Search found 1017 matches

by pdavi21
Wed May 22, 2019 12:09 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1829
Views: 124652

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Do you actually want the sources, or just to disagree? I named FINRA, SEC, Morningstar, Vanguard, and Bogleheads.org (check the wiki). Can you name a regulatory authority that has endorsed leveraged/inverse ETFs, or one that has NOT issued a warning to investors? EDIT: If you are an experienced inv...
by pdavi21
Wed May 22, 2019 11:27 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1829
Views: 124652

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I just wanted to warn you before to go along this path. The general consensus of regulatory authorities, disinterested parties, and Bogleheads is that leveraged funds are garbage. So understand the risks before you make your choice. Sources? Do you actually want the sources, or just to disagree? I ...
by pdavi21
Wed May 22, 2019 11:05 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1829
Views: 124652

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Sources? Do you actually want the sources, or just to disagree? I named FINRA, SEC, Morningstar, Vanguard, and Bogleheads.org (check the wiki). Can you name a regulatory authority that has endorsed leveraged/inverse ETFs, or one that has NOT issued a warning to investors? EDIT: If you are an experi...
by pdavi21
Wed May 22, 2019 11:01 am
Forum: Investing - Theory, News & General
Topic: Regression to the Mean - and our money
Replies: 16
Views: 1555

Re: Regression to the Mean - and our money

Reversion to the mean is on the fringe of real vs fake economic theories and has been applied improperly in most cases or used to sell financial products. With a risky asset like stocks, mean reversion is not guaranteed over your lifetime. Positive returns are not even guaranteed. I believe someone ...
by pdavi21
Wed May 22, 2019 10:30 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1829
Views: 124652

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I just wanted to warn you before to go along this path. The general consensus of regulatory authorities, disinterested parties, and Bogleheads is that leveraged funds are garbage. So understand the risks before you make your choice. Sources? Do you actually want the sources, or just to disagree? I ...
by pdavi21
Wed May 22, 2019 10:09 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1829
Views: 124652

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I just wanted to warn you before to go along this path. The general consensus of regulatory authorities, disinterested parties, and Bogleheads is that leveraged funds are garbage. So understand the risks before you make your choice. Sources? Do you actually want the sources, or just to disagree? I ...
by pdavi21
Wed May 22, 2019 10:05 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Mgmt Whiffs On Factors
Replies: 18
Views: 1442

Re: Larry Swedroe: Active Mgmt Whiffs On Factors

The implication for investors is that we cannot rely on a fund’s name or stated objective when seeking specific factor exposures. Also true for the overwhelming majority of passive funds. The definitions of factors are so vague and obscure (even for size and Emerging Markets, occasionally), that ev...
by pdavi21
Wed May 22, 2019 9:26 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1829
Views: 124652

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Do long term treasuries protect you during a stock market crash because during crashes the Fed lowers interest rates to ease debt burdens and thus old LTTs, which the TMF has, increase in value because they offer higher interest rates? No. The Fed only directly manages the federal funds rate (FFR),...
by pdavi21
Wed May 22, 2019 2:25 am
Forum: Investing - Theory, News & General
Topic: Don't add currency risk on top of equity risk
Replies: 59
Views: 3610

Re: Don't add currency risk on top of equity risk

Many use currency risk as a reason to tilt away from INTL.

There are other reasons to and also reasons to tilt away from US.

I don't think uncompensated currency risk is a big deal because global diversification benefits are free(ish).
Uncompensated risk increase minus free risk reduction.
by pdavi21
Wed May 22, 2019 1:07 am
Forum: Investing - Theory, News & General
Topic: When to trade total international ETFs?
Replies: 8
Views: 587

Re: When to trade total international ETFs?

I would pick an exact time that:
1. You are available for trading withought fail.
2. Volatility is likely to be lower (not in the first or last 30 minutes of the day).
3. Is random.

INTL makes no difference in this case.
by pdavi21
Tue May 21, 2019 6:43 pm
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, ranked by diversification benefit
Replies: 66
Views: 4281

Re: Vanguard ETFs, ranked by diversification benefit

"Everyone else should pick a bond duration based on their investment horizon and call it a day." +1 The risk that VTI and EDV drop over 30% at the same time is probably higher than the risk that VTI and BND drop 30% at the same time. This is because it is nearly impossible that BND will ever drop 30...
by pdavi21
Tue May 21, 2019 2:41 pm
Forum: Investing - Theory, News & General
Topic: Roth 401k vs. traditional for high income earner
Replies: 21
Views: 1213

Re: Roth 401k vs. traditional for high income earner

No, but it might depending on state tax.
by pdavi21
Tue May 21, 2019 2:28 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Measuring Value In Forecasts
Replies: 40
Views: 2102

Re: Larry Swedroe: Measuring Value In Forecasts

What if someone forecasts that forecasts are not going to be accurate?
Would they start being accurate then just so they could continue being inaccurate?

A little disappointed no one tried averaging the forecasts.
It be interesting if it helps a little or does nothing.
by pdavi21
Tue May 21, 2019 1:37 pm
Forum: Investing - Theory, News & General
Topic: Will Admiral Shares Expense Ratio match ETF in the future
Replies: 15
Views: 891

Re: Will Admiral Shares Expense Ratio match ETF in the future

No, they will not. Not unless they launch a Fleet Admiral class with a higher minimum.
by pdavi21
Tue May 21, 2019 1:28 pm
Forum: Investing - Theory, News & General
Topic: Delaying social security = harming nest egg?
Replies: 71
Views: 5335

Re: Delaying social security = harming nest egg?

If you can survive on SS and Pensions alone, taking early and increasing your investment risk is probably the superior option.

I think above about 6-9% overall portfolio return is likely to beat the returns of delaying...but it's been awhile since I've ran any calcs.
by pdavi21
Tue May 21, 2019 1:17 pm
Forum: Investing - Theory, News & General
Topic: Has anyone heard of this guy
Replies: 12
Views: 2286

Re: Has anyone heard of this guy

Monte Carlo simulations are decent for formulating business decisions for a large company that essentially has a bottomless pit of money/credit. If a company wanted to build 50 stores in a variety of geographically diverse sites, and the expected NPV using Monte Carlo Simulations is high, it may no...
by pdavi21
Tue May 21, 2019 1:09 pm
Forum: Investing - Theory, News & General
Topic: Lies, Damned Lies, And Index Funds
Replies: 43
Views: 5526

Re: Lies, Damned Lies, And Index Funds

I will only invest in Index Funds, so long as they continue to include my desired asset classes. However, how often have we been told the story that active loses to Indexing, only to find that the author uses the best performing broad indices (i.e. S&P, or even Nasdaq), or that they only look at US ...
by pdavi21
Tue May 21, 2019 12:09 pm
Forum: Investing - Theory, News & General
Topic: Has anyone heard of this guy
Replies: 12
Views: 2286

Re: Has anyone heard of this guy

Monte Carlo simulations are decent for formulating business decisions for a large company that essentially has a bottomless pit of money/credit. If a company wanted to build 50 stores in a variety of geographically diverse sites, and the expected NPV using Monte Carlo Simulations is high, it may not...
by pdavi21
Tue May 21, 2019 11:45 am
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, ranked by diversification benefit
Replies: 66
Views: 4281

Re: Vanguard ETFs, ranked by diversification benefit

OP, In likely rising interest rate environment, not sure that having (especially significant amount) of long bonds is a good idea, especially a person like me who is early in his retirement. Sharp rate climb will give significant and proportional loss to long-bond value. Aren't long-bonds closely c...
by pdavi21
Tue May 21, 2019 11:17 am
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, ranked by diversification benefit
Replies: 66
Views: 4281

Re: Vanguard ETFs, ranked by diversification benefit

Do you see what I'm getting at here? No. Could you just explain directly instead of offering an analogy? The correlation is related to a few factors: 1. How diversified is the stock fund? Fewer holdings introduce a level of randomness. (i.e. the one guy who is 6'6") If we replace some of the smalle...
by pdavi21
Mon May 20, 2019 9:55 pm
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, ranked by diversification benefit
Replies: 66
Views: 4281

Re: Vanguard ETFs, ranked by diversification benefit

If I get 55 people in a room and average their height, I get 5.6'. If I then find another 45 people from another country and average their heights, I get 5.5'. I then pick 3 out of the original 55 people. Their average height is 5.2'. Then I pick one person, he is over 6.5'. Then I pick 2 out of the...
by pdavi21
Mon May 20, 2019 9:37 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

vineviz wrote:
Mon May 20, 2019 8:11 pm
pdavi21 wrote:
Mon May 20, 2019 6:08 pm
The flaw is more likely in the funds than the academic paper, but there is a flaw.
I suspect the problem is more likely that you just don't understand the research well enough to implement it.
How do you implement it? I'm all ears.
by pdavi21
Mon May 20, 2019 6:08 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

It magically makes the academic analysis useless. What? The statistical tools required to undertake a cross-sectional analysis of stock returns aren't rudimentary but they aren't SO complicated that an amateur investor can't get the gist of it if they try. If you're going to claim that a well-estab...
by pdavi21
Mon May 20, 2019 4:38 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

Because we all invest in long-short funds and individual securities on Bogleheads.org Okay, but that doesn't magically make a flawed analysis useful. It's possible to either make a well-reasoned analysis of the relative risk of factors or to refrain from characterizing that relative risk until you ...
by pdavi21
Mon May 20, 2019 4:05 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

For two reasons, if you want to accurately evaluate the factor model you need to look at stocks and not funds. First, typical mutual fund "style box" categories (like those employed by Morningstar, Lipper, S&P, etc.) are not based on factor exposure but on non-factor criteria. As a result, mutual f...
by pdavi21
Mon May 20, 2019 3:47 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

Except in the multidimensional risk model (which I assume is mostly academic), value (funds) have generally had lower volatility risk and Beta risk. You keep repeating this, and it keeps being not right. For two reasons, if you want to accurately evaluate the factor model you need to look at stocks...
by pdavi21
Mon May 20, 2019 1:53 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

This is a common misconception: diversification benefits accrue from correlation and variance, neither of which are dependent on market capitalization. A portfolio that is 50% large cap and 50% small cap is, empirically, much more diversified (not less) than a portfolio that is 97% large cap and 3%...
by pdavi21
Mon May 20, 2019 1:51 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

https://i.imgur.com/a2ls30p.png The sources of risk can represent anything investor demands compensation to bear: that could be negative skew or positive excess kurtosis, but it could also be something more economically fundamental (Cochrane uses "recession risk" as an example, but it could be "inf...
by pdavi21
Mon May 20, 2019 9:36 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

Which definition of risk supports the assertion that value funds are riskier? A common phrase is “doing badly in bad times”. A stock that does poorly at the same time the investor is losing his job carries an additional dimension of risk. Dave Growth, on average did worse in bad times than Value ov...
by pdavi21
Mon May 20, 2019 9:32 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

Growth isn't a factor, but neither is value in my context. Reality is the only "context" I'm interested in, and in reality you're half right: growth isn't a factor, but value most certainly is. Reality is that you have to pick a FUND. Not a factor. Can we call growth an anti-factor then? EDIT: Sema...
by pdavi21
Mon May 20, 2019 9:30 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

Which definition of risk supports the assertion that value funds are riskier? Losing? Well aren't companies with a higher book much more difficult to evaluate should the need to liquidate arise. You have to sell equipment that was obtained for a particular purpose into perhaps a depressed market. W...
by pdavi21
Mon May 20, 2019 1:16 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

Small growth funds have had more volatlity than small value in most cases. Not sure why I keep hearing that small value is riskier. It could be in part that small growth funds haven’t actually exhibited more volatility than value funds. It could be that “growth” isn’t a factor, and definitely isn’t...
by pdavi21
Mon May 20, 2019 12:50 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

It's comical how much back-testing gets thrown into these factor discussions, but few logical explanations of why the factors are supposed to work. Or maybe it's apt, considering Fama and French, and all the other factor discoveries, were based on back-testing and then "logically" explained after t...
by pdavi21
Mon May 20, 2019 12:20 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Never worry about under-performance again!

Currently, Total US Market's 5-year annualized return is 10.76%. Small Value's 5-year annualized return is 5.25%. This is serious under-performance -- especially for retirees. Bogleheads, These numbers aren’t quite what actual investors have realized: iShares S&P Small-Cap 600 Value ETF has produce...
by pdavi21
Mon May 20, 2019 12:16 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 117
Views: 5017

Re: Factor ETFs For Diversification Or “Diworsification”

It's comical how much back-testing gets thrown into these factor discussions, but few logical explanations of why the factors are supposed to work. Or maybe it's apt, considering Fama and French, and all the other factor discoveries, were based on back-testing and then "logically" explained after th...
by pdavi21
Sun May 19, 2019 3:55 am
Forum: Investing - Theory, News & General
Topic: Actual Experience as true measure of risk tolerance
Replies: 68
Views: 4606

Re: Actual Experience as true measure of risk tolerance

Risk tolerance doesn't have to mean incorrectly selling at a low, it can mean incorrectly selling at a high. Contrarian investors I know have underperformed in 2000s and 2010s selling too early before the market roared higher (some famous ones too).
by pdavi21
Fri May 17, 2019 4:42 pm
Forum: Investing - Theory, News & General
Topic: How much is the 401K and retirement savings propping up the market?
Replies: 26
Views: 3248

Re: How much is the 401K and retirement savings propping up the market?

A ton. I use margin to trade leveraged inverse ETFs and take advantage of this free money.
:moneybag :moneybag 8-) :moneybag :moneybag

Sorry, I'm in a sarcastic mood today.
by pdavi21
Fri May 17, 2019 4:34 pm
Forum: Investing - Theory, News & General
Topic: Small Caps vs Large Caps divergence
Replies: 23
Views: 3117

Re: Small Caps vs Large Caps divergence

Take a step back and look at INTL vs US.
The relative performance of various (EDIT: stock types/indices) is mostly random.
100 years of backtesting isn't going to pay the bills.
by pdavi21
Fri May 17, 2019 4:28 pm
Forum: Investing - Theory, News & General
Topic: Undisclosed Fees with "Market on Close" Orders
Replies: 23
Views: 1302

Re: Undisclosed Fees with "Market on Close" Orders

"What are regulatory transaction fees? Certain regulators impose transaction fees to cover their costs of regulating the brokerage industry. The fees are passed through to customers as part of normal transaction processing. These fees will appear as a line item called “Estimated Fee” during order en...
by pdavi21
Fri May 17, 2019 4:12 pm
Forum: Investing - Theory, News & General
Topic: Bond funds without mortgage backed part?
Replies: 26
Views: 1210

Re: Bond funds without mortgage backed part?

It was a snarky sarcastic comment.
by pdavi21
Fri May 17, 2019 3:46 pm
Forum: Investing - Theory, News & General
Topic: Bond funds without mortgage backed part?
Replies: 26
Views: 1210

Re: Bond funds without mortgage backed part?

So this "negative convexity" thing...is it any worse than the higher default rate of corporate bonds or the lower yield of a treasury due to state tax deductions?
by pdavi21
Fri May 17, 2019 3:15 pm
Forum: Investing - Theory, News & General
Topic: Investment return assumptions for periodic contribution plans
Replies: 5
Views: 285

Re: Investment return assumptions for periodic contribution plans

7-9% is fine, but seems high to me as it probably includes (EDIT: periods of unusually high inflation) and excludes INTL stocks.
Splitting up bonds and stocks with separate returns and using real returns instead of nominal are necessary steps for a meaningful forecast, in my opinion.
by pdavi21
Fri May 17, 2019 12:21 pm
Forum: Investing - Theory, News & General
Topic: Help me design a 401k fund menu
Replies: 29
Views: 1462

Re: Help me design a 401k fund menu

1. Pick five large companies high in worker satisfaction.
2. Look up their 401k offerings.
3. Take the most common options.
4. Add a brokerage option if it's easy/cheap.
by pdavi21
Fri May 17, 2019 11:39 am
Forum: Investing - Theory, News & General
Topic: how do Tariffs impact your portfolio?
Replies: 25
Views: 1283

Re: how do Tariffs impact your portfolio?

Not enough to matter. If I wanted to look like a fool and make a guess, I'd say there would be monetary and fiscal policy changes to offset the economic impact of the tariff war if it gets any worse. Don't underestimate your intelligence pls. Why would there be monetary/fiscal change? I mean why do...
by pdavi21
Fri May 17, 2019 11:23 am
Forum: Investing - Theory, News & General
Topic: how do Tariffs impact your portfolio?
Replies: 25
Views: 1283

Re: how do Tariffs impact your portfolio?

Not enough to matter.
If I wanted to look like a fool and make a guess, I'd say there would be monetary and fiscal policy changes to offset the economic impact of the tariff war if it gets any worse.
by pdavi21
Fri May 17, 2019 11:15 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Home Country Bias Ubiquitous
Replies: 1
Views: 386

Re: Larry Swedroe: Home Country Bias Ubiquitous

To me, the data says, if everyone else is doing it, I should do it too. Either to get the fair price (assuming market efficiency) or to get the average right balance of diversification vs cost that the market has determined (assuming market efficiency). However, I strongly agree with Larry's conclus...
by pdavi21
Fri May 17, 2019 10:07 am
Forum: Investing - Theory, News & General
Topic: Invest or Payoff Home
Replies: 38
Views: 2815

Re: Invest or Payoff Home

Easy. Pay off the mortgage.
by pdavi21
Thu May 16, 2019 10:00 pm
Forum: Investing - Theory, News & General
Topic: Argument against Target Fund
Replies: 32
Views: 2477

Re: Argument against Target Fund

Valid arguments against TR:
Tax efficiency, Stock/Bond risk, US/INTL allocation, Expense Ratio

Invalid arguments against TR:
They contain stocks.
by pdavi21
Thu May 16, 2019 9:55 pm
Forum: Investing - Theory, News & General
Topic: Does stock allocation truly matter?
Replies: 61
Views: 5266

Re: Does stock allocation truly matter?

The most important thing is to save money.
The second most important thing is to invest that money.
The third most important thing is Stock/Bonds.
The fourth most important thing is US/INTL.

All of that assumes you have a job.