Search found 4673 matches

by lack_ey
Mon Jan 16, 2017 12:43 am
Forum: Investing - Help with Personal Investments
Topic: Intermediate Bond Fund/ETF for Fixed Income AA
Replies: 7
Views: 536

Re: Intermediate Bond Fund/ETF for Fixed Income AA

Thank you for your input. I'm not trying to time the bond market, but would like to make the investment with my eyes open. Most commentators are predicting that within 3-4 years, the 10 year rate will be around 6%. With this in mind, how would you allocate the fixed income component for new money? ...
by lack_ey
Sun Jan 15, 2017 10:03 pm
Forum: Investing - Help with Personal Investments
Topic: Intermediate Bond Fund/ETF for Fixed Income AA
Replies: 7
Views: 536

Re: Intermediate Bond Fund/ETF for Fixed Income AA

Do you mean Fed funds rate by "interest rates" or something else? Which rates are you supposing are going to rise and by how much? No, I was referring to the 10 yr Treasury rate. I believe that is the most critical element in determining yields on intermediate term bonds. Bond king Jeff G...
by lack_ey
Sun Jan 15, 2017 5:28 pm
Forum: Investing - Theory, News & General
Topic: The gulf between MOM fund returns and MOM factor returns
Replies: 7
Views: 483

Re: The gulf between MOM fund returns and MOM factor returns

It's definitely not all transaction costs and theoretical vs. real world differences. Comparing using N shares (0.25% more expensive than I shares, 0.35% more expensive than R6 shares), since inception of iShares Edge MSCI USA Momentum Factor ETF (MTUM), the latter returned 13.32% annualized compare...
by lack_ey
Sun Jan 15, 2017 4:26 pm
Forum: Investing - Help with Personal Investments
Topic: Intermediate Bond Fund/ETF for Fixed Income AA
Replies: 7
Views: 536

Re: Intermediate Bond Fund/ETF for Fixed Income AA

Requesting clarification on a couple things: 1. In a volatile market, would treasury/government funds be more stable than corporate funds? Volatile what market? Bond market? Stock market? 4. In an environment where interest rates are expected to increase, are there any fund attributes that I should ...
by lack_ey
Sun Jan 15, 2017 3:24 pm
Forum: Investing - Help with Personal Investments
Topic: Suggestions for Low Duration Bond Fund
Replies: 16
Views: 817

Re: Suggestions for Low Duration Bond Fund

The DoubleLine Low Duration Bond Fund has been pretty good since inception, a large part from loading on non-agency asset-backed securities during a good period for those. Personally I'd not be comfortable relying on manager security selection in the future or this part of the market to generate con...
by lack_ey
Sun Jan 15, 2017 2:17 pm
Forum: Investing - Theory, News & General
Topic: A look at funds managed by the Vanguard Quantitative Equity Group (VUVLX, VSEQX, VSTCX, VMNFX, VMNVX, VASFX, VPGDX)
Replies: 19
Views: 2035

Re: A look at funds managed by the Vanguard Quantitative Equity Group (VUVLX, VSEQX, VSTCX, VMNFX, VMNVX, VASFX, VPGDX)

Just FYI: Today's Sunday NY Times has a section on mutual funds and ETF's, including a round-up of "leaders" and "laggards" over 3-month, 12-month and 5-year time periods. Among the "leaders" in the 5-year category are two Vanguard funds: Vanguard Capital Opportunity (...
by lack_ey
Sun Jan 15, 2017 2:01 pm
Forum: Investing - Theory, News & General
Topic: Factor-Diversified Portfolio
Replies: 58
Views: 3184

Re: Factor-Diversified Portfolio

My longer-term portfolio targets within equites for market, size and value = 1.0/0.2/0.4. How did you work out those allocations? Could you provide the math please? Thank you. The annualized returns of the total market from 1927 to 2015 was about 10 percent, while the annualized return for the size...
by lack_ey
Sun Jan 15, 2017 12:24 pm
Forum: Investing - Theory, News & General
Topic: Factor-Diversified Portfolio
Replies: 58
Views: 3184

Re: Factor-Diversified Portfolio

Robert T, which data series from MSCI's site are you using to determine the factor loads and P1 and P2 returns? (Actually, for Russell too) Those portfolio returns are determined via the index total returns (rebalanced? annually?), not calculated through 5-factor exposure, right? What are the alphas...
by lack_ey
Sat Jan 14, 2017 11:48 pm
Forum: Investing - Theory, News & General
Topic: Mathematics of international asset allocation
Replies: 14
Views: 1203

Re: Mathematics of international asset allocation

On a quick glance the model and analysis looks okay. I was going to note corrDI = 0.92 being high, reflecting a relatively modern phenomenon (correlations used to be lower) but you did address that below. To be honest I don't really know what to estimate for the future. I guess correlations could co...
by lack_ey
Sat Jan 14, 2017 8:59 pm
Forum: Investing - Theory, News & General
Topic: "2016 Shows That Factors Are Fickle"
Replies: 45
Views: 3243

Re: "2016 Shows That Factors Are Fickle"

I tilt to small and value, but ignore momentum--for one thing my portfolio is mostly in taxable or the TSP, and MOM is inherently a not very tax-efficient strategy due to the turnover in which assets have positive momentum. But I don't see why it can't be successfully implemented in the real world,...
by lack_ey
Sat Jan 14, 2017 7:09 pm
Forum: Investing - Help with Personal Investments
Topic: Advice on Vanguard Managed Payout Fund (VPGDX) vs ??
Replies: 37
Views: 2599

Re: Advice on Vanguard Managed Payout Fund (VPGDX) vs ??

Well, it's not that I dislike the rating so much as that I don't believe them/take them at face value. Plus the five-point scale hides some legitimate differences, which it did here, with the range of funds getting a 3 that are clearly not all similar. For reference it looks like they put LifeStrate...
by lack_ey
Sat Jan 14, 2017 5:37 pm
Forum: Investing - Help with Personal Investments
Topic: Compounding of stock returns
Replies: 14
Views: 1064

Re: Compounding of stock returns

In the sense that you earn returns on returns and the process is in some nature multiplicative at least indirectly if not directly, you do get compounding regardless of if you reinvest dividends. Sometimes people think of compounding only with constant percentage returns, like compound interest, but...
by lack_ey
Sat Jan 14, 2017 4:36 pm
Forum: Investing - Help with Personal Investments
Topic: Advice on Vanguard Managed Payout Fund (VPGDX) vs ??
Replies: 37
Views: 2599

Re: Advice on Vanguard Managed Payout Fund (VPGDX) vs ??

4) I feel that this fund is suitable for people who understand the investing strategy and like it. The strategy involves a heavy investment in stocks, with the risk hopefully being mitigated by use of multiple assets and non-traditional investments, whose low correlation is expected to reduce the v...
by lack_ey
Sat Jan 14, 2017 2:26 pm
Forum: Personal Finance (Not Investing)
Topic: Vanguard vs. Fidelity [Customer Service Reputation]
Replies: 34
Views: 1901

Re: Vanguard vs. Fidelity

Vanguard brokerage is pretty bad in terms of web design and tools, so Fidelity is better there. For customer service there are reports both ways. For commission-free investment options, Vanguard is better in a few places and Fidelity is a little better in others, none of which are core categories. I...
by lack_ey
Sat Jan 14, 2017 2:06 pm
Forum: Investing - Theory, News & General
Topic: Factor-Diversified Portfolio
Replies: 58
Views: 3184

Re: Factor-Diversified Portfolio

Another important reason is that there are too many damn sectors and it doesn't make sense to have some 10+ factor equity model. That's a total mess. This is very much a peripheral point, but the factor models that are widely used in the industry have dozens and dozens of factors in them. Why? Ther...
by lack_ey
Sat Jan 14, 2017 12:46 pm
Forum: Investing - Theory, News & General
Topic: institutional herding in corporate bonds and liquidity issues-beware ETFs in this space
Replies: 59
Views: 3348

Re: institutional herding in corporate bonds and liquidity issues-beware ETFs in this space

BTW- pure indexing in corporate bonds is "dumb" for variety of reasons. I'll just mention one. Say you have a Vanguard investment grade fund and a bond drops below their credit rating limit. The fund will be forced to sell that bond at exactly the same time all other funds and pension pla...
by lack_ey
Sat Jan 14, 2017 12:43 pm
Forum: Investing - Theory, News & General
Topic: Factor-Diversified Portfolio
Replies: 58
Views: 3184

Re: Factor-Diversified Portfolio

A factor model built completely on sectors would also explain well over 95% of returns. And there can be very large differences over time between the return of various sectors. The reasons sectors aren't generally used in factor models is that it's hard to make a purely quantitative case that the s...
by lack_ey
Fri Jan 13, 2017 8:45 pm
Forum: Investing - Help with Personal Investments
Topic: What happens to balanced funds if interest rates rise?
Replies: 6
Views: 597

Re: What happens to balanced funds if interest rates rise?

If the yields on similar bonds go up, the bonds held in a balanced fund will also have their yields go up (read: price will go down) so yes that will impact the NAV of the fund. If by "interest rates" you mean Fed funds rate or some other benchmark, that is not the same thing as bond yield...
by lack_ey
Fri Jan 13, 2017 6:34 pm
Forum: Investing - Help with Personal Investments
Topic: Asset Allocation Question Re Bond Funds
Replies: 8
Views: 680

Re: Asset Allocation Question Re Bond Funds

If you're ladding bonds and using maturing rungs to buy a new rung, this structure has almost the same performance and risks as a bond fund with similar average characteristics. Except if you're talking about bonds with credit risk, where the fund would be in more issues and would be more diversifie...
by lack_ey
Fri Jan 13, 2017 4:59 pm
Forum: Investing - Help with Personal Investments
Topic: Implementing factor based investing.
Replies: 2
Views: 223

Re: Implementing factor based investing.

Over a given period of time, say a year, the expected return of the portfolio is equal to the weighted sum of the expected returns of the individual components for that period. (Expectation is linear, being an integral over probability.) That is, if your allocation is 60% A and 40% B then E[0.6*A + ...
by lack_ey
Fri Jan 13, 2017 4:46 pm
Forum: Investing - Theory, News & General
Topic: institutional herding in corporate bonds and liquidity issues-beware ETFs in this space
Replies: 59
Views: 3348

Re: institutional herding in corporate bonds and liquidity issues-beware ETFs in this space

Yes, but it appears Larry has even acknowledged that using a mix of corporate/treasury bond ETFs is okay, allowing you to avoid the liquidity crises. Of course he also thinks that there is no point in being exposed to the default factor, but as far as a mechanism of exposure to the default factor t...
by lack_ey
Fri Jan 13, 2017 4:05 pm
Forum: Investing - Theory, News & General
Topic: "2016 Shows That Factors Are Fickle"
Replies: 45
Views: 3243

Re: "2016 Shows That Factors Are Fickle" -- Momentum

Bogleheads: Momentum has been described as one of the best performing "factors?" One of the first momentum factor funds was FUNDX Upgrader Fund with a 2001 inception. The company describes its strategy this way: Upgrading is the investment approach we developed years ago and have been app...
by lack_ey
Fri Jan 13, 2017 2:35 pm
Forum: Investing - Theory, News & General
Topic: "2016 Shows That Factors Are Fickle"
Replies: 45
Views: 3243

Re: "2016 Shows That Factors Are Fickle"

A question I haven't seen discussed much is one which I will phrase this way: can a knowledgeable expert, not knowing anything about the price of the stock, study the annual report of a company, look at the balance sheet, visit the headquarters and the factories, and determine which factors the com...
by lack_ey
Fri Jan 13, 2017 1:53 pm
Forum: Investing - Theory, News & General
Topic: "2016 Shows That Factors Are Fickle"
Replies: 45
Views: 3243

Re: "2016 Shows That Factors Are Fickle"

Fund companies could run relatively concentrated multifactor portfolios if they wanted and gain higher non-market loadings, but they don't want to. There's more capacity and less tracking error (and a bit less idiosyncratic risk) in broader sorts and screening criteria. And tracking error on the dow...
by lack_ey
Fri Jan 13, 2017 1:12 pm
Forum: Investing - Help with Personal Investments
Topic: Advice on Vanguard Managed Payout Fund (VPGDX) vs ??
Replies: 37
Views: 2599

Re: Advice on Vanguard Managed Payout Fund (VPGDX) vs ??

This fund invests very aggressively in comparison to traditional retirement income funds. It provides stable payouts by not tying itself to the actual earnings of the assets. During bad times it allows itself to dip into capital to maintain the payouts. During good times it holds back some of the i...
by lack_ey
Fri Jan 13, 2017 11:31 am
Forum: Investing - Help with Personal Investments
Topic: Why do different S&P 500 Index funds have different share prices?
Replies: 7
Views: 480

Re: Why do different S&P 500 Index funds have different share prices?

Primarily comes down to date of inception and what the original share price was.

This just means the Vanguard fund per share owns 2.33x the underlying securities of the Principal fund per share. i.e. same ownership per dollar, which is what matters
by lack_ey
Fri Jan 13, 2017 11:26 am
Forum: Investing - Theory, News & General
Topic: institutional herding in corporate bonds and liquidity issues-beware ETFs in this space
Replies: 59
Views: 3348

Re: institutional herding in corporate bonds and liquidity issues-beware ETFs in this space

Still, to me "market price may be funny at times in times of market stress so you can't always get a fair price" sounds better than "other investors may screw you over by redeeming when NAV is higher than the underlying can be sold for." Supposing you were to invest any in specul...
by lack_ey
Fri Jan 13, 2017 1:46 am
Forum: Investing - Theory, News & General
Topic: "2016 Shows That Factors Are Fickle"
Replies: 45
Views: 3243

Re: "2016 Shows That Factors Are Fickle"

baw To me the conclusion is simple and obvious, since no one can know which factor(s) will do well in the future the prudent strategy is clearly to diversify across the factors that meet the criteria of being persistent, pervasive, robust, implementable and have intuitive reasons to believe you are...
by lack_ey
Thu Jan 12, 2017 8:33 pm
Forum: Investing - Theory, News & General
Topic: "2016 Shows That Factors Are Fickle"
Replies: 45
Views: 3243

Re: "2016 Shows That Factors Are Fickle"

baw To me the conclusion is simple and obvious, since no one can know which factor(s) will do well in the future the prudent strategy is clearly to diversify across the factors that meet the criteria of being persistent, pervasive, robust, implementable and have intuitive reasons to believe you are...
by lack_ey
Thu Jan 12, 2017 1:33 pm
Forum: Investing - Theory, News & General
Topic: Bogle says 50-50 short/intermediate bonds
Replies: 45
Views: 5340

Re: Bogle says 50-50 short/intermediate bonds

My fav but no TRSY's in it - Vanguard Intermediate-Term Investment Grade Bonds (VFIDX) Sure there are. About 10% Treasury/Agency. Many top holdings are Treasurys. I don't know if it has been or always will be so, but Vanguard's active investment-grade bond fund series has included a small percentag...
by lack_ey
Thu Jan 12, 2017 1:29 pm
Forum: Investing - Theory, News & General
Topic: "2016 Shows That Factors Are Fickle"
Replies: 45
Views: 3243

Re: "2016 Shows That Factors Are Fickle"

The world is constantly changing, both underlying economics and markets. The evolution will have some kind of effect on asset class and factor returns. There's no guarantee anything that used to work will work in the future to the same extent or at all, will have similar properties and return distri...
by lack_ey
Thu Jan 12, 2017 11:47 am
Forum: Investing - Theory, News & General
Topic: "2016 Shows That Factors Are Fickle"
Replies: 45
Views: 3243

Re: "2016 Shows That Factors Are Fickle"

Is market beta the least fickle of the fickle factors? (and what would be a good metric for factor fickleness? Mean time to "Revert to Mean?") You could measure this a number of ways and I don't think any one is particularly right. One way I've seen actually spelled out is historical occu...
by lack_ey
Wed Jan 11, 2017 11:33 pm
Forum: Investing - Help with Personal Investments
Topic: SWSSX Schwab Small-Cap Index Fund®
Replies: 14
Views: 1207

Re: SWSSX Schwab Small-Cap Index Fund®

I would avoid it. The Russell 2000 index tracked is not as bad as it used to be but still suffers from front-running problems. In a taxable account, even more definitely not. It's been relatively tax inefficient from the distributions. If you're at Schwab, try one of the ETFs. I imagine you have to ...
by lack_ey
Wed Jan 11, 2017 10:18 pm
Forum: Investing - Theory, News & General
Topic: AQR Relaxed Constraint Equity Funds
Replies: 26
Views: 2244

Re: AQR Relaxed Constraint Equity Funds

Value was also down in 2009.
by lack_ey
Wed Jan 11, 2017 7:48 pm
Forum: Investing - Theory, News & General
Topic: AQR Relaxed Constraint Equity Funds
Replies: 26
Views: 2244

Re: AQR Relaxed Constraint Equity Funds

One thing that I wasn't able to get from D. E. Shawn & Co.'s paper is how they believe that the quant funds underperformed. Was it due to a small number of stocks monitored, limitations on shorting stocks or something else. If someone has a good reference for me to better understand this I woul...
by lack_ey
Wed Jan 11, 2017 4:45 pm
Forum: Investing - Theory, News & General
Topic: Lazy Portfolio with Sector Funds
Replies: 33
Views: 2005

Re: Lazy Portfolio with Sector Funds

Has anyone looked at using sector funds ETFs instead of general market ETFs in designing lazy portfolios? It seems that VDC (Vanguard Consumer Staples ETF) might be as robust as VTI, but much less risky. In particular, I was looking at this two fund ETF portfolio: 75% VDC(Vanguard Consumer Staples ...
by lack_ey
Wed Jan 11, 2017 4:27 pm
Forum: Investing - Theory, News & General
Topic: institutional herding in corporate bonds and liquidity issues-beware ETFs in this space
Replies: 59
Views: 3348

Re: institutional herding in corporate bonds and liquidity issues-beware ETFs in this space

I'm pretty sure Larry would effectively say that 1. As stated before, there is less of an effect in the high quality parts of the market. He prefers keeping to the safest muni bonds, like AAA/AA-rated general obligation and essential services—furthermore excluding some states—which historically are ...
by lack_ey
Wed Jan 11, 2017 4:02 pm
Forum: Investing - Theory, News & General
Topic: Seed stage "index fund"
Replies: 12
Views: 1161

Re: Seed stage "index fund"

There are indexes for all kinds of things, though in some of these categories it may not be particularly easy for an index to accurately capture the market. Furthermore, the indexes are probably more for benchmarking than anything investable (in the sense of a fund or money manager being able to rep...
by lack_ey
Wed Jan 11, 2017 1:14 pm
Forum: Investing - Theory, News & General
Topic: VMMXX-Vanguard Prime Money Market is 55% Yankee/Foreign
Replies: 25
Views: 2236

Re: VMMXX-Vanguard Prime Money Market is 55% Yankee/Foreign

It's not so much the format that needs explaining. I can easily read an N-MFP2 style XML file or document into (say) emacs text editor XML-mode, and see exactly what the internal structure of the file is. What I'm talking about is massaging the data and perform calculations, and make reports, from ...
by lack_ey
Wed Jan 11, 2017 1:08 pm
Forum: Investing - Theory, News & General
Topic: A look at funds managed by the Vanguard Quantitative Equity Group (VUVLX, VSEQX, VSTCX, VMNFX, VMNVX, VASFX, VPGDX)
Replies: 19
Views: 2035

Re: A look at funds managed by the Vanguard Quantitative Equity Group (VUVLX, VSEQX, VSTCX, VMNFX, VMNVX, VASFX, VPGDX)

Earlier I skipped over (well, didn't notice) two more institutional funds the group ran: Vanguard Structured Large-Cap Equity and Vanguard Structured Broad Market. These are relatively small funds that are closing soon but I thought I should mention them for completeness, so I added a very brief des...
by lack_ey
Tue Jan 10, 2017 9:57 pm
Forum: Investing - Theory, News & General
Topic: ETF MKT% vs NAV% - what would make them diverge?
Replies: 4
Views: 255

Re: ETF MKT% vs NAV% - what would make them diverge?

...wait a sec, a year ago the Chinese market was melting down and they were halting trading and imposing all kinds of controls. Though IIRC that was the mainland stuff, not so much the stocks traded in Hong Kong (though there's some overlap) that would appear in the standard emerging markets funds. ...
by lack_ey
Tue Jan 10, 2017 7:57 pm
Forum: Investing - Theory, News & General
Topic: Seed stage "index fund"
Replies: 12
Views: 1161

Re: Seed stage "index fund"

Sorry, didn't check the video. Anything in writing available? Quick question, though, which may have been answered: how do you actually implement a strategy that "just buys into every single seed-stage round that any VC firm touched"? Surely many aren't going to be actually available for a...
by lack_ey
Tue Jan 10, 2017 11:42 am
Forum: Investing - Theory, News & General
Topic: ETF MKT% vs NAV% - what would make them diverge?
Replies: 4
Views: 255

Re: ETF MKT% vs NAV% - what would make them diverge?

What you're seeing is a very large premium to NAV about 1 year ago coloring the 1-year price/total return numbers. I'm not aware of what specifically that is about and what the fund was like back then, but it's less surprising for a fund like this. http://i.imgur.com/CQGugFo.png Less divergence thes...
by lack_ey
Mon Jan 09, 2017 6:28 pm
Forum: Investing - Theory, News & General
Topic: Lazy Portfolio with Sector Funds
Replies: 33
Views: 2005

Re: Lazy Portfolio with Sector Funds

If nothing else I think it would be bad "politics" to slap different ratings for different sectors, even though consumer staples and utilities probably should be more a 4 than a 5. People would take it the wrong way or draw conclusions or do things they shouldn't. I think I see indications...
by lack_ey
Mon Jan 09, 2017 5:00 pm
Forum: Investing - Theory, News & General
Topic: Lazy Portfolio with Sector Funds
Replies: 33
Views: 2005

Re: Lazy Portfolio with Sector Funds

And there is a lot of research that over long periods, low volatility stocks outperform the market. There is? Can you link to some of that research? Because that's directly the opposite of what is generally expected from the "risk premium". There are a few different formulations and it re...
by lack_ey
Mon Jan 09, 2017 4:43 pm
Forum: Investing - Theory, News & General
Topic: Lazy Portfolio with Sector Funds
Replies: 33
Views: 2005

Re: Lazy Portfolio with Sector Funds

...This is another case where I would take Vanguard's personal investors website's risk-o-meter as likely wrong (here also the product summary on the mutual fund, which is for whatever reason different from the points given on the ETF page) and probably not thought out by anybody who particularly k...
by lack_ey
Mon Jan 09, 2017 2:00 pm
Forum: Personal Consumer Issues
Topic: Desktop PC monitors
Replies: 13
Views: 1122

Re: Desktop PC monitors

You can increase text/UI scaling in Windows if you really have to, which works better than it used to in say Windows 10 (still isn't great). That said, many 3rd-party programs won't particularly play nice. In any case a lot of higher-end laptops ship that way. But if you're doing that, then the extr...
by lack_ey
Mon Jan 09, 2017 1:37 pm
Forum: Investing - Theory, News & General
Topic: Lazy Portfolio with Sector Funds
Replies: 33
Views: 2005

Re: Lazy Portfolio with Sector Funds

Since I don't follow much of the financial press except as it pops up in Bogleheads, does someone happen to know why oh why oh why we are suddenly seeing so much about consumer staples? There are eleven sectors, and you'd expect them to be fairly different from each other, and I've no doubt that th...
by lack_ey
Mon Jan 09, 2017 11:40 am
Forum: Investing - Help with Personal Investments
Topic: Is there a big difference between VTINX and VWIAX
Replies: 2
Views: 316

Re: Is there a big difference between VTINX and VWIAX

Wellesley Income had ⋅ Higher stock allocation (stocks have done better in most lookback periods starting from the present) ⋅ Significantly higher US stock allocation relative to ex-US stocks (which have also done better in most lookback periods) ⋅ Tilt in stocks toward...
by lack_ey
Mon Jan 09, 2017 11:23 am
Forum: Investing - Help with Personal Investments
Topic: Short Duration National Muni Bond Funds
Replies: 9
Views: 946

Re: Short Duration National Muni Bond Funds

Wait, SEC yield around 1.5-2.0% or are you talking some kind of distribution yield or something else? Tax adjusted (at which tax level?) or not?

Go to advanced search