Search found 15526 matches

by larryswedroe
Wed Apr 26, 2017 4:20 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe says "Goodbye."
Replies: 336
Views: 36753

Re: Larry Swedroe says "Goodby."

I thought I would wait till the thread seemed to have run its course and then thank everyone for taking the time to post their gratitude. It is greatly appreciated and made me feel that all the time spent was worthwhile. And I've gotten dozens of PMs as well. Please note that I'm still happy to answ...
by larryswedroe
Thu Apr 20, 2017 10:34 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe says "Goodbye."
Replies: 336
Views: 36753

Re: Larry Swedroe says "Goodby."

To the Boglehead community I had no intention of looking any further at the site, but Taylor sent me PM letting me know about all the comments so I wanted to first thank all those for taking the time to let me know how much they appreciated the efforts over the years. I've also gotten dozens of PMs ...
by larryswedroe
Sun Apr 09, 2017 3:03 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

nedsaid skepticism is quite healthy and asking questions, which is fine, is another, and so is pointing out what are risks, but making statements as facts when what you don't know or don't understand is completely another. Just look at this statement that is highlighted above Big thing to remember i...
by larryswedroe
Sun Apr 09, 2017 10:56 am
Forum: Investing - Theory, News & General
Topic: How to approach a tilted portfolio as retirement approaches
Replies: 20
Views: 1463

Re: How to approach a tilted portfolio as retirement approaches

Moto
One of best books on value investing is Quantitative Value, Can also read Expected Returns
Glad you are enjoying the book and finding it helpful. And can always email me if have questions if prefer,
Larry
by larryswedroe
Sun Apr 09, 2017 10:54 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

It really amazes me how blind people are to their own beliefs which causes them to totally misinterpret things. Here are two perfect examples Saying reinsurance has 'less tail risk' is hilarious. No nowhere did I say anything like this. In fact reinsurance has tail risk, it has negative skewness, wh...
by larryswedroe
Sun Apr 09, 2017 8:34 am
Forum: Investing - Theory, News & General
Topic: Which Larry Portfolio variation would you choose?
Replies: 30
Views: 3016

Re: Which Larry Portfolio variation would you choose?

Just to add that it's highly likely that consumer staple returns are explained by the common factors to which they have exposure to. And we can see that looking at VCSAX, consumer staples fund. As you would expect these are defensive type stocks, and that shows up in the very high loading on quality...
by larryswedroe
Sun Apr 09, 2017 8:29 am
Forum: Investing - Theory, News & General
Topic: Lies, Damn Lies and Financial Statistics by Coy
Replies: 11
Views: 1975

Re: Lies, Damn Lies and Financial Statistics by Coy

That's why any investment/factor should be required to pass the many criteria Andy Berkin and I included in our Factor book-- Not just evidence of a premium but evidence in out of sample tests--being persistent across long periods of time, being pervasive around the globe and even asset classes, bei...
by larryswedroe
Sun Apr 09, 2017 8:25 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Avalpert That is very simple to answer---why is it different The model was used by people who had INCENTIVE to create more product, to allow more assets to be highly rated, so they could collect more fees (including the ratings agencies). Here there are no incentives to companies and individuals to ...
by larryswedroe
Sat Apr 08, 2017 7:33 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

you keep talking about the diversified nature of the reinsurance contracts in exactly the same way that diversification, and an assumption about correlation of those diversified entities, was used to support AAA ratings of CDOs - we now know the correlation assumptions there were dangerously wrong....
by larryswedroe
Sat Apr 08, 2017 7:28 pm
Forum: Investing - Theory, News & General
Topic: Part 2 of the series on alternative sources, this one on alternative lending
Replies: 16
Views: 1659

Re: Part 2 of the series on alternative sources, this one on alternative lending

Phil
I don't see how it's even remotely possible to make multi-year loans and have daily liquidity for a fund. It has to be closed end in some way.
Larry
by larryswedroe
Sat Apr 08, 2017 6:33 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Oblivious IMO the best operating assumption in free capital markets is that all publicly available information is in prices---it's not always perfectly the case but markets are highly, if not perfectly, efficient. And again, repeat, reinsurance portfolios are highly diversified by types of risks. La...
by larryswedroe
Sat Apr 08, 2017 6:23 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Avalpert I totally disagree with your statement. That model, or if you prefer to think it's misuse (which is the same thing),had literally nothing to do with it, it was frauds and excessive leverage and regulators failing to do their jobs, etc. Even making that statement IMO is totally absurd. And I...
by larryswedroe
Sat Apr 08, 2017 2:39 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

avalpert First, the point is that they are aware and adjust pricing and risk taking and how they diversify into account. Second, your point on modeling is simply false. The great financial crisis had literally nothing to with modeling, and nor did the failure of LTCM (as many think). Now of course t...
by larryswedroe
Sat Apr 08, 2017 1:52 pm
Forum: Investing - Theory, News & General
Topic: How to approach a tilted portfolio as retirement approaches
Replies: 20
Views: 1463

Re: How to approach a tilted portfolio as retirement approaches

As you age and enter retirement the left tail risk becomes more and more important which IMO argues for more and more tilt while AT SAME TIME lowering equity allocation to maintain the expected return needed. This idea of RELATIVE performance (the dreaded tracking error regret disease) is IMO a fool...
by larryswedroe
Sat Apr 08, 2017 7:49 am
Forum: Investing - Theory, News & General
Topic: Which Larry Portfolio variation would you choose?
Replies: 30
Views: 3016

Re: Which Larry Portfolio variation would you choose?

Leif
Glad to be of help and no right answer--just one right for you. Just remember that the less you tilt the lower your expected return which means you have to hold more equity risks to get the same expected return and that creates more tail risk, the thing you are trying to avoid.
Larry
by larryswedroe
Sat Apr 08, 2017 7:46 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

I would be concerned that reinsurance will be exposed to greater and more correlated risks due to the increase in extreme weather events that will accompany climate change. Fires, droughts, floods, hurricanes, and tornados are predicted to be more frequent and more severe. Political instability is ...
by larryswedroe
Fri Apr 07, 2017 8:15 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

DAVE IMO it's certainly worth considering as I am doing. Reason is say you buy even 10 year muni ladder and say 1.5%. So you buy lendx and assume conservative 6%, and 50% total taxes, that's 3 AT and only 1.5 year duration----though do have credit risk (some) and lose some left tail protection, and ...
by larryswedroe
Fri Apr 07, 2017 7:50 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Dave I hold the two SR products in IRA and QSPRX in taxable And would not rate them differently if taxable or not and reason is as I said LENDX is "too good"---the returns look too high to me relative to the risks. But of course I don't need the liquidity so perhaps spreads may never come ...
by larryswedroe
Fri Apr 07, 2017 7:11 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

wije Now this is very personal choice but I would rank them right now LENDX, SRRIX and QSPRX and that is the order in which my allocations are in terms of weighting. In fact I think LENDX is "too good to be true" and that will result in huge flows and pull spreads down some over time. Now ...
by larryswedroe
Fri Apr 07, 2017 7:06 pm
Forum: Investing - Theory, News & General
Topic: Part 2 of the series on alternative sources, this one on alternative lending
Replies: 16
Views: 1659

Re: Part 2 of the series on alternative sources, this one on alternative lending

Dave First, either Stone Ridge product must be purchased by an advisor approved by Stone Ridge through them on behalf of the investor, and they can only be bought on certain dates. LENDX is once a month with advance notice (think several weeks) and SRRIX just three times per year (Jan, March and May...
by larryswedroe
Fri Apr 07, 2017 11:53 am
Forum: Investing - Theory, News & General
Topic: Part 2 of the series on alternative sources, this one on alternative lending
Replies: 16
Views: 1659

Re: Part 2 of the series on alternative sources, this one on alternative lending

Few things, Aristolean Again you are betting on their management of the business, not on the credit spread premium. Not at all the same thing. Re psteinx comments, as I already explained in other threads on this topic, the ER in the prospectus is literally nonsensical and doesn't reflect reality. Th...
by larryswedroe
Fri Apr 07, 2017 10:11 am
Forum: Investing - Theory, News & General
Topic: Part 2 of the series on alternative sources, this one on alternative lending
Replies: 16
Views: 1659

Re: Part 2 of the series on alternative sources, this one on alternative lending

EzM As I explained ---re reinsurance, our first thought was to just buy the reinsurers to get access to that risk. But the problem is that gives you also big exposure to market beta as well, which we don't want. So the next thought was to hedge that risk out, and short beta while owning the reinsure...
by larryswedroe
Fri Apr 07, 2017 8:20 am
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10757

Re: nice short piece on the math of factor investing

Deadman
Vanguard, like most target date funds tend to have market like portfolios for simplicity---so you don't get the diversification across factors, or at least not much of it. There may be funds that do that but I am not aware.
Larry
by larryswedroe
Fri Apr 07, 2017 8:19 am
Forum: Investing - Theory, News & General
Topic: Which Larry Portfolio variation would you choose?
Replies: 30
Views: 3016

Re: Which Larry Portfolio variation would you choose?

Leif
FWIW, I would take exactly the opposite approach, with going more and more tilt allowing less and less equity because that cuts left tail risk which becomes more and more critical in retirement.
Larry
by larryswedroe
Fri Apr 07, 2017 8:17 am
Forum: Investing - Theory, News & General
Topic: Part 2 of the series on alternative sources, this one on alternative lending
Replies: 16
Views: 1659

Part 2 of the series on alternative sources, this one on alternative lending

http://www.etf.com/sections/index-investor-corner/swedroe-benefits-alternative-lending?nopaging=1 Another simple, not complex, product that basically puts you in the banking business (on the right side, as lender not borrower) without the infrastructure costs just as the reinsurance product put you...
by larryswedroe
Thu Apr 06, 2017 8:53 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Garland Much of what you say is incorrect. For example, Severe disasters, the kind when SRRIX's profits would be expected to be under pressure due to outflows, include for example devastating worldwide economic events such as the Great Depression, or a major international political event such as a w...
by larryswedroe
Thu Apr 06, 2017 8:35 pm
Forum: Investing - Theory, News & General
Topic: Why cheaper index funds translate into lower future returns
Replies: 26
Views: 4171

Re: Why cheaper index funds translate into lower future returns

Paul Sorry but IMO you are wrong and the article is correct, at least in its basics. In fact I wrote about this issue in my treatise on the CAPE 10 and why it was not signalling overvaluation. The fact that both trading costs have come way down (both bid-offer spreads and commissions) and the costs ...
by larryswedroe
Thu Apr 06, 2017 2:18 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Few things I can add here that might be helpful First, re the gates. They are good thing, not bad thing. They allow the fund to operate efficiently and take longer term positions, negotiating strategic relationships with reinsurers. That allows the fund to cut better deals, more favorable. Second, t...
by larryswedroe
Thu Apr 06, 2017 11:00 am
Forum: Investing - Theory, News & General
Topic: Which Larry Portfolio variation would you choose?
Replies: 30
Views: 3016

Re: Which Larry Portfolio variation would you choose?

Nisiprius By larry type I mean basically a very highly tilted portfolio for the equity portion and then for whatever the bond allocation is it's in safe bonds. So that can be applied in two ways, the tilt to get higher returns with more risk, or similar returns with lot less risk Now I've adapted th...
by larryswedroe
Thu Apr 06, 2017 10:37 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

siamond, by looking at the historical evidence--that's how you make estimates of returns. You also might look at insurance company stocks. Note insurers don't write business to earn bond like returns as there is much more risk, which the premiums reflect. And in fact they are equity like returns bec...
by larryswedroe
Thu Apr 06, 2017 10:33 am
Forum: Investing - Theory, News & General
Topic: Larry-ish Portfolio, But Easier To Implement. Thoughts?
Replies: 58
Views: 5350

Re: Larry-ish Portfolio, But Easier To Implement. Thoughts?

theoretical
Likely would not be owning TIPS in taxable accounts, and for shorter end for inflation protection CDs would be choice. And personally would in general prefer longer TIPS as get the same inflation hedge but also get TERM premium
Larry
by larryswedroe
Thu Apr 06, 2017 10:31 am
Forum: Investing - Theory, News & General
Topic: Which Larry Portfolio variation would you choose?
Replies: 30
Views: 3016

Re: Which Larry Portfolio variation would you choose?

ZZ First, no right answer, depends on many issues including your ability to accept the risk of that dreaded disease known as tracking error regret. But with that said, I personally used to own both LV and SV and now only basically SV, allowing me to hold less equity risk overall, or get higher expec...
by larryswedroe
Thu Apr 06, 2017 9:44 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

aristotelian
The type of student loans that SOFI makes and LENDX purchases are SUPER PRIME loans, not the type you are seeing the bubble in
Larry
by larryswedroe
Thu Apr 06, 2017 9:16 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

I thought it worthwhile to give example of how lack of knowledge and simple reading of prospectuses leads to really bad conclusions that people draw. I've raised this before in other examples. So I'll do it again here. This has to do with the incentive fees mentioned above re the prospectus. First, ...
by larryswedroe
Thu Apr 06, 2017 9:04 am
Forum: Investing - Theory, News & General
Topic: Which Larry Portfolio variation would you choose?
Replies: 30
Views: 3016

Re: Which Larry Portfolio variation would you choose?

fwiw, TE should be irrelevant to sophisticated investor, as it's not about RELATIVE returns to anything else. You decide what risks you want to take and then don't confuse strategy and outcome. With that said 2 is clearly my preference. Value premium much larger in small than in large, for obvious r...
by larryswedroe
Thu Apr 06, 2017 9:02 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Psteinx There is data on insurance returns going back very long time. Based on the historical evidence we believe the SD of returns will be about 10%, with some left skew (obviously can have big losses but not huge gains). 2005 was the last bad year, with three catastrophic type events, and we estim...
by larryswedroe
Thu Apr 06, 2017 8:55 am
Forum: Investing - Theory, News & General
Topic: Larry-ish Portfolio, But Easier To Implement. Thoughts?
Replies: 58
Views: 5350

Re: Larry-ish Portfolio, But Easier To Implement. Thoughts?

theoretical RE CDs and 33% rate. On the long end of the curve that is usually true, but not always so on the shorter end. Over the last five years with the very steep curve at the short end for munis we even bought CDs out to as far as 5 years for even higher bracket investors. You simply have to do...
by larryswedroe
Thu Apr 06, 2017 8:12 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Craziness People just don't understand what goes into prospectuses. Stlutz's comments in particular show this lack of understanding. If you look for example at DFA prospectuses they often contain statements that will almost certainly never happen but lawyers draft these documents to cover any and al...
by larryswedroe
Wed Apr 05, 2017 7:19 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

psteinx First, I can assure you that the ER is 2.42 and that is all. What is in prospectuses is often basically meaningless because they are written in such a way that they don't have to go back to shareholders every time they want to change anything, however minor. So you'll see many strange things...
by larryswedroe
Wed Apr 05, 2017 5:39 pm
Forum: Investing - Theory, News & General
Topic: Larry-ish Portfolio, But Easier To Implement. Thoughts?
Replies: 58
Views: 5350

Re: Larry-ish Portfolio, But Easier To Implement. Thoughts?

Theoretical
Basically for reasons you highlight I agree with your conclusions. For US when we helped design Bridgeway Small Value Fund we set the parameters so it would own about 600 stocks. And for international would want many more since include EM
by larryswedroe
Wed Apr 05, 2017 5:36 pm
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

psteinx Your analysis is virtually entirely incorrect--exception being have to work with advisor to access. The fund's expense ratio is 2.42%. There are no redemption fees of any kind. There are no incentive fees of any kind. The only expense is the 2.42%. Now you may need to use an advisor to acces...
by larryswedroe
Wed Apr 05, 2017 5:27 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10757

Re: nice short piece on the math of factor investing

bderekb28 As I said, we haircut all premiums except market beta by 25% relative to historic. Note that some premiums not "discovered" or published until after 92, like MOM and profitability and quality. The reason is that while the average reduction has been about 1/3 this is because there...
by larryswedroe
Wed Apr 05, 2017 5:22 pm
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10757

Re: nice short piece on the math of factor investing

rhusky Perhaps they do now, thanks to Fama & French, but even they didn't do that when they were starting out, at least their 1992 paper didn't show clear evidence of long-short. This is just patently false. There were premiums for the period covered for long-short which is what the factors are....
by larryswedroe
Wed Apr 05, 2017 10:46 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

DaSaid You don't understand this fund and how it works. There have been for long time hedge funds in this space and they are ACTIVE managers, trying to add alpha. This fund is very different as it buys ENTIRE slices of the books of business of many of the leading reinsurers. It's passive in that sen...
by larryswedroe
Wed Apr 05, 2017 10:39 am
Forum: Investing - Theory, News & General
Topic: nice short piece on the math of factor investing
Replies: 202
Views: 10757

Re: nice short piece on the math of factor investing

Just to add one thing. With most factors, other than market beta, about half the premium comes from the long and about half from short. And as Nice stated one of course should not just assume future premiums will be the same as historical, which of course is also true of BETA. But Rhusky doesn't men...
by larryswedroe
Wed Apr 05, 2017 9:38 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Janeway First I DO NOT advocate buying CAT bonds, with reason being that they are too concentrated in risks, heavy concentration in US hurricane risks. Rather own diversified portfolio with lots more types of risks and geographically diversified. Also the CAT bonds give up the illiquidity premium as...
by larryswedroe
Wed Apr 05, 2017 9:21 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Re ER The problem is that people don't understand the fund. If this was a simple "index" type of fund, buying the stocks of reinsurers, then the fee would be absurdly high. But this isn't like that AT ALL. You are paying Stone Ridge to run a reinsurance company for you. And the expected re...
by larryswedroe
Wed Apr 05, 2017 9:03 am
Forum: Investing - Theory, News & General
Topic: Alts:new sources of risk/return improve portfolio efficiency
Replies: 119
Views: 8067

Re: Alts:new sources of risk/return improve portfolio efficiency

Tamalak This one is about as simple as can get Why do you think insurers are in the business? The premiums are based on a) costs, distribution, underwriting, etc. b) EXPECTED losses C) a risk premium for the unexpected and for putting their capital at risk. Now insurance has BIG tail risk, which req...
by larryswedroe
Wed Apr 05, 2017 8:57 am
Forum: Investing - Theory, News & General
Topic: Larry-ish Portfolio, But Easier To Implement. Thoughts?
Replies: 58
Views: 5350

Re: Larry-ish Portfolio, But Easier To Implement. Thoughts?

fundseeker
As was already pointed out read Theoretical's post (7th in the chain) and you can also use the appendix in my new book which provides various funds to use, that we at BAM have approved to gain exposure to factors.
Larry

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