Search found 14391 matches

by larryswedroe
Sun Sep 25, 2016 9:56 pm
Forum: Investing - Theory, News & General
Topic: From the SEC. Nine habits that can undermine investor performance. Spoiler they mention momentum
Replies: 4
Views: 375

Re: From the SEC. Nine habits that can undermine investor performance. Spoiler they mention momentum

Don't know what the SEC means here since the literature is very clear and even Fama the strongest proponent of efficient markets even threw in the towel after acknowledging that MOM was the biggest problem for MOM. What I can say is that investors may not know that MOM is a very short term phenomeno...
by larryswedroe
Sun Sep 25, 2016 5:14 pm
Forum: Investing - Theory, News & General
Topic: Arnott and Asness Square Off on Factor Investing
Replies: 17
Views: 1424

Re: Arnott and Asness Square Off on Factor Investing

JoMoney This statement, the latter part, is incorrect [url]You can't diversify away 'market beta risk' by owning more stocks, but you can diversify it or hedge it away with cash/bonds so you don't have the risk at all.[/url] This is a misunderstanding. Cash or safe bonds do not hedge the risks of eq...
by larryswedroe
Sun Sep 25, 2016 9:06 am
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

Grap, if my memory serves we have the low vol version at about 5% real, with 10% vol, so you would adjust that up for the high vol version
Larry
by larryswedroe
Sun Sep 25, 2016 9:02 am
Forum: Investing - Theory, News & General
Topic: Arnott and Asness Square Off on Factor Investing
Replies: 17
Views: 1424

Re: Arnott and Asness Square Off on Factor Investing

Nate Now we come to factors and learn that they can be effectively diversified. Doesn't this argue that these risks should not earn premiums? Misunderstanding here. You cannot diversify away the risks of investing in market beta. No matter how many stocks you own you still have market beta risk. Now...
by larryswedroe
Sat Sep 24, 2016 8:21 pm
Forum: Investing - Theory, News & General
Topic: Arnott and Asness Square Off on Factor Investing
Replies: 17
Views: 1424

Re: Arnott and Asness Square Off on Factor Investing

JoMoney Your comments omit the very important fact that the factors are unique and independent factors, different from market beta. In fact from 64-15 the annual correlations relative to market beta of size, value, MOM, profitability and quality have been 0.29, -0.27, -0.17, -0.27, and -0.52 respect...
by larryswedroe
Sat Sep 24, 2016 9:04 am
Forum: Investing - Theory, News & General
Topic: The coming municipal bond crisis
Replies: 50
Views: 6668

Re: The coming municipal bond crisis

To offer another view than Allan Roth's. I have no problem at all having 100% of bonds in munis if appropriate for tax situation, with the caveat being that you limit your holdings to AAA/AA and ONLY G0s and essential service revenue bonds, and keep maturities to intermediate term, say max 10 years....
by larryswedroe
Sat Sep 24, 2016 9:01 am
Forum: Investing - Theory, News & General
Topic: "Factor investing"
Replies: 192
Views: 12455

Re: "Factor investing"

Mike First, if interested there are actually two papers on Buffett and factors, Buffett's Alpha and Betting Against Beta. They show as you state that he was a value and quality investor, both. And when you account for his exposure to those factors his alpha no longer shows any statistical significan...
by larryswedroe
Fri Sep 23, 2016 12:58 pm
Forum: Investing - Theory, News & General
Topic: Is Momentum really dead?
Replies: 3
Views: 555

Re: Is Momentum really dead?

Random First my book will have all the information in detail with diagrams even to help understand. As to definitions, best way to think about it is that CS MOM is RELATIVE, so it buys what has done the relatively best and shorts what has done relatively the worst (even if all are rising or all are ...
by larryswedroe
Fri Sep 23, 2016 8:12 am
Forum: Investing - Theory, News & General
Topic: Is Momentum really dead?
Replies: 3
Views: 555

Is Momentum really dead?

http://www.etf.com/sections/index-investor-corner/swedroe-momentum-really-dead?nopaging=1

My follow up to blog post earlier in the week. Hope you find it helpful, IMO it's another case of the rumor of the death being greatly exaggerated
Larry
by larryswedroe
Thu Sep 22, 2016 8:15 pm
Forum: Investing - Theory, News & General
Topic: Morgan Stanley explains why the S&P500 wins
Replies: 13
Views: 2111

Re: Morgan Stanley explains why the S&P500 wins

Just an fyi, spent today doing some research that exposes this claim as total fraud, total nonsense. So should get posted in near future after going through internal editing/compliance etc. Thanks for posting this --providing more fodder for my "cannon" exposing the BS of most of Wall Stre...
by larryswedroe
Thu Sep 22, 2016 7:04 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

Robert All well said. But with that said, I don't think it's as complicated as that. What you want to know is do the factors you want exposure to (or other sources of returns that we target such as reinsurance business) meet all the criteria you establish. Our criteria are premium that adds explanat...
by larryswedroe
Wed Sep 21, 2016 10:17 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

grap
TSM has more tail hedging risk properties as returns are just as high on average in bear markets as bull markets. Also prolonged bear markets mean TS Mom will show gains, and likely large ones
Larry
by larryswedroe
Wed Sep 21, 2016 10:15 pm
Forum: Investing - Theory, News & General
Topic: Morgan Stanley explains why the S&P500 wins
Replies: 13
Views: 2111

Re: Morgan Stanley explains why the S&P500 wins

what a bunch of crap. If memory serves Jeremy Siegel once did study showing that if you never changed the original stocks in the S&P 500 the performance would have been higher!!!!! In other words, the choices made were POOR if their objective was higher returns, when it MIGHT be representation o...
by larryswedroe
Wed Sep 21, 2016 4:24 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

Dave First, funds that use futures while should be preferred to hold in tax advantaged accounts can be held in taxable as not as tax inefficient as some think since all gains treated as 60% LT and 40% ST. As to where to take allocations, if I had high equity allocation then would take allocations fr...
by larryswedroe
Wed Sep 21, 2016 4:21 pm
Forum: Investing - Theory, News & General
Topic: A new study on MOM and recent returns, disappearing premium or lull?
Replies: 13
Views: 1465

Re: A new study on MOM and recent returns, disappearing premium or lull?

Thomas
Have looked at MSCI products and in general think good methodology. Definitely worth considering
Larry
by larryswedroe
Wed Sep 21, 2016 1:46 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

grap .38 is very good, that's low correlation, lower for example by a lot than international and EM stocks relative to US and we certainly want that diversification. Keep in mind while you watch that all factors go through long periods of underperformance so what exactly are you waiting for? Waiting...
by larryswedroe
Wed Sep 21, 2016 9:03 am
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

Matjen Looks lot like mine only I have added reinsurance fund and a consumer/small business/student loan fund (very short maturity and very high yield, no subprime, so taking some credit risk but lowering maturity risk and getting large ex-ante premium for illiquidity). Objective is to continue to d...
by larryswedroe
Wed Sep 21, 2016 8:59 am
Forum: Investing - Theory, News & General
Topic: The coming municipal bond crisis
Replies: 50
Views: 6668

Re: The coming municipal bond crisis

curious I'll answer by simply saying I have a very large percentage of my assets in individual munis, all AAA/AA and only GOs and essential service revenue bonds. Now should always also consider CDs as alternatives as they can provide higher AT return depending on your tax rate and the point on the ...
by larryswedroe
Wed Sep 21, 2016 8:05 am
Forum: Investing - Theory, News & General
Topic: Small Cap Premium
Replies: 11
Views: 1508

Re: Small Cap Premium

Theoretical
I don't know what each small cap fund does in terms of screening. But any index fund would be buying all the stocks in the index, otherwise not an index fund.
Larry
by larryswedroe
Wed Sep 21, 2016 8:02 am
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

grap, We have a very thorough due diligence process before we will approve a firm and then a fund from that family. We also introduce the funds first into our institutional portfolios, so we gain some experience in having discussions and putting together educational pieces, and we like to own them f...
by larryswedroe
Wed Sep 21, 2016 7:57 am
Forum: Investing - Theory, News & General
Topic: A new study on MOM and recent returns, disappearing premium or lull?
Replies: 13
Views: 1465

Re: A new study on MOM and recent returns, disappearing premium or lull?

thomas You can simply use the Portfolio tool at M* which allows you to see the metrics at least for size and value. Unfortunately not more than that. With that said if there is a US equivalent then at least should give you idea of how the fund is constructed---so check the US version for its loading...
by larryswedroe
Tue Sep 20, 2016 5:51 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

NJboater
AQR has a fund, it's managed futures fund. I assume there are others as well
Larry
by larryswedroe
Tue Sep 20, 2016 5:36 pm
Forum: Investing - Theory, News & General
Topic: A look at the research and evidence on time-series MOM
Replies: 64
Views: 3682

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

grap The evidence on TS MOM is just as strong as for CS and it has the added benefit of tail hedging properties, it's been just as large in up as down markets. So my own thought, and what I'm doing is 1:1 ratio between the two funds. Hope that helps Note I don't have the data to run the correlations...
by larryswedroe
Tue Sep 20, 2016 3:59 pm
Forum: Investing - Theory, News & General
Topic: The Incredible Shrinking of Alpha continues--the latest SPIVA scorecard
Replies: 12
Views: 1529

Re: The Incredible Shrinking of Alpha continues--the latest SPIVA scorecard

Misenplace
Be thankful for that ad, it's why you get to see the articles for free (:-))
Larry
by larryswedroe
Tue Sep 20, 2016 3:58 pm
Forum: Investing - Theory, News & General
Topic: "Factor investing"
Replies: 192
Views: 12455

Re: "Factor investing"

investorguy The book has the details on each factor. Another important point as I noted re the size factor is that if you measure it the same way you measure value, 30/40/30, not 50/50, the premium for small would be bigger and more persistent. I present that evidence in the book as well. I also sho...
by larryswedroe
Tue Sep 20, 2016 11:23 am
Forum: Investing - Theory, News & General
Topic: The Incredible Shrinking of Alpha continues--the latest SPIVA scorecard
Replies: 12
Views: 1529

Re: The Incredible Shrinking of Alpha continues--the latest SPIVA scorecard

cnbc is in the business of selling NOISE not investment advice, needing you to pay attention to that noise
Larry
by larryswedroe
Tue Sep 20, 2016 10:34 am
Forum: Investing - Theory, News & General
Topic: Dividends as proxy for value
Replies: 4
Views: 526

Re: Dividends as proxy for value

D/P has provided a value premium, but by far the lowest of all the metrics and least statistically significant. One big issue is that there has been a huge trend in US to not pay dividends. The percentage of companies paying them has collapsed over past few decades to where it's now about one third ...
by larryswedroe
Tue Sep 20, 2016 10:31 am
Forum: Investing - Theory, News & General
Topic: "Factor investing"
Replies: 192
Views: 12455

Re: "Factor investing"

Taylor I wrote up a blog post on that paper which can be found here http://www.etf.com/sections/index-investor-corner/swedroe-why-momentum-struggling as well as posting the blog post on Bogleheads https://www.bogleheads.org/forum/viewtopic.php?f=10&t=199787 Best wishes Larry
by larryswedroe
Tue Sep 20, 2016 7:52 am
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

ofckrupke Thanks for pointing that out. I based my comments not on having reviewed their portfolio but based on what I have read here and on their site about their credit quality. Was unaware that they would buy anything with that poor a credit rating. Surprised me and should give concern to investo...
by larryswedroe
Tue Sep 20, 2016 7:50 am
Forum: Investing - Theory, News & General
Topic: A new study on MOM and recent returns, disappearing premium or lull?
Replies: 13
Views: 1465

Re: A new study on MOM and recent returns, disappearing premium or lull?

In the book I show that a "naive" 1/n portfolio of factors has much lower odds of negative returns than any single factor, by wide margins.
That's the benefit of the low to negative correlations of the factors.
Larry
by larryswedroe
Mon Sep 19, 2016 8:06 pm
Forum: Investing - Theory, News & General
Topic: A new study on MOM and recent returns, disappearing premium or lull?
Replies: 13
Views: 1465

Re: A new study on MOM and recent returns, disappearing premium or lull?

dave Absolutely, It shows how ALL factors can have long periods of underperformance, which is why financial economists know that 10 years is noise, nothing more, at least in most cases. And that is why I am big believer in diversifying across not only factors, but across asset classes within factors...
by larryswedroe
Mon Sep 19, 2016 8:03 pm
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

afan Clearly one needs to know what they are doing, and knowing all the facts about each bond and each state. Which is why for most individuals they should use a fund. I fully agree, unless they hire someone who does separate account management for them. goodlistener FWIW I personally think it is no...
by larryswedroe
Mon Sep 19, 2016 6:34 pm
Forum: Investing - Theory, News & General
Topic: A new study on MOM and recent returns, disappearing premium or lull?
Replies: 13
Views: 1465

Re: A new study on MOM and recent returns, disappearing premium or lull?

Re the table, in the discussion on each factor in my new book I discuss the persistence of the factor as it is one of the main criteria I establish for consideration. The key things from the chart are the all factors show improving odds of outperformance the longer the horizon (the longer the horizo...
by larryswedroe
Mon Sep 19, 2016 5:44 pm
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

afan Actually if you buy small lots you get higher yields if are patient buyer and know what you are doing. I've bought many small lots, some as small as 5k, and the smaller the higher the yield often was. So I have been able to buy bonds at yields typically about 20-30 points above the curve for si...
by larryswedroe
Mon Sep 19, 2016 5:39 pm
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

jhd
When you buy pre refinanced bonds that are backed by Treasuries it doesn't matter who the issuer is, so Baird's PR bonds were pre refied and thus were the equivalent of US Treasuries in terms of credit risk
larry
by larryswedroe
Mon Sep 19, 2016 4:26 pm
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

Strafford, Yes would exclude them for the reasons I gave, the state situation can impact even the wealthiest cities for variety of reasons. There are millions of issues and plenty of ability to diversify without the need to include them
Larry
by larryswedroe
Mon Sep 19, 2016 4:23 pm
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

Doc
FWIW we also have rule of no more than 35% in any one state, simple diversification of risk reasons
larry
by larryswedroe
Mon Sep 19, 2016 11:31 am
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

soboggled disagree because to some degree every municipality is dependent on the strength of the state situation. State weakness can lead easily to lower overall support for spending on infrastructure, education, etc, and that can lead to downward spiral of people leaving, at least the high earners ...
by larryswedroe
Mon Sep 19, 2016 11:07 am
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

My apologies, the person on our trading desk provided an incorrect list So here's the correct one Alaska Connecticut Hawaii Illinois Kentucky Louisiana Massachusetts Maryland New Jersey We buy credits within the following states but not the state GO debt: Pennsylvania Rhode Island AS an fyi, if the ...
by larryswedroe
Mon Sep 19, 2016 11:03 am
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

afan It depends on how far down the rating has fallen and how much time left to maturity. Generally we will hold A rated bonds (downgraded to A) if less than three years to maturity. Vanguard I believe basically market cap weights to get to their allocations, which many believe while makes sense for...
by larryswedroe
Mon Sep 19, 2016 10:16 am
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

First, let me say of course that these are judgments on our part, judgments about which risks are worth taking and which not. With that said personally I would prefer the Baird fund as it's quality is very high. I would add this, muni funds may be subject to flights to quality and that could create ...
by larryswedroe
Mon Sep 19, 2016 9:45 am
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

Re: The states we won't buy munis from, update

valuethinker I would say yes. That is the biggest benefit of mutual funds, ability to minimize idiosyncratic risks. The question for investors is really are these risks worth bearing? Our own view is no since the higher yields are not much higher and if we want more risk we can take it in other plac...
by larryswedroe
Mon Sep 19, 2016 9:13 am
Forum: Investing - Theory, News & General
Topic: Small Cap Premium
Replies: 11
Views: 1508

Re: Small Cap Premium

JoMoney
Keep in mind that the midcaps avoid buying those blackholes --the lottery tickets
But even with that black hole the data historically is almost monotonic with returns rising as you go to smaller deciles
larry
by larryswedroe
Mon Sep 19, 2016 8:34 am
Forum: Investing - Theory, News & General
Topic: The states we won't buy munis from, update
Replies: 50
Views: 5614

The states we won't buy munis from, update

Thought enough people would be interested in this topic that didn't want it to get lost in the other thread, so thought would post it as separate piece. It's an update on what we buy given that the list has not only expanded but has been bifurcated. The following are the states we won't buy bonds fr...
by larryswedroe
Mon Sep 19, 2016 8:19 am
Forum: Investing - Theory, News & General
Topic: Factor Premiums as Statistically Significant As Equity Premiums
Replies: 10
Views: 1164

Re: Factor Premiums as Statistically Significant As Equity Premiums

Lackey I don't agree with that view of changing the definition being an ex post change. It's simply using the SAME methodology to define the premiums. I could have said change HML to 50-50. You want to measure things in same way and all the other factors besides size are measured 30/40/30 so why is ...
by larryswedroe
Mon Sep 19, 2016 8:09 am
Forum: Investing - Theory, News & General
Topic: A new study on MOM and recent returns, disappearing premium or lull?
Replies: 13
Views: 1465

A new study on MOM and recent returns, disappearing premium or lull?

http://www.etf.com/sections/index-investor-corner/swedroe-why-momentum-struggling?nopaging=1 Given the long discussion on this topic thought this new paper would be of interest. Note the persistence table in the piece, noting how some factors have persistence that is very similar or even greater th...
by larryswedroe
Sun Sep 18, 2016 2:10 pm
Forum: Investing - Theory, News & General
Topic: Factor Premiums as Statistically Significant As Equity Premiums
Replies: 10
Views: 1164

Re: Factor Premiums as Statistically Significant As Equity Premiums

Great Yes that paper gets to the heart of the lottery tickets that are small growth stocks with high investment and low profitability (Not all small growth is overpriced) It also matters how you measure size. If you measure it like value (top and bottom 30% instead of 50%) the premium becomes quite ...
by larryswedroe
Sun Sep 18, 2016 2:07 pm
Forum: Investing - Theory, News & General
Topic: The coming municipal bond crisis
Replies: 50
Views: 6668

Re: The coming municipal bond crisis

newtosaving Moody's to my knowledge was the first to perform an adjusted net liabilities analysis, using market valuations and projected returns, not PLAN returns, to provide a look. It was that study which convinced us to tighten our standards to not look only at the ratings but at the adjusted net...

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