, 2017 1:03 am
Forum: Investing - Theory, News & General
Topic: Is it necessary to diversify across Factors?
Replies: 123
Views: 6566

Re: Is it necessary to diversify across Factors?

DMW,
You can get pretty far with DFA core funds or The Larry Portfolio. Think AQR has some core funds as well. Obviously Larry way way bette source than me.

Dave
by Random Walker
Mon Apr 17, 2017 9:21 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on SPIVA Survey
Replies: 12
Views: 1964

Larry Swedroe on SPIVA Survey

http://www.etf.com/sections/index-inves ... ing-streak

Larry Swedroe's most recent column. Passive investing is the winner's game.

Dave
by Random Walker
Sun Apr 16, 2017 10:21 pm
Forum: Investing - Theory, News & General
Topic: Investors backing off their equity AA primarily due to 8-year bull market?
Replies: 56
Views: 4546

Re: Investors backing off their equity AA primarily due to 8-year bull market?

Zaboomafoozarg,
That 18% is composed of 9% QSPRX AQR Style Premia, 3% QMHRX AQR Managed Futures, 4% LENDX Alternative Lending, 2% SSRIX Reinsurance.

Dave
by Random Walker
Sun Apr 16, 2017 9:02 pm
Forum: Investing - Theory, News & General
Topic: Is it necessary to diversify across Factors?
Replies: 123
Views: 6566

Re: Is it necessary to diversify across Factors?

I just want to note that over any given time frame, we don't know which factors might underperform. Diversifying across them can be important over any timeframe, but is perhaps even more important when the timeframe is short!

Dave
by Random Walker
Sun Apr 16, 2017 8:57 pm
Forum: Investing - Theory, News & General
Topic: Investors backing off their equity AA primarily due to 8-year bull market?
Replies: 56
Views: 4546

Re: Investors backing off their equity AA primarily due to 8-year bull market?

I have backed off. In 2009 I was 46 years old. We had a huge bear, valuations were lower, expected returns higher. Now I'm 54, much closer to retirement, have experienced very generous returns, valuations are substantially higher, and expected returns lower. Also, over time my financial goals have b...
by Random Walker
Fri Apr 14, 2017 8:05 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on Understanding Different Types of Risk
Replies: 45
Views: 4884

Re: Larry Swedroe on Understanding Different Types of Risk

Artsdoctor, Another great bond book is Why Bother With Bonds by Rick Van Ness. He has multiple references to Larry Swedroe and a couple to William Bernstein in it. He very much has a Swedroe approach to bonds. Book has great explanation of duration. It's easy fast read. Definitely made clear,to me a...
by Random Walker
Fri Apr 14, 2017 2:36 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on Understanding Different Types of Risk
Replies: 45
Views: 4884

Re: Larry Swedroe on Understanding Different Types of Risk

Afan, I'm not qualified to contradict much of what you're saying except to mention that investing through funds probably yields way more diversification than you can achieve on your own. As you know, the reinsurance fund diversifies across all sorts of risks. Also I believe the fund uses some levera...
by Random Walker
Fri Apr 14, 2017 2:29 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe : Integrated Investment Plan
Replies: 35
Views: 6461

Larry Swedroe : Integrated Investment Plan

http://www.etf.com/sections/index-investor-corner/swedroe-integrated-investment-plan-key "Having a well-thought-out investment plan is a critical part of the financial planning process. However, it’s only the necessary condition for likely success. The sufficient condition is to integrate the i...
by Random Walker
Fri Apr 14, 2017 2:03 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on Understanding Different Types of Risk
Replies: 45
Views: 4884

Re: Larry Swedroe on Understanding Different Types of Risk

Afan, Not sure if I'm adding anything to what you already know, but I'll make my point anyways. Investing in the stocks of commodity producers is more akin to investing in stocks than in commodities. Likewise, investing in reinsurance company stock is way more highly correlated with the stock market...
by Random Walker
Thu Apr 13, 2017 11:13 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on Understanding Different Types of Risk
Replies: 45
Views: 4884

Re: Larry Swedroe on Understanding Different Types of Risk

I think anyone with a clear mind and common sense who reads any of Larry's books, essays, blogs, posts realizes that his integrity virtually leaps off the pages. His clear explanations are intuitive (at least after the read), internally consistent, and backed up by data. He does not need any busines...
by Random Walker
Wed Apr 12, 2017 10:39 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe on Understanding Different Types of Risk
Replies: 45
Views: 4884

Larry Swedroe on Understanding Different Types of Risk

http://www.etf.com/sections/index-inves ... types-risk

Most recent article from Larry. He discusses incorporating the risks of our human capital into the investment plan.

Dave
by Random Walker
Sun Apr 09, 2017 10:38 am
Forum: Investing - Theory, News & General
Topic: How to approach a tilted portfolio as retirement approaches
Replies: 20
Views: 1379

Re: How to approach a tilted portfolio as retirement approaches

Niceunparticular, The choice of how much to tilt is certainly not all or none. BUT, I would say that sticking with that decision in presence of tracking error regret is all or none. This is because I think it is almost certain that when tracking error regret maximizes and the investor throws the tow...
by Random Walker
Sun Apr 09, 2017 10:27 am
Forum: Investing - Theory, News & General
Topic: FT - Ed Thorp: the man who beat the casinos, then the markets
Replies: 11
Views: 2616

Re: FT - Ed Thorp: the man who beat the casinos, then the markets

Matjen,
You post rarely, but always super interesting. I like the way you see things.

Dave
by Random Walker
Fri Apr 07, 2017 8:10 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 7607

Re: Alts:new sources of risk/return improve portfolio efficiency

Is LENDX so good that it could be worthwhile in a taxable account? Would it be worthwhile to fill up tax advantaged space first with LENDX and then let some spill over into taxable to get to the allocation one desires? Thanks,

Dave
by Random Walker
Fri Apr 07, 2017 7:43 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 7607

Re: Alts:new sources of risk/return improve portfolio efficiency

Larry,
Would you rank them any differently in taxable account? Would you rank them any differently depending on whether one is taking from bond or equity side to generate the positions? Thanks,

Dave
by Random Walker
Fri Apr 07, 2017 10:01 am
Forum: Investing - Theory, News & General
Topic: Every DFA fund (ex-S&P 500) has underperformed the S&P 500 for the past decade
Replies: 104
Views: 10564

Re: Every DFA fund (ex-S&P 500) has underperformed the S&P 500 for the past decade

L.C, Obviously we can only eat the results of our investing, so actual results do matter big time! But we can only invest looking forward to an unknown future. Looking forward, we create a plan we believe puts the odds in our favor. Sometimes good plans fail and bad plans get lucky. But overall, I t...
by Random Walker
Wed Apr 05, 2017 1:11 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 7607

Re: Alts:new sources of risk/return improve portfolio efficiency

Psteinx,
I think the fee schedule you have linked is not Larry's firm. Larry's firm is Buckingham Asset Management. This appears to be called Buckingham Capital Management.

Dave
by Random Walker
Sun Apr 02, 2017 8:07 pm
Forum: Investing - Theory, News & General
Topic: Do Any Factor Investors Worry About Skating Where The Puck Was?
Replies: 19
Views: 1423

Re: Do Any Factor Investors Worry About Skating Where The Puck Was?

Don't want to be too picky, but when WBern refers to Skating Where The Puck Was, isn't he referring to permanent changes to Premia and correlations? Rebalancing just accounts for shorter term fluctuations?

Dave
by Random Walker
Sun Apr 02, 2017 3:06 pm
Forum: Investing - Theory, News & General
Topic: Do Any Factor Investors Worry About Skating Where The Puck Was?
Replies: 19
Views: 1423

Re: Do Any Factor Investors Worry About Skating Where The Puck Was?

Niceunparticularman, The only problem with your statement is that if one uses funds with smaller factor loads, he needs to take on more beta exposure to achieve the same factor load in the portfolio. And of coarse the goal in tilting is to try to move towards a balance of risks, away from the beta t...
by Random Walker
Sun Apr 02, 2017 1:18 pm
Forum: Investing - Theory, News & General
Topic: "Preparing For The Next Bear Market"
Replies: 21
Views: 3831

Re: "Preparing For The Next Bear Market"

Taylor's point is made well in an excellent bond book: Why Bother With Bonds by Rick Van Ness. It's an excellent book for understanding bonds and understanding the role of bonds in a portfolio. Rick makes the (I think reasonable) assumption that if stocks drop 50%, bonds may actually rise a bit. So ...
by Random Walker
Sun Apr 02, 2017 12:59 pm
Forum: Investing - Theory, News & General
Topic: Do Any Factor Investors Worry About Skating Where The Puck Was?
Replies: 19
Views: 1423

Re: Do Any Factor Investors Worry About Skating Where The Puck Was?

I think it's worth noting that when a portfolio diversified across sources of return underperforms, it tends to underperform by a small amount and when it outperforms, the outperformance is significant. Worry is a bit of a strong word, but there is a significant cost hurdle to overcome with tilting....
by Random Walker
Sun Apr 02, 2017 12:07 pm
Forum: Investing - Theory, News & General
Topic: Do Any Factor Investors Worry About Skating Where The Puck Was?
Replies: 19
Views: 1423

Re: Do Any Factor Investors Worry About Skating Where The Puck Was?

I agree, the biggest bubble risk of all is in market beta

Dave
by Random Walker
Sun Apr 02, 2017 11:54 am
Forum: Investing - Theory, News & General
Topic: Do Any Factor Investors Worry About Skating Where The Puck Was?
Replies: 19
Views: 1423

Do Any Factor Investors Worry About Skating Where The Puck Was?

I hugely recommend anything William Bernstein writes. I reread his short ebook, Skating Where The Puck Was recently. He teaches that once an excellent investment with good expected returns and low correlations becomes publicly investable, it is doomed. He writes that returns will decrease and correl...
by Random Walker
Sun Apr 02, 2017 10:27 am
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

Alchemist, Yes, correlations tend to go to 1 when things get bad, but they tend to revert to their long term averages when things recover. We can look at the 2000 crash to see the consequences of having all eggs in one market beta basket (perhaps I am overly influenced by this experience). If one ch...
by Random Walker
Sun Apr 02, 2017 10:05 am
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

This is getting a bit too complicated. We should all be using the same intuitive definition of diversification: "not putting all our eggs in one basket". Traditionally the basket was just stocks, and more of them meant more diversified. But TSM has only exposure to one factor, market beta....
by Random Walker
Sun Apr 02, 2017 2:36 am
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

Alchemist, Not sure whether I'm conflating or not. But when an individual shifts their view of diversification from number of stocks to number of separate and independent sources of return, then he is indeed more diversified. The TSM investor may have 5000 stocks, but net exposure to only one factor...
by Random Walker
Sat Apr 01, 2017 10:36 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

Rkhusky,
We are talking about diversifying across factors, and even when "concentrate" into SV, there is still plenty of market beta there.

Dave
by Random Walker
Sat Apr 01, 2017 10:33 am
Forum: Investing - Theory, News & General
Topic: the impact of publication of research and fund flows on factor premium
Replies: 4
Views: 474

Re: the impact of publication of research and fund flows on factor premium

Niceunparticular man, I see your point: may need more to achieve a given targeted return. That means increased cost. As Larry has mentioned previously, it's not just cost that matters, it's cost per unit factor exposure. And on top of that is total portfolio cost. One should use cheap core or TSM fu...
by Random Walker
Sat Apr 01, 2017 8:23 am
Forum: Investing - Theory, News & General
Topic: the impact of publication of research and fund flows on factor premium
Replies: 4
Views: 474

Re: the impact of publication of research and fund flows on factor premium

Even with factor Premia taking a 32% cut and the increased cost of a tilted portfolio, by my best guesstimate, still makes sense to diversify across factors.

Dave
by Random Walker
Fri Mar 31, 2017 8:03 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

In_reality, If a factor diversified portfolio has say 500-1500 stocks in each of its individual asset classes, isn't that enough to diversify away the idiosyncratic single stock risk? Do you really need to add on the extra couple or few thousand stocks of the Wiltshire 5000 to adequately diversify a...
by Random Walker
Fri Mar 31, 2017 7:59 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

Rkhusky, Size, value, Momentum each have some explanatory power for equity's returns separate and independent from market beta. A TSM portfolio is a bet on a single factor, market beta. A tilted portfolio is spread across several different and independent factors. Whether we are talking asset classe...
by Random Walker
Fri Mar 31, 2017 7:13 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

Diversification just means not putting all your eggs in one basket. The most classic equity diversification is to invest in the universe of stocks. But TSM or S&P 500 is dominated by one factor, the market factor. All the investor's eggs are in one single market beta basket. If one expands or re...
by Random Walker
Fri Mar 31, 2017 4:41 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

Kolea, I think idiosyncratic risk = single stock risk. I think it's fair to say that a certain number of stocks is required to diversify away the risk inherent in any single stock. I think single stock risk is effectively diversified away anytime a fund has at least perhaps greater than 500 individu...
by Random Walker
Fri Mar 31, 2017 9:59 am
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

In_reality,
Maybe remove the sarcasm from your thinking and writing, then you may learn something. Then at least, you'll have a better understanding of the tradeoffs involved in making your TSM decisions. It will add to the conviction you have in the plan you choose.

Dave
by Random Walker
Thu Mar 30, 2017 10:38 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

Not the opposite of diversification, just another way of looking at diversification: number of stocks versus sources of return

Dave
by Random Walker
Thu Mar 30, 2017 6:34 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10153

Re: nice short piece on the math of factor investing

It's not discussed in the essay, but I think it's relevant. When a factor diversified portfolio underperforms, I'm pretty sure it's by a very small amount. When it outperforms, the outperformance tends to be very significant.

Dave
by Random Walker
Mon Mar 27, 2017 3:24 pm
Forum: Investing - Theory, News & General
Topic: Bernstein's Skating Where Puck Was and Factor Investing
Replies: 11
Views: 1469

Bernstein's Skating Where Puck Was and Factor Investing

Ive been rereading William Bernstein's Skating Where The Puck Was and came across this passage, which goes a long way towards summarizing the book. "This point cannot be made strongly enough: when a risky asset class becomes too popular, the fact that it is over-owned by “weak hands” means that...
by Random Walker
Sat Mar 25, 2017 9:52 am
Forum: Investing - Theory, News & General
Topic: the important asset that many fail to consider in portfolio construction/allocation
Replies: 15
Views: 3092

Re: the important asset that many fail to consider in portfolio construction/allocation

A fan, Regarding the issue of decreased need to take risk versus increased ability to take risk, I'd say if investing for yourself let decreased need take precedence. If investing for next generation/legacy, then maybe let ability take precedence. As I said above, I've really been enlightened by Ber...
by Random Walker
Fri Mar 24, 2017 7:22 pm
Forum: Investing - Theory, News & General
Topic: the important asset that many fail to consider in portfolio construction/allocation
Replies: 15
Views: 3092

Re: the important asset that many fail to consider in portfolio construction/allocation

I'm currently rereading William Bernstein's Rational Expectations. He discusses thinking in terms of one's ratio of Human Capital to Investment Capital, where human capital is our future income and savings. As we age, the HC/IC ratio shrinks tremendously. His main point is that as that ratio shrinks...

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