Search found 2165 matches

by matjen
Wed Mar 13, 2024 2:56 pm
Forum: Investing - Theory, News & General
Topic: More Evidence Against Factor Investing
Replies: 473
Views: 33736

Re: More Evidence Against Factor Investing

Cliff Asness has weighed in... :D https://twitter.com/CliffordAsness/status/1767995904751984990 This stuff is crap. Mediocre nobody’s trying for attention. Value backtests have indeed gotten better over time as data has been improving (not to make value better, that suggestion is obscenely uncalled for). It’s exactly what you’d expect if value is real and there were data errors as data errors are noise and make a strategy worse. Fama and French explained it 100% with honestly and admirable restraint. Imagine these lowlifes did it to me… :) Pissant nobodies rudely and mendaciously going after OG finance researchers whose jock they can’t hold, trying to get notoriety. It gets way too much attention. It’s their goal and the world doesn’t know ...
by matjen
Sun Jan 21, 2024 2:04 pm
Forum: Investing - Theory, News & General
Topic: More Evidence Against Factor Investing
Replies: 473
Views: 33736

Re: More Evidence Against Factor Investing

Rick suggests that a factor investor should buckle in for a 25-year holding period before deciding to embark on that journey. I was curious, so I turned to PV to find the optimal risk-adjusted allocation between TSM and SCV for previous starting dates. It was interesting that the optimal allocation was approximately 100% TSM for starting dates of Jan 2002 onward. So... investing in SCV hasn't been worth much for quite some time now, at least in risk-adjusted terms. It's only when you start earlier that the optimal allocation to SCV is non-zero, in terms of risk-adjusted total portfolio returns. For example, for a starting date of 1998 - which gets you to the most recent 25-year holding period - the optimal allocation would have been 74% TS...
by matjen
Sat Jan 20, 2024 10:29 pm
Forum: Investing - Theory, News & General
Topic: More Evidence Against Factor Investing
Replies: 473
Views: 33736

Re: More Evidence Against Factor Investing

AQR's Cliff Asness' opinion on this topic/paper can be found in a post on X. https://twitter.com/CliffordAsness/status/1748920407615254961 Fama and French are right. I haven’t dug deep into this but I find the noisy factor paper sneaky. For instance, they cite my colleagues Kelly and Pedersen (with coauthors) only as showing “alpha decays” when they actually found there is no replication crises in finance. It’s in their title. But they are trying to diss factor investing so they cheat. Also, FF’s paper is simple and clear as to what actually happened. Finally, a ton of us had calculated value and other factors a ton of different ways, over a long period of time, and while, of course, results vary, they are actually pretty darn consistent. S...
by matjen
Sat Dec 16, 2023 11:43 am
Forum: Investing - Theory, News & General
Topic: AQR/Asness in Financial Times - A Quant Winter's Tale
Replies: 0
Views: 2283

AQR/Asness in Financial Times - A Quant Winter's Tale

I thought this was an excellent and fair overview of factor investing with a focus on Cliff Asness/AQR. A quant winter’s tale Across the multifactorquantiverse with AQR https://www.ft.com/content/e0f98278-432e-4ece-b170-2c40e40d2835 In contrast, investment managers like AQR, Dimensional Fund Advisors, PanAgora, Robeco and Acadian Asset Management constantly try to constantly refine them, often combine many factors, and can go both long and short (depending on the fund). “Most of these are just semantic labels. They’re actually not that different,” says Asness. “I think most quants are picking among a set of factors that we broadly agree on, and then we’ll fight like cats about the best way to implement it.” Of course, factors do not always ...
by matjen
Wed Oct 04, 2023 9:11 pm
Forum: Personal Investments
Topic: iShares' iBond High Yield Bond Ladder (Not I-Series Inflation Bonds)
Replies: 11
Views: 1844

Re: iShares' iBond High Yield Bond Ladder (Not I-Series Inflation Bonds)

They do. Just released a few weeks back but only 10 years out it appears.

BlackRock Expands iShares® iBonds ® ETF Franchise with TIPS ETF Suite
https://www.businesswire.com/news/home/ ... 646329/en/
Today, BlackRock expanded its iShares iBonds ETF franchise with the industry’s first TIPS defined maturity bond ETFs. The TIPS iBonds ETF suite consists of 10 funds that invest in U.S. Treasury Inflation-Protected Securities with maturities ranging from 2024 to 2033.
by matjen
Thu Sep 14, 2023 10:12 am
Forum: Investing - Theory, News & General
Topic: Single fund 80% US, 20% International?
Replies: 23
Views: 3048

Re: Single fund 80% US, 20% International?

I've not mentioned the equity, fixed-income mix. This is for a 70-year old who might consider a 40% stock allocation. Was looking at a single fund for the equity side, but hadn't considered a single fund for the entire portfolio. The Schwab Target 2020 Index Fund is an interesting mix much closer to the objective, both in domestic/international mix as well as low ER. They are currently at Fidelity, though, where they have a 401k with monies in a target retirement fund, as well as an individual taxable account. If that is the case with a somewhat lowish equity piece, I would honestly go with AVGE. The differences are minimal between 80/20 and 70/30 when that is only 40% of the entire pie. I mean it must be just a few percentages more or les...
by matjen
Wed Sep 13, 2023 5:38 pm
Forum: Investing - Theory, News & General
Topic: Single fund 80% US, 20% International?
Replies: 23
Views: 3048

Re: Single fund 80% US, 20% International?

Not sure what you define as close but I think 70 US/30 International is close and Avantis AVGE is a great solution. Global fund with a moderate value tilt in an ETF form so tax efficient.

Avantis All Equity Markets ETF (AVGE)
https://www.morningstar.com/etfs/arcx/avge/portfolio

https://www.avantisinvestors.com/avanti ... rkets-etf/
by matjen
Sat Feb 25, 2023 8:59 am
Forum: Investing - Theory, News & General
Topic: Buffett's 2022 Berkshire Hathaway Shareholder Letter
Replies: 76
Views: 12134

Re: Buffett's 2022 Berkshire Hathaway Shareholder Letter

Gains from value-accretive repurchases, it should be emphasized, benefit all owners – in every respect. Imagine, if you will, three fully-informed shareholders of a local auto dealership, one of whom manages the business. Imagine, further, that one of the passive owners wishes to sell his interest back to the company at a price attractive to the two continuing shareholders. When completed, has this transaction harmed anyone? Is the manager somehow favored over the continuing passive owners? Has the public been hurt? When you are told that all repurchases are harmful to shareholders or to the country, or particularly beneficial to CEOs, you are listening to either an economic illiterate or a silver-tongued demagogue (characters that are not...
by matjen
Sat Feb 25, 2023 8:34 am
Forum: Investing - Theory, News & General
Topic: AQR's Asness on Bloomberg 2/23
Replies: 0
Views: 270

AQR's Asness on Bloomberg 2/23

Per usual, lots of wisdom and humor in this fairly lengthy interview.

Volatility laundering, value spread, "bubbles" etc.

AQR's Cliff Asness on 60/40 Strategy, Market Risks
https://www.bloomberg.com/news/videos/2 ... rket-risks
by matjen
Tue Feb 14, 2023 1:44 pm
Forum: Investing - Theory, News & General
Topic: Vanguard's Shtekman and Xu beat Asness: Alt. Strategies (VASFX) vs. AQR (QSPIX)!
Replies: 26
Views: 3486

Re: Vanguard's Shtekman and Xu beat Asness: Alt. Strategies (VASFX) vs. AQR (QSPIX)!

Well, this didn't age well. :P

Vanguard to Liquidate a Mutual Fund for First Time Since 2020
https://www.bloomberg.com/news/articles ... since-2020
The $98 million Vanguard Alternative Strategies Fund (ticker VASFX) will be liquidated in the second quarter of 2023, according to a press release Tuesday. The fund, which launched in 2015, “has not gained broad acceptance among investors,” Vanguard said.
I would say that not only did it not gain acceptance by investors, VASFX didn't "gain" any money and was more correlated to the market than QSPIX. Negative CAGR, Sharp and Sortino ratios as of the end of January.
by matjen
Sun Jan 08, 2023 5:51 pm
Forum: Investing - Theory, News & General
Topic: New Avantis worldwide ETF with value tilt
Replies: 793
Views: 112470

Re: New Avantis worldwide ETF with value tilt

It is a Henry David Thoreau quote from Walden. I suppose people can view it from different angles. Don't try and control all elements of your life, know when you have enough, there is great value in simplicity, needing less in your life leaves you with more, etc.

It's something I try and keep in mind generally. :beer
by matjen
Sun Jan 08, 2023 10:42 am
Forum: Investing - Theory, News & General
Topic: New Avantis worldwide ETF with value tilt
Replies: 793
Views: 112470

Re: New Avantis worldwide ETF with value tilt

Thinking AVGE might be a great solution for me for all of my IRA equity holdings, as since retirement I've developed a fairly bad case of "tinkerer's syndrome." But here's a completely different, and I hope, not too ignorant question: Is there any significant risk to placing a majority of one's nest egg with a new and small investment company? I have no qualms about investing at a massive company like Vanguard with a long and distinguished record, but does U.S. law and the SEC protect us from malfeasance at all mutual fund companies? I know lots of funds disappear. What happens to the funds invested therein? Generally speaking, Avantis is part of American Century which is one of the larger and oldest investment companies out ther...
by matjen
Tue Jan 03, 2023 9:49 am
Forum: Investing - Theory, News & General
Topic: Kudos to Robert T on AQR's QSPIX Analysis
Replies: 55
Views: 6275

Re: Kudos to Robert T on AQR's QSPIX Analysis

Whether Robert is prescient or not, I have no idea. With 4 styles (value, momentum, carry, defensive) across multiple asset classes (stocks, bonds, currencies, commodities), all basically uncorrelated with one another, I’m not sure there is any predicting how it will behave at various times. Just need to believe in the logic behind the styles and the long term track record supporting the logic. Dave 100% Agree. Or as our friends at AQR said it in their most recent paper in the Journal of Portfolio Management: “Market neutral” neither implies nor requires “market offsetting” (a hedge). Of course, being market neutral merely indicates that performance will be unrelated to that of the market. Unrelated does not mean zero or the same return re...
by matjen
Mon Jan 02, 2023 7:16 pm
Forum: Investing - Theory, News & General
Topic: Kudos to Robert T on AQR's QSPIX Analysis
Replies: 55
Views: 6275

Re: Kudos to Robert T on AQR's QSPIX Analysis

A comparison since the start of 2020 of two alternative investments that can address inflation: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=2020&firstMonth=1&endYear=2022&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&portfolioNames=false&...
by matjen
Sun Jan 01, 2023 9:15 pm
Forum: Investing - Theory, News & General
Topic: Kudos to Robert T on AQR's QSPIX Analysis
Replies: 55
Views: 6275

Re: Kudos to Robert T on AQR's QSPIX Analysis

During a decade where a traditional 60/40 was absolutely on fire.... ...Not going to get near the help from bonds that it has. Re: bonds: how do you know this? I don't "know" it but I am speaking in terms of probabilities. To be clear I'm not sayin that 60/40 is dead or anything like that either. Just that it is likely not to return as well in the next decade as it has in the recent prior decades. I mean, 7.5%... :shock: https://awealthofcommonsense.com/2022/06/is-the-60-40-really-dead-this-time/ From 1982 through the end of 2021, a 60/40 mix of U.S. stocks and bonds, rebalanced annually, returned 10.8% annually.1 This number is impressive in and of itself. But the fact that it’s so close to the 12.2% annual return in U.S. stocks...
by matjen
Sun Jan 01, 2023 3:23 pm
Forum: Investing - Theory, News & General
Topic: Kudos to Robert T on AQR's QSPIX Analysis
Replies: 55
Views: 6275

Re: Kudos to Robert T on AQR's QSPIX Analysis

All so close that I doubt, had you not looked it up and simply experienced it, you wouldn't have known which had done better. Down 17% and down 21% are going to feel pretty much the same. And that's after a year where pretty much everything went right for QSPIX. Maybe another year will take it over the top, who knows. But so far it's a lot of sound and fury for "meh." During a decade where a traditional 60/40 was absolutely on fire. You think its going to return the 10%+ that it has for the last 10-20 years (prior to 2022)? Not going to get near the help from bonds that it has. Moreover, nothing with a 10% allocation is going to completely change the game like you seem to expect. Make it 30% and the numbers are pretty big. You go...
by matjen
Sat Dec 31, 2022 7:19 am
Forum: Investing - Theory, News & General
Topic: Kudos to Robert T on AQR's QSPIX Analysis
Replies: 55
Views: 6275

Kudos to Robert T on AQR's QSPIX Analysis

After a rough couple of years, AQR Style Premia Alternative I (QSPIX) came back last year and then returned 30.64% this year in a very challenging environment for almost any other asset class and/or strategy. (More importantly, it has improved an overall portfolio.) I want to call out my favorite Boglehead poster Robert T for his great analysis shortly after the fund was rolled out and under vigorous debate here. He doesn't post around these parts very often but I encourage all to pay attention when he does. Especially if you like a factor framework. https://www.bogleheads.org/forum/viewtopic.php?p=2269020#p2269020 5. The strongest case for inclusion, IMO, is performance in inflationary recessions. Even if the risk/return characteristic of ...
by matjen
Wed Dec 28, 2022 10:00 am
Forum: Personal Consumer Issues
Topic: AARP membership - has it provided any consumer benefits for you?
Replies: 37
Views: 5906

Re: AARP membership - has it provided any consumer benefits for you?

Already was banking with Marcus and just joined AARP thanks to this thread.

Rolling in the :moneybag :moneybag with that 3.4%

:sharebeer
by matjen
Mon Nov 28, 2022 6:24 pm
Forum: US Chapters
Topic: Sad news - Sheepdog passed away
Replies: 135
Views: 25666

Re: Sad news - Sheepdog passed away

RIP to one of the greats. Woof Woof

:beer
by matjen
Wed Nov 02, 2022 11:44 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Currently Recommending "Alternatives"
Replies: 146
Views: 22278

Re: Larry Swedroe Currently Recommending "Alternatives"

In 2022, the recommendations for Alts look brilliant as they are doing okay in an environment where stocks and bonds have done poorly. Never did I think I would see Total Bond Market down 18% at the trough, so much for bonds being a buffer in a bear market. The thing is you had to suffer through some years of disappointing performance from the Alts before getting to 2022. I have asked Random Walker, who is a Buckingham client, about how his portfolio has done. Dave has the Alts in his portfolio and from what he has described, his portfolio has done better than what I have expected. Despite all the trashing, the Alts Larry recommended are providing the diversification benefit at the precise time when it was needed. Blind luck? Hard to say. ...
by matjen
Wed Oct 26, 2022 6:45 pm
Forum: Investing - Theory, News & General
Topic: New Avantis worldwide ETF with value tilt
Replies: 793
Views: 112470

Re: New Avantis worldwide ETF with value tilt

Could the "value" party be over once interest rates drop again? Is "value" really that correlated with inflation / rates? I hear that every day these days. Is Value Just an Interest Rate Bet? Spoiler Alert: Not Even Close https://www.aqr.com/Insights/Perspectives/Is-Value-Just-an-Interest-Rate-Bet The average correlation is quite trivial (around 0.10), although (like every time series ever) rolling subperiods vary. In particular the most recent five years has seen quite high correlations between the value factor and interest rates, bouncing around the highest ever observed and economically significant. Of course this recent trend greatly influences pundit comments, as many implicitly see their job as explaining to you w...
by matjen
Fri Oct 21, 2022 9:01 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Currently Recommending "Alternatives"
Replies: 146
Views: 22278

Re: Larry Swedroe Currently Recommending "Alternatives"

Here's a comparison of the annualized returns and SD (from 2014) VTI: 9.4, 15.4 BND: 1.2, 4.3 QSPIX: 2.6, 11.8 IAU: 3.5, 14.0 TLT: 2.4, 12.8 At first glance QSPIX looks like the worst of both worlds, with pretty low returns but high volatility. Add to that the other negatives. High cost, hard to buy, opaque, unproven. At second glance the beta is near zero, very slightly negative, in fact. Which means from a portfolio perspective the highish volatility is not so bad (even good in some ways). Statistically, it has been a bit like the long bonds or gold (see Permanent Portfolio). But unlike those, it had big positive gains the last two years which is something. It backtests okay as a substitute for bonds. At third glance, the Sharpe ratio/di...
by matjen
Tue Oct 18, 2022 4:51 pm
Forum: Investing - Theory, News & General
Topic: Thoughts on Research Affiliates?
Replies: 12
Views: 1544

Re: Thoughts on Research Affiliates?

RAFI is solid. To quote my favorite Boglehead member Robert T who I believe was quoting Dr. William Bernstein. "It's all about factor exposure." If you look at Robert T's magnum opus you will see he provides some RAFI portfolios for consideration.

viewtopic.php?t=7353
by matjen
Tue Sep 27, 2022 3:28 pm
Forum: Investing - Theory, News & General
Topic: Bloomberg's Aaron Brown on Risk Parity
Replies: 2
Views: 556

Bloomberg's Aaron Brown on Risk Parity

Aaron Brown is one of my favorite columnists. Mostly because he has a wealth of real-world experience and is data driven. I seem to recall that Wealthfront's fund got off to a quick start. No bueno since though. Risk Parity Funds Have Failed to Work as Advertised Investors, especially nonprofessionals, have been hit with unexpected losses in a strategy designed to protect against an uncertain and volatile world. While risk parity has been interpreted in a variety of ways, the practical definition for asset managers today is a fund that tries to take equal volatility in stocks, bonds and commodities, with a target overall volatility that is most commonly 10% per year. This is approximately the volatility of a conventional portfolio invested ...
by matjen
Fri Sep 23, 2022 9:22 am
Forum: Investing - Theory, News & General
Topic: AQR's Cliff Asness in Financial Times on Alternatives
Replies: 3
Views: 526

AQR's Cliff Asness in Financial Times on Alternatives

Probably a good time to let people argue about alternatives again. Cliff Asness in the Financial times a few days ago. https://www.ft.com/content/113159a3-d923-403f-a52e-8ff772c17046 Stocks and bonds are still not cheap Prospective returns from the traditional 60/40 portfolio over the long term continue to appear low My colleagues and I have been saying for years that traditional portfolios are expensive and therefore face low prospective returns over the long term. In fact, expected returns for such portfolios with 60 per cent funds in equities and 40 per cent in bonds appear to have been hovering around the lowest ever. However, our prediction had not panned out — until recently (frankly we would prefer it never did, we like markets to go...
by matjen
Tue Aug 30, 2022 7:40 am
Forum: Personal Consumer Issues
Topic: Feedback on Miele built in coffee machine
Replies: 68
Views: 6534

Re: Feedback on Miele built in coffee machine

The OP may wish to review the Miele operating instructions which are extensive at 96 pages, including nearly half of that on required maintenance. It is quite an ordeal of weekly and less frequent cleaning routines of several types from milk plumbing systems to degreasing and descaling. https://us.mieleusa.com/MieleMedia/docs/products/opin/Coffee%20Machines/CVA6405_Coffee%20System%20Manual.pdf Better yet, how about a video showing it in action. It is quite simple. The machine does it all except for the occasional water empty/refill. Refilling and emptying water is something people have to do with any other non-attached coffee system just to make the coffee (every.single.morning) but here people act like it is a major hassle. Hit a cleaning...
by matjen
Tue Aug 30, 2022 7:12 am
Forum: Personal Consumer Issues
Topic: Feedback on Miele built in coffee machine
Replies: 68
Views: 6534

Re: Feedback on Miele built in coffee machine

nisiprius wrote: Mon Aug 29, 2022 7:10 pm Alarm clocks have a snooze button that usually can be activated three times. Why can't a coffeemaker have a lazy button that lets you skip maintenance for up to three brew cycles?
*The Miele does. Except it isn't 3 cycles. It's like 25 cycles. I remained silent because I don't make milk drinks so the milk duct work is probably a bit different and, I would guess, requires more cleaning for obvious reasons. However, the coffee/espresso stuff (descaling & cleaning cycles) give you a quite a bit of warning. Somehow I manage to find the 15 minutes once every few months.

*The Miele provides you a ton of notice that in X amount of cycles a cleaning or descaling will be required.
by matjen
Mon Aug 29, 2022 1:53 pm
Forum: Personal Consumer Issues
Topic: Feedback on Miele built in coffee machine
Replies: 68
Views: 6534

Re: Feedback on Miele built in coffee machine

You asked for feedback, so here goes: "A coffee machine for people with more money than good sense or taste" Yes and No. Our kitchen is all Poggen Pohl and Miele (including a built in coffee system). Although subjective, the "taste" part is the kitchen design. You want a kitchen like this then you don't want appliances laying around. https://www.mieleusa.com/c/high-end-kitchen-appliances-generation-7000-3809.htm https://www.poggenpohl.com/en/kitchen-architecture/designconcepts/segmento/ Certainly a modern, clean aesthetic. That's where these units add value. A bit more convenient as well. They DO NOT add value in the coffee taste area. The coffee is fine but nothing great. Good beans, a good burr grinder and a french pr...
by matjen
Wed Jun 29, 2022 10:53 pm
Forum: Investing - Theory, News & General
Topic: New Avantis worldwide ETF with value tilt
Replies: 793
Views: 112470

Re: New Avantis worldwide ETF with value tilt

pascalwager wrote: Wed Jun 29, 2022 9:00 pm
Do they even have an advisor requirement? I bought AVDV at Schwab without having an advisor.
No they do not. My take was more that many advisors that aren't DFA will put together portfolios for their clients and rebalance, etc. as part of their services. Potentially, a fund like this would really simplify almost all of that other than the fixed income part.
by matjen
Wed Jun 29, 2022 5:06 pm
Forum: Investing - Theory, News & General
Topic: New Avantis worldwide ETF with value tilt
Replies: 793
Views: 112470

Re: New Avantis worldwide ETF with value tilt

Bogleheads, you are welcome. :D

viewtopic.php?p=6507186#p6507186

"Moreover, why not just offer a global ETF like Vanguard's VT but give it a nice SCV tilt?

I'm assuming the answer is that an all-in-one would make an Advisor less "useful" and that means only DIY folks would use it. Since Avantis is less tied to Advisors I am hoping they make the leap."
by matjen
Sat May 21, 2022 10:08 am
Forum: Personal Investments
Topic: For a Retiree: Best equity ETF which isn’t VTI, VOO, or VT?
Replies: 27
Views: 3634

Re: For a Retiree: Best equity ETF which isn’t VTI, VOO, or VT?

For US min vol, you could buy USMV, SPLV, or VFMV , but they've all had a lower Sharpe and a max drawdown at least as bad as VOO over the last four years. Interestingly, ACWV's numbers going back 10 years are all much better than VT (Except $$ :D ) and this ends in April. First three weeks in May would make them even better. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2022&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeDeviation=25.0&leverageType=0&a...
by matjen
Sat May 21, 2022 9:32 am
Forum: Personal Investments
Topic: For a Retiree: Best equity ETF which isn’t VTI, VOO, or VT?
Replies: 27
Views: 3634

Re: For a Retiree: Best equity ETF which isn’t VTI, VOO, or VT?

Not exactly answering the question but more the title, for a global equity ETF instead of VT perhaps something like iShares ACWV. It will do worse in a rising market (See last ten years) but better in a choppy, down market. See YTD where VT is down 16% and it is down 11%. "Should" provide a smoother ride.

iShares MSCI Global Min Vol Factor ETF
https://www.ishares.com/us/products/239 ... tility-etf

For a more US-Centric option why not just buy Berkshire Hathaway. Not an ETF but same idea.
by matjen
Thu May 12, 2022 5:19 pm
Forum: Investing - Theory, News & General
Topic: Lessons from this crash
Replies: 290
Views: 34137

Re: Lessons from this crash

Don't take "investment" advice from Matt Damon.
by matjen
Sun May 01, 2022 7:34 am
Forum: Investing - Theory, News & General
Topic: Kling - Pessimism from a finance geek, 5/1
Replies: 2
Views: 956

Kling - Pessimism from a finance geek, 5/1

Arnold Kling has written a nice substack post regarding Antti Ilmanen's new book that I thought the forum would enjoy.

Pessimism from a finance geek, 5/1
Antti Ilmanen on realized vs. expected returns

https://arnoldkling.substack.com/p/pess ... witter&s=r
In recent decades, we have experienced a secular decline in real interest rates, meaning interest rates adjusted for inflation. This has caused and/or been correlated with a drop in expected returns, thereby boosting realized returns. (A friend who has written a leading finance textbook let me know that this is very much the Fama-French story of high stock market returns. There are other stories.)
by matjen
Wed Apr 27, 2022 7:05 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 263
Views: 26328

Re: AQR still singing the same song

I first opened positions in QSPIX and QMHIX around 2015 on Larry's recommendation. I have a few different open positions at this point, with different gains. I would estimate I am about +20% overall in both. Now before someone tells me how much VTI is up since then, remember that you have to consider the performance of your portfolio as a whole, not as separate components. The reason I invest in them is to provide something approximating equities over the long term, while lowering the overall volatility of the portfolio. Since 2015 my overall portfolio returns have been just fine, and I am more than achieving my goals. I have been rebalancing with new money into QMHIX and QSPIX the whole way, and now I am about to start rebalancing out of ...
by matjen
Sun Apr 24, 2022 5:23 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 263
Views: 26328

Re: AQR still singing the same song

I too still consider myself a Boglehead through and through. I’d like to elaborate on why us factor junkies do. We don’t believe in market timing or individual security selection. We believe markets are highly, but not perfectly, efficient. We believe in the cost matters hypothesis, but try to look at cost per unit value added as opposed to absolute cost alone. We strongly believe in the power of diversification. But we do look at diversification differently. We consider diversification across unique and independent sources of return rather than number of stocks alone. We believe in developing a plan and sticking to it through thick and thin. We’ve held fast despite the underperformance of small value and alternatives over the recent past....
by matjen
Sat Mar 19, 2022 8:44 am
Forum: Personal Investments
Topic: Larry Swedroe's Use of AQR Funds
Replies: 16
Views: 2403

Re: Larry Swedroe's Use of AQR Funds

Nisi, completely get it. Do I wish I put that 5%-7% into VTI? Of course! But my reasons for QSPIX were that I wanted more factor tilt and didn't have taxable space to use without massive tax hit and years ago I thought the probability of stocks and bonds both still doing very well was low. I was wrong about that the last 5+ years for sure. Having said that, the last few months were quite amazing as the market churned sideways and bonds did worse and QSPIX screamed upward. QSPIX's standard deviation is actually as promised 10%. Its lack of correlation is as promised. Equities are around 15% for comparison. Bonds like 3%. I sold Reits and Bonds to free up the $$ for QSPIX. A 50/50 portfolio of REITS and Bonds is 10% standard deviation as well...
by matjen
Sat Mar 19, 2022 8:18 am
Forum: Personal Investments
Topic: Larry Swedroe's Use of AQR Funds
Replies: 16
Views: 2403

Re: Larry Swedroe's Use of AQR Funds

re QSPIX- it's a hedge fund. as other's have said it's rather expensive. also highly leveraged. One would expect hedge funds to have shined during the last 3 years- lot's of volatility for them to take advantage of etc. QSPIX is basically flat over this period https://www.morningstar.com/funds/xnas/qspix/performance 3 year performance CAGR QSPIX: 0.81% category: 3.76% (morningstar multi-strategy) index: 6.87% (morningstar moderate conservative target risk) consider another hedge fund, vanguard's VMNFX 3 year performance CAGR VMNFX: 3.01% category: 1.45% (morningstar equity market neutral index: 6.87% (morningstar moderate conservative target risk) VMNFX is much cheaper and is unleveraged. personally i don't like funds that use leverage. if...
by matjen
Tue Mar 01, 2022 2:27 pm
Forum: Investing - Theory, News & General
Topic: New Bogleheads on Investing podcast with Eduardo Repetto, Ph.D. discussing small-cap value and factor investing
Replies: 54
Views: 7147

Re: New Bogleheads on Investing podcast with Eduardo Repetto, Ph.D. discussing small-cap value and factor investing

Great podcast Rick. Thank you for not only asking the (all-in-one) global tilted ETF question I was wondering about but actually pushing for it a bit as well. Much appreciated! :beer

Matjen
by matjen
Wed Feb 09, 2022 7:27 pm
Forum: Investing - Theory, News & General
Topic: Upcoming Bogleheads podcast guest is Eduardo Repetto, Ph.D.
Replies: 35
Views: 5451

Re: Upcoming Bogleheads podcast guest is Eduardo Repetto, Ph.D.

I have noticed that the tilted Total US and Total Ex-US funds/ETFs offered by Avantis are fairly mild. Along the lines of DFA Core offerings. Is there a reason they don't offer a heavier tilted fund (other than a pure value or small cap value ETF ). Moreover, why not just offer a global ETF like Vanguard's VT but give it a nice SCV tilt?

I'm assuming the answer is that an all-in-one would make an Advisor less "useful" and that means only DIY folks would use it. Since Avantis is less tied to Advisors I am hoping they make the leap.
by matjen
Wed Feb 09, 2022 7:59 am
Forum: Investing - Theory, News & General
Topic: Question about QSPIX - Style Premia Help
Replies: 72
Views: 5485

Re: Question about QSPIX - Style Premia Help

Oh, interesting that AQR stated that too. Maybe I'm being over-analytical on this, but I do find it surprising that an approach / fund based on math and hard data has this super subjective conviction fudge factor thrown in at the end by most followers. Do you believe in it or not? Dialing ~77% down to 10% sounds like mostly not. :) Not sure what the original poster is referring to other than just an exhibit or model. I don't recall AQR ever suggesting anything like 70%. Here is a link to the well known Investing With Style piece and they are talking about three levels. 10%, 20%, and 30%. https://www.aqr.com/Insights/Research/Journal-Article/Investing-With-Style To illustrate and quantify the potential benefits of style investing as a diver...
by matjen
Sat Jan 22, 2022 5:50 pm
Forum: Investing - Theory, News & General
Topic: AQR's Long Road Back to Average
Replies: 33
Views: 3729

Re: AQR's Long Road Back to Average

Nisi, that's why the smart money chose AQR's QSPIX over Vanguard's VMNFX (which many were mentioning as an alternative to the, uh, alternative.) :D

I have not looked at it for a long time for obvious reasons. It really has done better since inception and, rather amazingly given the largish drawdown, has remained "above" VMNFX probably 95% of the time if you pull their charts up on Morningstar. It's not like it just screamed ahead the last two weeks. Even during drawdown it was mostly ahead.

QSPIX

+2,391.50 | +23.91%

VMNFX

+1,349.75 | +13.50% ×
by matjen
Sat Jan 22, 2022 1:08 pm
Forum: Investing - Theory, News & General
Topic: AQR's Long Road Back to Average
Replies: 33
Views: 3729

Re: AQR's Long Road Back to Average

I think the assumption was and certainly is currently that bonds won’t do as well moving forward as they have the past 40 years or whatever. Since the GFC that has been the line and it obviously has been wrong. How much longer will it be wrong? Got me. I think bonds can go negative. I think the 60/40 (especially if heavily TILTED toward the US) has crushed just about every reasonable portfolio allocation this past decade+. I wouldn’t bet on that moving forward another decade. Hope I am wrong.
by matjen
Fri Jan 21, 2022 11:10 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 36221
Views: 4651451

Re: Portfolio in free fall (I know I am not alone)

In Grantham's defense, and he's put it forth in his own defense, nobody could have seen this level of "deranged monetary activism"!!! (shake both fists in the air when you say it -- it's fun) coming. Grantham's defense that he hasn't been able to predict the future for 12+ years is that something unexpected happened in the future? He's been predicting a HUGE crash every year for 12+ years. No one should listen to him anymore. The fact that financial media still interviews him and quotes him tells you everything you need to know about financial media. It's pretty much all worthless. Now let’s be fair. It’s been every few years he predicts crashes for the past decade plus. :wink: But also let’s not forget his laughable prediction a...
by matjen
Fri Jan 21, 2022 10:13 pm
Forum: Investing - Theory, News & General
Topic: AQR's Long Road Back to Average
Replies: 33
Views: 3729

Re: AQR's Long Road Back to Average

nisiprius wrote: Fri Jan 21, 2022 7:26 pm

Source

Image

The blue line is the straight-Boglehead-three-fund portfolio. The red line is the result of adding QMNIX. The best you can say about it is that wouldn't have done much harm.
The above is through December. Through close today I would guess the AQR portfolio is ahead since Total Bond is down -1.68% and QMNIX is up 11.48% YTD. All of this is so period dependent.
by matjen
Thu Oct 07, 2021 6:31 pm
Forum: Investing - Theory, News & General
Topic: Questions for Barry Ritholtz, our next "Bogleheads on Investing" podcast guest
Replies: 44
Views: 6632

Re: Questions for Barry Ritholtz, our next "Bogleheads on Investing" podcast guest

Rick I don't blame you if you don't do this but I would love for you to engage him very directly regarding your typical stance on the ways "Wealth Advisors" are paid and the incentive issues.

It has been awhile since I looked but I think their avg. fees were about 85 bps of AUM. It also seems to me that Barry R., Ben Carlson, Josh Brown, Michael Batnick, etc. are basically full time broadcasters, podcasters and and bloggers. Are they advising you or are they marketing? I say this as someone who enjoys much of their content. Especially Ben Carlson and Nick Maggiulli.
by matjen
Fri Sep 24, 2021 10:52 pm
Forum: Personal Consumer Issues
Topic: Learning to play the guitar as an adult - possible?
Replies: 45
Views: 5249

Re: Learning to play the guitar as an adult - possible?

Good book for inspiration. https://smile.amazon.com/gp/product/B005ERIJS4 On the eve of his 40th birthday, Gary Marcus, a renowned scientist with no discernible musical talent, learns to play the guitar and investigates how anyone—of any age —can become musical. Do you have to be born musical to become musical? Do you have to start at the age of six? Using the tools of his day job as a cognitive psychologist, Gary Marcus becomes his own guinea pig as he takes up the guitar. In a powerful and incisive look at how both children and adults become musical, Guitar Zero traces Marcus’s journey, what he learned, and how anyone else can learn, too. A groundbreaking peek into the origins of music in the human brain, this musical journey is also an e...
by matjen
Fri May 14, 2021 5:13 pm
Forum: Investing - Theory, News & General
Topic: Excellent Prof. Robert Novy-Marx Podcast
Replies: 3
Views: 774

Excellent Prof. Robert Novy-Marx Podcast

I thought this was very informative on a range of topics. Especially for factor types. He does not speak marketing. I excerpted one part for those who may continue to worry about the value premium. I'm guessing there is a bit less of that recently. https://www.youtube.com/watch?v=YsWgWrpzdAM https://rationalreminder.ca/podcast/149 Today’s guest is Professor Robert Novy-Marx, the Lori and Alan Zekelman Distinguished Professor of Business Administration at Simon Business School of the University of Rochester. Professor Novy-Marx is best known for his articulation of the profitability factor and has also done a ton of great work on momentum and low volatility. --- So, here's a question I know many listeners are asking in their mind right now a...
by matjen
Wed May 12, 2021 12:13 pm
Forum: Investing - Theory, News & General
Topic: Management Conference '21: Keynote Conversation with Cliff Asness, David Booth, and Eugene F. Fama
Replies: 1
Views: 354

Management Conference '21: Keynote Conversation with Cliff Asness, David Booth, and Eugene F. Fama

I have not watched this yet but I am sure it is interesting and worthwhile for many.

Management Conference '21: Keynote Conversation with Cliff Asness, David Booth, and Eugene F. Fama
https://www.youtube.com/watch?v=ltYNbsIhM24

Notable speakers Cliff Asness, MBA ’91, PhD ’94, David Booth ’71, (who are both celebrating their reunion this year), and Eugene F. Fama, MBA ’64, PhD ’64, and moderator professor Steven Neil Kaplan discuss their views on the current and future state of asset prices and investing.
by matjen
Wed May 12, 2021 7:32 am
Forum: Investing - Theory, News & General
Topic: NTSX(90/60) corresponds to SPY and BND conversion
Replies: 9
Views: 988

Re: NTSX(90/60) corresponds to SPY and BND conversion

NTSX is leveraged. Roughly 66% holding of it would equal a 60/40 portfolio.

It is 90/60 with total notational exposure being 150%
90/150 = 60%
60/150 = 40%

So you basically have 1.5x exposure to a 60/40