Search found 13798 matches

by larryswedroe
Sat May 28, 2016 7:34 am
Forum: Investing - Theory, News & General
Topic: IPOs as different asset class?
Replies: 4
Views: 316

Re: IPOs as different asset class?

In addition to the above statements, see my blogs on IPOS to learn more http://www.etf.com/sections/index-investor-corner/swedroe-beware-ipo-earnings-management http://www.etf.com/sections/index-investor-corner/swedroe-ipo-prices-boosted-hype?nopaging=1 http://www.etf.com/sections/index-investor-cor...
by larryswedroe
Fri May 27, 2016 10:11 am
Forum: Investing - Theory, News & General
Topic: IPOs and the management of earnings
Replies: 0
Views: 80

IPOs and the management of earnings

http://www.etf.com/sections/index-investor-corner/swedroe-beware-ipo-earnings-management

Information is the armor that protects you from being exploited. Forewarned is forearmed

Hope this helps
Best wishes
Larry
by larryswedroe
Fri May 27, 2016 9:54 am
Forum: Investing - Theory, News & General
Topic: The little secret of passive investng
Replies: 14
Views: 3260

Re: The little secret of passive investng

There are some negatives of strategies that have the sole goal of replicating an index at the expense of ignoring costs of doing so, both transactions costs and taxes. This is well known. If you have to trade and demand liquidity, and especially if you have to do so at the same time that many others...
by larryswedroe
Thu May 26, 2016 10:21 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

theorectical Remember factors are long short and the large growth stocks tend to be "fairly" priced while we have the small growth anomaly, the black hole. So they are persistently overvalued and expensive for arbs to correct the mispricing---it's the small growth that are also high invest...
by larryswedroe
Wed May 25, 2016 3:35 pm
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

Robert Yes, they have been using various screens for decades now, based on the literature and recently added profitability factor to their equity funds. Petey No right answer. Depends on how much exposure you want to each of the factors. The deeper the value though the higher the premium, and it's m...
by larryswedroe
Wed May 25, 2016 12:17 pm
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

Dave
I would add p/cf
Larry
by larryswedroe
Wed May 25, 2016 8:33 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

theoretical
Long the cheap and short the expensive
by larryswedroe
Tue May 24, 2016 9:21 pm
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

Leif Sure think of it this way. If you own stocks in decile 6 only and small is 6-10 then you have some exposure to the size factor. But if define size as 9-10 now you have NEGATIVE exposure to the size factor, because you are now long the stocks in the short side of the premium. This is why it's ea...
by larryswedroe
Tue May 24, 2016 5:45 pm
Forum: Investing - Theory, News & General
Topic: The Nominal Price Illusion
Replies: 6
Views: 896

Re: The Nominal Price Illusion

Mathwizard The problem with that line of thinking is that smaller stocks have much more idiosyncratic risks, which means you have to own lots more of them to get similar diversification benefits. Like many hundreds of small stocks to get the same diversification benefits that maybe 50 large stocks w...
by larryswedroe
Tue May 24, 2016 4:42 pm
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

Sure, there is data you can find on Ken French's website
The simple answer is volatility, like correlations is time varying. More economic uncertainty, more volatility, and vice versa
Larry
by larryswedroe
Tue May 24, 2016 4:39 pm
Forum: Investing - Theory, News & General
Topic: The Nominal Price Illusion
Replies: 6
Views: 896

The Nominal Price Illusion

http://mutualfunds.com/education/the-nominal-price-illusion/

I am always amazed by what some people believe,

Hope you find it of interest
Larry
by larryswedroe
Tue May 24, 2016 11:28 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

elbowman
Yes it should be and of course it is much bigger as beta has been about 8% while size about 3%.

Small overall has vol of about 28% versus about 20% for large or about 40% more volatile
Larry
by larryswedroe
Tue May 24, 2016 10:57 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

Elbowman This one is easy IMO. First much more risk between stocks and bonds, especially safer and short to intermediate bonds than between small and large caps. But there are still large differences in risks between small and large stocks, dozens of papers on the subject showing clear and simple ri...
by larryswedroe
Tue May 24, 2016 9:45 am
Forum: Investing - Theory, News & General
Topic: Is there structural alpha in the small cap market?
Replies: 0
Views: 141

Is there structural alpha in the small cap market?

http://mutualfunds.com/news/2016/05/19/structural-alpha-in-small-cap-market/
That's what a recent paper claimed. The evidence says it's no easier to outperform in small caps than large caps
Larry
by larryswedroe
Mon May 23, 2016 3:03 pm
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

elbowman If you adjust the size premium definitions (not even taking into account adjusting for junk, eliminating it) then the size and value premiums basically are about the same persistence over all time frames as is beta, and just as pervasive around the globe. To me it makes sense that since we ...
by larryswedroe
Mon May 23, 2016 8:42 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

Hank sorry, I just made that assumption as I know it has been true for more recent periods, like 10 years If you run a regression you find that over the period DFFVX (targeted) has higher loadings on other factors, specifically value and quality, and that explains the differences, as those exposures...
by larryswedroe
Sun May 22, 2016 9:15 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

Hank Simple, mid caps happened to have outperformed in that particular period. Perhaps it was also exposure to other factors, the quality factor for example. That could be looked at. Robert, yes in my new book I looked at persistence of all the factors and size is less persistent, but as I noted par...
by larryswedroe
Sat May 21, 2016 9:13 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

bberris NO. First, small caps have much more exposure to economic cycle risk, higher SD of earnings, fewer capital sources, first to get cut off from capital in crises, and of course have a liquidity premium. Also I would add leverage isn't costless, so you would lose some of the premium. Now tradin...
by larryswedroe
Fri May 20, 2016 9:01 pm
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

Re: a new look at the size premium

Elbowman
You have to look at each of the factors because they each help explain returns. But yes that is what it means. Now you also have other issues which end up in the alpha--fund expenses, trading costs.
Larry
by larryswedroe
Fri May 20, 2016 8:14 am
Forum: Investing - Theory, News & General
Topic: a new look at the size premium
Replies: 44
Views: 3691

a new look at the size premium

Something most don't know about the size premium
http://www.etf.com/sections/index-investor-corner/swedroe-new-angles-on-size-premium

Hope you find it helpful
Larry
by larryswedroe
Wed May 18, 2016 2:40 pm
Forum: Investing - Theory, News & General
Topic: Overconfident Investors, Predictable Returns, and Excessive Trading
Replies: 10
Views: 1405

Re: Overconfident Investors, Predictable Returns, and Excessive Trading

woodwose
It's such a rare condition that it has not been studied, cannot get big enough sample to be meaningful (:-))
by larryswedroe
Wed May 18, 2016 7:55 am
Forum: Investing - Theory, News & General
Topic: Overconfident Investors, Predictable Returns, and Excessive Trading
Replies: 10
Views: 1405

Overconfident Investors, Predictable Returns, and Excessive Trading

Unfortunately, all too familiar tale. Confirming the work done by others such as Odean and Barber in their series on individual investors
http://www.etf.com/sections/index-investor-corner/swedroe-overconfident-enemy-mirror

Hope you find it helpful
Larry
by larryswedroe
Tue May 17, 2016 3:16 pm
Forum: Investing - Help with Personal Investments
Topic: Negative alpha for AQR momentum funds?
Replies: 3
Views: 223

Re: Negative alpha for AQR momentum funds?

The small momentum fund has small positive alpha as well,
Larry
by larryswedroe
Tue May 17, 2016 3:15 pm
Forum: Investing - Help with Personal Investments
Topic: Negative alpha for AQR momentum funds?
Replies: 3
Views: 223

Re: Negative alpha for AQR momentum funds?

The fund I use is AQMRX and it has huge positive alpha

And so does QMHRX,

Larry
by larryswedroe
Mon May 16, 2016 12:34 pm
Forum: Investing - Theory, News & General
Topic: The predictability (or not) of the value premium
Replies: 3
Views: 450

Re: The predictability (or not) of the value premium

bertilak All premiums have higher persistence the longer the horizon. Thus, the more risk you can take. However, there is no horizon when you are certain you'll earn a premium. Given that IMO the prudent strategy is to diversify across factors. The persistence of premia of a diversified portfolio is...
by larryswedroe
Mon May 16, 2016 7:35 am
Forum: Investing - Theory, News & General
Topic: Disappearing premiums!
Replies: 150
Views: 16874

Re: Disappearing premiums!

Chatbotte yes, Also might be which factors you are including. If you use the AQR factors you can go to 6 factors. So a three- or four- factor model might show alpha that is explained by the other two factors and the alpha will then disappear, or shrink. That is actually a good way to see what factor...
by larryswedroe
Mon May 16, 2016 7:27 am
Forum: Investing - Theory, News & General
Topic: The predictability (or not) of the value premium
Replies: 3
Views: 450

The predictability (or not) of the value premium

http://www.etf.com/sections/index-investor-corner/swedroe-honing-on-value?nopaging=1

Hope you find this of interest. IMO the study shows one of the reasons so few actually earn the value premium, it takes patience.

Larry
by larryswedroe
Sat May 14, 2016 5:36 pm
Forum: Investing - Theory, News & General
Topic: NY Times article on the "tip of the iceberg" that is Puerto Rico
Replies: 76
Views: 11189

Re: NY Times article on the "tip of the iceberg" that is Puerto Rico

Kalo
Seriously, nothing better to do with time? You cannot see a Black Swan coming, as you said. And this isn't a black swan. So you can see it coming. Simple
Larry
by larryswedroe
Sat May 14, 2016 2:45 pm
Forum: Investing - Theory, News & General
Topic: NY Times article on the "tip of the iceberg" that is Puerto Rico
Replies: 76
Views: 11189

Re: NY Times article on the "tip of the iceberg" that is Puerto Rico

iceport totally mischaracterize my statements. I am against, as should everyone, guaranteed payment pensions, since there is no way to guarantee them, unless you annuitize, which I would be okay with. But of course you cannot promise the kind of benefits being promised based on fixed income rates. S...
by larryswedroe
Fri May 13, 2016 2:44 pm
Forum: Investing - Theory, News & General
Topic: A new factor model that includes an anomaly factor
Replies: 21
Views: 2656

Re: A new factor model that includes an anomaly factor

Wasabi
They are not available to my knowledge
BTW you are correct re Asness, et all had excellent paper on restoring the size premium.
But this is well known stuff for very long time. DFA has been screening these lottery tickets out for decades.
Larry
by larryswedroe
Fri May 13, 2016 2:42 pm
Forum: Investing - Theory, News & General
Topic: dividend stocks
Replies: 175
Views: 9664

Re: dividend stocks

itstoomuch
Its shocking to think that people believe they can actually benefit from the strategy you employed. If it worked the hedge funds and HFTs would all have been doing it, but they don't because it doesn't.
Larry
by larryswedroe
Fri May 13, 2016 2:40 pm
Forum: Investing - Theory, News & General
Topic: dividend stocks
Replies: 175
Views: 9664

Re: dividend stocks

fortyofforty Just a correction. I am absolutely neutral on dividends, at least in tax advantaged accounts, in taxable they clearly are a negative. that's just math. but favoring dividends makes no sense at all, there is no logic to it. That's the issue. It's not anti-dividends, it's to be NOT PRO, n...
by larryswedroe
Fri May 13, 2016 10:01 am
Forum: Investing - Theory, News & General
Topic: dividend stocks
Replies: 175
Views: 9664

Re: dividend stocks

Fortyofforty Last comment, what you think you know about finance is just wrong. You believe things that are simply not true. This I found to be true of many who have this "religious" belief about dividends. You can show them 2-1 =1 and they say not it's 2. As to buying lunch, that is so ea...
by larryswedroe
Fri May 13, 2016 9:31 am
Forum: Investing - Theory, News & General
Topic: A new factor model that includes an anomaly factor
Replies: 21
Views: 2656

Re: A new factor model that includes an anomaly factor

r2d2, glad to be of help Fama and French wrote an interesting paper, think it was called Tastes and Preferences, on the subject trying to show that it could be rational, while economists would think of it as irrational. It's simply a preference for positive skew. Funny but in most cases investors ar...
by larryswedroe
Fri May 13, 2016 9:27 am
Forum: Investing - Theory, News & General
Topic: dividend stocks
Replies: 175
Views: 9664

Re: dividend stocks

fortyofforty Sorry to say this but it is simply nonsense. Dividends simply lower your investment in the same way that if you sold shares. the company is just returning capital to investors. And that greater fool theory is also nonsense. A stock is worth what someone will pay for the assets. Whether ...
by larryswedroe
Fri May 13, 2016 7:58 am
Forum: Investing - Theory, News & General
Topic: explaining the volatility anomaly
Replies: 0
Views: 178

explaining the volatility anomaly

http://www.etf.com/sections/index-investor-corner/swedroe-solving-volatility-puzzle?nopaging=1

IMO very clear explanation of why anomalies can exist and even persist well after discovery
Larry
by larryswedroe
Fri May 13, 2016 7:54 am
Forum: Investing - Theory, News & General
Topic: dividend stocks
Replies: 175
Views: 9664

Re: dividend stocks

fortyofforty BRK has never paid a dividend and stated it has no intention of doing so. Is it's value 0? A company is worth what someone will pay for it. A stock could say it will never pay a dividend and does that mean its assets are worthless? Of course at any time investors can take over a company...
by larryswedroe
Thu May 12, 2016 10:01 pm
Forum: Investing - Theory, News & General
Topic: A new factor model that includes an anomaly factor
Replies: 21
Views: 2656

Re: A new factor model that includes an anomaly factor

R2D2 No they create positive skewness, like the lottery ticket where MOST of the outcomes are to the left of the mean but a few are far to the right. That's the lottery ticket. The market does tend to reward bankruptcy risk in general, that's part of the value premium, but not for certain type of st...
by larryswedroe
Thu May 12, 2016 7:16 pm
Forum: Investing - Theory, News & General
Topic: dividend stocks
Replies: 175
Views: 9664

Re: dividend stocks

DBR, just one correction, most stocks DO NOT pay dividends. If fact the majority do not. Only about 40% I think now pay dividends and that figure was even lower during the dotcom era. And sadly I've actually had to debate on Seeking Alpha the idea that dividends do not lower the value of the company...
by larryswedroe
Thu May 12, 2016 7:07 pm
Forum: Investing - Theory, News & General
Topic: A new factor model that includes an anomaly factor
Replies: 21
Views: 2656

Re: A new factor model that includes an anomaly factor

r2d2 Not correct interpretation because equities have negative skewness while the lottery ticket stocks by definition have positive skewness. Investors, as Fama and French posited in their paper, have a preference for positive skewness leading to the anomaly. Also now it's important to note that it'...
by larryswedroe
Thu May 12, 2016 7:12 am
Forum: Investing - Theory, News & General
Topic: Fama-French on long/short strategies
Replies: 6
Views: 1586

Re: Fama-French on long/short strategies

Here's the thing, except for size it's very hard to load more than .5 on a factor, because about half the return is from long and half from short. And say a typical 60/40 portfolio with a loading of even .5 on value cannot be more than .3 value factor (.6x .5). So if you want to increase your loadin...
by larryswedroe
Thu May 12, 2016 7:09 am
Forum: Investing - Theory, News & General
Topic: A new factor model that includes an anomaly factor
Replies: 21
Views: 2656

Re: A new factor model that includes an anomaly factor

To me this is simple, we know that there are many well known anomalies that cannot be explained by the four factors of beta, size, value and MOM. The newer q factor model including investment and profitability takes care of most of them. But if you build a model that includes the anomalies as a fact...
by larryswedroe
Wed May 11, 2016 6:52 pm
Forum: Investing - Theory, News & General
Topic: NY Times article on the "tip of the iceberg" that is Puerto Rico
Replies: 76
Views: 11189

Re: NY Times article on the "tip of the iceberg" that is Puerto Rico

iceport, that's in the Moody's report which you'll have to read for yourself. I've actually got other things to do (:-)) including a full time job Sorry but I also disagree with you and Paul about the value of the information. The market will eventually begin to "bring forward" that inform...
by larryswedroe
Wed May 11, 2016 4:36 pm
Forum: Investing - Theory, News & General
Topic: NY Times article on the "tip of the iceberg" that is Puerto Rico
Replies: 76
Views: 11189

Re: NY Times article on the "tip of the iceberg" that is Puerto Rico

Paul By open minded I meant that they consider NEW information and if it changes their view of the world the only logical thing to do is then at least consider some change. For example, in this case if they were unaware of the serious state of many state pension plans that should at least cause them...
by larryswedroe
Wed May 11, 2016 4:00 pm
Forum: Investing - Theory, News & General
Topic: NY Times article on the "tip of the iceberg" that is Puerto Rico
Replies: 76
Views: 11189

Re: NY Times article on the "tip of the iceberg" that is Puerto Rico

Paul Here is what often happens. And it is what generates momentum. Those who are "open minded" receive new information and then act on it. And people who agree experience confirmation bias and are more likely to act. On other hand, those whose beliefs are in conflict with the information ...

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