Search found 76 matches

by reformed.trader
Mon Sep 02, 2019 4:37 pm
Forum: Investing - Theory, News & General
Topic: Bad time to buy total bond?
Replies: 32
Views: 4692

Re: Bad time to buy total bond?

I can hold a 2 year bond and receive my interest and principle in 2 years. Inflation risk is low and requires no greater fool. That's true if - and only if - you intend to spend the money in 2 years. If the intent is, instead, to buy another two-year bond in 2 years then you're making an active bet...
by reformed.trader
Mon Sep 02, 2019 12:27 pm
Forum: Investing - Theory, News & General
Topic: Bad time to buy total bond?
Replies: 32
Views: 4692

Re: Bad time to buy total bond?

IMO yes. On a historical basis bonds are extremely expensive. Yes you could have said this for a while, but betting on a greater fool isn't a great game to play for my savings. Locking in 2% a year for 30 years is crazy. If you want bonds, stay short. Wait . . . "If you want bonds, stay short" is t...
by reformed.trader
Mon Sep 02, 2019 8:22 am
Forum: Investing - Theory, News & General
Topic: Rob Arnott on value investing and the Achilles' heel of market cap indexing (Morningstar podcast)
Replies: 62
Views: 6169

Re: Rob Arnott on value investing and the Achilles' heel of market cap indexing (Morningstar podcast)

Judging FNDB and other fundamental indices over the last 10 years alone will only confirm existing biases of market cap junkies. If I had to choose VTI vs FNDB, I would go with FNDB. But if I wanted the tilts to factors FNDB offers, I would rather choose a fund that targets those factors specifically.
by reformed.trader
Mon Sep 02, 2019 8:09 am
Forum: Investing - Theory, News & General
Topic: Bad time to buy total bond?
Replies: 32
Views: 4692

Re: Bad time to buy total bond?

IMO yes. On a historical basis bonds are extremely expensive. Yes you could have said this for a while, but betting on a greater fool isn't a great game to play for my savings. Locking in 2% a year for 30 years is crazy. If you want bonds, stay short.
by reformed.trader
Fri Aug 30, 2019 7:31 pm
Forum: Investing - Theory, News & General
Topic: Chart: Why Broad, Cap-weighted Index Funds Can't Move Markets
Replies: 30
Views: 2087

Re: Chart: Why Cap-weighted Index Funds Can't Move Markets

You are assuming liquidity is the same(or in proportion to market cap) for all stocks.
by reformed.trader
Tue Aug 20, 2019 9:15 pm
Forum: Investing - Theory, News & General
Topic: Total index funds are “crowded”
Replies: 26
Views: 3501

Re: Total index funds are “crowded”

firebirdparts wrote:
Tue Aug 20, 2019 5:12 pm
All I will say is that TSM can’t be crowded in the usual sense. By definition, passive TSM investors can’t affect the relative price of any stock
not necessarily true. This would assume all stocks have the same liquidity(or relative liquidity), which may not always or ever be true.
by reformed.trader
Sat Jul 06, 2019 6:30 pm
Forum: Investing - Theory, News & General
Topic: No More Posts Of Larry Swedroe Essays [by Random Walker]
Replies: 64
Views: 7274

Re: No More Posts Of Larry Swedroe Essays

Those were some of the best posts on the board.
by reformed.trader
Thu Jul 04, 2019 7:16 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

Three more datapoints in support of using ITT instead of LTT, this time in terms of monthly correlations: ... Correlation isn’t the full story. LTT will move further as well which provides a bigger diversification bonus for similar correlations. This is why those that use short term treasuries need...
by reformed.trader
Thu Jun 20, 2019 10:30 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

I too want to chime in that although there are fair criticisms of this strategy, this thread has opened the world of “risk parity” investing to me and has totally changed my views on investing. Regardless of whether you favor using LETFs, futures or options contracts or any leverage at all, realizi...
by reformed.trader
Sun Jun 09, 2019 5:26 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

physixfan wrote:
Sat Jun 08, 2019 10:19 pm
This strategy works unexpectedly well these months...
Rates have collapsed the last several months.
by reformed.trader
Tue Jun 04, 2019 1:19 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

So something I noticed today. The 2 yr yield is up by 10 basis points or so, while the 1 yr and shorter yields have all dropped. I had been thinking that at this point in the cycle, if you wanted to keep exposure to the short end of the curve while using leverage thru the futures market, you would ...
by reformed.trader
Wed May 15, 2019 12:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

Are the draw downs you are quoting month end draw downs only? Yes. So, the performance that has been cited using historical data will most certainly be wrong(performance overstates, DD understated). Given vol drag is what kills this strategy, leaving out intra month movement will overstate returns....
by reformed.trader
Wed May 15, 2019 11:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

Are the draw downs you are quoting month end draw downs only? Yes. So, the performance that has been cited using historical data will most certainly be wrong(performance overstates, DD understated). Given vol drag is what kills this strategy, leaving out intra month movement will overstate returns....
by reformed.trader
Tue May 14, 2019 10:17 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

It seems to me that HEDGEFUNDIE's strategy is very good during strong bull markets, but its downside is that during recessions the declines are very large. If we could circumvent the declines (and give up possible returns) we might be able to outperform the original strategy and have less risk. You...
by reformed.trader
Tue May 14, 2019 12:33 pm
Forum: Investing - Theory, News & General
Topic: Can future returns for the next 10 years really be predicted with CAPE?
Replies: 36
Views: 2463

Re: Can future returns for the next 10 years really be predicted with CAPE?

It has shown to be good predicting returns cross sectionally. Saying the 10 returns of the US stock market at a cape of 30 will be X will most certainly be wrong, but for example, there is a great chance Emerging Markets as a whole will outperform the US over the next 10 years. 2018 was a decent yea...
by reformed.trader
Tue May 14, 2019 12:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

Finding this really interesting. I am new to investing and thinking about putting a small percentage (10%) into this strategy. A few questions, sorry if these have been answered already, but reading through 35 pages isn't doable. 1) How exactly are borrowing costs tied into these ETFs? I'm looking ...
by reformed.trader
Sun May 12, 2019 8:35 am
Forum: Investing - Theory, News & General
Topic: Thinking of switching from Vanguard to Schwab Intelligent Portfolios
Replies: 28
Views: 3452

Re: Thinking of switching from Vanguard to Schwab Intelligent Portfolios

I like their fundamental ETFs and use them in my M1 pies. The TLH aspect(while using their fundamental funds) of their process is what seems attractive to me. I would be interested to see long term performance of Schwab vs Betterment smart beta. If TLH doesn't do much as someone mentioned before, th...
by reformed.trader
Sun Apr 21, 2019 8:27 pm
Forum: Investing - Theory, News & General
Topic: M1 Finance
Replies: 44
Views: 5083

Re: M1 Finance

Love it.
by reformed.trader
Fri Apr 19, 2019 12:57 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

Why everyone doesn't do it is probably due to the inherent risks in shorting. If the S&P were to drop 50% in a short period, the 3x short will lose MORE than 150% more than likely(due to compounded returns). You also have to pay to borrow and pay for margin(if require). Its a lot more complicated a...
by reformed.trader
Fri Apr 19, 2019 7:21 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

Added: You mentioned that you'd have to abandon the strategy if it became "hard to borrow", but at those times couldn't you switch to the 3x long version, then back once it no longer was? It may not perform quite as well, but it seems like a better alternative than abandoning it. Is it likely that ...
by reformed.trader
Wed Apr 17, 2019 1:12 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

As for vol drag, I have decided to short SPXU and TMV rather than going long UPRO and TMF. This is a bit more advanced than simply going long, so I am not recommending anyone follow. This may be a stupid question, but what's the advantage of shorting short over going long? Is it simply a cheaper wa...
by reformed.trader
Wed Apr 17, 2019 9:56 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

As for vol drag, I have decided to short SPXU and TMV rather than going long UPRO and TMF. This is a bit more advanced than simply going long, so I am not recommending anyone follow. This may be a stupid question, but what's the advantage of shorting short over going long? Is it simply a cheaper wa...
by reformed.trader
Wed Apr 17, 2019 9:45 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

Current estimated rates at etrade at 1% and 2% for SPXU and TMV. Where can you see the estimated borrow rate? When I preview an order to short SPXU at etrade, it just tells me its "hard to borrow" (which usually implies rates in the double digit percents). I see it on the preview page right before ...
by reformed.trader
Wed Apr 17, 2019 9:22 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

As for vol drag, I have decided to short SPXU and TMV rather than going long UPRO and TMF. This is a bit more advanced than simply going long, so I am not recommending anyone follow. Results are below. I got similar results on Quantopian, though it wasn't clean cut(I think their slippage model mess...
by reformed.trader
Tue Apr 16, 2019 9:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

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

After looking at this I decided to join. The only problems I had with this was the vol drag(which I am working around as seen below) and I am under the impression that yields can only go higher from here and that US stock market is extremely expensive. I am dealing with the second problem by adjusti...
by reformed.trader
Sun Feb 17, 2019 2:00 pm
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 128
Views: 14164

Re: You Can Market Time At Valuation Extremes

Just use CAPE or any other of your favorite valuation metrics as a cross sectional tools, rather than a market timing tool.
by reformed.trader
Wed Feb 06, 2019 9:57 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 300873

Re: HEDGEFUNDIE's excellent adventure [3x leveraged ETF strategy]

SIAP But from the 80s until basically today, bonds and equities have both gone up. And when there has been a sharp, short drawdown in stocks, it has been matched with a large upswing in bonds. When this correlation pattern breaks, this trade will be dead imo, and I am of the impression that the next...
by reformed.trader
Tue Jan 15, 2019 10:27 pm
Forum: Investing - Theory, News & General
Topic: GMO's 7‐Year Asset Class Real Return Forecasts
Replies: 29
Views: 2491

Re: GMO's 7‐Year Asset Class Real Return Forecasts

Annualized 7 year returns for Emerging Markets went from -2% to +4.7% in one year? Seems odd. Makes sense. Imagine the difference between 1 year of -20% and 6 years of 4% returns and 7 years of 5% returns. Now that we had a bad year, the bull market can start up:) The issue isn't so much the GMO be...
by reformed.trader
Mon Jan 14, 2019 3:25 pm
Forum: Investing - Theory, News & General
Topic: GMO's 7‐Year Asset Class Real Return Forecasts
Replies: 29
Views: 2491

Re: GMO's 7‐Year Asset Class Real Return Forecasts

Annualized 7 year returns for Emerging Markets went from -2% to +4.7% in one year? Seems odd.
by reformed.trader
Sun Jan 13, 2019 2:35 pm
Forum: Investing - Theory, News & General
Topic: Emerging markets cannot be fairly valued and investors are better off elsewhere: Change my mind :)
Replies: 128
Views: 9381

Re: Emerging markets cannot be fairly valued and investors are better off elsewhere: Change my mind :)

My question for the OP/this audience is: What are the likes of GMO (etc.) missing when they recommend Emerging Markets as a value play? From another thread, GMO 7 year forecasts are worse than a toss of a coin https://pensionpartners.com/wp-content/uploads/2018/07/gmo4.png What were they missing wh...
by reformed.trader
Sun Jan 13, 2019 12:49 am
Forum: Investing - Theory, News & General
Topic: Emerging markets cannot be fairly valued and investors are better off elsewhere: Change my mind :)
Replies: 128
Views: 9381

Re: Emerging markets cannot be fairly valued and investors are better off elsewhere: Change my mind :)

If you suspect the financial statement numbers, you can also look at dividend yields(cold hard cash) as a gauge of value or cheapness. Here are some large EM countries...

Russia - 6.3%
China - 4.7%
Taiwan - 4.7%
South Africa - 4.4%
Turkey - 4.2%


For comparison the US is at 2.1%
by reformed.trader
Sun Jan 06, 2019 9:40 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Value Premium Lives!
Replies: 61
Views: 6472

Re: Factor investing with one fund.

if people are worried about value underperformance, that is just more reason to diversify across all the known factors, including market beta: market, size, value, momentum, profitability/quality. Dave: Total Stock Market Index Fund includes all U.S. stock factors in one fund. Please read my "Simpl...
by reformed.trader
Thu Jan 03, 2019 2:10 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: investing Uncomfortably
Replies: 88
Views: 8532

Re: Factor funds: Active or Passive?

Some very sophisticated strategies to gain exposure to factors can remain agnostic to market timing and security selection, and that is why I think factor investing can very fairly be described as passive; certainly closer in my mind to index investing than to active. Dave Dave: Sorry. Vanguard dis...
by reformed.trader
Thu Jan 03, 2019 9:38 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: investing Uncomfortably
Replies: 88
Views: 8532

Re: Larry Swedroe: investing Uncomfortably

Like all market information, this data nullifies itself by being publicly known and exploited. I certainly agree that markets are ruthlesssly efficient. Factors may well take haircuts. But if a factor is due to risk, then it's premium should not be eradicated. Behavioral factors are certainly much ...
by reformed.trader
Wed Jan 02, 2019 8:00 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: investing Uncomfortably
Replies: 88
Views: 8532

Re: Larry Swedroe: investing Uncomfortably

Like all market information, this data nullifies itself by being publicly known and exploited. I certainly agree that markets are ruthlesssly efficient. Factors may well take haircuts. But if a factor is due to risk, then it's premium should not be eradicated. Behavioral factors are certainly much ...
by reformed.trader
Mon Oct 08, 2018 9:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why Emerging Markets Matter
Replies: 82
Views: 8084

Re: Larry Swedroe: Why Emerging Markets Matter

All 10y return forecasts I have seen, based on current valuations, have EM returning ~6% real whereas, US is ~1% real. Why in the world would I want to hold 4x more US than EM like I get in the total world stock market. As a result, I am heavily overweight EM(~50%) and heavily underweight US(~15%)....
by reformed.trader
Mon Oct 08, 2018 8:53 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why Emerging Markets Matter
Replies: 82
Views: 8084

Re: Larry Swedroe: Why Emerging Markets Matter

All 10y return forecasts I have seen, based on current valuations, have EM returning ~6% real whereas, US is ~1% real. Why in the world would I want to hold 4x more US than EM like I get in the total world stock market. As a result, I am heavily overweight EM(~50%) and heavily underweight US(~15%). ...
by reformed.trader
Sun Sep 09, 2018 9:26 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 6239

Re: Cliff Asness: Liquid Alt Ragnarok?

Random, any decent liquid alt ETF funds you know of?
by reformed.trader
Sun Sep 09, 2018 9:14 am
Forum: Investing - Theory, News & General
Topic: Myth Busting on Index Funds
Replies: 16
Views: 4338

Re: Myth Busting on Index Funds

Thanks Random and Larry!
by reformed.trader
Wed Sep 05, 2018 8:02 pm
Forum: Investing - Theory, News & General
Topic: Myth Busting on Index Funds
Replies: 16
Views: 4338

Re: Myth Busting on Index Funds

Larry, if factor out performance turns out to be caused by behavioral related mispricings, and given how easily one can access these factors, do you believe the factor out performance will one day almost entirely go away? If there is a risk element to the factors, I understand the out performance sh...
by reformed.trader
Wed Aug 29, 2018 5:36 pm
Forum: Investing - Theory, News & General
Topic: Just put $100K into TUR. Analysis inside
Replies: 71
Views: 3690

Re: Just put $100K into TUR. Analysis inside

I also bought TUR. Just buying fear in an already cheap country. I think you will do well.
by reformed.trader
Wed Aug 08, 2018 3:27 pm
Forum: Investing - Theory, News & General
Topic: If it were March, 2000, would you still allocate 50% to Stocks?
Replies: 94
Views: 5158

Re: If it were March, 2000, would you still allocate 50% to Stocks?

Is the OP saying you should go from US stocks to cash or bonds? Or is he simply saying why buy US when you can buy EM or other cheaper countries? If the latter, then he is dead on imo. The chart from Meb Faber below compared US stocks, US Bonds, US Stocks when CAPE <20 else bonds, and the cheapest 2...
by reformed.trader
Wed Aug 08, 2018 1:57 pm
Forum: Investing - Theory, News & General
Topic: If it were March, 2000, would you still allocate 50% to Stocks?
Replies: 94
Views: 5158

Re: If it were March, 2000, would you still allocate 50% to Stocks?

No I am not like most on this board. I am currently heavily overweight EM and heavily underweight US. I ask myself why I have any US at all sometimes. Even still, the US is the big dog and when it goes down, everything will follow. For that reason I am also overweight reinsurance. I don't think you...
by reformed.trader
Wed Aug 08, 2018 1:28 pm
Forum: Investing - Theory, News & General
Topic: If it were March, 2000, would you still allocate 50% to Stocks?
Replies: 94
Views: 5158

Re: If it were March, 2000, would you still allocate 50% to Stocks?

No

I am not like most on this board. I am currently heavily overweight EM and heavily underweight US. I ask myself why I have any US at all sometimes. Even still, the US is the big dog and when it goes down, everything will follow. For that reason I am also overweight reinsurance.
by reformed.trader
Tue Aug 07, 2018 3:46 pm
Forum: Investing - Theory, News & General
Topic: Would buy and hold work if Japan's lost decade happens?
Replies: 64
Views: 8745

Re: Would buy and hold work if Japan's lost decade happens?

Dont just invest in the US. Invest globally and in different asset classes(bonds, reinsurance, real estate, gold etc). Highly unlikely you do not experience any gains on a diversified portfolio. Better yet, mix the above with avoiding assets that are expensive(ie US stocks, negatively yielding sover...
by reformed.trader
Thu Aug 02, 2018 11:28 am
Forum: Investing - Theory, News & General
Topic: What we know about robo advisors
Replies: 156
Views: 28371

Re: What we know about robo advisors

Lots of good interaction here. jboldin, one question I had for you is how do you believe Alpha Architect is using human intervention on their funds? I am a big fan of their work(and their ETFs) and I am pretty sure everything is quant/algo driven. Their "all in one" fund VMOT, is the most complex. I...
by reformed.trader
Thu Jul 26, 2018 3:47 pm
Forum: Investing - Theory, News & General
Topic: Hold one stock 25 years
Replies: 68
Views: 7060

Re: Hold one stock 25 years

David Jay wrote:
Thu Jul 26, 2018 3:22 pm
Kodak, Polaroid, Nortel, Worldcom, Palm...

No way I want to bet on any one company for 25 years.
No one is forcing you to. This is a safe place.
by reformed.trader
Thu Jul 26, 2018 3:46 pm
Forum: Investing - Theory, News & General
Topic: Hold one stock 25 years
Replies: 68
Views: 7060

Re: Hold one stock 25 years

BRK makes sense because it is already something like a mutual fund, reasonably well diversified across a range of companies. I would select a company that is focused on the business of making profits and returning them to shareholders, not on global domination at any cost like Amazon. So that would...
by reformed.trader
Thu Jul 26, 2018 3:03 pm
Forum: Investing - Theory, News & General
Topic: Hold one stock 25 years
Replies: 68
Views: 7060

Hold one stock 25 years

I saw an interesting video where Josh Brown and Michael Batnick were asked to pick one stock to hold for 25 years. AMZN and BRK.b were two answers mentioned, but Josh said he would pick GOOG. At first I thought it was a bad pick given its market size and seemingly single revenue stream(though they a...
by reformed.trader
Thu Jul 26, 2018 2:47 pm
Forum: Investing - Theory, News & General
Topic: Equal weight S&P ETF vs a market cap weighted ETF
Replies: 17
Views: 1554

Re: Equal weighted S&P (500) vs market cap weighted S&P

Equal weight gives you a small value and size premium compared to market cap weighted indices. According to Research Affiliates equal weight has giving you 60bps after trading costs per year in excess returns. I am a fan of their fundamental weighting over equal weighting. It has returned 140bps aft...