Search found 126 matches

by aegis965
Sun Jun 10, 2018 4:41 am
Forum: Investing - Theory, News & General
Topic: Post Your Morningstar Box Style
Replies: 111
Views: 8415

Re: Post Your Morningstar Box Style

Seriously though, I intended it as satire but my portfolio consists solely of nano cap deep value stocks (P/B 0.41 MktCap 16.8M), so the image is not far from true. Do you just buy individual securities to get a P/B and cap that low instead of using a fund or ETF? Individual securities, but the sel...
by aegis965
Fri Jun 08, 2018 2:51 am
Forum: Investing - Theory, News & General
Topic: $1M Question
Replies: 38
Views: 4809

Re: $1M Question

r/wallstreetbets
by aegis965
Fri Jun 08, 2018 2:50 am
Forum: Investing - Theory, News & General
Topic: Post Your Morningstar Box Style
Replies: 111
Views: 8415

Re: Post Your Morningstar Box Style

zaboomafoozarg wrote:
Mon May 28, 2018 2:32 pm
aegis965 wrote:
Tue Jan 23, 2018 1:51 am
Image
Lock up the thread, we got ourselves a winner!
Seriously though, I intended it as satire but my portfolio consists solely of nano cap deep value stocks (P/B 0.41 MktCap 16.8M), so the image is not far from true.
by aegis965
Thu May 24, 2018 12:50 am
Forum: Investing - Theory, News & General
Topic: Microcap Stock Screener
Replies: 21
Views: 1630

Re: Microcap Stock Screener

KyleAAA wrote:
Wed May 23, 2018 11:28 pm
Are those factor loadings? How did you get such high exposure to both value and momentum at the same time? They usually dilute each other. Doesn’t smell quite right.
I think those are characteristic rankings not factor loadings.
by aegis965
Wed May 23, 2018 10:37 pm
Forum: Investing - Theory, News & General
Topic: Microcap Stock Screener
Replies: 21
Views: 1630

Re: Microcap Stock Screener

I suggest 25-100m market cap. This way you have reasonable liquidity and considerably less big players. But as madpunster said, data are noisier, so rudimentary DD is a must even if you want to go full quant.
by aegis965
Wed May 23, 2018 9:20 pm
Forum: Investing - Theory, News & General
Topic: Microcap Stock Screener
Replies: 21
Views: 1630

Re: Microcap Stock Screener

For instance, an Excel sort of one Fidelity data dump of companies (with less than $650M market cap, an average daily volume of at least 1K, a ROA > 0, an operating margin > 1%, and at least 50 employees) produced a 30-company basket with a weighted average market cap of $321M, a weighted average P...
by aegis965
Mon May 21, 2018 8:58 pm
Forum: Investing - Theory, News & General
Topic: Microcap Stock Screener
Replies: 21
Views: 1630

Re: Microcap Stock Screener

For instance, an Excel sort of one Fidelity data dump of companies (with less than $650M market cap, an average daily volume of at least 1K, a ROA > 0, an operating margin > 1%, and at least 50 employees) produced a 30-company basket with a weighted average market cap of $321M, a weighted average P...
by aegis965
Tue May 15, 2018 1:58 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 42
Views: 6155

Re: Larry Swedroe: Digging Into 'Deep Value'

I take it that what you wanted to show with this chart is that the dividend factor does not outperform. I wanted to show that based on decile analysis P/D is not that robust compared to, say, P/E. https://i.imgur.com/iTTZM40.jpg Or P/B. https://i.imgur.com/q4lRBv0.jpg Other valuation metrics seems ...
by aegis965
Tue Mar 06, 2018 10:41 pm
Forum: Investing - Theory, News & General
Topic: Crypto Index Fund
Replies: 26
Views: 2226

Re: Crypto Index Fund

There are already some tokens providing cap-weighted exposure to the crypto market, albeit with obscene fees, 5% enter and 5% exit, for example.
by aegis965
Tue Mar 06, 2018 10:01 pm
Forum: Investing - Theory, News & General
Topic: Are Japanese Stocks Cheap?
Replies: 30
Views: 3260

Re: Are Japanese Stocks Cheap?

Heard Dan Rasmussen talked about leveraged Japanese small value stocks in a podcast last week. He said these companies are cheap because of the risk of bankruptcy. Quant screens and value investors often avoid this kind of companies. But he argued that, in reality, the Japanese government has a tend...
by aegis965
Wed Feb 14, 2018 2:55 am
Forum: Investing - Theory, News & General
Topic: Vanguard US Multifactor Fund
Replies: 52
Views: 5518

Re: Vanguard US Multifactor Fund

Underperformance equals fad... So if multif-actor models outperform market beta (in theory they should), does passive investing become a fad?
by aegis965
Mon Feb 12, 2018 10:43 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 228
Views: 44286

Re: Dual Momentum Investing

Diversify your signal.
by aegis965
Fri Feb 09, 2018 3:37 am
Forum: Investing - Theory, News & General
Topic: Does this strategy make sense in a falling market?
Replies: 19
Views: 2436

Re: Does this strategy make sense in a falling market?

Buying into negative momentum is unlikely to be a good idea. I don't have the data, but I'm pretty sure it underperformed simple B&H.
by aegis965
Thu Feb 01, 2018 8:10 pm
Forum: Investing - Theory, News & General
Topic: Debunking Buy and Hold strategy
Replies: 7
Views: 1037

Re: Debunking Buy and Hold strategy

On the same topic, here is a recent article on trend-following, which, I think, the Zerohedge article is advocating in a roundabout way? An interesting quote from the article: Flip it and make trend following the benchmark and consider buy and hold. Works sometimes, doesn't work other times, but you...
by aegis965
Wed Jan 31, 2018 11:05 pm
Forum: Investing - Theory, News & General
Topic: Small Value Premium - How Do You View It?
Replies: 95
Views: 7732

Re: Small Value Premium - How Do You View It?

There is the complaint that the offerings in small value funds are neither small or valuey enough to achieve maximum exposure to the premiums. Just wait for my super value microcap fund. Agree. None of the current offerings are small or valuey enough. And I doubt there ever will be a fund that has ...
by aegis965
Wed Jan 31, 2018 7:11 pm
Forum: Investing - Theory, News & General
Topic: The Father of Portfolio Theory Bets on Rebuilding
Replies: 3
Views: 1041

The Father of Portfolio Theory Bets on Rebuilding

https://www.barrons.com/amp/articles/the-father-of-portfolio-theory-bets-on-rebuilding-1517439509?mod=hp_highlight_2&__twitter_impression=true Harry Markowitz, the 90-year-old Nobel winner is now betting on six companies that stand to benefit from the efforts to recover from hurricanes. Markowitz p...
by aegis965
Thu Jan 25, 2018 9:19 pm
Forum: Investing - Theory, News & General
Topic: Podcast suggestions
Replies: 6
Views: 1005

Re: Podcast suggestions

Animal Spirits is fun, Superinvestors and the Art of Worldly Wisdom solid, and Hidden Forces is quite eye-opening though not strictly about investing. Some more common suggestions: Adventures in Finance, Behind the Markets, Capital Allocators, Five Good Questions, Invest Like the Best, Masters in B...
by aegis965
Wed Jan 24, 2018 4:11 am
Forum: Investing - Theory, News & General
Topic: Small Value Premium - How Do You View It?
Replies: 95
Views: 7732

Re: Small Value Premium - How Do You View It?

Somebody should start an "Equity Risk Premium - How Do You View It?" thread.
by aegis965
Tue Jan 23, 2018 1:58 am
Forum: Investing - Theory, News & General
Topic: Post Your Morningstar Box Style
Replies: 111
Views: 8415

Re: Post Your Morningstar Box Style

walletless wrote:
Tue Jan 23, 2018 1:53 am
aegis965 wrote:
Tue Jan 23, 2018 1:51 am
Image
#FakeNews
:wink:
by aegis965
Mon Oct 16, 2017 10:04 pm
Forum: Investing - Theory, News & General
Topic: How to learn about financial statement analysis?
Replies: 31
Views: 3502

Re: How to learn about financial statement analysis?

I would recommend Damodaran's valuation course on Youtube, and Penman's book Accounting for Value.
by aegis965
Sat Oct 14, 2017 5:57 pm
Forum: Investing - Theory, News & General
Topic: When everything goes up, what goes down & vice versa
Replies: 28
Views: 3669

Re: When everything goes up, what goes down & vice versa

Alternatives like managed futures and long volatility.
by aegis965
Fri Oct 13, 2017 12:26 am
Forum: Investing - Theory, News & General
Topic: Mutual Fund Question
Replies: 3
Views: 504

Re: Mutual Fund Question

Fidelity has a consumer finance fund but charges 93 basis points. VISA and MasterCard are among the largest holdings.
Global X has a Fintech ETF. Up almost 50% YTD. PayPal is 6% of the portfolio.
by aegis965
Thu Oct 05, 2017 3:31 am
Forum: Investing - Theory, News & General
Topic: Does anyone hold cash?
Replies: 58
Views: 7196

Re: Does anyone hold cash?

10% of investment portfolio. to me cash is more for solvency and wiggle room than reducing volatility.
by aegis965
Sun Sep 17, 2017 7:56 pm
Forum: Investing - Theory, News & General
Topic: "Goldman's Bear Market Indicator Shows Crash Dead Ahead"
Replies: 33
Views: 5695

Re: "Goldman's Bear Market Indicator Shows Crash Dead Ahead"

nedsaid wrote:
Sun Sep 17, 2017 1:58 pm
Zerohedge always seemed pretty sensationalist to me.
understatement of the year lol
by aegis965
Thu Sep 14, 2017 6:21 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 11711

Re: Value Factor Investing is not Value Investing

Buffett does like A LOT of special situations, market timing, leveraging, derivatives (LEAPS, warrant, and whatnot,) and has ALWAYS been holding concentrated positions, sometimes betting on a stock with 40% of his portfolio. IMO saying his return can be explained by factors is one thing, saying inve...
by aegis965
Wed Sep 13, 2017 8:32 am
Forum: Investing - Theory, News & General
Topic: Market timing using Gold-Lumber indicator
Replies: 24
Views: 2785

Re: Market timing using Gold-Lumber indicator

Lauretta wrote:
Wed Sep 13, 2017 3:57 am
I had briefly seen a paper by Philippe Bouchaud, a very smart French physicist who became a quant, where he used exponential moving averages.
Wow, this guy is doing some interesting stuff. Thanks. I'm reading the tail risk premia paper, very rewarding so far.
by aegis965
Tue Sep 12, 2017 10:12 pm
Forum: Investing - Theory, News & General
Topic: Market timing using Gold-Lumber indicator
Replies: 24
Views: 2785

Re: Market timing using Gold-Lumber indicator

compared to say momentum or moving averages rules which I was told can't really be applied to small caps because they're too volatile By small caps do you mean small caps as an asset class or individual stocks? If it's the former, I don't see how momentum or MA won't work. If it's the latter, adjus...
by aegis965
Tue Sep 12, 2017 8:48 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 4208

Re: ownership of "small cap value" stocks

Anyhow, it may be meaningless data and I'm certainly no expert but it seems like from a very simple observation of the ownership of these small/value companies that most of the money invested in them is from investors chasing the factor-premium and this seems like it would not only eat up any facto...
by aegis965
Tue Sep 12, 2017 4:07 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 4208

Re: ownership of "small cap value" stocks

Anyhow, it may be meaningless data and I'm certainly no expert but it seems like from a very simple observation of the ownership of these small/value companies that most of the money invested in them is from investors chasing the factor-premium and this seems like it would not only eat up any facto...
by aegis965
Tue Sep 12, 2017 3:24 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 4208

Re: ownership of "small cap value" stocks

Anyhow, it may be meaningless data and I'm certainly no expert but it seems like from a very simple observation of the ownership of these small/value companies that most of the money invested in them is from investors chasing the factor-premium and this seems like it would not only eat up any facto...
by aegis965
Mon Sep 11, 2017 6:25 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 42
Views: 6155

Re: Larry Swedroe: Digging Into 'Deep Value'

Random Walker's recent post on downside risk and VRP reminds me of this study, Downside risk and the value anomaly . The study breaks beta into four parts: good and bad upside and downside beta. Here's its conclusion: [Downside] market risk can explain systematic differences in returns on value and ...
by aegis965
Mon Sep 11, 2017 8:16 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 42
Views: 6155

Re: Larry Swedroe: Digging Into 'Deep Value'

I agree with Nedsaid (like usual). "I don't think value is going away anytime soon". Here are a couple of fun little article's for your reading enjoyment. http://theconservativeincomeinvestor.com/2013/12/16/the-fun-thing-about-blue-chip-dividend-stocks/ http://theconservativeincomeinvestor.com/2013...
by aegis965
Mon Sep 11, 2017 12:35 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 42
Views: 6155

Re: Larry Swedroe: Digging Into 'Deep Value'

I agree with Nedsaid (like usual). "I don't think value is going away anytime soon". Here are a couple of fun little article's for your reading enjoyment. http://theconservativeincomeinvestor.com/2013/12/16/the-fun-thing-about-blue-chip-dividend-stocks/ http://theconservativeincomeinvestor.com/2013...
by aegis965
Fri Sep 08, 2017 7:03 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 42
Views: 6155

Re: Larry Swedroe: Digging Into 'Deep Value'

Anyway, the "deep value" stocks cited as being better than the "glamour value" stocks could have either lower debt or higher earnings to have a lower enterprise multiple as more or less the enterprise multiple is (market cap + debt) / earnings.* It's very confusing that the iShares QUALITY Factor E...
by aegis965
Fri Sep 08, 2017 9:31 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 42
Views: 6155

Re: Larry Swedroe: Digging Into 'Deep Value'

The stock of high quality companies is driven so high that long-term returns are impaired even assuming the high rates of growth and profitability persist. …. Real-world forecasts tend to underestimate the speed at which reversion to the mean in profitability occurs. How do we reconcile this with t...
by aegis965
Fri Sep 08, 2017 9:07 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 11711

Re: Value Factor Investing is not Value Investing

All of this stuff about "you didn't see the effect of [factor X] because Vanguard's funds are icky poo" seems like nonsense to me. There is caffeine in all coffee, be it Dunkin' Donuts, Starbucks, or Pele Plantations Single-Estate 100% Kona, and they will all wake you up (or interfere with your sle...
by aegis965
Thu Sep 07, 2017 7:46 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 11711

Re: Value Factor Investing is not Value Investing

However, I think I may be able to value factor invest. Why be interested in this inferior form of investing? My greatest fear as an investor is a secular bear market. The data I"ve seen is consistent with value factor investing being able to mitigate that risk. There is not the slightest bit of sup...
by aegis965
Thu Sep 07, 2017 2:35 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 11711

Re: Value Factor Investing is not Value Investing

I think there is some confusion on what value factor investing is and is not. Value factor investing is a trading strategy based upon buying stocks the market attributes low multiples to due to in most part to their high leverage and low margins (reflecting a poor competitive position) across a wid...
by aegis965
Thu Aug 10, 2017 2:53 am
Forum: Investing - Theory, News & General
Topic: Investing In Water
Replies: 29
Views: 3362

Re: Investing In Water

uberational44 wrote:It seems there are many ways to invest:
-Utility companies
-Irrigation companies
-Filtering companies
-Land with water onsite (via REITs, or if you're cash heavy - just buying water-rich land)
How about Impact investing?
by aegis965
Sun Aug 06, 2017 11:04 pm
Forum: Investing - Theory, News & General
Topic: trying to understand total market and value investing
Replies: 77
Views: 6614

Re: trying to understand total market and value investing

What I don't understand is why going with the largest and the best is correct. What is correct? If you mean achieving the highest risk adjusted return then it is not correct. If CAPM's unrealistic assumptions don't hold, your cap-weighted proxy for the "market portfolio" ceases to be efficient. The...
by aegis965
Thu Aug 03, 2017 11:00 pm
Forum: Investing - Theory, News & General
Topic: Why Do Stocks Keep Hitting Records? msn/WSJ
Replies: 25
Views: 4470

Re: Why Do Stocks Keep Hitting Records? msn/WSJ

benign_user wrote:We need active investors so that index funds work.
IIRC Andrew Lo said that passive could still work if there are only 10% active. Guess we'll have to wait a while (and Vanguard has some serious marketing to do) to reach that ratio.
by aegis965
Thu Aug 03, 2017 8:16 pm
Forum: Investing - Theory, News & General
Topic: Are value stocks safer or more risky?
Replies: 49
Views: 4597

Re: Are value stocks safer or more risky?

I believe that Buffet was effectively using a profitability /quality screen on value stocks before profitability became a recognized factor. I also believe that once account for size, value, and profitability, his apparent ability to add benefit beyond known factor exposure is no different than wou...
by aegis965
Wed Aug 02, 2017 9:35 am
Forum: Investing - Theory, News & General
Topic: Swedroe: Volatility As A Strategy
Replies: 56
Views: 6248

Re: Swedroe: Volatility As A Strategy

Image
(From Baupost's Q2 Letter)
by aegis965
Tue Aug 01, 2017 9:24 pm
Forum: Investing - Theory, News & General
Topic: Why is it hard to beat the market?
Replies: 45
Views: 4241

Re: Why is it hard to beat the market?

It's easy to beat the market short-term. The long-term is just the aggregate of a series of short-terms - if it was really easy to beat the market in the 'short-term' and you beat it every (or even most) short-term's it would also be easy to beat it in the long-term. ...if holding everything consta...
by aegis965
Tue Aug 01, 2017 8:42 pm
Forum: Investing - Theory, News & General
Topic: Why is it hard to beat the market?
Replies: 45
Views: 4241

Re: Why is it hard to beat the market?

It's easy to beat the market short-term. http://i.imgur.com/KS7JkgD.jpg But hard to do so in the long term. (Or you'll end up owning the market.) http://blog.alphaarchitect.com/wp-content/uploads/2014/11/Mission-Impossible_Beating-the-Market-Forever-1.png (Portfolios with various CAGR, 1926-2013) * ...
by aegis965
Sun Jul 30, 2017 10:30 pm
Forum: Investing - Theory, News & General
Topic: Factor investing most effective in micro cap
Replies: 8
Views: 1412

Factor investing most effective in micro cap

Thought I share this article on factor investing in micro cap: Micro Caps, Factor Spreads, Structural Biases, and the Institutional Imperative . Here's a chart from the article displaying factor spreads being the largest in micro cap: https://static1.squarespace.com/static/55535188e4b02a4d730cb3ca/t...