Search found 92 matches

by HippoSir
Wed Feb 26, 2020 7:00 pm
Forum: Investing - Theory, News & General
Topic: [Small Cap Value heads Rejoice !!!]
Replies: 491
Views: 58496

Re: [Small Cap Value heads Rejoice !!!]

Mean reversion has its work cut out for it! Most of the SCV ETFs I'm tracking are approaching bear market levels (down nearly 20% from their all time highs in 2018). Deep value ETFs are even worse, at over 30% down. I have a factor tilt and am lucky enough to have a long time horizon, so I'm just r...
by HippoSir
Fri Feb 14, 2020 4:17 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Factor ETFs 2 Year Birthday!
Replies: 42
Views: 2468

Re: Vanguard Factor ETFs 2 Year Birthday!

US SCV has smashed US TSM by every measure over that timeframe, including rolling returns of various durations. Even though I'm an admitted factor tilter, I didn't actually believe you, but you are correct: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=2000&first...
by HippoSir
Fri Feb 14, 2020 1:14 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Factor ETFs 2 Year Birthday!
Replies: 42
Views: 2468

Re: Vanguard Factor ETFs 2 Year Birthday!

Great! So moral of the story is growth is/was the factor to be in, and when you omit one factor and favor others (active decision making) instead of holding it all, you end up trailing. Yes, factor products risk tracking error for a premium that may never show up. As Vanguard states prominently on ...
by HippoSir
Fri Feb 14, 2020 11:59 am
Forum: Investing - Theory, News & General
Topic: Vanguard Factor ETFs 2 Year Birthday!
Replies: 42
Views: 2468

Re: Vanguard Factor ETFs 2 Year Birthday!

Elysium wrote:
Fri Feb 14, 2020 10:15 am
2017-2020
Total Market(VTI): 14.06%
Small Growth(VBK): 14.57%
Note that VBK is a growth fund:

Large Growth(VUG): 19.80%
Small Growth(VBK): 14.57%
by HippoSir
Fri Feb 14, 2020 12:04 am
Forum: Investing - Theory, News & General
Topic: Vanguard Factor ETFs 2 Year Birthday!
Replies: 42
Views: 2468

Re: Vanguard Factor ETFs 2 Year Birthday!

If each of them had had an even chance of outperforming total stock, the chance of all six of them underperforming would only be 1 in 64 or 1.6%. The problem with this argument is that all 6 of them share the same size weighting scheme. That being 1/3 small, 1/3 medium, 1/3 large, vs total stock wh...
by HippoSir
Wed Feb 05, 2020 6:01 pm
Forum: Investing - Theory, News & General
Topic: [Small Cap Value heads Rejoice !!!]
Replies: 491
Views: 58496

Re: [Small Cap Value heads Rejoice !!!]

theorist wrote:
Wed Feb 05, 2020 5:31 pm
According to M*, small value up 2.21% and large growth down .32% today! Maybe the start of mean reversion in the value vs growth comparison...(large growth also up 2.04% !)
We can dream. :P

RZV: +4.12%
AVUV: +2.70%
IJS: +2.26%

VTI: +0.98%
QQQ: +0.33%
VUG: +0.20%
by HippoSir
Tue Feb 04, 2020 7:06 pm
Forum: Personal Investments
Topic: Does anyone know what's going on with RZV?
Replies: 8
Views: 1037

Re: Does anyone know what's going on with RZV?

RZV: Avg Market Cap 590 Mil Price/Earnings 9.12 Price/Book 0.60 Price/Cash Flow 1.83 :shock: That is amazing. For comparison, here's RSX (a Russia ETF): Price/Earnings 7.34 Price/Book 1.09 Price/Cash Flow 4.03 Deep small cap value is at truly dire valuations compared to the rest of the market. Eith...
by HippoSir
Tue Feb 04, 2020 3:10 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 257
Views: 46179

Re: Vanguard New Factor Funds Portfolio Statistics

What exactly is Momentum (2-12)? ISCF comes up with the highest number on this metric. Looks like the Avantis funds have the highest Book/Price. That is 12 months minus 2 month momentum. Note you are comparing ISCF/AVDV (international funds) against US funds, which will more be driven by internatio...
by HippoSir
Mon Feb 03, 2020 11:43 pm
Forum: Personal Investments
Topic: Does anyone know what's going on with RZV?
Replies: 8
Views: 1037

Re: Does anyone know what's going on with RZV?

I was curious so I looked up actual #s (from Morningstar): RZV: Avg Market Cap 672.76 Mil Price/Earnings 10.44 Price/Book 0.66 Price/Cash Flow 2.01 VIOV: Avg Market Cap 1.45 Bil Price/Earnings 14.35 Price/Book 1.22 Price/Cash Flow 4.66 The difference is actually even more significant than I thought....
by HippoSir
Mon Feb 03, 2020 9:55 pm
Forum: Personal Investments
Topic: Does anyone know what's going on with RZV?
Replies: 8
Views: 1037

Re: Does anyone know what's going on with RZV?

RZV has much higher factor loadings than VIOV. Small value has been getting crushed recently, so RZV is correspondingly getting crushed worse than VIOV.
by HippoSir
Mon Feb 03, 2020 7:28 pm
Forum: Investing - Theory, News & General
Topic: The Value Premium - New FF paper
Replies: 264
Views: 13066

Re: The Value Premium - New FF paper

Right. I tilt to SCV for increased returns, but not risk-adjusted ones. Seems unlikely to arbitrage that away if you believe in an efficient market. This is where I'm at as well. I suspect factors may have had behavioral components in the past, but certainly not since discovery. Any remaining incre...
by HippoSir
Mon Feb 03, 2020 3:30 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 257
Views: 46179

Re: Vanguard New Factor Funds Portfolio Statistics

Thanks. I'm ok with the factor exposure being a drag on returns since I know thats expected. I can live with that. Just wanted to make sure there wasn't anything else that was contributing to the underperformance. At least with iShares edge I can check it vs the index. The other tool you may want t...
by HippoSir
Mon Feb 03, 2020 12:18 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 257
Views: 46179

Re: Vanguard New Factor Funds Portfolio Statistics

Anyone do the regressions on these funds now that we are a couple years in? All of the funds seem to be lagging in their categories except for VFMV (minimum volatility). I've done this with both the regression approach (portfoliovisualizer) and holdings based approach (etf.com/morningstar tools). T...
by HippoSir
Sun Feb 02, 2020 1:14 pm
Forum: Investing - Theory, News & General
Topic: The Value Premium - New FF paper
Replies: 264
Views: 13066

Re: The Value Premium - New FF paper

I started with the tilt 2 months ago. I wouldn't abandon it due to the recent underperformance, but because of the new data suggesting that the premium might not exist anymore. The underperformance is actually one of the reasons why I decided to go heavy with 50/50 for my US portfolio part. If the ...
by HippoSir
Sun Feb 02, 2020 12:00 am
Forum: Investing - Theory, News & General
Topic: Paul Merriman is my guest on this "Bogleheads on Investing" podcast
Replies: 136
Views: 8999

Re: Paul Merriman is my guest on this "Bogleheads on Investing" podcast

Elysium wrote:
Sat Feb 01, 2020 8:27 pm
Promise of excess returns though opaque market timing methods are typically done with intent to deceive.
To be 100% clear, you are suggestion Paul Merriman has the intent to deceive?

Anyway, great podcast. Good questions and interesting discussion.
by HippoSir
Wed Jan 29, 2020 12:40 am
Forum: Personal Investments
Topic: Value based investing:VFVA VS VTV
Replies: 22
Views: 1535

Re: Value based investing:VFVA VS VTV

annu wrote:
Tue Jan 28, 2020 11:50 pm
Portfolio visualizer shows vtv did better then vfva, especially in worst drawdowns. Kind of confused on what to do.
VFVA hasn't existed long enough to see a bad drawdown, what data are you looking at?

Note value has performed very badly recently, and VFVA is far more valuey than VTV.
by HippoSir
Tue Jan 28, 2020 4:51 pm
Forum: Investing - Theory, News & General
Topic: Why dividends are useful
Replies: 55
Views: 3742

Re: Why dividends are useful

There are a lot of people out there who believe that owning dividend-paying stocks renders you immune to market crashes or bear markets, because you will always get paid the same dividends regardless of share price. I'm not sure if OP is one of those people. OP is more one of the "yeah, the price d...
by HippoSir
Tue Jan 28, 2020 1:37 pm
Forum: Investing - Theory, News & General
Topic: Why dividends are useful
Replies: 55
Views: 3742

Re: Why dividends are useful

I feel like you may have a core misunderstanding of how dividends work.

When a dividend is cut, the price of the stock drops by that amount. I'd suggest reading the following:

https://papers.ssrn.com/sol3/papers.cfm ... id=2876373
by HippoSir
Sun Jan 26, 2020 7:28 pm
Forum: Investing - Theory, News & General
Topic: [Deleted]
Replies: 11
Views: 914

Re: Small Cap Value - Factor Timing vs Constant Exposure

Some ETFs to consider: OMFL/OMFS: market cycle based timing, has done quite well (at least short term) DYNF: iShares equivalent of the above, seems to take less dramatic tilts than OMFL/OMFS MFUS: momentum based factor timing The concept seems interesting and there's some evidence to say timing is p...
by HippoSir
Tue Jan 21, 2020 3:23 pm
Forum: Investing - Theory, News & General
Topic: [Small Cap Value heads Rejoice !!!]
Replies: 491
Views: 58496

Re: A new low

Amen! I love that my favorite asset class is underperforming right when I’m accumulating and don’t need the money. I’d be annoyed if it was the other way haha I'm with you, I'm in the midst of my accumulation years and happily buying up SCV to maintain tilt as my VTI keeps rocketing up. I'm either ...
by HippoSir
Sun Jan 19, 2020 10:50 pm
Forum: Investing - Theory, News & General
Topic: Value stocks are making a comeback, and here’s how to get in early
Replies: 40
Views: 4629

Re: Value stocks are making a comeback, and here’s how to get in early

To buy a basket of stocks because they fit a particularly nice ratio or because other investors think that they are poor quality investments defies basic logic and seems better classified as superstition than as a safe investing strategy. What you're arguing makes intuitive sense, but as is often t...
by HippoSir
Sun Jan 19, 2020 10:16 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1753
Views: 266733

Re: QSPIX - thoughts on interesting fund

Let us not make this about an individual, but about the merits of their positions. As someone who hasn't participated in this thread until now, this seems very disingenuous immediately after reading your message littered with "He has left many times, but keeps coming back to defend the indefensible...
by HippoSir
Sun Jan 19, 2020 10:11 pm
Forum: Investing - Theory, News & General
Topic: Value stocks are making a comeback, and here’s how to get in early
Replies: 40
Views: 4629

Re: Value stocks are making a comeback, and here’s how to get in early

TheLaughingCow wrote:
Sun Jan 19, 2020 10:00 pm
I've always thought the idea of a passive "value ETF" was idiotic. Value investing, almost by definition, is active.
How so? Passive funds operate on largely the same metrics that active managers do when deciding to classify something as "value" so I'm wondering what you see as the distinction?
by HippoSir
Thu Jan 02, 2020 4:57 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks continue to soar!
Replies: 3815
Views: 352296

Re: U.S. stocks continue to soar!

mrspock wrote:
Thu Jan 02, 2020 4:46 pm
Another fantastic day for US equities, great finish again. Buffet was right: bet against the US economy at your own peril.
Considering EM was up +2.38% today, probably not the right day to make that statement. :beer
by HippoSir
Mon Dec 30, 2019 1:18 pm
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14261

Re: I don't have faith in small and value premiums

Did you actually check the factor loading? I don't see a statistical significant value loading for SMLF, and the value loading for ISCF is (just barely) significant, but is negative 0.26! (https://i.imgur.com/hZLYMp2.png, https://i.imgur.com/e9um7zq.png) They might be okay for small-cap, but don't ...
by HippoSir
Thu Dec 26, 2019 4:51 pm
Forum: Investing - Theory, News & General
Topic: I don't have faith in small and value premiums
Replies: 409
Views: 14261

Re: I don't have faith in small and value premiums

I recall almost identical discussions in 1999/2000, after which small value went on a tear. I have no idea what the future holds, but I suspect that the things that do well over the next decade won't be the same things that did well this decade.
by HippoSir
Tue Dec 17, 2019 9:08 pm
Forum: Investing - Theory, News & General
Topic: Joe Davis, Vanguard's Global Chief Economist, is our Jan 2020 "Bogleheads on Investing" podcast guest
Replies: 12
Views: 971

Re: Joe Davis, Vanguard's Global Chief Economist, is our Jan 2020 "Bogleheads on Investing" podcast guest

Three questions: 1. What long term risks do you see from rising national debt? Should this be a consideration in allocating equities/bonds going forwards? 2. I'm a millennial and I see a strong inclination towards much more liberal economic policies in my peers. The data I've seen seems to support t...
by HippoSir
Thu Dec 12, 2019 3:57 pm
Forum: Investing - Theory, News & General
Topic: Different closing prices from Yahoo and Market Watach
Replies: 4
Views: 333

Re: Different closing prices from Yahoo and Market Watach

Yahoo frequently has incorrect pricing data. I no longer use it for that exact reason.
by HippoSir
Tue Dec 10, 2019 3:36 pm
Forum: Investing - Theory, News & General
Topic: Why to not buy a tech fund?
Replies: 107
Views: 6069

Re: Why to not buy a tech fund?

Jesteroftheswamp wrote:
Mon Dec 09, 2019 8:34 pm
Once I posted here asking about tech funds, and I was told to not buy since they will never go up since the market already reflects all available info
Can you link the thread where you asked this?
by HippoSir
Wed Dec 04, 2019 10:48 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 222
Views: 25556

Re: Ex DFA CIO launches competitor which will also have ETFs

Big news, they came out with corresponding Mutual Funds that have the same expense ratio. https://www.prnewswire.com/news-releases/avantis-investors-by-american-century-investments-launches-suite-of-low-cost-mutual-funds-300968807.html I wonder where these trade free? It really seems like they are ...
by HippoSir
Wed Dec 04, 2019 5:08 pm
Forum: Investing - Theory, News & General
Topic: US$ Strong/Weak Tilt Investing?
Replies: 21
Views: 835

Re: US$ Strong/Weak Tilt Investing?

How does he determine the strength of the US dollar and what points does he use to tilt back and forth? Strategy seems interesting.
by HippoSir
Mon Dec 02, 2019 5:14 pm
Forum: Investing - Theory, News & General
Topic: [Dow] dropped 250 points today?
Replies: 105
Views: 8952

Re: S&P dropped 250 points today?

Sorry, I screwed up and meant the DOW. I still don't get all this, but YES I KNOW the stock market goes up and down, but the news said "in one of the worse losses since October" or something. Can you explain why you are concerned? October was two months ago, worst losses since then is meaningless. ...
by HippoSir
Tue Nov 26, 2019 6:34 pm
Forum: Investing - Theory, News & General
Topic: Yes, another International vs Domestic Thread
Replies: 212
Views: 10206

Re: Yes, another International vs Domestic Thread

At what point does one decide that despite periodic ex-US outperformance, the US financial system and markets are clearly superior to the rest of the world? This is an almost-34-year time frame of tremendous outperformance. This has been discussed ad-nauseam on this forum. If you're looking for a s...
by HippoSir
Sun Nov 24, 2019 8:49 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 222
Views: 25556

Re: Ex DFA CIO launches competitor which will also have ETFs

Shouldn't VFMF be some where in the middle? MTUM and VTI have both done well. So larger cap and possibly momentum has beaten smaller and value. Why does VFMF look like a SCV fund? I think one of the disadvantages of these integrated funds is that it's not necessarily as simple as just averaging the...
by HippoSir
Sat Nov 16, 2019 1:07 pm
Forum: Investing - Theory, News & General
Topic: [Deleted]
Replies: 144
Views: 13651

Re: SP500 is very top heavy right now

I appreciate your honestly in your tinkering addiction ;). I have similar tendencies but try my best to keep it in check and only make forever moves, so they require a bit more thought. At least you've been loyal to your US-only it seems, I am on the other side of the spectrum and itching to bump I...
by HippoSir
Sat Nov 16, 2019 12:35 pm
Forum: Investing - Theory, News & General
Topic: [Deleted]
Replies: 144
Views: 13651

Re: SP500 is very top heavy right now

Curious your rationale for using AVUV over say VIOV (or any other S&P600 value offering)? I’m starting a position in AVDV but felt the pure index options for domestic funds are a safer bet. Also imagine the index offering to be better in taxable. I wanted something very small and value-y while stil...
by HippoSir
Fri Nov 15, 2019 10:24 pm
Forum: Investing - Theory, News & General
Topic: [Deleted]
Replies: 144
Views: 13651

Re: SP500 is very top heavy right now

Today I trimmed a bit from my Total Stock Market Index to buy more US Large Value Index and US Small Cap Index. The amounts aren't big but a continuation of rebalancing efforts, more Large Value and more Small Cap. *high five* :beer Me too, although not by a significant amount. I moved 2.5% of my e...
by HippoSir
Thu Nov 14, 2019 5:08 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Steering Committee & Bogleheads
Replies: 3
Views: 655

Re: Vanguard Steering Committee & Bogleheads

I received this survey as well and similarly thought it was very interesting. Vanguard is clearly aware of bogleheads forums and the influence it may have on posters as well as lurkers!

BTW, hey Vanguard, if you're out there, I want an international version of VFMF! :greedy :greedy :greedy
by HippoSir
Tue Nov 12, 2019 1:09 pm
Forum: Investing - Theory, News & General
Topic: [Small Cap Value heads Rejoice !!!]
Replies: 491
Views: 58496

Re: Small Cap Value heads Rejoice !!!

I originally put these stats in the thread about the new Avantis funds, but I'll reproduce here (and add DLS): AVDV vs ISCF vs DLS Price/Earnings 10.82/12.43/12.03 Price/Book 1.00/1.29/1.10 Price/Sales 0.54/0.72/0.59 Price/Cash Flow 4.34/5.73/5.59 Dividend Yield % 4.29/3.42/4.90 Long-Term Earnings %...
by HippoSir
Wed Nov 06, 2019 2:02 pm
Forum: Investing - Theory, News & General
Topic: Cap weight and performance
Replies: 3
Views: 311

Re: Cap weight and performance

Do you think a momentum+quality filter/tilt in the SCV space is an effective way to avoid the SC "dead man walking" stocks? Basically, do you think a multi-factor approach is more likely to capture the SCV premium than plain value-only SCV?
by HippoSir
Mon Nov 04, 2019 6:51 pm
Forum: Investing - Theory, News & General
Topic: [Small Cap Value heads Rejoice !!!]
Replies: 491
Views: 58496

Re: Small Cap Value heads Rejoice !!!

Looks like the rotation continued, VFVA up 1.82% today! VFMV/VFMO (minimum volatility/momentum) both down.
by HippoSir
Sun Nov 03, 2019 12:51 am
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 222
Views: 25556

Re: Ex DFA CIO launches competitor which will also have ETFs

Larry told me in a personal message that Avantis screens for Profitability which is related to Quality. Avantis uses a combination of cash flow and earnings metrics and uses a modified book value. Hopefully Larry can comment. I didn't quote from his message as most all of it came directly from Avan...
by HippoSir
Sat Nov 02, 2019 8:57 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 222
Views: 25556

Re: Ex DFA CIO launches competitor which will also have ETFs

Just looking at Stats, AVDV loads better on Value and DLS loads better on SIze. I'm too lazy to paste the mstar info, but note too that DLS seems to have a much higher quality tilt than AVDV. For better or for worse, these Avantis funds seem to either ignore quality as a factor or only consider it ...
by HippoSir
Sat Oct 26, 2019 11:15 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 222
Views: 25556

Re: Ex DFA CIO launches competitor which will also have ETFs

I'm looking at these funds as a potential alternative to the iShares multifactor products in the international space, so put together a little comparison of various attributes in the absence of a factor regression. Figured I'd share it in case it's useful to anyone else. AVEM vs EMGF Price/Earnings ...
by HippoSir
Tue Oct 22, 2019 5:14 pm
Forum: Investing - Theory, News & General
Topic: [Small Cap Value heads Rejoice !!!]
Replies: 491
Views: 58496

Re: Small Cap Value heads Rejoice !!!

We got ourselves another round of "convergence": I don't know what factor exposure it has, but OMFL (dynamic multifactor strategy) is doing gangbusters this year, and that includes small/value days: OMFL: +0.77%, YTD: +25.32% I don't own the fund, and don't plan on buying it, but it still makes me ...
by HippoSir
Wed Sep 25, 2019 3:06 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 222
Views: 25556

Re: Ex DFA CIO launches competitor which will also have ETFs

This is the first product to make me consider switching from INTF/ISCF/EMGF. Not for any portfolio construction reason, but due to the lower ERs.

Any word yet on portfolio construction ruleset? MSCI/iShares document theirs relatively well: https://www.msci.com/msci-diversified-m ... or-indexes
by HippoSir
Thu Sep 12, 2019 5:35 pm
Forum: Investing - Theory, News & General
Topic: Multifactor vs specialized factor funds
Replies: 15
Views: 1077

Re: Multifactor vs specialized factor funds

For what it's worth Rob Arnott in his interview with Christine Benz in The Longview podcast suggested the Multifactor funds will likely underperform due to the relatively high valuations of momentum, and other components dragging down the expected returns from the cheap value stocks in the portfoli...
by HippoSir
Mon Sep 09, 2019 8:45 pm
Forum: Investing - Theory, News & General
Topic: Diversifying Across Factors - 2 Questions
Replies: 47
Views: 2535

Re: Diversifying Across Factors - 2 Questions

But why does the top holding of the multi-factor Vanguard fund have a market cap of $43b (HCA Healthcare)? The SP Small Cap index range is only up to $2b. And the company isn’t in the top 10 holdings of the SP Value index either? What am I missing? Assuming you are referring to VFMF, it is explicit...
by HippoSir
Sat Aug 31, 2019 1:28 am
Forum: Personal Investments
Topic: Portfolio Review - BAM Portfolio
Replies: 98
Views: 7974

Re: Portfolio Review - BAM Portfolio

I agree for the equities, but what about the alternatives? I didn't want to ramble on for too long so avoided discussing the alternatives, but I completely agree, it's an asset class I avoid (in truth, primarily because I don't understand them). If I found myself in OPs position I would keep the eq...
by HippoSir
Sat Aug 31, 2019 1:01 am
Forum: Personal Investments
Topic: Portfolio Review - BAM Portfolio
Replies: 98
Views: 7974

Re: Portfolio Review - BAM Portfolio

I am very comfortable with the AA, but have begun to second guess the SCV tilt side of the portfolio because of the recent performance, or lack thereof (3-5 years). I just want to note that 3-5 years is a small amount of time when evaluating portfolio performance. The right time to switch your tilt...