Search found 1812 matches

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: 4518

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: 4518

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: 4518

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: 4518

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: 16
Views: 3302

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: 4518

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: 4518

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: 4518

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 "Goodby."
Replies: 315
Views: 29553

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: 23
Views: 1779

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: 2027

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: 6540

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: 2273

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: 4431

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: 5184

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: 5184

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: 5184

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: 5184

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: 2931

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: 2931

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: 3025

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: 2931

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: 4337

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: 4337

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: 4337

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: 4337

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: 4337

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: 12947

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: 12947

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: 3746

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: 2368

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: 2368

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: 3746

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: 3746

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: 3422

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: 166121

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: 5028

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...
by grap0013
Mon Jan 09, 2017 8:32 am
Forum: Investing - Theory, News & General
Topic: What am I missing w/this back-tested asset allocation?
Replies: 72
Views: 5885

Re: What am I missing w/this back-tested asset allocation?

TIPS did not exist until 1997 so your backtest is synthetic. I would not give too much credit to a backtested synthetic performance with a 15 basis point advantage. The in vivo data for TIPS we have is that they were illiquid in 2008 and went down in value. When the S&*t is hitting the fan like...
by grap0013
Fri Jan 06, 2017 12:54 pm
Forum: Investing - Help with Personal Investments
Topic: 500K milestone celebration
Replies: 74
Views: 7415

Re: 500K milestone celebration

I think he meant that when he officially became a Boglehead, he had about 50k. He now has 500k after the last few years of investing. I'll be a Debbie Downer! :twisted: I'm guessing the bulk of the gains came from saving not investing. What if the OP makes 450K per year? Then going from 50K to 500K...
by grap0013
Fri Jan 06, 2017 8:20 am
Forum: Investing - Theory, News & General
Topic: What are you up YTD? [Year To Date]
Replies: 1288
Views: 213935

Re: What are you up YTD? [Year To Date]

Just imagine if you had none of that silly blackbox QSPIX fund, grap. :) Congrats on a great year! You cleaned my clock at least: 7.2%. I know, I'm 32 basis points away from having to buy more QSPIX. Don't confuse strategy with outcome! I'm going to buy more even if it's painful. I know it will be ...
by grap0013
Thu Jan 05, 2017 2:39 pm
Forum: Investing - Theory, News & General
Topic: What are you up YTD? [Year To Date]
Replies: 1288
Views: 213935

Re: What are you up YTD? [Year To Date]

letsgobobby wrote:why don't we start a new one of these threads each calendar year? This is getting kind of silly.


Ha ha, maybe we should start a new "US stocks in freefall" thread while we are at it!

I think we should convert this thread into an absolute $$ lifetime cumulative returns thread! :twisted:
by grap0013
Thu Jan 05, 2017 8:28 am
Forum: Investing - Theory, News & General
Topic: What are you up YTD? [Year To Date]
Replies: 1288
Views: 213935

Re: What are you up YTD? [Year To Date]

For 2016: +11.7% 100% stocks Over the average with small cap and emerging market allocations. Under the average with international developed and a few US funds I got rid off earlier in the year from pre-bogleheads. You may want to consider allocating some portion of your stocks into bonds or other ...
by grap0013
Wed Jan 04, 2017 5:29 pm
Forum: Investing - Theory, News & General
Topic: What are you up YTD? [Year To Date]
Replies: 1288
Views: 213935

Re: What are you up YTD? [Year To Date]

2016: 17%+ I had to suffer some minor SCV tracking error and some major EM value tracking error to earn it. EM value has sucked relative to EM and it really has sucked compared to basically everything else for a while. SFENX +31.89% in 2016 while VWO +11.55%. Tracking error works both ways. :wink: T...
by grap0013
Tue Jan 03, 2017 2:47 pm
Forum: Investing - Theory, News & General
Topic: What am I missing w/this back-tested asset allocation?
Replies: 72
Views: 5885

Re: What am I missing w/this back-tested asset allocation?

Also, respectfully, you are giving too much credit to small spreads in numbers. SD from 11.2 to 10.9 is statistical noise. Same goes for the 15 basis points.
by grap0013
Tue Jan 03, 2017 2:45 pm
Forum: Investing - Theory, News & General
Topic: What am I missing w/this back-tested asset allocation?
Replies: 72
Views: 5885

Re: What am I missing w/this back-tested asset allocation?

You are overturning your bonds. Long protects against deflation and short/TIPS protect against inflation. Just hold ITT and you accomplish the same thing you are doing with more simplicity. Also, drop the REITS. Not needed, SCV has a good slug of them already. This gets you to: 20% lcb 20% scv 10% ...
by grap0013
Fri Dec 30, 2016 5:04 am
Forum: Investing - Theory, News & General
Topic: What am I missing w/this back-tested asset allocation?
Replies: 72
Views: 5885

Re: What am I missing w/this back-tested asset allocation?

You are overturning your bonds. Long protects against deflation and short/TIPS protect against inflation. Just hold ITT and you accomplish the same thing you are doing with more simplicity. Also, drop the REITS. Not needed, SCV has a good slug of them already. This gets you to: 20% lcb 20% scv 10% i...
by grap0013
Fri Dec 02, 2016 4:36 pm
Forum: Investing - Help with Personal Investments
Topic: Any Lazy portfolio can make profit even in 2008 crash?
Replies: 32
Views: 2656

Re: Any Lazy portfolio can make profit even in 2008 crash?

The Larry Portfolio only lost 2.84% in 2008: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2016&lastMonth=12&endDate=12%2F01%2F2016&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflation...
by grap0013
Mon Nov 28, 2016 1:38 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 140
Views: 12947

Re: A Private Message (PM) About Momentum Funds

Bogleheads: This morning I received a Private Message about momentum funds. I believe its message is worth considering (personal comments removed): I don't post much any more. Thankfully, I GOT the message many years ago and have been pleased, and thankful. This AQR stuff being promoted is a bad th...
by grap0013
Fri Nov 18, 2016 1:12 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 140
Views: 12947

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

Just for fun, I just looked at VTI since QSPIX inception. 13 negative months. QSPIX had better returns than VTI in 12 of those 13 months. QMHIX had better returns than VTI in 10 of those 13 months. The one negative VTI month were QSPIX did worse, QMHIX was strongly positive.
by grap0013
Fri Nov 18, 2016 1:00 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 140
Views: 12947

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

QMHIX has been around since 07/2013. That's about 40 months. The bulk of this fund's gains came 8/14 thru 1/15. About 5 months out of the 40. The rest of the time it has been down/flat. It's a little feast or famine. It does appear this momentum fund has momentum. It goes down most days since I've b...

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