Search found 250 matches

by cheezit
Tue Nov 12, 2019 10:48 pm
Forum: Investing - Theory, News & General
Topic: MOM is real, too bad it doesn't work
Replies: 27
Views: 4946

Re: MOM is real, too bad it doesn't work

Methodology may be why iShares MTUM beats PDP & QMOM, naive academic approach (high turnover, less liquid stocks, stale momentum) vs pragmatic approach (liquid megacap bluechips with some amount of momentum). Since fund inception the alpha was statistically insignificant for all funds with all fact...
by cheezit
Fri Nov 01, 2019 8:43 am
Forum: Investing - Theory, News & General
Topic: 50 Year US Treasury Bond - who is taker?
Replies: 29
Views: 2657

Re: 50 Year US Treasury Bond - who is taker?

How different should the convexity be for zero-coupon and coupon bonds of similar duration? I'm wondering whether there is a reason to prefer one over the other.
by cheezit
Thu Oct 31, 2019 9:45 pm
Forum: Investing - Theory, News & General
Topic: 50 Year US Treasury Bond - who is taker?
Replies: 29
Views: 2657

Re: 50 Year US Treasury Bond - who is taker?

nisiprius wrote:
Thu Oct 31, 2019 6:58 pm
I see that my Vanguard Total Bond Market fund is holding some MetLife bonds maturing in 8/1/2069, which is almost 50 years away.

But they are paying a coupon rate of 10.750%.
Is MetLife in some desperate fiscal situation? How soon are these callable?
by cheezit
Wed Oct 30, 2019 12:56 pm
Forum: Investing - Theory, News & General
Topic: 20 yr review of Mel's Unloved Midcaps
Replies: 43
Views: 9696

Re: 20 yr review of Mel's Unloved Midcaps

jdilla1107 wrote:
Wed Oct 30, 2019 11:08 am
From 2004-2019 small, mid, and large cap perform about the same.
Huh? The S&P 400 (mid-caps) beat the S&P 500 (large-caps) by roughly 0.75% CAGR over that period, and the S&P 600 (small caps) beat it by roughly 1%. What indices are you using to represent the various cap buckets?
by cheezit
Fri Oct 25, 2019 3:21 pm
Forum: Investing - Theory, News & General
Topic: What were the best portfolios during the "lost decade" 2000-2009?
Replies: 33
Views: 3613

Re: What were the best portfolios during the "lost decade" 2000-2009?

Here are some results for Boglehead-ish portfolios with the equity:fixed-income ratio standardized at 60:40 and domestic:international ratios standardized at 66.7:33.3 (this is done in order to avoid some of the problems found in Morningstar's lazy portfolio comparison), with Portfolio 1 being a cla...
by cheezit
Wed Oct 23, 2019 8:37 am
Forum: Investing - Theory, News & General
Topic: Why would someone buy a currency pair future when they could just buy the currency pair directlly?
Replies: 9
Views: 942

Re: Why would someone buy a currency pair future when they could just buy the currency pair directlly?

If you're trying to hedge a position they will behave differently, no? Eg. if you are paid and spend in USD and have a big chunk of EUR-denominated bonds that you want to hedge against EUR/USD movement, you can short EUR with futures and buy your position at a discount approximately equal to the dif...
by cheezit
Fri Oct 11, 2019 10:13 am
Forum: Investing - Theory, News & General
Topic: John Bogle’s formula says 1% real stock returns likely over next decade
Replies: 187
Views: 19802

Re: John Bogle’s formula says 1% real stock returns likely over next decade

Until someone can tell me why the risk premium is going to collapse, I just don’t buy that the future, in real terms, will be so consistently and dramatically different. Because most investors, including most BHers, now believe that in the long run, stocks are safe investments. Historically, that h...
by cheezit
Tue Oct 08, 2019 2:22 pm
Forum: Investing - Theory, News & General
Topic: Bond Investing when Yield Curve is Flat
Replies: 91
Views: 8270

Re: Bond Investing when Yield Curve is Flat

Many people think that "(b)y going longer you take on more risk" but this isn't true. To be clear, you are talking about portfolio risk here, correct? It seems obvious that by extending duration you are taking on more term risk - the reason to do it is because some term risk is a good thing for a p...
by cheezit
Tue Oct 08, 2019 2:13 pm
Forum: Investing - Theory, News & General
Topic: Fama French: momentum lacks theoretical motivation
Replies: 27
Views: 1972

Re: Fama French: momentum lacks theoretical motivation

In which "factor" is risk proven ? Momentum - nope Value - nope Low volatility - BIG nope RandomWalker and I were bouncing around on this topic in another recent thread (can't seem to recall which). While I don't see how anyone would truly prove the origin of a given factor's premium, at least for ...
by cheezit
Tue Oct 08, 2019 1:42 pm
Forum: Investing - Theory, News & General
Topic: Statistics question
Replies: 33
Views: 2801

Re: Statistics question

Nb. monthly equity returns are not normally distributed and in fact looking backwards do not appear to have followed any known distribution; the PV monte carlo sim has some knobs to turn to account for some aspects of the non-normality observed in historic US equity returns, as do some others. If yo...
by cheezit
Tue Oct 08, 2019 11:34 am
Forum: Investing - Theory, News & General
Topic: Three new Schwab bond ETFs launch on Monday
Replies: 2
Views: 678

Re: Three new Schwab bond ETFs launch on Monday

From the prospectus, it looks like SCHQ tracks the same index as VGLT/VLGSX and has the same average duration, with the expense difference being 1 bp. The two make a good TLH pair. For tax-deferred I'm sticking with VLGSX due to the convenience of fractional shares.
by cheezit
Tue Oct 08, 2019 8:18 am
Forum: Investing - Theory, News & General
Topic: Emerging markets as a percent of international
Replies: 37
Views: 3237

Re: Emerging markets as a percent of international

If you invest in a cap-weighted total international or total world market index, you don't need to know or care what FTSE or Dow Jones thinks. South Korea is 3.5% of the total of all ex-US stock markets, so you hold it as 3.5% of your ex-US holdings. You don't need to ask whether it's a developed m...
by cheezit
Sat Oct 05, 2019 9:09 pm
Forum: Personal Consumer Issues
Topic: Preparing for 25% tariff on Scotch
Replies: 39
Views: 4569

Re: Preparing for 25% tariff on Scotch

Whatever you do, don't switch to American whiskey. Too many good bourbons and ryes have already gone up in price or become hard to find in recent years, I shudder to think what an influx of former scotch drinkers would do.
by cheezit
Fri Oct 04, 2019 10:28 am
Forum: Investing - Theory, News & General
Topic: Is there a correlation between house price & median incomes & interest rates?
Replies: 10
Views: 752

Re: Is there a correlation between house price & median incomes & interest rates?

A first-order approximation would be that lower interest rates lead to higher home prices, as buyers are able to purchase houses with a higher price for a given monthly payment, ceteris paribus. Eg. for a monthly mortgage payment of $1250/mo on a 30-year fixed, you could buy a $290k house ($233k mor...
by cheezit
Wed Oct 02, 2019 12:54 pm
Forum: Personal Investments
Topic: What is the least expensive way to get access to DFA funds?
Replies: 10
Views: 1414

Re: What is the least expensive way to get access to DFA funds?

HEDGEFUNDIE wrote:
Sat Sep 28, 2019 10:03 pm
First Republic self-directed online brokerage.

No AUM fee. Most DFA funds available.

There is a minimum balance requirement of $100k.
Are the DFA funds on their no-transaction-fee list? Their mutual fund commission schedule looks horrible otherwise.
by cheezit
Wed Oct 02, 2019 12:44 pm
Forum: Investing - Theory, News & General
Topic: Vanguards push for PAS
Replies: 18
Views: 2868

Re: Vanguards push for PAS

Get over it humans. Artificial Intelligence is here to stay. Through use of algorithms we put together better portfolios than humans can for themselves, we know that AI can better diagnose illnesses than experienced Doctors. Resistance is futile, you will be assimilated. We know better than you. Ne...
by cheezit
Wed Oct 02, 2019 12:43 pm
Forum: Investing - Theory, News & General
Topic: If you use Vanguard (Brokerage), why do you stay?
Replies: 58
Views: 6662

Re: If you use Vanguard (Brokerage), why do you stay?

1) My 401(k) is with them, and it's more convenient to have the 401(k) and Roths (and taxable, if our family income grows) in the same spot 2) I already trade everything I want to trade for free 3) The website is easy enough to use 4) While I am sort of suspicious of Vanguard in the wake of some of ...
by cheezit
Mon Sep 30, 2019 7:58 pm
Forum: Personal Investments
Topic: US Vanguard funds hedged to GBP
Replies: 7
Views: 554

Re: US Vanguard funds hedged to GBP

Back up a step and look at your whole portfolio; you may be able to achieve what you want by rebalancing without having to repatriate money at an inopportune time. Eg. if you want an overall allocation of 35% domestic equities denominated in GBP, 35% non-currency-hedged international equities, and 3...
by cheezit
Mon Sep 30, 2019 7:08 pm
Forum: Personal Investments
Topic: Can share dilution take place in an ETF?
Replies: 2
Views: 215

Re: Can share dilution take place in an ETF?

For normal ETFs, the Authorized Participant can create shares from the underlying securities or redeem them for the same as necessary. Cf. https://www.etf.com/etf-education-cente ... nopaging=1
by cheezit
Fri Sep 27, 2019 2:17 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 157
Views: 16335

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

US Equity is not small at all (at least for now). Top 10 Holdings are: Microsoft, Apple, Amazon, Facebook, J&J, JP Morgan Chase, Verizon, Alphabet x 2, and Mastercard. I agree, the holdings on their website suggest a relatively modest style tilt. The top 50 stocks in the Russell 3000 make up 46% of...
by cheezit
Tue Sep 24, 2019 3:08 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Getting Paid to Reduce Risk
Replies: 5
Views: 1017

Re: Larry Swedroe: Getting Paid to Reduce Risk

It seems that there is a lot of overlap between this SmR factor and the addition of Investment and Profitability factors to the Fama French 3 factor model. Does SmR add anything to the newer Fama French 5 factor model? Dave My gut feeling is that SmR should be nearly identical to AQR's BaB ("bettin...
by cheezit
Tue Sep 24, 2019 11:23 am
Forum: Investing - Theory, News & General
Topic: Article: Value has been on a losing streak for over 30 years now
Replies: 32
Views: 2367

Re: Article: Value has been on a losing streak for over 30 years now

I agree with vineviz. There premise seems to be prima facie false. A one-third allocation each to LCV, MCV, and SCV outperformed the S&P 500 over the last 30 years by almost 1% annualized. That's because such an allocation has a good sized size tilt, and small and mid both beat large over that time...
by cheezit
Sat Sep 21, 2019 6:18 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 157
Views: 16335

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

The factor regressions for value at portfolio visualizer are flawed because it's P/B based while as you note it is possible to improve on the screens for value. I personally do not consider naked P/B a robust definition of value, and I don't think the industry does either. Per my earlier link, you ...
by cheezit
Sat Sep 21, 2019 2:49 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 157
Views: 16335

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

Advantis US Equity Expense Ratio 0.15% Advantis International Equity 0.23% Advantis Emerging Markets Equity 0.33% Advantis U.S. Small Cap Value 0.25% Advantis International Small Cap Value 0.36% If Vanguard's quantitative equity group someday makes ex-US analogs of VFMF and friends I might give the...
by cheezit
Sat Sep 21, 2019 2:20 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 157
Views: 16335

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

Advantis US Equity Expense Ratio 0.15% Advantis International Equity 0.23% Advantis Emerging Markets Equity 0.33% Advantis U.S. Small Cap Value 0.25% Advantis International Small Cap Value 0.36% If Vanguard's quantitative equity group someday makes ex-US analogs of VFMF and friends I might give the...
by cheezit
Thu Sep 19, 2019 3:15 pm
Forum: Personal Investments
Topic: Type of bond fund to hold for 90/10 AA
Replies: 35
Views: 1712

Re: Type of bond fund to hold for 90/10 AA

If portfolio stability is what you want, a 10% allocation to BND or AGG has been inferior to a 10% allocation to TLT/VGLT, EDV or TMF over the period these instruments have existed. Even if the correlations between equities and treasurys go back up from the last two decades' figure of around -0.25 ...
by cheezit
Tue Sep 17, 2019 3:29 pm
Forum: Investing - Theory, News & General
Topic: The best portfolios when the going gets rough
Replies: 72
Views: 6603

Re: The best portfolios when the going gets rough

AerialWombat wrote:
Tue Sep 17, 2019 2:06 pm
30/70 and sleep. :beer
If you had access to cheap uncallable leverage, 30/70 or thereabouts would be close to the ideal portfolio regardless of the desired level of volatility.
by cheezit
Tue Sep 17, 2019 3:05 pm
Forum: Investing - Theory, News & General
Topic: Index Funds Bubble? [Michael Burry article]
Replies: 242
Views: 27832

Re: Index Funds Bubble? [Michael Burry article]

I've been thinking about indexing and it's implications on the market. Please correct me if I'm way off base, but I have been considering the indexing "bubble" as more of a potential plateau (lower risk/lower return). It seems as though, the more investors favor passive investing, the more constant...
by cheezit
Wed Sep 04, 2019 6:21 pm
Forum: Investing - Theory, News & General
Topic: Index Funds Bubble? [Michael Burry article]
Replies: 242
Views: 27832

Re: Index Funds Bubble?

nisiprius, did you read the linked article? What Forester is saying is that those who broadly support the politics pushed in ESG funds will not be satisfied with the use of ESG funds to further these goals, and they instead will exert pressure on Vanguard (and Blackrock, and Fido, and Schwab, and s...
by cheezit
Wed Sep 04, 2019 4:09 pm
Forum: Investing - Theory, News & General
Topic: Index Funds Bubble? [Michael Burry article]
Replies: 242
Views: 27832

Re: Index Funds Bubble?

The real issue might be governance, concerning news story this week regarding Vanguard sending an identikit letter to every index participant regarding a societal matter. 1) I haven't received one. 2) Link, please? 3) Where do you see Burry complaining about this? https://finance.yahoo.com/news/1-v...
by cheezit
Fri Aug 30, 2019 8:48 am
Forum: Investing - Theory, News & General
Topic: Strategic Allocation
Replies: 17
Views: 1722

Re: Strategic Allocation

Because I don't confuse strategy with outcome. If I flipped a coin a hundred times and got a hundred heads, would your conclusion be that a) You had just witnessed an event with a probability of 1/2^100 (one chance in 1,267,650,600,228,229,401,496,703,205,376) or b) These weren't fair coinflips Now...
by cheezit
Thu Aug 29, 2019 9:57 am
Forum: Investing - Theory, News & General
Topic: Bond Investors Making A Killing
Replies: 85
Views: 10145

Re: Bond Investors Making A Killing

I think VLGSX is responsible for something like 90% of the gains in my Roth YTD. Fun times. Like tilting the equity portion of your portfolio toward various risk factors, there exists a large range of reasonable exposures to term risk in the bond portion of your portfolio. I personally don't have an...
by cheezit
Mon Aug 26, 2019 2:29 pm
Forum: Investing - Theory, News & General
Topic: Ray Dalio Inspired a New Risk-Parity ETF
Replies: 8
Views: 1217

Re: Ray Dalio Inspired a New Risk-Parity ETF

I don't think you can actually do risk parity without leveraging. And I question the accuracy of the Bloomberg article at even the most basic level-- The fund would be the first in the U.S. to follow this quantitative approach, allotting more money to securities with lower volatility. The Wealthfro...
by cheezit
Wed Aug 14, 2019 11:42 pm
Forum: Personal Finance (Not Investing)
Topic: "Negotiating" Salary
Replies: 74
Views: 5827

Re: "Negotiating" Salary

Is the reason to avoid the question because you don’t know what you are worth? Or is it that you are worried that you are worth more than they are willing to pay? The reason to avoid the question is to try to extract the maximum amount of employer surplus possible in the case of a wide salary range...
by cheezit
Wed Aug 14, 2019 9:44 am
Forum: Investing - Theory, News & General
Topic: Treasury 2-10 year yield curve has inverted!
Replies: 115
Views: 10908

Re: Treasury 2-10 year yield curve has inverted!

It's un-inverted! The Re-Un-Inversioning is upon us! I can hear the hoof beats of the Four Horsemen of the Economocalypse! RRRRUUUUUNNNNNN!!!! This has caused the Iron Maiden song paying in my head to change from "Run To The Hills" to "The Trooper." Ah, the 80's. I'm feeling "Die with your Boots On...
by cheezit
Wed Aug 14, 2019 9:41 am
Forum: Personal Finance (Not Investing)
Topic: "Negotiating" Salary
Replies: 74
Views: 5827

Re: "Negotiating" Salary

If this is anything but an entry level job (ie. for a recent college grad) than eventually you will need to give a number in my experience. The trick is to postpone it as long as possible. I don't think anyone but the hiring manager needs a number. I certainly would not give HR or a recruiter any n...
by cheezit
Tue Aug 06, 2019 2:45 pm
Forum: Personal Finance (Not Investing)
Topic: Oh geeze. How should I pay for this? Walk me off the ledge
Replies: 52
Views: 6512

Re: Oh geeze. How should I pay for this? Walk me off the ledge

The last time my wife and I had a baby, I subtracted my current HSA balance from my deductible cap, divided the number by ten, then increased my paycheck HSA contribution by that amount for ten pay periods. Since your child is due in a month, you could fund your HSA as aggressively as you can. Remem...
by cheezit
Thu Aug 01, 2019 10:08 pm
Forum: Personal Consumer Issues
Topic: Automatic Watches
Replies: 92
Views: 6268

Re: Automatic Watches

Glad to hear your Seiko 5 is treating you well so far. A typical automatic movement like the 7S26 in your Seiko will gain or lose different amounts of time overnight depending on the position you leave it in (face up, crown up, crown down, etc). If you're lucky, you will have at least one position w...
by cheezit
Mon Jul 22, 2019 8:07 am
Forum: Investing - Theory, News & General
Topic: Forex Trading
Replies: 31
Views: 2007

Re: Forex Trading

One place to start in sussing out the unknown unknowns would be the half-dozen publications from the CFTC warning investors about different aspects of the forex market. The CFTC has very limited power to regulate forex for the same reasons that nobody else can really do so, but they are at least abl...
by cheezit
Fri Jul 19, 2019 8:49 am
Forum: Investing - Theory, News & General
Topic: are TIPS expensive? or are they cheap?
Replies: 204
Views: 20288

Re: are TIPS expensive? or are they cheap?

[It's ]logical that risk premium has fallen, but it should logically never be negative. Could you elaborate on this? Certainly the observed equity risk premium has sometimes been negative for long periods in a number of markets, and I don't see why circumstances (eg. extreme valuations) could not m...
by cheezit
Wed Jul 17, 2019 11:50 am
Forum: Investing - Theory, News & General
Topic: Sustainability of State and Local Government Pensions
Replies: 9
Views: 1531

Re: Sustainability of State and Local Government Pensions

Additionally, here are links to an introduction, How bad is the state and local pension crisis really? , and a Q&A page, Are state and local pension funds really in crisis? . I haven't read the brief yet, but the first Q&A reads like a breath of fresh air! Finally, some sanity is introduced into th...
by cheezit
Tue Jul 16, 2019 7:47 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedore: Are TIPS Cheap?
Replies: 5
Views: 1002

Re: Larry Swedore: Are TIPS Cheap?

OTOH [the Fed] and other central banks are on a streak of generally failing to reach their inflation targets. My understanding was that the Fed had a "symmetrical" (their terminology) inflation target that they aim for and will accept some error in either direction, whereas most other central banks...
by cheezit
Sat Jul 06, 2019 10:27 pm
Forum: Investing - Theory, News & General
Topic: Was the great bond bull market just plain bull?
Replies: 47
Views: 5601

Re: Was the great bond bull market just plain bull?

Another thing to note: in an environment where interest rates rise once (the rates vs time curve is a step function), the break-even point for a fund after a rate increase will be approximately equal to the average duration of the fund. In an environment where interest rates rise continuously (the r...
by cheezit
Sat Jul 06, 2019 10:20 pm
Forum: Investing - Theory, News & General
Topic: Was the great bond bull market just plain bull?
Replies: 47
Views: 5601

Re: Was the great bond bull market just plain bull?

long-term treasury bond funds such as VUSTX (Vanguard's LTT fund), TLT and TMF. Just a quick note, VGLT/VLGSX is a more attractive Vanguard LTT fund than VUSTX/VUSUX. Similar duration, lower expenses due to to being passively managed rather than active (not that VUSTX's expenses are high). VUSTX is...
by cheezit
Wed Jul 03, 2019 3:53 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 296418

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

The German 10-years with negative nominal yields have coupon rates of zero and purchase prices above par.
by cheezit
Wed Jul 03, 2019 3:20 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 296418

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

Germany and Japan long term rates are below zero. Where are you looking? Bloomberg shows the German 30-year yield as +0.20% and Japanese 30-year yield as +0.34% and 20-year as +0.21% (there is no German 20-year bond). We still have quite a ways to fall. Definitely a possibility; 0% yield is only a ...
by cheezit
Thu Jun 27, 2019 8:34 am
Forum: Investing - Theory, News & General
Topic: Zero Interest Rates Forever...if true, is it actionable?
Replies: 25
Views: 3212

Re: Zero Interest Rates Forever...if true, is it actionable?

“There will be no coupon payments, nor present discounting of STRIPS. All competing interest-bearing securities will be destroyed. But always— do not forget this, Frank2012— always there will be the intoxication of inflated equity valuations, constantly increasing and constantly growing subtler. Alw...
by cheezit
Wed Jun 26, 2019 3:50 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Advertising Mutual Fund to ETF Conversion
Replies: 138
Views: 11694

Re: Vanguard Advertising Mutual Fund to ETF Conversion

Vulcan, I don't agree with you on the magnitude of the marginal hassle of purchasing ETF shares over purchasing mutual fund shares, but I can see how one might feel that way. That being said: If I purchase ETF shares at $x at 10:00 and at that moment NAV is $x * 0.99, I have "lost" 1% on those share...
by cheezit
Wed Jun 26, 2019 3:27 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Advertising Mutual Fund to ETF Conversion
Replies: 138
Views: 11694

Re: Vanguard Advertising Mutual Fund to ETF Conversion

They are demonstrating that they have fiduciary duty to their clients. If they didn't tell their clients that the clients could get a lower expense ratio investment for the exact same thing, then they could be sued. Leaving Vanguard's motivations aside, I would question whether MF and ETF are the "...
by cheezit
Wed Jun 26, 2019 3:03 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: How Trading Costs Erode Factor Returns
Replies: 43
Views: 4559

Re: Larry Swedroe: How Trading Costs Erode Factor Returns

ALL FACTOR INVESTING IS ACTIVE MANAGEMENT. WRITING IN ALL CAPS DOESN'T MEAN YOU'RE RIGHT! vineviz: Whether written in large-caps or small-caps Vanguard agrees with Rick: https://investor.vanguard.com/etf/factor-funds Best wishes. Taylor Taylor, No, they do not. While both would call the six funds V...