Search found 262 matches

by privatefarmer
Tue Sep 12, 2017 7:11 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

I realize that this is only the top 10 funds but from this sample it's obvious that the ownership is almost exclusively factor-based funds. That's key though. You can't look at that data and conclude that "~90% of the money invested in them is from 'factor-based' funds". It's simply not true. Not e...
by privatefarmer
Tue Sep 12, 2017 6:46 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

Anyhow, it may be meaningless data and I'm certainly no expert but it seems like from a very simple observation of the ownership of these small/value companies that most of the money invested in them is from investors chasing the factor-premium and this seems like it would not only eat up any facto...
by privatefarmer
Tue Sep 12, 2017 3:34 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

Using Morningstar the owners of Apple (AAPL) appear to be: 31% large cap mutual funds 57% institutions Thus AAPL appears "propped-up" by large-cap mutual funds in the same way Aaron's (AAN) is "propped-up" by small cap funds. When I did the numbers I get 45% of AAN held by small cap funds, so argua...
by privatefarmer
Tue Sep 12, 2017 3:30 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

Anyhow, it may be meaningless data and I'm certainly no expert but it seems like from a very simple observation of the ownership of these small/value companies that most of the money invested in them is from investors chasing the factor-premium and this seems like it would not only eat up any facto...
by privatefarmer
Tue Sep 12, 2017 12:30 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

In fact, ~90% of the money invested in them is from "factor-based" funds... This appears to be incorrect, thus rendering the rest of the post irrelevant. If you can show that 90% of the money invested in small-cap value companies is indeed from factor-based funds, I will stand corrected. here's one...
by privatefarmer
Tue Sep 12, 2017 12:22 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

In fact, ~90% of the money invested in them is from "factor-based" funds... This appears to be incorrect, thus rendering the rest of the post irrelevant. If you can show that 90% of the money invested in small-cap value companies is indeed from factor-based funds, I will stand corrected. here's one...
by privatefarmer
Tue Sep 12, 2017 12:15 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

In fact, ~90% of the money invested in them is from "factor-based" funds... This appears to be incorrect, thus rendering the rest of the post irrelevant. If you can show that 90% of the money invested in small-cap value companies is indeed from factor-based funds, I will stand corrected. here's one...
by privatefarmer
Mon Sep 11, 2017 8:26 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

My two cents on factors/tilts: If the outperformance is not persistent, you should just own TSM. If the outperformance is persistent, it is because of risk. If that's the case, you would add risk to your portfolio by tilting. If you are okay with adding risk to your portfolio, you could alternative...
by privatefarmer
Mon Sep 11, 2017 7:58 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

What if Apple, Microsoft and other tech stocks suddenly had a huge surge of $$$ invested from investors chasing the "tech stock premium" ala the 90's? What if the ownership of these tech companies was almost exclusively mutual funds that only invested in tech stocks and TSM funds only made up a smal...
by privatefarmer
Mon Sep 11, 2017 7:54 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

Re: ownership of "small cap value" stocks

Anyhow, it may be meaningless data and I'm certainly no expert but it seems like from a very simple observation of the ownership of these small/value companies that most of the money invested in them is from investors chasing the factor-premium and this seems like it would not only eat up any facto...
by privatefarmer
Mon Sep 11, 2017 7:35 am
Forum: Investing - Theory, News & General
Topic: ownership of "small cap value" stocks
Replies: 50
Views: 3163

ownership of "small cap value" stocks

I have lately been skeptical about the SCV "premium" going forward due to factor-crowding. So I looked up some of the stocks that were owned by DFSVX and VISVX and what I found was shocking (at least to me). If you look up some of the companies on Morningstar and click on ownership, it will list the...
by privatefarmer
Sun Sep 10, 2017 1:33 am
Forum: Investing - Theory, News & General
Topic: Equal Weighting (1/N) Versus Market Cap Weighting
Replies: 22
Views: 2375

Re: Equal Weighting (1/N) Versus Market Cap Weighting

the biggest problem IMO is that this is all common knowledge now. If the market as a whole "tilts" even the slightest to small/value/equal weighting, it will cause the "small/value" stocks to become over valued and the "large growth" stocks to become under valued, relative to their "intrinsic value"...
by privatefarmer
Fri Sep 08, 2017 9:14 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 8965

Re: Value Factor Investing is not Value Investing

We can easily identify value factor investors. They buy stocks that are cheap relative to defined metrics - low p/e, low p/b, etc. How do we identify value investors? Name or Morningstar classification? Jack Bogle was heavily criticized by value factor investors (such as Larry Swedroe on this board...
by privatefarmer
Thu Aug 31, 2017 9:08 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 8965

Re: Value Factor Investing is not Value Investing

appreciate the insight. I have been pondering factor-based investing for several years, have become more and more skeptical of it. I think if you wanted to determine the "intrinsic value" of a company it's very subjective as you'd be analyzing not just accounting numbers but what you think the futur...
by privatefarmer
Thu Aug 31, 2017 3:32 am
Forum: Investing - Theory, News & General
Topic: Passive vs. Active Portfolio Mgt ?
Replies: 17
Views: 1933

Re: Passive vs. Active Portfolio Mgt ?

Passive investing still has a few things going for it imho. :wink: If I were to make a list, well, I think I'd start with this: 1. Lower Cost. This is huge. 50 to 100 basis points over 20 years makes a big difference in your end point. 2. Simplicity. No need to identify superior active funds/manage...
by privatefarmer
Thu Aug 31, 2017 3:29 am
Forum: Investing - Theory, News & General
Topic: Passive vs. Active Portfolio Mgt ?
Replies: 17
Views: 1933

Re: Passive vs. Active Portfolio Mgt ?

Excellent ... Great feedback, But, back to the TOPIC ... Passive vs. Active Portfolio Mgt. The consensus seems to be during good times (last 7 years) both Passive and Actively Managed portfolios looked smart. During bad times (starting 2007) the Passive portfolios drop as do the the Active ... but ...
by privatefarmer
Mon Aug 28, 2017 1:32 am
Forum: Investing - Theory, News & General
Topic: Small-Cap Value has had higher returns than Total Stock Market, with lower risk
Replies: 49
Views: 4189

Re: Small-Cap Value has higher returns than Total Stock Market, with lower risk

Annualized returns since then (from above link): 9.3% = Vanguard 500 Index [VFINX] 10.7% = DFA US Small Cap [DFSTX] 11.8% = DFA US Small Cap Value [DFSVX] Obviously no guarantees. Robert . I apologize if I am regurgitating what has already been said many times on this forum, but we know that if one...
by privatefarmer
Mon Aug 28, 2017 1:12 am
Forum: Investing - Theory, News & General
Topic: Dividing retirement savings between taxable and tax-advantaged accounts
Replies: 13
Views: 1515

Re: Dividing retirement savings between taxable and tax-advantaged accounts

some good resources on this would be mr money mustache and the mad fientist, each has their own website. they have blogged extensively on roth conversion ladders and the like. a few points : - pre-tax IRA or 401k can always be converted, in increments, to roth IRA and then the funds can be accessed ...
by privatefarmer
Sun Aug 27, 2017 1:01 am
Forum: Investing - Theory, News & General
Topic: Small-Cap Value has had higher returns than Total Stock Market, with lower risk
Replies: 49
Views: 4189

Re: Small-Cap Value has higher returns than Total Stock Market, with lower risk

not sure what data OP is using, SCV definitely has had higher standard deviation than TSM and a slightly worse drawdown during great recession, as we would expect. It is more volatile. Amazon also has beaten the TSM over last 20 years, as has Apple and Microsoft. Don't use backtested data to make yo...
by privatefarmer
Sat Aug 19, 2017 12:54 pm
Forum: Investing - Theory, News & General
Topic: 96 percent of stocks are no better then TBills
Replies: 22
Views: 4513

Re: 96 percent of stocks are no better then TBills

Wow. Just came across this article/thread. I am perplexed as to how small caps have supposedly outperformed from 1926-onward when this article is basically saying the exact opposite? 96% of stocks underperform treasuries?? Is it just that the author of this article is counting thousands of micro-cap...
by privatefarmer
Sat Aug 12, 2017 11:45 pm
Forum: Investing - Theory, News & General
Topic: Anyone Out There Who Has Failed To Stick To Their Long Term Investing Plan?
Replies: 35
Views: 3962

Re: Anyone Out There Who Has Failed To Stick To Their Long Term Investing Plan?

I am just curious about this... I have a plan to stick through things thick and thin, but I haven't lived through a bear yet I want to 'be greedy when other are fearful', but I want to hear other people on this... My biggest struggle has been that I have gone back and forth between small/value tilt...
by privatefarmer
Sat Aug 12, 2017 12:10 am
Forum: Investing - Theory, News & General
Topic: Real P/E of ETF's and Mutual Funds - are the published ones misleading
Replies: 26
Views: 1506

Re: Real P/E of ETF's and Mutual Funds - are the published ones misleading

just own the total market and you don't have to worry about this nonsense.
by privatefarmer
Fri Aug 11, 2017 6:51 am
Forum: Investing - Theory, News & General
Topic: trying to understand total market and value investing
Replies: 77
Views: 5052

Re: trying to understand total market and value investing

The way I think of it is : I want to own companies for 30+ years. This is a good outline. But there are a lot of minor points of disagreement here. Let's start with that? Why shouldn't you want to own shares in companies that have the best returns and not own shares in companies that have substanda...
by privatefarmer
Fri Aug 11, 2017 1:06 am
Forum: Investing - Theory, News & General
Topic: trying to understand total market and value investing
Replies: 77
Views: 5052

Re: trying to understand total market and value investing

The way I think of it is : I want to own companies for 30+ years. If the companies I own grow their earnings, the share price will increase at most likely the same rate to keep the P/E anchored at around the historical average (ie 15-20). It all comes down to : what companies will grow their profits...
by privatefarmer
Mon Aug 07, 2017 9:28 pm
Forum: Investing - Theory, News & General
Topic: Factor crowding
Replies: 19
Views: 1527

Re: Factor crowding

Appreciate all the replies. As far as "value" investing it seems that there's a hundred different ways to define value. P/b is how many funds do it but that may not be any better at buying stocks on the cheap as just owning a total market fund. I appreciate the post regarding leverage as that may no...
by privatefarmer
Mon Aug 07, 2017 3:45 pm
Forum: Investing - Theory, News & General
Topic: Factor crowding
Replies: 19
Views: 1527

Re: Factor crowding

Strange, comparing IJS to VTSMX shows that it underperformed in 2014 and 2015 - if it's valuation was getting a sudden pop from new inflows you would expect to see it there. But it has overperformed VTSMX since then. Might be a hole or two in your assumptions, might want to see if they hold up to a...
by privatefarmer
Mon Aug 07, 2017 3:14 pm
Forum: Investing - Theory, News & General
Topic: Factor crowding
Replies: 19
Views: 1527

Factor crowding

Ric Edelman, although not always the best source of information, stated on his most recent show that in 2014 ~30% of all mutual fund inflows were in smart beta funds.... This put the nail in the coffin for me as far as factor-based investing. The small value sector of the us market is roughly 3% by ...
by privatefarmer
Tue Jul 18, 2017 12:49 am
Forum: Investing - Theory, News & General
Topic: factor crowding vs active mgmnt
Replies: 3
Views: 455

factor crowding vs active mgmnt

I understand the concern about factor crowding, particularly in the small/value factors. However, if 2/3 of the market is actively traded (which I believe to be the case), wouldn't active traders ensure that factor crowding will not exist? If small cap stocks were becoming over-inflated, for example...
by privatefarmer
Sun Jul 09, 2017 3:46 pm
Forum: Investing - Theory, News & General
Topic: The Final, Definitive Thread on Brokerage Transfer Bonuses
Replies: 538
Views: 82667

Re: The Final, Definitive Thread on Brokerage Transfer Bonuses

Earl Lemongrab wrote:Currently, if all brokerages stopped offering bonuses, I'd probably settle at Merrill Edge. It's just the best all-round deal for my needs. Someone else's needs might differ.
havent used ME before. I assume they allow you to hold vanguard etfs? thanks!
by privatefarmer
Sat Jun 24, 2017 5:47 pm
Forum: Investing - Theory, News & General
Topic: Anything wrong with 100% US Stocks?
Replies: 35
Views: 2905

Re: Anything wrong with 100% US Stocks?

Anything wrong with 100% stocks? Yes : It's not 120%. Figure out how much of a drop you are willing to ride down without selling. Stock indexes easily fall 60% in terrible markets, possibly more. I can stomach any loss as long as it doesn't go to zero, so I am 120% via low cost margin. You also need...
by privatefarmer
Fri Jun 23, 2017 10:12 pm
Forum: Personal Finance (Not Investing)
Topic: Tax free growth vs FIRE
Replies: 2
Views: 539

Re: Tax free growth vs FIRE

AWESOME!!! Thanks for the link! I can do 72t distributions and not have to pay taxes or the penalty... this is fantastic news. Thanks again for the help
by privatefarmer
Fri Jun 23, 2017 9:26 pm
Forum: Personal Finance (Not Investing)
Topic: Tax free growth vs FIRE
Replies: 2
Views: 539

Tax free growth vs FIRE

I am contemplating withdrawing ~150k of Roth contributions into my taxable account, start a 4% w/d annually and partially retire early... my dilemma is that I would then lose out on the tax free growth that these contributions would provide inside the Roth. But I'd need to move the money to the taxa...
by privatefarmer
Wed Jun 21, 2017 12:27 am
Forum: Investing - Help with Personal Investments
Topic: roth 401k --> roth IRA distribution question
Replies: 2
Views: 329

Re: roth 401k --> roth IRA distribution question

awesome! thanks so much for the reply! I was able to find the 1099R and indeed in box 5 it shows my contributions. Thanks so much for the help
by privatefarmer
Tue Jun 20, 2017 6:59 am
Forum: Investing - Help with Personal Investments
Topic: roth 401k --> roth IRA distribution question
Replies: 2
Views: 329

roth 401k --> roth IRA distribution question

hello, I am hoping to retire early, in my 40s, and am hoping to make tax/penalty free withdrawals from my roth IRA. I understand that contributions can come out tax free. What about the contributions I made to a roth 401k which was then rolled over into the roth IRA? is there a 5-year waiting period...
by privatefarmer
Sat Jun 10, 2017 6:10 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Persistence Of The Value Premium
Replies: 47
Views: 5427

Re: Larry Swedroe: Persistence Of The Value Premium

On the question of whether there is a value premium, let's update the since inception number of the various VG funds: large cap since 1992: growth: 9.42% value: 9.43% Midcap since 2006: growth: 8.63% value 8.72% Smallcap since 1998: growth: 8.35% value: 8.60% A win by value in all 3 cases, but are ...
by privatefarmer
Wed May 24, 2017 1:29 am
Forum: Investing - Theory, News & General
Topic: Are risk factors just ways to take on additional risk?
Replies: 36
Views: 2475

Re: Are risk factors just ways to take on additional risk?

... The number of people who actually invest 100% in RZV (or equivalent) remains quite small. And even that is all way short of the hypothetical portfolios which use long-minus-short constructions . . . . By definition small caps only make up roughly 10% of the market, a narrower range like small-v...
by privatefarmer
Wed May 24, 2017 12:05 am
Forum: Investing - Theory, News & General
Topic: Are risk factors just ways to take on additional risk?
Replies: 36
Views: 2475

Re: Are risk factors just ways to take on additional risk?

I prefer to "slice" my portfolio into different equity classes that have had slightly lower correlation to eachother over the years. I know past doesn't predict future, but I figure if I have 5-10 "slices" (ie REITS, small value, energy, consumer staples, EM, int small, etc) that...
by privatefarmer
Tue May 23, 2017 11:59 pm
Forum: Investing - Theory, News & General
Topic: Are risk factors just ways to take on additional risk?
Replies: 36
Views: 2475

Re: Are risk factors just ways to take on additional risk?

but at the end of the day, the long-term (ie 30+ year return) of equities are going to be solely driven by growth in earnings/dividends. Regardless if a company is considered "small" or "value", if it is not more profitable than the average S/P 500 company over the next X number ...
by privatefarmer
Sun May 21, 2017 9:47 pm
Forum: Investing - Theory, News & General
Topic: Value vs Equal vs Other Weighing
Replies: 13
Views: 1019

Re: Value vs Equal vs Other Weighing

...However, it bugs my mind that a pro-cyclical portfolio such as that (meaning it gives more weight to the assets that go up in price, less weight to those that go down in price) is the best portfolio... Well, this is basically a mindset and a framing issue, but unfortunately this particular frami...
by privatefarmer
Sat May 20, 2017 7:25 am
Forum: Investing - Theory, News & General
Topic: "Stocks, Bonds and Future Returns" by Prof. Jeremy Siegel
Replies: 65
Views: 6195

Re: "Stocks, Bonds and Future Returns" by Prof. Jeremy Siegel

These long-term graphs are indeed enlightening. Thank you, Taylor, for sharing! I especially find the 50-year bear market in bills from 1931-1981 sobering. In bonds, negative real return 1941-1981. Bonds may be good for volatility reduction, but don't count on them for income! So does he use global...
by privatefarmer
Fri May 19, 2017 11:26 pm
Forum: Investing - Theory, News & General
Topic: "Stocks, Bonds and Future Returns" by Prof. Jeremy Siegel
Replies: 65
Views: 6195

Re: "Stocks, Bonds and Future Returns" by Prof. Jeremy Siegel

So does he use global stock return data to come up w/ the 6.7% real return since 1802 or is that just US data? From what I've read on other sources, the global real return going back as far as we can is only 5%... 6.7% real since 1802, if that is based on global markets, sounds too good to be true...
by privatefarmer
Sat Apr 29, 2017 4:55 pm
Forum: Investing - Theory, News & General
Topic: So what's the theory behind this active vs Passive report
Replies: 15
Views: 1522

Re: So what's the theory behind this active vs Passive report

Before fees, active and passive for the general public ally available stock market must give the same result, on average. This is just plain arithmetic. The spread of results or that for any specific investor may be different, but in aggregate, they are both in the same market, so the average must ...
by privatefarmer
Sat Apr 15, 2017 6:20 pm
Forum: Investing - Theory, News & General
Topic: Is it necessary to diversify across Factors?
Replies: 123
Views: 7870

Re: Is it necessary to diversify across Factors?

Ironically, holding a total market index fund does give you diversity to all the various "factors". Value? Yup. Momentum? Yup. Small? Yup. You own everything. To me, this argument is no different than owning specific sectors. You can backtest and see that certain characteristics (factors) ...
by privatefarmer
Sat Mar 25, 2017 5:33 am
Forum: Investing - Theory, News & General
Topic: Use Debt Instead Of Cash/Fixed Income In Asset Allocation?
Replies: 15
Views: 1897

Re: Use Debt Instead Of Cash/Fixed Income In Asset Allocation?

The stock market can go into significant drawdowns, such that matching assets to liabilities with stocks can be problematic on occasion. For cash/fixed income, this is less of an issue. With time, the drawdown risk of stocks decreases more than the drawdown risk of cash/fixed income decreases. At a...
by privatefarmer
Sat Mar 25, 2017 5:27 am
Forum: Investing - Theory, News & General
Topic: Use Debt Instead Of Cash/Fixed Income In Asset Allocation?
Replies: 15
Views: 1897

Re: Use Debt Instead Of Cash/Fixed Income In Asset Allocation?

The stock market can go into significant drawdowns, such that matching assets to liabilities with stocks can be problematic on occasion. For cash/fixed income, this is less of an issue. With time, the drawdown risk of stocks decreases more than the drawdown risk of cash/fixed income decreases. At a...
by privatefarmer
Thu Mar 16, 2017 1:19 am
Forum: Investing - Theory, News & General
Topic: How much international stock? A suggestion.
Replies: 213
Views: 37594

Re: How much international stock? A suggestion.

As of this date in 2016, the market has decided that 46 cents of every dollar is invested in companies not domiciled in the United States. If your international equity allocation is anything other than that global market weight, you are tilting. You are betting that you know something that the glob...
by privatefarmer
Wed Mar 15, 2017 5:58 am
Forum: Investing - Theory, News & General
Topic: Merriman article: 12 things every investor should know...
Replies: 43
Views: 5882

Re: Merriman article: 12 things every investor should know...

Anyhow, at the end of the day the companies themselves that grow their profits the most will earn their investors the most money. I don't see why a small company would grow their earnings faster than a large company - that is pure speculation IMO. Well that is simple, it is always easier to have a ...
by privatefarmer
Tue Mar 14, 2017 11:52 pm
Forum: Investing - Theory, News & General
Topic: Merriman article: 12 things every investor should know...
Replies: 43
Views: 5882

Re: Merriman article: 12 things every investor should know...

I recall Bogle arguing something along the lines that active management fails not because they are trying to pick certain securities but because of the excess fees/taxes over passive investing. I view factor investing in this way now. It may not fail because factors are non-existent over a time fram...
by privatefarmer
Tue Mar 14, 2017 11:48 pm
Forum: Investing - Theory, News & General
Topic: Merriman article: 12 things every investor should know...
Replies: 43
Views: 5882

Re: Merriman article: 12 things every investor should know...

Even if the small, value, and small value premiums drop by a third, which some academic research suggests might be the case going forward, many believe that there are still likely to be long-term premiums in those asset classes, including myself. Ok, lets run with that. The SCV premium is supposed ...