Search found 20 matches

by finvestor
Sun Jun 17, 2018 1:39 pm
Forum: Investing - Theory, News & General
Topic: Mechanisms for disappearance of factor premia -- how does it work for momentum?
Replies: 14
Views: 750

Re: Mechanisms for disappearance of factor premia -- how does it work for momentum?

Depends on why the factor exists. With small and value, many believe that most or all of the factor is risk-related. If so, then that should not be arbitraged away regardless of how well known. If it is, then that in itself is an exploitable inefficiency. After all, the outperformance of stocks ove...
by finvestor
Sun Jun 17, 2018 12:24 pm
Forum: Investing - Theory, News & General
Topic: Mechanisms for disappearance of factor premia -- how does it work for momentum?
Replies: 14
Views: 750

Re: Mechanisms for disappearance of factor premia -- how does it work for momentum?

Thank you for the responses. Let me clarify my question a bit. First of all, it was not my intention to enter into a debate on whether a momentum premium exists, or is harvestable. Actually, I'm not necessarily referring to FF long-short MOM, the hypothetical excess return of a long-only momentum s...
by finvestor
Sun Jun 17, 2018 12:22 pm
Forum: Investing - Theory, News & General
Topic: Mechanisms for disappearance of factor premia -- how does it work for momentum?
Replies: 14
Views: 750

Re: Mechanisms for disappearance of factor premia -- how does it work for momentum?

...I find it more tricky to understand how the momentum premium would disappear when more people start investing in momentum stocks. Momentum stocks are stocks which have recently performed well, and if more investors start buying such recent winners, their price should go up even more, hence ampli...
by finvestor
Sun Jun 17, 2018 12:17 pm
Forum: Investing - Theory, News & General
Topic: Mechanisms for disappearance of factor premia -- how does it work for momentum?
Replies: 14
Views: 750

Re: Mechanisms for disappearance of factor premia -- how does it work for momentum?

This is easy to understand. Suppose on the first trading day of the month, everyone tried to buy high momentum stocks, based on the closing price in the previous calendar month, which they would then sell on the last trading day of the month. Everyone trying to buy the same stocks at the same time ...
by finvestor
Sun Jun 17, 2018 9:50 am
Forum: Investing - Theory, News & General
Topic: Mechanisms for disappearance of factor premia -- how does it work for momentum?
Replies: 14
Views: 750

Re: Mechanisms for disappearance of factor premia -- how does it work for momentum?

Thank you for the responses. Let me clarify my question a bit. First of all, it was not my intention to enter into a debate on whether a momentum premium exists, or is harvestable. Actually, I'm not necessarily referring to FF long-short MOM, the hypothetical excess return of a long-only momentum st...
by finvestor
Sat Jun 16, 2018 6:00 am
Forum: Investing - Theory, News & General
Topic: Mechanisms for disappearance of factor premia -- how does it work for momentum?
Replies: 14
Views: 750

Mechanisms for disappearance of factor premia -- how does it work for momentum?

It is often argued that once a trading strategy that has previously beaten the market is made public, it stops working as increasing number of investors start using the strategy. This may also apply to factor premia often discussed in this forum (small, value, momentum, quality, etc.). I would be in...
by finvestor
Wed May 23, 2018 3:04 pm
Forum: Investing - Theory, News & General
Topic: Theory: Total World Index a Sure Fire Win [VT/VTWSX]
Replies: 155
Views: 12778

Re: Theory: Total World Index a Sure Fire Win [VT/VTWSX]

Interesting thread... One question emerged when reading the various posts: The relative weights of different countries in the world index may change because of two main reasons: (i) In some countries new companies are being listed more in the stock exchange than in other countries. (ii) The market c...
by finvestor
Sat Feb 24, 2018 2:39 pm
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

Thank you for your comments.

While reading more generally about the effect of currency hedging on the performance of international bond funds, I found this Vanguard document to be useful:

https://personal.vanguard.com/pdf/ISGHC.pdf
by finvestor
Fri Feb 23, 2018 4:21 pm
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

Hi Finvestor concerning your first question, indeed I don't think bonds are worth investing in for euro investors at the moment because of negative rates and the problems you mention. Concerning EM bonds I understand that some are denominated in Euros when they are issued, so they shouldn't have th...
by finvestor
Thu Feb 22, 2018 5:38 pm
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

Thanks, btw the ishares ETF you mentioned is also interesting; at the moment I personally think it's not worth investing in it because the yield of the short maturity bonds is brought down by the hedging costs, and the longer maturity bonds are quite risky because of interest rates rising. Once we ...
by finvestor
Tue Feb 20, 2018 3:20 am
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

In fact I have a small allocation in EM bonds; it is an actively managed fund - I know, not a very Boglehead kind of choice... Some time ago a writer whose name now escapes me argued that for EM bonds, active management might have an edge, and indeed during recent years the fund has slightly outper...
by finvestor
Mon Feb 19, 2018 4:19 pm
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

The small AUM since it is new I guess. I also consider it a much needed product and a great bond core for the portfolio. Have you considered adding a small allocation in emerging markets bonds? There are both etfs with EUR hedged USD denominated bonds and with local currency bonds. The former can r...
by finvestor
Sun Feb 18, 2018 4:12 am
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

After a long silence, a quick update on bond ETFs for euro investors. iShares has recently launched a new ETF: https://www.ishares.com/uk/individual/en/products/291770/ishares-global-aggregate-bond-ucits-etf-fund It is a globally diversified aggregate bond ETF, available with an accumulating share c...
by finvestor
Tue Nov 07, 2017 8:47 am
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

Here is my broad intuition, although I might be wrong. It's true that the ECB's actions have had a significant effect on yields in the eurozone. However, that does not mean that this information could somehow be exploited to do 'market timing'. For instance, it is possible that the ECB will continu...
by finvestor
Sun Nov 05, 2017 8:01 am
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

The problem is the bond part: In principle I would like to just pick a low cost Euro govt bond ETF (there seems to be an accumulating one from DB X-Trackers with a low enough TER), but the yields of those are currently close to zero. Thus, I'm having hard time trying to figure out if it makes sense...
by finvestor
Tue Apr 25, 2017 7:24 am
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

For the bond fund have you considered the db x-trackers Global Government Bond ETF (DR) 1C (EUR hedged)? It follows the Citi World Government Bond Index Developed Markets, so you would have a broad exposure to government bonds. That's an interesting ETF, to get a broader exposure. However, as far a...
by finvestor
Sat Apr 22, 2017 3:35 pm
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

It's quite new, it was listed just a few days ago on the italian exchange so I guess it's a matter of time before it will be listed on other european exchanges as well. On the Amundi web site you can find the list of countries where it is authorized: Spain, Netherlands, Finland, Sweden, Germany, Fr...
by finvestor
Sat Apr 22, 2017 3:29 pm
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

For the bond fund have you considered the db x-trackers Global Government Bond ETF (DR) 1C (EUR hedged)? It follows the Citi World Government Bond Index Developed Markets, so you would have a broad exposure to government bonds. That's an interesting ETF, to get a broader exposure. However, as far a...
by finvestor
Fri Apr 21, 2017 5:22 am
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Re: Euro government bond ETFs vs cash, accumulating REIT ETFs?

Thank you for your replies! Indeed I have somehow missed the REIT ETFs suggested by imperia. The Amundi one seems to be particularly suitable, the only problem is that it seems to be listed only in Paris, which is a bit tricky for me... The X-trackers one I could buy easily, but focusing on Europe a...
by finvestor
Thu Apr 20, 2017 1:51 pm
Forum: Investing - Help with Personal Investments
Topic: Euro government bond ETFs vs cash, accumulating REIT ETFs?
Replies: 36
Views: 3366

Euro government bond ETFs vs cash, accumulating REIT ETFs?

Hello, I'm building a long-term buy&hold portfolio of approx. 300k€. My home currency is €, and I live in a country where accumulating ETFs are the best option to minimize tax drag. In terms of asset allocation, I'm aiming for 70% stocks and 30% bonds, and am planning to rebalance regularly. I think...