Search found 976 matches

by ftobin
Wed Jan 18, 2017 1:35 pm
Forum: Investing - Theory, News & General
Topic: An index isn't an index isn't an index...
Replies: 23
Views: 2527

Re: An index isn't an index isn't an index...

I get the impression that CRSP indexes are designed to a large amount of funds to be invested in them without hurting the index. The more extreme the index (small caps, value-ness), the narrow the available securities and the impact of trading them is higher. The other indexes were designed before t...
by ftobin
Sat Dec 31, 2016 5:35 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

If a client submits a limit order for an odd lot that does not execute, how do they even know why it didn't execute? Many clients have tools that help surveil this activity. It's not that difficult to do historically. If we had technical issues and had problems routing to the market, we would run t...
by ftobin
Sat Dec 31, 2016 3:14 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

Also, odd-lot limit orders are not required to be displayed by market makers in their quotes on exchanges - see SEC Rule 604 . So, your odd-lot limit order (below 100 shares) might never be routed outside the market maker. In practicality, though, they're going to post an oddlot and try to get a re...
by ftobin
Sat Dec 31, 2016 2:12 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

I was thinking that one form of comparison would be to look at dividend reinvestments for the same ETF. I've noticed that Vanguard consistently fills automatic dividend reinvestment of its own ETFs (i.e. Vanguard ETFs) at better prices than other brokers. Vanguard themselves are not filling the ord...
by ftobin
Fri Dec 30, 2016 11:38 am
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

The new nickel pilot is taking US equities back in the wrong direction, but I don't hear the internalizers complaining about that. There are 3 test groups and there is a lot more than just nickel increment quoting going on with the ticket size pilot -- I don't recommend painting with a broad brush....
by ftobin
Thu Dec 29, 2016 5:44 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

@ftobin, thanks. So can I then say that the idea to break up an oddlot >100 shares order (103, 246, 318, e.g.) into at least two orders of a round-lot and a separate sub-100 share oddlot makes some kind of sense? I believe mixed lots (> 100 shares) are broken down into round and odd lots. But there...
by ftobin
Thu Dec 29, 2016 5:34 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

matto wrote:Just so nobody accuses me of picking on equities, the following are much worse:

1. Municipal bonds
2. Forex
3. Corporate bonds

Very, very much true. Equities in the US, in general, have a very efficient market compared to other asset classes.
by ftobin
Thu Dec 29, 2016 5:22 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

But because the rules (Reg NMS) are terrible, there are a million loopholes. I agree with almost everything you wrote, but I'd disagree here. The rules aren't perfect, but I worked pre- and post-RegNMS, and I think it added a lot of sanity to the market. Personally, I think not allowing people to t...
by ftobin
Thu Dec 29, 2016 5:10 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

[update: matto posted while I was writing, and his post looks better than mine.] @ftobin, thanks for chiming in. Would you mind giving some specific examples of what you just stated when you have time please? That might help clarify terms ilke "passive", "aggressive", "prote...
by ftobin
Thu Dec 29, 2016 1:27 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

Passive oddlot orders are not protected quotes. A broker doing a poor job will trade through them.

An aggressive oddlot order (crossing the spread) will generally receive favorable executions from the broker taking the other side, since they are presumed to have little short-term predictive quality.
by ftobin
Tue Sep 27, 2016 10:53 pm
Forum: Investing - Theory, News & General
Topic: "Uncle Sam Pays Almost Twice The Yield On Treasurys--If You Know Where To Look
Replies: 85
Views: 12360

Re: "Uncle Sam Pays Almost Twice The Yield On Treasurys--If You Know Where To Look

I've been buying $10K/year since I started working seven years ago, and will continue to do so for as long as Treasuries yield much less than EE bonds held to maturity. That's exactly my line of thought. I work on the premise that the market would price EE bonds much higher than what we can buy the...
by ftobin
Mon Aug 29, 2016 12:26 am
Forum: Investing - Theory, News & General
Topic: Fidelity competing harder w/Vanguard
Replies: 92
Views: 9482

Re: Fidelity competing harder w/Vanguard

My guess is that Fidelity reimburses the fund so that (expenses - security lending - reimbursement = stated er). So while listed in the annual reports, each dollar of security lending revenue is one less dollar Fidelity sends to the fund in reimbursements. Maybe when gross and net expenses are the ...
by ftobin
Sun Aug 28, 2016 5:01 am
Forum: Investing - Theory, News & General
Topic: Fidelity competing harder w/Vanguard
Replies: 92
Views: 9482

Re: Fidelity competing harder w/Vanguard

Will Fidelity always offer these funds at rock bottom expense ratios? What if they shift strategies and you hold it in a taxable account? There is nothing to see here. Fidelity's index fund expense ratios have been competitive and often lower than Vanguard's for more than fifteen years. Your statem...
by ftobin
Sun Aug 14, 2016 11:29 pm
Forum: Investing - Theory, News & General
Topic: When Do ETFs Distribute Capital Gains?
Replies: 5
Views: 664

Re: When Do ETFs Distribute Capital Gains?

Stock index ETFs have to sell if the underlying index removes a company from the index. Active ETFs have gains if the manager decides to sell appreciated holdings. I believe there are special baskets that the AP can work out with the fund such that even if the fund has to sell, they can still offlo...
by ftobin
Sun Aug 14, 2016 11:06 am
Forum: Investing - Theory, News & General
Topic: When Do ETFs Distribute Capital Gains?
Replies: 5
Views: 664

Re: When Do ETFs Distribute Capital Gains?

Basically, capital gains for ETFs and regular mutual funds are distributed if the fund needs to sell appreciated shares. For ETFs, there are two reasons an ETF generally doesn't need to distribute: 1) Many people buy shares from another ETF holder, so the underlying Fund's holdings are not affected ...
by ftobin
Sun Aug 07, 2016 8:18 pm
Forum: Investing - Theory, News & General
Topic: Investors love "lottery tickets" new paper supporting that theory
Replies: 33
Views: 3914

Re: Investors love "lottery tickets" new paper supporting that theory

I really wish there was a lottery where only maybe 20% of the ticket cost covered the prizes (with 1/5 of the current astronomical odds of winning) and the other 80% was quietly saved and invested on behalf of the buyer, and then returned to them at retirement age. I keep reading about how much peo...
by ftobin
Wed Jul 27, 2016 10:55 am
Forum: Investing - Theory, News & General
Topic: How Do "Short" ETFs Work?
Replies: 6
Views: 679

Re: How Do "Short" ETFs Work?

You can synthesize long or short positions with options. This is likely what the AP is hedging their position with.
by ftobin
Mon Jul 18, 2016 1:26 am
Forum: Investing - Theory, News & General
Topic: Merrill Lynch vs Merrill Lynch Edge
Replies: 5
Views: 751

Re: Merrill Lynch vs Merrill Lynch Edge

If you're posting passive limit orders (not crossing the spread), execution quality numbers really don't play a factor, as they're for aggressive orders. Whether or not your orders gets filled depends on which exchange the broker placed your orders, and all other things being equal, they'll they'll ...
by ftobin
Sun Jul 03, 2016 2:50 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

How does one know for sure that their brokerage firm is actually executing a Market-on-Open order and just a regular plain old boring market order a few seconds after the open? I know trading platforms like Interactive Brokers or (I'm assuming) Think or Swim allow you to specify a market-on-open or...
by ftobin
Sun Jul 03, 2016 2:46 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 112
Views: 9091

Re: Case study Broker trade executions

1. I submitted a limit order to sell at TDAmeritrade. I was watching real-time quotes while eating ice cream and noticed that prices had marched up and trades were executing above my limit by a few cents. WTF? Why hadn't my shares been sold? I'm thinking "stuck in a dark pool". Regulation...
by ftobin
Tue Jun 28, 2016 3:38 am
Forum: Investing - Theory, News & General
Topic: Is there structural alpha in the small cap market?
Replies: 18
Views: 2333

Re: Is there structural alpha in the small cap market?

The dates are still known, I believe the big change was in 2007 they added "banding" instead of hard cut-off points based on the explicit market cap size, which reduced tunrover, and fewer trades reduces the opportunity for someone to trade against it. https://www.ftserussell.com/blog/rus...
by ftobin
Wed Jun 22, 2016 10:45 pm
Forum: Investing - Theory, News & General
Topic: Is there structural alpha in the small cap market?
Replies: 18
Views: 2333

Re: Is there structural alpha in the small cap market?

Is IWN (the Russell 2000 Value etf) still vulnerable to front-running? I know that that was a concern for a while, but I wasn't sure if iShares or Russell made changes to the implementation or the index construction to address this. They reduced the impact of front-running issues several years ago,...
by ftobin
Fri May 06, 2016 9:58 am
Forum: Investing - Theory, News & General
Topic: "The DOL's Fiduciary Rule: Better Late Than Never"
Replies: 4
Views: 678

Re: "The DOL's Fiduciary Rule: Better Late Than Never"

I'm puzzled by one line from the author: I like the traditional load-fund model. I’ve known many excellent brokers who did their homework; placed clients into well-run, relatively low-cost funds; received an upfront commission; and counseled patience. The author seems to be in favor of both "tr...
by ftobin
Wed May 04, 2016 11:44 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Partnering with Yodlee
Replies: 153
Views: 25233

Re: Vanguard Partnering with Yodlee

I just input manually-added accounts for Treasury Direct holdings. Since my holdings are Savings Bonds, their value is consistent enough for portfolio overviews.
by ftobin
Wed Apr 13, 2016 9:49 am
Forum: Investing - Theory, News & General
Topic: Should value ETFs and small-cap ETFs not be used in taxable accounts?
Replies: 13
Views: 1306

Re: Should value ETFs and small-cap ETFs not be used in taxable accounts?

Actually, one's personal tax brackets change the ordering, so this statement is not quite true. This has been shown in previous threads, especially when it comes to US vs foreign funds. Can you be a little more clear on how tax brackets would change the ordering? We can also usually assume that cap...
by ftobin
Wed Apr 13, 2016 9:04 am
Forum: Investing - Theory, News & General
Topic: Should value ETFs and small-cap ETFs not be used in taxable accounts?
Replies: 13
Views: 1306

Re: Should value ETFs and small-cap ETFs not be used in taxable accounts?

The M* analysis can easily lead you astray -- the optimal decision often depends significantly on state taxes and the particular federal bracket you find yourself in. While this is true, the Morningstar numbers can be good for comparing funds since state factors and tax brackets will, in general, j...
by ftobin
Wed Apr 13, 2016 1:31 am
Forum: Investing - Theory, News & General
Topic: Should value ETFs and small-cap ETFs not be used in taxable accounts?
Replies: 13
Views: 1306

Re: Should value ETFs and small-cap ETFs not be used in taxable accounts?

Morningstar's Tax tab for funds and ETFs can give you a good comparison of after-tax returns.
by ftobin
Wed Mar 09, 2016 1:50 pm
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

1) If you set up a scenario where dividend investor Xa, spending dividends from his stock/fund A, does better than investor Xb, who sells the same amounts on the same dates from his dividend-less instrument B I just want to throw up a caution flag here -- most of the arguments used here deal with r...
by ftobin
Mon Mar 07, 2016 4:46 pm
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

No - please quote me carefully. The INTERNAL investments and debt management are well within the scope of what a company manager SHOULD do. Find some cheap empty buildings to build a new warehouse, weigh future needs vs borrowing costs, that sort of thing. Fair enough, I think I understand your pos...
by ftobin
Mon Mar 07, 2016 12:32 pm
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

Another thing I find attractive about buybacks is that they are NOT periodic by custom, so management is free to take the best decision each quarter or year, e.g. making an attractive investment for expansion or stockpiling money ahead of bad borrowing times in the bond market, without worrying tha...
by ftobin
Mon Mar 07, 2016 10:32 am
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

I don't think anyone has been able to answer yet, but does any significant amount of companies perform buybacks on a quarterly basis, similar to how dividends are paid out? People mention companies "buy high" when performing buybacks, but this wouldn't be an issue if they were performed re...
by ftobin
Fri Mar 04, 2016 9:55 am
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

If you wanted that you could have sold shares to reduce your investment in same way the dividend was. As Buffett stated you want dividends create your own. Of course, there is a difference between the company paying you (dividends or buyback), and another share-holder (selling your shares to a non-...
by ftobin
Wed Mar 02, 2016 9:49 am
Forum: Investing - Theory, News & General
Topic: Vanguard introducing new International Dividend ETFs March 2nd
Replies: 29
Views: 3415

Re: Vanguard introducing new International Dividend ETFs March 2nd

Vanguard's Announcement of the ETFs and mutual funds availability: Vanguard® International High Dividend Yield Index Fund will follow an income investing strategy and invest in companies with high dividend yields, while Vanguard® International Dividend Appreciation Index Fund will emphasize stocks w...
by ftobin
Wed Mar 02, 2016 12:32 am
Forum: Investing - Theory, News & General
Topic: Vanguard introducing new International Dividend ETFs March 2nd
Replies: 29
Views: 3415

Re: Vanguard introducing new International Dividend ETFs March 2nd

So, would these be reasonable for international value exposure? I have avoided EFV because the 0.40% expense ratio is probably too high to be worthwhile. There is a very new IVLU at 0.30%, fundamentally weighted. Even though dividend filtering in general is supposed to be the weakest of the value a...
by ftobin
Tue Mar 01, 2016 7:35 pm
Forum: Investing - Theory, News & General
Topic: Vanguard introducing new International Dividend ETFs March 2nd
Replies: 29
Views: 3415

Re: Vanguard introducing new International Dividend ETFs March 2nd

Did they create the index five years ago and now we have five years of data to see how it performs? Can it be front run? Will there be enough interest in it to make the ETF arbitrage work? Did the arbitrage work last year? Oh, it didn't exist last Year. You're right that the VIGI follows didn't exi...
by ftobin
Tue Mar 01, 2016 2:05 pm
Forum: Investing - Theory, News & General
Topic: Vanguard introducing new International Dividend ETFs March 2nd
Replies: 29
Views: 3415

Re: Vanguard introducing new International Dividend ETFs March 2nd

Pig in a poke. Please remind me to take a look in 2021.

FYI, if NASDAQ says they're listing the ETFs tomorrow, they're listing tomorrow. This is a technical bulletin for market participants to prepare.
by ftobin
Tue Mar 01, 2016 1:42 pm
Forum: Investing - Theory, News & General
Topic: Vanguard introducing new International Dividend ETFs March 2nd
Replies: 29
Views: 3415

Vanguard introducing new International Dividend ETFs March 2nd

Effective Wednesday, March 2, 2016, Nasdaq will list two new ETFs: Vanguard International Dividend Appreciation ETF (Symbol: VIGI) Vanguard International High Dividend Yield ETF (Symbol: VYMI) http://www.nasdaqtrader.com/TraderNews.aspx?id=ETA2016-44 No word from Vanguard on this, or the mutual fun...
by ftobin
Mon Feb 29, 2016 12:33 am
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

I'm curious: do a significant number of companies perform buybacks on a regular basis, similar to how many companies distribute dividends on a regular basis? I understand the rational for buybacks in theory, but I'm curious as to practical implementation differences. It seems that dividends are, in ...
by ftobin
Wed Feb 24, 2016 4:45 pm
Forum: Investing - Theory, News & General
Topic: Dave Ramsey - opposes Fiduciary rule for Financial Advisors
Replies: 17
Views: 2608

Re: Dave Ramsey - opposes Fiduciary rule for Financial Advisors

I could be wrong but I have to think that the new rules are going to increase costs of plan administration. If an FA was previously working with the understanding that he/she was not a fiduciary, but now will be a fiduciary, I think there would be a fee increase for the risk increase. I don't under...
by ftobin
Mon Jan 25, 2016 3:57 pm
Forum: Investing - Theory, News & General
Topic: Foreign ETF Trading - Best Practice
Replies: 42
Views: 2561

Re: Foreign ETF Trading - Best Practice

Last Wednesday VEA went from a 40 bps discount around 12:30 PM to a 30 bps premium 30 minutes before close. That same day while the European markets were still open VEA was trading at about a 20 bps discount and the discount was relatively constant while both markets were open. That's a 50 bps swin...
by ftobin
Fri Jan 15, 2016 3:46 pm
Forum: Investing - Theory, News & General
Topic: Intraday pricing of mutual funds
Replies: 20
Views: 1734

Re: Intraday pricing of mutual funds

Regular mutual funds don't have to disclose holdings except something on the order of once a month or quarter -- this is part of what allows actively-managed funds trade without disclosing too much information. If intraday pricing was provided, particularly for actively-managed funds, trading inform...
by ftobin
Fri Jan 15, 2016 3:05 pm
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

Edit : to elaborate, if a company's share price doubles in the market (no buyback or issuance), the % vs market cap remains correct: the company is now worth double what a previously-similar-sized company is, and it's double in the fund. That's why the fund doesn't have to do anything. But if it bu...
by ftobin
Fri Jan 15, 2016 2:30 pm
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

Why do you think the fund doesn't do this? A cap-weighted index has to reflect the company's now-reduced market cap, so the fund eventually has to sell or (equivalently, percentage-wise) buy more of the other stocks with inflows. A company that keeps doing buybacks will not grow out of proportion w...
by ftobin
Fri Jan 15, 2016 1:54 pm
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

It's not any different. Again, simply you can sell shares in any company to generate cash and then diversify across the portfolio. They are always the equivalent. Theoretically, you could sell shares after a buyback, but I don't see evidence suggesting that's what funds do, nor seen evidence of peo...
by ftobin
Fri Jan 15, 2016 10:32 am
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

I hear all these stories about dividends to justify one's views. But that's all they are. You hear that there's agency risk if they don't pay it out. Sure, but that risk is known and in stock prices already. This is what I don't understand. The agency risk is different for each stockholder, and the...
by ftobin
Fri Jan 08, 2016 6:39 pm
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

Warren Buffett wants all of his dividends so HE can decide what best to do with them, me too. :happy That effectively the same argument I was making regarding re-investing the regarding the cash across one's portfolio. Share buybacks and re-invested dividends across a portfolio are not equivalent. ...
by ftobin
Fri Jan 08, 2016 4:34 pm
Forum: Investing - Theory, News & General
Topic: why do investors prefer cash dividends
Replies: 372
Views: 34736

Re: why do investors prefer cash dividends

Dividend payouts have the benefit of allowing the cash to be re-distributed among a portfolio's participants. I'm not sure if this is a net positive, but talking about one single company paying out dividends and re-investing in the same company is very different then a single company paying out divi...
by ftobin
Fri Jan 08, 2016 3:10 pm
Forum: Investing - Theory, News & General
Topic: walking limit order
Replies: 4
Views: 660

Re: walking limit order

What you're looking for is an order pegged to the bid. Interactive Brokers lets you perform these.
by ftobin
Tue Dec 01, 2015 12:40 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Int'l High Dividend Yield Index vs Total Int'l Stock Index
Replies: 5
Views: 1247

Re: Vanguard Int'l High Dividend Yield Index vs Total Int'l Stock Index

I don't have direct information on the index, but given that dividend stocks tend to correlate with a modest value play, I'd suspect it would perform similar to EFV (EAFE Value Index ETF) plus emerging markets, or also possibly similar to Vanguard's International Value fund (actively managed). The I...
by ftobin
Mon Nov 02, 2015 1:53 pm
Forum: Investing - Theory, News & General
Topic: As of Nov 2015, Baird muni fund superior to Vanguard muni fund?
Replies: 33
Views: 3056

Re: As of Nov 2015, Baird muni fund superior to Vanguard muni fund?

Baird seems a lot more concentrated. Top 10 holdings are 16% of the fund, while 2% for Vanguard's fund. Morningstar says that Baird has 48% of its holdings in "Advance Refunded", while Vanguard and category average are 8% and 6%, respectively. DEFINITION of 'Advance Refunding' 1. A bond is...

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