Search found 1825 matches

by grap0013
Fri May 26, 2017 12:37 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Value Premium: Risk Or Mispricing
Replies: 42
Views: 2152

Re: Larry Swedroe: Value Premium: Risk Or Mispricing

I think fundamental indexing is mostly marketing / packaging. I don't think it offers anything beyond an intelligently run cap weighted passive fund with the same factor exposures. Dave You've got your "mostly" in the wrong sentence up there. :) It's mostly a smart way to capture premiums...
by grap0013
Fri May 26, 2017 12:24 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Value Premium: Risk Or Mispricing
Replies: 42
Views: 2152

Re: Larry Swedroe: Value Premium: Risk Or Mispricing

avalpert wrote:Or you can compare it to a cap-weighted small fund like SCZ and then decide if it is a gimmick or not...


I was just illustrating a multifactor to no factor comparison. You're right, one should compare small to small if wanting to secret value sauce.
by grap0013
Fri May 26, 2017 7:11 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Value Premium: Risk Or Mispricing
Replies: 42
Views: 2152

Re: Larry Swedroe: Value Premium: Risk Or Mispricing

Grap, out of curiosity, do you use the ftse rafi funds or the russell rafi funds? I use the russell rafi funds for intl scv and em value. I use the Russell funds. When you back test them against each other the annualized difference was minor from what I've heard ~10 basis points. Plus I cannot buy ...
by grap0013
Thu May 25, 2017 3:29 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Value Premium: Risk Or Mispricing
Replies: 42
Views: 2152

Re: Larry Swedroe: Value Premium: Risk Or Mispricing

https://blog.alphaarchitect.com/2017/05/24/value-premium-risk-mispricing/#gs.z8cb1OM First, some sort of quality screen after screening for typical value metric adds lots of value. Dave Shortly after I became a member of this forum in 2010 I was saying that logic about the RAFI Fundamental Indexes....
by grap0013
Tue May 16, 2017 2:08 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Article On Enhancing Momentum Strategies
Replies: 60
Views: 5531

Re: Larry Swedroe Article On Enhancing Momentum Strategies

Same here. I have access to all Fido funds and could probably get my ER to <0.1, but alas, I heavily tilt and my ER is something like ~0.55. No guarantees my strategy will do what I want it to for the price but I think it's the best way to invest. Whatever helps one stay the course! There are those...
by grap0013
Tue May 16, 2017 8:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Article On Enhancing Momentum Strategies
Replies: 60
Views: 5531

Re: Larry Swedroe Article On Enhancing Momentum Strategies

Same here. I have access to all Fido funds and could probably get my ER to <0.1, but alas, I heavily tilt and my ER is something like ~0.55. No guarantees my strategy will do what I want it to for the price but I think it's the best way to invest. Whatever helps one stay the course! There are those...
by grap0013
Mon May 15, 2017 12:26 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Article On Enhancing Momentum Strategies
Replies: 60
Views: 5531

Re: Larry Swedroe Article On Enhancing Momentum Strategies

Same here. Most Bogleheads would scoff at some of the expense ratios for funds that I am currently holding, but I believe that they are the least expensive funds that are available to me that meet the requirements that I have established. Should less expensive funds arise that I have access to, I w...
by grap0013
Thu May 11, 2017 11:48 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Article On Enhancing Momentum Strategies
Replies: 60
Views: 5531

Re: Larry Swedroe Article On Enhancing Momentum Strategies

Not a factor person, but might not new factors, even if they don't improve the portfolio return, be useful to reduce variance if they are uncorrelated? ^^^Agreed. That's why people own gold even though its historic return approximates inflation. So far Larry's ALT favs QSPIX and QMHIX have displaye...
by grap0013
Tue May 09, 2017 9:19 am
Forum: Investing - Theory, News & General
Topic: I'm Calling an Emerging Markets Bottom
Replies: 242
Views: 38802

Re: I'm Calling an Emerging Markets Bottom

^^^ Of course! I'm a nice guy. We've got several years of EM gains before they get frothy. Don't hold your breath.
by grap0013
Mon May 08, 2017 12:18 pm
Forum: Investing - Theory, News & General
Topic: I'm Calling an Emerging Markets Bottom
Replies: 242
Views: 38802

Re: I'm Calling an Emerging Markets Bottom

Great thread. I am curious if OP has any other contrarian bets for us. Energy? I haven't heard anything about energy. Good or bad. But if you get negative sentiment + ripe valuations or positive sentiment + excessive valuations that will be your signal. Remember this forum does not count as your se...
by grap0013
Mon May 08, 2017 12:12 pm
Forum: Investing - Theory, News & General
Topic: I'm Calling an Emerging Markets Bottom
Replies: 242
Views: 38802

Re: I'm Calling an Emerging Markets Bottom

I apologize for resurrecting a "Zombie Thread". But after a search on EM I found this and just read through the whole thread. I am impressed at the timing of OP's EM bottom call. I guess I was very curious if those who rode the wave are hanging tight or already sold to rebalance? EM still...
by grap0013
Mon May 08, 2017 11:59 am
Forum: Investing - Help with Personal Investments
Topic: Small cap value tilt portfolio review
Replies: 25
Views: 1987

Re: Small cap value tilt portfolio review

Because small cap stocks often perform quite differently than the large cap stocks. I would limit my small cap value to only 10%, did you look at the VTWV Vanguard Russell 2000 Value ETF rather than using both VIOV and VISVX? I think the tilt is too extreme, IMHO. I prefer the 3 fund portfolio. I w...
by grap0013
Sat May 06, 2017 4:48 pm
Forum: Investing - Help with Personal Investments
Topic: Small cap value tilt portfolio review
Replies: 25
Views: 1987

Re: Small cap tilt portfolio review

Because small cap stocks often perform quite differently than the large cap stocks. I would limit my small cap value to only 10%, did you look at the VTWV Vanguard Russell 2000 Value ETF rather than using both VIOV and VISVX? I think the tilt is too extreme, IMHO. I prefer the 3 fund portfolio. I w...
by grap0013
Mon Apr 24, 2017 5:42 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 5324

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

Here is what I was talking about: https://cib.societegenerale.com/fileadmin/indices_feeds/SG_Trend_Monthly_Report.pdf Real funds. 10 biggest TS MOM funds by AUM the past 16 years. 6% annualized. That 2008 return is not hypothetical. The HV fund should do its job. It's clearly not correlated with any...
by grap0013
Mon Apr 24, 2017 5:33 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 5324

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

These are the kind of threads that knocked our Dear Mr. Swedroe's hit points to zero. Don't fall for it lack_ey! I do not think you are going to convince the opposition of anything. Save your time and energies to be used towards more fruitful endeavors.
by grap0013
Mon Apr 24, 2017 10:28 am
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 5324

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

While I appreciate some of the posts, "just save more, too complicated, look at LTCM, etc...." they do not add a lot to the nuts and bolts discussion of the strategy. Those posts always show up several times in every ALT or tilting discussion. Do you see me chime in on 3 fund portfolio or ...
by grap0013
Sat Apr 22, 2017 10:43 am
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 5324

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 ...
by grap0013
Sat Apr 22, 2017 10:36 am
Forum: Investing - Help with Personal Investments
Topic: Reached 50% of my "number" today
Replies: 20
Views: 4273

Re: Reached 50% of my "number" today

Nice dude!! Keep us up to date and your posts are always appreciated!
by grap0013
Fri Apr 21, 2017 4:34 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 5324

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

My source whom I'll refer to as "Barry" says poor TS MOM returns do not portend higher future returns. So no mean reversion.
by grap0013
Fri Apr 21, 2017 3:36 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 5324

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 n...
by grap0013
Thu Apr 20, 2017 8:41 pm
Forum: Investing - Theory, News & General
Topic: What's Wrong With AQR? (Managed Futures)
Replies: 66
Views: 5324

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

https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2017&lastMonth=12&endDate=04%2F20%2F2017&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&fr...
by grap0013
Thu Apr 20, 2017 4:53 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe says "Goodbye."
Replies: 336
Views: 36769

Re: Larry Swedroe says "Goodby."

Taylor Larimore wrote:Larry Swedroe: As to my departure, I'm afraid for a variety of reasons this is highly likely to be permanent.


So you're saying there's a chance...
by grap0013
Fri Apr 14, 2017 4:45 pm
Forum: Investing - Help with Personal Investments
Topic: Allocation Decisions: LENDX, SRRIX and QSPIX
Replies: 24
Views: 2003

Re: Allocation Decisions: LENDX, SRRIX and QSPIX

50% equities
5% LENDX
5% SRRIX
5% QSPIX
5% QMHIX
30% treasuries

Addition of QMHIX will cut your left tail risk as well as improve overall diversification.
by grap0013
Fri Mar 24, 2017 8:18 am
Forum: Investing - Help with Personal Investments
Topic: Your Experiences with Risk Tolerance and having smaller versus larger account balances
Replies: 24
Views: 2124

Re: Your Experiences with Risk Tolerance and having smaller versus larger account balances

OP, I'm a similar age to you with a similar account balance. I'm not sure adding more bond % is always the answer. Examples: 500K portfolio and 100% stocks. Market drops 50% and you are down 250K. 800K portfolio and 80/20. Market drops 50% and you are down $320K. You can see either way as your kitty...
by grap0013
Wed Mar 22, 2017 5:14 pm
Forum: Investing - Theory, News & General
Topic: Blog on emerging Markets, and investors underweighting them
Replies: 103
Views: 6827

Re: Blog on emerging Markets, and investors underweighting them

Timely post Larry. EM appears to be ~+1% today vs. US. The more I see the less I know. Early 2016 stocks are down 10% and everyone is glum. Then they start going up and SCV goes crazy after the election. EMV goes really crazy in 2016. Now in 2017 SCV is lagging most everything and all EM continues t...
by grap0013
Sun Mar 12, 2017 7:36 pm
Forum: Personal Consumer Issues
Topic: Flooring for Basement
Replies: 36
Views: 2412

Re: Flooring for Basement

OP, we had water issues too. Did stained concrete. ~300 sq ft for 3K and it looks phenomenal. PM me if interested in this approach.

grap
by grap0013
Tue Feb 21, 2017 8:16 am
Forum: Investing - Help with Personal Investments
Topic: Emerging Markets Allocation
Replies: 35
Views: 4616

Re: Emerging Markets Allocation

. In deciding on an EM allocation an investor seems to need to make a decision on wether s/he views South Korea as a "developed" or "developing" country. Here are two EM funds that view South Korea as "developed" : - Vanguard Emerging Market (VWO) - Powershares FTSE RA...
by grap0013
Mon Feb 20, 2017 11:47 am
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 5383

Re: Please list value funds you currently use

So wouldn't PXH try to perform like the "17.8% = FTSE RAFI Emerging Markets Index" you showed? Does it? M* shows it only going back to 2007 - so I can't compare your results. Although from PXH inception on 9/27/2007 to date PXH closely resembles DFEVX. http://quotes.morningstar.com/chart/...
by grap0013
Thu Feb 16, 2017 8:14 am
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 5383

Re: Please list value funds you currently use

Does anybody know much about TLTE? Thanks! I thought about TLTE. Given the lack of emerging market factor data, I think the best way to get at what factor exposures of a fund are is to look at equivelent US (or developed funds). For TLTE there is a US version TILT, for which we have data going back...
by grap0013
Wed Feb 15, 2017 8:41 am
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 5383

Re: Please list value funds you currently use

Is there a thread for TLTE somewhere? This fund looks pretty interesting for a one-stop EM value fund. It's like a mid cap value fund similar to DFEVX. Low turnover with 2000+ holdings. Would be easier to manage rather than an equal parts strategy of SFENX:QEELX:DGS:EEMS. Does anybody know much abou...
by grap0013
Tue Feb 14, 2017 5:48 pm
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 5383

Re: Please list value funds you currently use

VSIAX, QSMLX

SFILX

SFENX, QEELX, DGS

QSPIX
by grap0013
Wed Feb 01, 2017 6:19 pm
Forum: Investing - Help with Personal Investments
Topic: Your thoughts on an aggressive asset allocation
Replies: 29
Views: 3009

Re: Your thoughts on an aggressive asset allocation

You sound like you might be subject to suffering from tracking error based on your posts... I'm not sure I understand what you mean there. Would you mind explaining that? Is the S&P 600 a difficult index to track? Nope, I mean watching something outperform your portfolio for years and years and...
by grap0013
Wed Feb 01, 2017 8:12 am
Forum: Investing - Help with Personal Investments
Topic: Your thoughts on an aggressive asset allocation
Replies: 29
Views: 3009

Re: Your thoughts on an aggressive asset allocation

Too much home country bias OP. Expected returns are higher for international currently based on valuations. I'd argue you could omit the large caps... Funny you should mention that. On my way home, I was mulling the idea of something like 60% S&P 600 (blend, not the value version) and 40% total...
by grap0013
Tue Jan 31, 2017 6:21 pm
Forum: Investing - Theory, News & General
Topic: Kitces' "bond tent" to protect against sequence risk
Replies: 16
Views: 3118

Re: Kitces' "bond tent" to protect against sequence risk

I see arguments for more stocks and arguments for less stocks in retirement. I'm just gonna save a moderate amount and probably retire with something like 30:20:50 stocks:alternatives:bonds and withdraw 4% nominal. Whatever that gives me I'm going to spend.
by grap0013
Tue Jan 31, 2017 5:39 pm
Forum: Investing - Help with Personal Investments
Topic: Your thoughts on an aggressive asset allocation
Replies: 29
Views: 3009

Re: Your thoughts on an aggressive asset allocation

Too much home country bias OP. Expected returns are higher for international currently based on valuations. I'd argue you could omit the large caps, increase tilts, increase international, probably add 20% bonds AND still get higher returns with better diversification than what you proposed. Plus yo...
by grap0013
Tue Jan 31, 2017 8:13 am
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4428

Re: PXSV is now super valuey (even more than RZV)

Angst wrote:^ You're an honest man Nisi. Nothing hypothetical about that!


It was easy backtesting SCV for the past 5-10 years prior to 11/4/16 and say it was a dead strategy. Now with the whopper 2016 for SCV it's going to be hard to say it doesn't work for a while! :twisted:
by grap0013
Mon Jan 30, 2017 10:38 am
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4428

Re: PXSV is now super valuey (even more than RZV)

^^^ I think your backtest is contrary to the point you were trying to make. A Sharpe Ratio difference of 0.01 is not going to be felt by an investor. However, I'll take that extra 0.09% annualized return anytime. Works out to several hundred dollars a year for me personally.
by grap0013
Mon Jan 30, 2017 8:17 am
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4428

Re: PXSV is now super valuey (even more than RZV)

^^ Thanks much, makes sense to me!
by grap0013
Sat Jan 28, 2017 7:56 am
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4428

Re: PXSV is now super valuey (even more than RZV)

I also see PXSV has about 350 stocks with turnover ~120% since "the change". I miss the old fundamental version of PXSV. I'd put all of my US SCV :moneybag into that. We have the Vanguard SCV fund available through standard 401K options so that's good enough for me in this space. Now, for ...
by grap0013
Sat Jan 28, 2017 7:40 am
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4428

Re: PXSV is now super valuey (even more than RZV)

. Some additional numbers From 8/1998 to 12/2016 Annualized returns (%) / SD .9.7 / 19.0 = S&P 600 Value Index 10.0 / 26.1 = S&P 600 Pure Value Index .9.2 / 18.5 = Russell 2000 Value Index .7.9 / 21.0 = Russell 2000 Pure Value Index 12.8 / 18.9 = Russell Fundamental US Small Company Index F...
by grap0013
Mon Jan 23, 2017 11:42 am
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 140
Views: 13586

Re: A look at the research and evidence on time-series MOM

Its interesting the way you broke out the QSPIX. How does it work for QLEIX (Long/Short fund)? How do we calculate the Value/Size/Profitability premiums on QLEIX? Not sure. I have not thought much about the long/short funds. I hedge my tilting implementation companies. I'm about 40% Vanguard funds,...
by grap0013
Mon Jan 23, 2017 8:57 am
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 140
Views: 13586

Re: A look at the research and evidence on time-series MOM

Ok folks, after much deliberation and research I'm buying a 5% slug of TS MOM. The evidence is sound and I see the benefit. I have a much better understanding of this topic now. In vivo correlations looks pretty and I see the role in the overall portfolio. I'm taking my 20% QSPIX and doing QSPIX:QMH...
by grap0013
Thu Jan 19, 2017 8:34 am
Forum: Investing - Theory, News & General
Topic: TIPS are great in "theory." But real world...
Replies: 34
Views: 3818

Re: TIPS are great in "theory." But real world...

TIPS are insurance against unexpected inflation. The cost of that insurance is rather low at the moment. It's odd to say insurance provides no benefit just because your house didn't burn down or just because you didn't get sick or die or just because your car didn't crash. I know what my term life ...
by grap0013
Wed Jan 18, 2017 10:56 pm
Forum: Investing - Theory, News & General
Topic: "The Year in Alternative Funds: A Bumpy Road With Some Bright Spots"
Replies: 21
Views: 2418

Re: "The Year in Alternative Funds: A Bumpy Road With Some Bright Spots"

Hey, wait a minute I invest in AQR HV Managed Futures and it was down like -12% not -2%..... I'm thinking about adding more. On the bright side, QMHIX's correlation to other assets has decreased......because it went down while everything else went up or stayed flat. 8-) Gosh, it's hard for me not t...
by grap0013
Wed Jan 18, 2017 6:05 pm
Forum: Investing - Theory, News & General
Topic: "The Year in Alternative Funds: A Bumpy Road With Some Bright Spots"
Replies: 21
Views: 2418

Re: "The Year in Alternative Funds: A Bumpy Road With Some Bright Spots"

An alternative investment is an asset that is not one of the conventional investment types, such as stocks, bonds and cash. -- Investopedia Bogleheads: The investment industry, always on the look-out for ways to make more money, has introduced a plethora of alternate funds to attract investors hopi...
by grap0013
Wed Jan 18, 2017 5:59 pm
Forum: Investing - Theory, News & General
Topic: TIPS are great in "theory." But real world...
Replies: 34
Views: 3818

Re: TIPS are great in "theory." But real world...

I agree. I don't like TIPS. I've seen no benefit in the real world. Only theoretical. They did bad in 2008. CPI measures do not come down from the heavens so will they really track it? I like intermediate term treasuries as to hedge both deflation and inflation. Equities can also stave off inflatio...
by grap0013
Wed Jan 18, 2017 1:30 pm
Forum: Investing - Theory, News & General
Topic: TIPS are great in "theory." But real world...
Replies: 34
Views: 3818

Re: TIPS are great in "theory." But real world...

On paper, TIPS seem like the best type of bond. I have read all of the wonderful characteristics. Protection in both inflation and deflation, no default risk, etc. Swedroe and Swensen are huge fans. However, in the real world, are they really as wonderful as they seem? I have read some worries from...
by grap0013
Mon Jan 16, 2017 11:19 pm
Forum: Personal Consumer Issues
Topic: what local pharmacy?
Replies: 57
Views: 3534

Re: what local pharmacy?

Ask your healthcare provider if you can start filling your new prescription (or change in dose) now but delay in taking it for a few weeks. Tell them that you use mail order pharmacy and there are often minor delays in this process and you want to stock up a little bit to be prepared for these inevi...
by grap0013
Mon Jan 16, 2017 8:07 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1182
Views: 168601

Re: QSPIX - thoughts on interesting fund

C'mon grap, if you want to decrease drawdowns you need some QMHIX! Come over to the dark side...... :twisted: Well I don't have much time to decide. I'm 15 basis points away from my lower rebalancing band of QSPIX. I'd have to either add 5% QSPIX to get back to 20% or now would be as good as time a...
by grap0013
Tue Jan 10, 2017 8:19 am
Forum: Investing - Theory, News & General
Topic: the missing value premium
Replies: 36
Views: 5087

Re: the missing value premium

Just wondering if staying the course over the past two years has resulted in the value premium "re-appearing". It seems like it has the past few months... but a few months does not make a trend. Does the equity risk premium disappear and reappear? People treat these premiums like they sho...

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