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by larryswedroe
Thu Dec 08, 2016 5:12 pm
Forum: Investing - Theory, News & General
Topic: AQR - Alternative Thinking 4Q 2016: Superstar Investors
Replies: 21
Views: 1152

Re: AQR - Alternative Thinking 4Q 2016: Superstar Investors

nedsaid
Not quite, the problem is that if I picked my own stocks I'd have a much wider dispersion of potential outcomes with the same expected return, which is DUMB. (:-))
Larry
by larryswedroe
Thu Dec 08, 2016 4:11 pm
Forum: Investing - Theory, News & General
Topic: Explain why Rebalancing isn't Market Timing?
Replies: 145
Views: 3269

Re: Explain why Rebalancing isn't Market Timing?

Nisprius IMO this statement is empirically false However, the belief that rebalancing helps--that it does more than just hold portfolio volatility steady--is based on a prediction, specifically a prediction of mean reversion. Let's say you want to be 60/40 in stocks and bonds and you rebalance annua...
by larryswedroe
Thu Dec 08, 2016 2:22 pm
Forum: Investing - Theory, News & General
Topic: AQR - Alternative Thinking 4Q 2016: Superstar Investors
Replies: 21
Views: 1152

Re: AQR - Alternative Thinking 4Q 2016: Superstar Investors

nedsaid I agree, when you cannot identify the sucker at the poker table..... you're the dumb money. And speculating too (taking uncompensated risks you can diversify away (:-)) haven't owned an individual stock in well over 20 years, and I was trained to be a security analyst, and finished at top of...
by larryswedroe
Thu Dec 08, 2016 2:20 pm
Forum: Investing - Theory, News & General
Topic: Explain why Rebalancing isn't Market Timing?
Replies: 145
Views: 3269

Re: Explain why Rebalancing isn't Market Timing?

Don't have time to read whole thread but to me it's simple Market timing is based on belief that you know the direction of the market, or at least put the odds in your favor by increasing or decreasing allocations based on a view, whether systematic (as in momentum strategies) or discretionary. Reba...
by larryswedroe
Thu Dec 08, 2016 1:47 pm
Forum: Investing - Theory, News & General
Topic: AQR - Alternative Thinking 4Q 2016: Superstar Investors
Replies: 21
Views: 1152

Re: AQR - Alternative Thinking 4Q 2016: Superstar Investors

No one says skill doesn't exist, and clearly Lynch had skill. But with that said, his alpha declined sharply over time, and it was greatest when he ran a private fund for the Johnsons and had very small amount of assets, and markets were less efficient and competition was much easier for whole varie...
by larryswedroe
Thu Dec 08, 2016 12:30 pm
Forum: Investing - Theory, News & General
Topic: AQR - Alternative Thinking 4Q 2016: Superstar Investors
Replies: 21
Views: 1152

Re: AQR - Alternative Thinking 4Q 2016: Superstar Investors

nedsaid I think the main point is that Buffett's success basically had little to nothing to do with what stocks he bought. AQR showed that in two different papers. What his success had to do with was identifying before the academics what CHARACTERISTICS (factors) are important and then having the di...
by larryswedroe
Thu Dec 08, 2016 10:11 am
Forum: Investing - Theory, News & General
Topic: AQR - Alternative Thinking 4Q 2016: Superstar Investors
Replies: 21
Views: 1152

Re: AQR - Alternative Thinking 4Q 2016: Superstar Investors

Nedsaid First, you don't have the ability to leverage at the low costs that BRK does via it's insurance company. Second, you don't have the ability to negotiate "special" deals in times of crisis that Buffett has because his name alone helps to convey stability and he can make very large i...
by larryswedroe
Thu Dec 08, 2016 9:13 am
Forum: Investing - Theory, News & General
Topic: AQR - Alternative Thinking 4Q 2016: Superstar Investors
Replies: 21
Views: 1152

Re: AQR - Alternative Thinking 4Q 2016: Superstar Investors

What's happened is that the academic research has effectively converted what was once alpha (skill) into beta (or loading on a factor) which is a commodity. One you can charge a lot for because it's a scarce resource, the other should be relatively cheap as it's a commodity.
by larryswedroe
Wed Dec 07, 2016 8:31 pm
Forum: Investing - Theory, News & General
Topic: Swedroe's book
Replies: 22
Views: 2245

Re: Swedroe's book

Just an fyi, I note that Amazon now has both the kindle and paperback up on the site, so looks like all is good now. Thanks for your patience.
Larry
by larryswedroe
Wed Dec 07, 2016 4:27 pm
Forum: Investing - Theory, News & General
Topic: Swedroe's book
Replies: 22
Views: 2245

Re: Swedroe's book

Rapporteur
Thanks for the suggestion. Passing it on.
Larry
by larryswedroe
Wed Dec 07, 2016 11:56 am
Forum: Investing - Theory, News & General
Topic: No Growth?
Replies: 15
Views: 1580

Re: No Growth?

whitecoat I agree with your thoughts on this issue, one should only invest in what they believe in strongly for variety of reasons. With that said, it's important to note IMO that the more SV you hold the less systematic exposure to market beta you need to hold, and that historically has produced mu...
by larryswedroe
Wed Dec 07, 2016 11:52 am
Forum: Investing - Theory, News & General
Topic: Swedroe's book
Replies: 22
Views: 2245

Re: Swedroe's book

CJ This one just fell short of OUR requirements, which are higher than for what an individual might want to see as we are very large firm and of course then tend to trade same funds around same time for rebalancing and TLH purposes. Implementation costs matter. This was just short. In terms of our c...
by larryswedroe
Wed Dec 07, 2016 9:50 am
Forum: Investing - Theory, News & General
Topic: Summary of the research on structured products
Replies: 0
Views: 135

Summary of the research on structured products

Swedroe's Law--the more complex the structured note the faster you should run from it [url] http://www.etf.com/sections/index-investor-corner/swedroe-avoid-structured-products-game[/url] While I tend to libertarian principles IMO the vast majority of these products should literally be banned as simp...
by larryswedroe
Wed Dec 07, 2016 9:45 am
Forum: Investing - Theory, News & General
Topic: No Growth?
Replies: 15
Views: 1580

Re: No Growth?

Value thinker Yes Buffett was/is value + quality. Which is basically what DFA value funds have evolved to as they added profitability factor several years ago And yes agency risk is a real problem for active managers, it's one reason they fail IMO. It's also why you see the results you get in the Te...
by larryswedroe
Wed Dec 07, 2016 9:40 am
Forum: Investing - Theory, News & General
Topic: No Growth?
Replies: 15
Views: 1580

Re: No Growth?

Boglerdude Here's what happens, when more assets are invested in any factor the spread between the valuations of the cheap and the expensive narrows, narrowing the premium. And could eliminate it. Now if you think that is going to happen you should jump on the "bandwagon" and earn a nice c...
by larryswedroe
Wed Dec 07, 2016 9:36 am
Forum: Investing - Theory, News & General
Topic: Swedroe's book
Replies: 22
Views: 2245

Re: Swedroe's book

Klangfool And it should have all the errors corrected too (:-)). Hopefully can get that print version available up too, don't know what's holding that up
Best wishes
Larry
by larryswedroe
Wed Dec 07, 2016 9:24 am
Forum: Investing - Theory, News & General
Topic: Swedroe's book
Replies: 22
Views: 2245

Re: Swedroe's book

Finally the kindle version is now available here Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today

Best wishes
Larry

[Link formatted by admin LadyGeek]
by larryswedroe
Tue Dec 06, 2016 7:18 pm
Forum: Investing - Theory, News & General
Topic: No Growth?
Replies: 15
Views: 1580

Re: No Growth?

few things First ignore that tell tale chart stuff. It amazes me that still gets cited because it is dead wrong. It doesn't show what it says it shows. It shows that ACTIVE value managers didn't beat ACTIVE growth managers. The fact are that value stocks outperformed growth stocks. Second, I've been...
by larryswedroe
Tue Dec 06, 2016 3:12 pm
Forum: Investing - Theory, News & General
Topic: New Paper on CAPE thought the "geeks" would be interested in
Replies: 5
Views: 713

New Paper on CAPE thought the "geeks" would be interested in

https://papers.ssrn.com/sol3/Papers.cfm?abstract_id=2752725 Uncloaking Campbell and Shiller's CAPE: A Comprehensive Guide to its Construction and Use Thomas K. Philips BNP Paribas Investment Partners Cenk Ural Barclays - Risk Analytics and Index Solutions August 15, 2016 Best wishes Larry
by larryswedroe
Tue Dec 06, 2016 2:53 pm
Forum: Investing - Theory, News & General
Topic: Global bonds suffer worst monthly meltdown, cause for concern?
Replies: 42
Views: 5571

Re: Global bonds suffer worst monthly meltdown, cause for concern?

FWIW, I just bought a AA+ rated local Cal school muni due 8/2026 yielding 3.08%, just keep extending the ladder as interest comes in and bonds mature. Curve certainly not flat, so getting paid to take the term risk. Stay the course. This was odd lot btw.
Larry
by larryswedroe
Tue Dec 06, 2016 12:47 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

Lack_ey
Had not thought of that, so even there you can get some disagreement.
Larry
by larryswedroe
Tue Dec 06, 2016 12:46 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

Nedsaid
Glad it was helpful. And only bad question is the one you didn't ask!
Larry
by larryswedroe
Tue Dec 06, 2016 12:32 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

nedsaid Be careful before you draw any conclusions. That M* figure I am guessing you are using is likely one year. But over last 10 years DFA SV would have averaged about 15-20% turnover. Bridgeway more like 25-30 due to tighter bands As to MOM, again it's all about how you choose to define it. I ch...
by larryswedroe
Tue Dec 06, 2016 12:06 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

nedsaid To me I'm basically agnostic on that issue. And one reason is this. The tighter the bands you set to get more exposure to a factor, the higher the turnover will be. So two funds, with exactly the same investment philosophy--gaining systematic exposure to a factor---will have different turnov...
by larryswedroe
Tue Dec 06, 2016 1:36 am
Forum: Investing - Theory, News & General
Topic: Nice short Vanguard videos on factor based investing
Replies: 31
Views: 2615

Re: Nice short Vanguard videos on factor based investing

Garland I've heard that argument about delisting biase before and IMO it's not really an issue. And here's why. It's not like you equal weight stocks in a passively managed fund, at least not if you do it as DFA and others do it. They market cap weight. By the time a stock had delisted the valuation...
by larryswedroe
Mon Dec 05, 2016 7:46 pm
Forum: Investing - Theory, News & General
Topic: P2P Lending Dead
Replies: 51
Views: 5192

Re: P2P Lending Dead

Slick
It's possible. Can always ask them
Larry
by larryswedroe
Mon Dec 05, 2016 7:25 pm
Forum: Investing - Theory, News & General
Topic: P2P Lending Dead
Replies: 51
Views: 5192

Re: P2P Lending Dead

Slick
For better or worse Stone Ridge funds only available through approved RIAs
There are other products like River North that don't have that requirement, and it's bit cheaper. Might check them out.
Larry
by larryswedroe
Mon Dec 05, 2016 6:09 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

nedsaid
Interesting, so if you have turnover of 25%, that's average holding of 4 years, and you would not call that Passive?
No need to respond, just find that interesting, not that there's anything wrong with that (:-))
Larry
by larryswedroe
Mon Dec 05, 2016 5:36 pm
Forum: Investing - Theory, News & General
Topic: Swedroe's book
Replies: 22
Views: 2245

Re: Swedroe's book

Little good news, I'm told the publisher now has the eversion ready and should not take Amazon more than day or so to get it up. Same for the corrections to the printed version

Best wishes
Larry
by larryswedroe
Mon Dec 05, 2016 5:34 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

Nedsaid Each to his own definition. I would not include low turnover in passive, but can understand others including it. To me it's about systematic exposure to factors or asset classes. BTW- I know of a fund with about $1b in AUM who has one very part time trader, basically submits the trades to th...
by larryswedroe
Mon Dec 05, 2016 1:54 pm
Forum: Investing - Theory, News & General
Topic: Nice short Vanguard videos on factor based investing
Replies: 31
Views: 2615

Re: Nice short Vanguard videos on factor based investing

Garland Your point about the past is important, which is why one should require the factor meet all the criteria we established, including intuitiveness, so reason to believe it will persist. And of course there are no guarantees as to history repeating, if there were there would be no risk. Differe...
by larryswedroe
Mon Dec 05, 2016 1:43 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

Nedsaid yes I agree we are basically on same page. Just two things to add First the stock screens are not continuously updated, which implies with great regularity. I can recall two significant changes, as I noted, in 20 years, the first to incorporate momentum in 2003 and the second in I think 2013...
by larryswedroe
Mon Dec 05, 2016 11:51 am
Forum: Investing - Theory, News & General
Topic: History of the Cross Section of Stock Returns (paper)
Replies: 7
Views: 644

Re: History of the Cross Section of Stock Returns (paper)

Nisi
Don't know the answer to that one, someone might calculate if they do, But they certainly meet all the criteria we set, which are IMO very high bars, as they must meet them all. And that includes the out of sample tests.
Larry
by larryswedroe
Mon Dec 05, 2016 11:33 am
Forum: Investing - Theory, News & General
Topic: What you should know before you do factor investing
Replies: 18
Views: 1401

Re: What you should know before you do factor investing

trader Well market beta underperformed massively for 9 years from 2000-09 and also for long period in Great Depression, and in other periods as well. This is true of all risky investors, which is why most retail investors underperform the very funds in which they invest--they don't stay the course. ...
by larryswedroe
Mon Dec 05, 2016 9:10 am
Forum: Investing - Theory, News & General
Topic: The fairy tale that are structured products, buyer beware
Replies: 4
Views: 692

The fairy tale that are structured products, buyer beware

http://www.etf.com/sections/index-investor-corner/swedroe-fairy-tale-behind-structured-products

This is one case where virtually by definition you should never buy these products. We have analyzed well over 100 over the years and found none that was worth looking at.

Larry
by larryswedroe
Mon Dec 05, 2016 9:05 am
Forum: Investing - Theory, News & General
Topic: P2P Lending Dead
Replies: 51
Views: 5192

Re: P2P Lending Dead

sperry First you should not invest in something you don't understand, as all risky assets will go through some long difficult periods, or at least that's possible. Second, with that in mind, this is really a simple product, though one fraught with risk if don't have the right credit culture. That's ...
by larryswedroe
Mon Dec 05, 2016 8:59 am
Forum: Investing - Theory, News & General
Topic: Reinsurance. CAT bonds
Replies: 2
Views: 233

Re: Reinsurance. CAT bonds

Just a thought for you. CAT bonds have performed well and they are logical investments with a risk premium and unique risk that is uncorrelated to anything. With that said, the ZRP has led to a stretching for yield and that has driven prices of all assets with yield way up and expected returns down....
by larryswedroe
Mon Dec 05, 2016 8:54 am
Forum: Investing - Theory, News & General
Topic: History of the Cross Section of Stock Returns (paper)
Replies: 7
Views: 644

Re: History of the Cross Section of Stock Returns (paper)

Beliavsky The problems noted are exactly why we established in Your Complete Guide to Factor Based Investing the five criteria of persistence, pervasiveness, robustness, implementability, and intuitiveness before one should consider investing in a factor. It's to minimize if not avoid the risks of d...
by larryswedroe
Mon Dec 05, 2016 8:50 am
Forum: Investing - Theory, News & General
Topic: Nice short Vanguard videos on factor based investing
Replies: 31
Views: 2615

Re: Nice short Vanguard videos on factor based investing

Jason As we explain in the book in the appendix on the incremental power of additional factors, if three factors explain about 92% of returns then you cannot get that much more RETURN by adding other factors, like momentum or quality. Let's just say 50-100 bp perhaps. But that isn't the right way to...
by larryswedroe
Mon Dec 05, 2016 8:42 am
Forum: Investing - Theory, News & General
Topic: Isn't Vanguard misleading investors with BNDX?
Replies: 11
Views: 1853

Re: Isn't Vanguard misleading investors with BNDX?

There are the fund's MANAGEMENT FEE, which is the reported ER. But all funds have other costs, including trading (bid-offer and market impact) and hedging in this case. They aren't in any fund's ER, they just reduce returns.
Larry
by larryswedroe
Sun Dec 04, 2016 7:08 pm
Forum: Investing - Theory, News & General
Topic: P2P Lending Dead
Replies: 51
Views: 5192

Re: P2P Lending Dead

Packer, yes expected losses are about 4%, and that's based on lots of data for loans of this type quality. Also keep in mind that most business loans are either secured or have personal guarantees, or both, and they make up about 50% of portfolio. Also on most consumer loans they have a priority, th...
by larryswedroe
Sun Dec 04, 2016 6:27 pm
Forum: Investing - Theory, News & General
Topic: Swedroe's book
Replies: 22
Views: 2245

Re: Swedroe's book

stumblebum
We worked with firm we had worked with before who has lots of experience. Mistakes just happen. And they were not ours in the submission. That was checked even after we learned of the mistakes. And it's out of print because we are making the corrections.
by larryswedroe
Sun Dec 04, 2016 6:25 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

Nedsaid to be clear there's no human judgment once the rules have been set. And note that YES computer algorithms are all about patient trading, not taking offers and hitting bids. That's how almost all "smart" trading is done these days with very little human judgments, just humans watchi...
by larryswedroe
Sun Dec 04, 2016 6:07 pm
Forum: Investing - Theory, News & General
Topic: P2P Lending Dead
Replies: 51
Views: 5192

Re: P2P Lending Dead

Packer, Here's an example, I've never had a late payment to a credit card in my life. Note once. I recently got a notice from my card provider raising my rate from 21 to 23%. Now irrelevant to me. But for those with relatively high FICO scores a 14% rate for fully amortizing loan is a lot better tha...
by larryswedroe
Sun Dec 04, 2016 2:40 pm
Forum: Investing - Theory, News & General
Topic: P2P Lending Dead
Replies: 51
Views: 5192

Re: P2P Lending Dead

rrppve Well certainly entitled to opinion but let me offer different perspective First re liquidity and endowments. The concept is the same but the kind of returns you are talking about are for investments with dramatically higher risks, not just liquidity which is much longer term liquidity risk, b...
by larryswedroe
Sun Dec 04, 2016 1:30 pm
Forum: Investing - Theory, News & General
Topic: active, passive, and factor investing
Replies: 40
Views: 2422

Re: active, passive, and factor investing

Private farmer Well obviously I believe they will add enough value or I would not be personally invested in their funds, nor recommend them. Also Vanguard doesn't even offer funds with these type exposures in some asset classes like international and EM. So that's big advantage because there you not...
by larryswedroe
Sun Dec 04, 2016 1:23 pm
Forum: Investing - Theory, News & General
Topic: Nice short Vanguard videos on factor based investing
Replies: 31
Views: 2615

Re: Nice short Vanguard videos on factor based investing

investor guy Re returns on value vs growth. If you believe the risk story than value stocks get their earnings discounted at a higher rate and thus they have higher expected returns. If you believe the behavioral story the same thing is true, it's just mispricing not risk As to shifting tilts as age...
by larryswedroe
Sun Dec 04, 2016 1:16 pm
Forum: Investing - Theory, News & General
Topic: P2P Lending Dead
Replies: 51
Views: 5192

Re: P2P Lending Dead

stlutz [OT comment removed by moderator prudent] As to your comments above, of course one should read a prospectus and be fully informed. That's true of every investment. As to only being appropriate for high net individuals, IMO there is no basis for that at all. It's appropriate for any investor (...
by larryswedroe
Sun Dec 04, 2016 10:39 am
Forum: Investing - Theory, News & General
Topic: Nice short Vanguard videos on factor based investing
Replies: 31
Views: 2615

Re: Nice short Vanguard videos on factor based investing

investor guy Unfortunately Bogle's got that one wrong, at least all the evidence says that if anything there is a negative relationship between growth and expected returns. Yes growth companies have higher growth in earnings, but they deliver lower returns, due to the fact that the higher expected e...
by larryswedroe
Sun Dec 04, 2016 10:36 am
Forum: Investing - Theory, News & General
Topic: P2P Lending Dead
Replies: 51
Views: 5192

Re: P2P Lending Dead

Packer Without going through all the math, you have average YIELD of about 14% on the portfolio of PRIME loans, less the servicing fee. So let's call it 13%. Take off 4% for expected losses that's about 9%. Then 2% for management fees and get about 7%. Then add bit back due to the benefit of the sma...

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