Search found 281 matches

by sterjs
Thu Jul 12, 2007 7:32 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Talks about his new book
Replies: 18
Views: 4871

ddb wrote:I don't like comparing investing to gambling, because gambling has a negative expected return.


Gambling isn't intrinsically -EV. Investing isn't intrinsically +EV.
by sterjs
Thu Jul 12, 2007 7:27 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Talks about his new book
Replies: 18
Views: 4871

Unfortunately cut this off at point where I explain that the equivalent of the point spread in investing is the P/E ratio (or BtM). So just as it is easy to identify the winner of Wash vs E. Wash, it is easy to identify which is the better company say Cosco or Ford. But you cannot bet on Cosco with...
by sterjs
Wed Jul 11, 2007 6:57 pm
Forum: Investing - Theory, News & General
Topic: Bill Bernstein on Value Premium
Replies: 31
Views: 11876

It only takes a short visit to Prof French's website and some counting to see that his value factor was negative over about 1/3 of the 80 years for which he shows data. So probably the best unbiased guess for value over the next decade is around a 1/3 chance of underperforming the market---albeit w...
by sterjs
Sat Jul 07, 2007 8:25 pm
Forum: Investing - Theory, News & General
Topic: Wisdomtree Negative Tracking Error
Replies: 6
Views: 2914

Sampling error doesn't concern me. How much is sampling error and how much is index reconstitution arbitrage?

Wisdomtree Arbitrage Thread
by sterjs
Sat Jul 07, 2007 3:52 pm
Forum: Investing - Theory, News & General
Topic: Wisdomtree Negative Tracking Error
Replies: 6
Views: 2914

Wisdomtree Negative Tracking Error

Anyone else noticed the large negative tracking error for so many Wisdomtree international ETFs? DEFA Fund (DWM): -1.03% compared to index (gross) DEFA High-Yielding Equity Fund (DTH): -2.55% International LargeCap Dividend Fund (DOL): -2.20% International MidCap Dividend Fund (DIM): -1.33% Internat...
by sterjs
Fri Jul 06, 2007 5:58 pm
Forum: Investing - Theory, News & General
Topic: Evenly weighting Large, Mid, Small, and Growth/Value
Replies: 34
Views: 12507

Any "strategy" that overweights midcaps(like this one) will crush everything in backtests for 1985-2007.
by sterjs
Thu Jul 05, 2007 11:36 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1042
Views: 579260

DJ-AIG Total Return (1993-2006):

Code: Select all

-.017
.166
.152
.232
-.034
-.270
.260
.301
-.195
.259
.239
.125
.177
.021


Total Return includes T-Bill rate.

Source: http://www.powershares.com/pdf/p-dbc-pc-1.pdf

Source has GSCI Total Return and DB Commodity Index Total Return.
by sterjs
Thu Jul 05, 2007 7:42 pm
Forum: Investing - Theory, News & General
Topic: DFA - Why advisor only?
Replies: 54
Views: 16998

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by sterjs
Thu Jul 05, 2007 6:44 pm
Forum: Investing - Theory, News & General
Topic: DFA - Why advisor only?
Replies: 54
Views: 16998

Unfortunately, international small-value options outside of DFA are rather weak, IMO. Is the difference between DISVX and DLS going to make a difference in your retirement goals? I actually expect the two to behave similarly: http://www.wisdomtreeindexes.com/images/WTISDI_perf_hist.GIF http://im.mo...
by sterjs
Wed Jul 04, 2007 6:28 pm
Forum: Investing - Theory, News & General
Topic: a reevaluation of the value approach
Replies: 34
Views: 11388

Valuethinker,

HmL (%)

1972: 2.1
1973: 18.0
1979: -2.2
1980: -24.6
1981: 24.6
1989: -5.6
1990: -10.6
1991: -15.1
1994: -.1
2000: 21.4
2001: 27.2
2002: 3.7

I looked back at some of the other periods and I don't see a positive confirmation of your hypothesis.
by sterjs
Sun Jul 01, 2007 6:20 pm
Forum: Investing - Help with Personal Investments
Topic: A currencies portfolio?
Replies: 25
Views: 7908

Also, Powershares has an interesting ETF called the PowerShares DB G10 Currency Harvest Fund (DBV, fee 0.75%). It shorts the lowest yielding currencies and goes long the highest yielding. These funds would be a substitute for a US ultra-short bond fund or a money market fund. Not great returns, but...
by sterjs
Sat Jun 30, 2007 11:51 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds for the Rest of Us
Replies: 9
Views: 2640

Re: More Games

pkcrafter wrote:Also coming - hedge fund fund-of-funds.


They already have these.
by sterjs
Sat Jun 30, 2007 11:48 pm
Forum: Investing - Theory, News & General
Topic: Did someone say SV premium? YTD returns:
Replies: 14
Views: 3972

I hate silly threads like this. Why not reduce your sample to a day or a minute where small growth beats small value?
by sterjs
Sat Jun 30, 2007 5:25 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard 130/30 Fund?
Replies: 33
Views: 10647

Why is a 130/30 fund considered so much more dangerous than a normal equity fund? I doubt Vanguard is going to put out any products that unduly endanger their investors.
by sterjs
Sat Jun 30, 2007 5:00 pm
Forum: Investing - Theory, News & General
Topic: where does Bogle get his data?
Replies: 32
Views: 9986

Iirc Dreman once demonstrated this (in one of his books or articles) for small caps going back to 1920's and the inclusions of these impact costs, at fairly modest levels, absolutely decimated the small cap premium touted at the time (not F/F iirc). His conclusion, very much the opposite of yours, ...
by sterjs
Sat Jun 30, 2007 4:29 pm
Forum: Investing - Help with Personal Investments
Topic: SSgA files G-TIPS ETF
Replies: 13
Views: 4795

Those are both interesting. I'd only be interested in a hedged international treasury bond index, though.
by sterjs
Sat Jun 30, 2007 1:20 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1042
Views: 579260

IFA Small Value 1987-2006 Source: m Use International Value for 85-86 I guess. .528 .336 .372 -.177 .045 -.219 .446 .211 .012 .009 -.227 .053 .190 -.031 -.046 .058 .665 .348 .232 .284 I'm loathe to use their data(their Emerging Markets construction is completely bogus, for example), but it's the onl...
by sterjs
Fri Jun 29, 2007 11:30 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree efficiency
Replies: 14
Views: 3076

Australian companies pay out a much larger percentage of earnings as dividends than U.S. companies do, for tax reasons IIRC. Therefore a 4% dividend yield may be deceptive as a value indicator. iShares right now shows EWA with P/E 20.35 and P/Book 4.42. Morningstar shows EWA with P/E 16.6, P/B 2.9 ...
by sterjs
Fri Jun 29, 2007 6:45 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1042
Views: 579260

Re: What gives?

sterjs, thanks for the data! I added this data (see end of post) were FFLV and FFSV are benchmarks with 2006 returns of the DFA funds and used your D9-10 and MSCI-SCV. For 1972-2006: 25% each S&P500, D9-10, FFLV, FFSV - CAGR 14.03% STDEV 20.01%. 25% each S&P500, NAESX, VIVAX, SCV - CAGR 13....
by sterjs
Fri Jun 29, 2007 4:39 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree efficiency
Replies: 14
Views: 3076

3) At least in US divs have been by far weakest value indicator. The dividend premium has been robust globally, right? I did a quick and dirty analysis of the French's International High Dividend-Low Dividend. IIRC, High Dividends provided a premium in 21/32 years compared to 22/32 for Earnings and...
by sterjs
Thu Jun 28, 2007 9:12 pm
Forum: Investing - Theory, News & General
Topic: Will Value outperform Growth? should we have a value tilt?
Replies: 18
Views: 4749

Depends how you definte Value. If you define it as something like Price/Book or Price/Earnings, then yes I think Value will have higher returns then Growth.
by sterjs
Thu Jun 28, 2007 7:25 pm
Forum: Investing - Theory, News & General
Topic: TIAA-CREF White Paper on Reverse Asset Allocation
Replies: 2
Views: 1577

I don't like it. 1. No mention of the time period the data is derived from? I shouldn't have to dig up another paper for something that simple. No mention of the indeces used for the various categories either. 2. Assumes Std Dev=Risk. This is especially foolish when considering hedge funds, etc... 3...
by sterjs
Thu Jun 28, 2007 2:29 am
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1042
Views: 579260

Another dataset I think is useful: Decile 9-10 Stocks (1972-2005 + DFA Micro for 2006) -1.0 -40.7 -29.3 69.9 54.5 22.1 21.8 44.2 34.7 7.8 27.6 34.3 -13.9 28.4 3.2 -13.8 21.8 8.2 -27.4 50.3 27.7 20.2 -3.2 33.3 19.1 24.1 -7.9 32.2 -13.4 34.2 -14.1 78.4 16.8 3.5 16.2 Probably closer to the microcap fun...
by sterjs
Wed Jun 27, 2007 11:28 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1042
Views: 579260

FWIW, I created a synthetic MSCI 1750 Value Index(the index that VISVX/VBR follow). I used MSCI's data from 1996-2006 and from 1972-1995 I used ( 1.0 * Market + .40 * SmB + .80 * HmL - .18 ) = return as per Robert T's regression and the Kenneth French Annual Factor Returns. Edit: I think there is so...
by sterjs
Wed Jun 27, 2007 10:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe – PCRIX question
Replies: 21
Views: 6606

First, PCRIX is not the return the of the DJ-AIG plus TIPS. It is the return of the DJ-AIG minus one-month tbill plus the return on TIPS I think the normal DJAIG index doesn't include collateral: The DJ-AIGCI family of indexes includes both the DJ-AIGCI (which is calculated on an excess return basi...
by sterjs
Wed Jun 27, 2007 8:14 pm
Forum: Investing - Theory, News & General
Topic: New Yorker article: The Boglehead of hedge funds? :)
Replies: 6
Views: 2188

Yeah, that roulette comment is terrible, but synthetic hedge funds are an interesting development.
by sterjs
Wed Jun 27, 2007 4:55 pm
Forum: Investing - Theory, News & General
Topic: tax efficiency of ETFs
Replies: 16
Views: 4477

No it not the same. You are misinterpreting my example. Take an example of muni's vs taxable bonds in a low tax bracket. You pay less tax with the muni but your return is lower than the taxable bond with the same credit/duration risks. It is the after tax return that is important not the taxes paid...
by sterjs
Wed Jun 27, 2007 3:20 pm
Forum: Investing - Theory, News & General
Topic: Reliable index fundamentals?
Replies: 18
Views: 4638

"Data provided by Morningstar, Inc." in disclosure section. Compare foreign ETFs on morningstar.com to ETFs on etrade.com... for whatever reason morningstar.com omits or distorts the metrics. Example: VWO (Vanguard Emerging Markets) is listed at Price/Book 2.8. Does it make sense to you t...
by sterjs
Wed Jun 27, 2007 3:19 pm
Forum: Investing - Help with Personal Investments
Topic: slice and dice, available indexes/funds, and overlap
Replies: 1
Views: 1040

I don't understand the slice and dice mindset... why not just use total market+small or mid value to achieve your desired factor loadings? Robert T made a nice chart of the factor loadings for various indeces here.
by sterjs
Wed Jun 27, 2007 3:09 pm
Forum: Investing - Theory, News & General
Topic: tax efficiency of ETFs
Replies: 16
Views: 4477

Tax cost is the wrong metric. Would you rather have an investment that had a tax cost of three percent on an investment that returns 13% or an investment with a tax cost of only two percent on a return of 11%? It's not how much tax you pay that counts it's what you have left after tax that is relev...
by sterjs
Wed Jun 27, 2007 3:03 pm
Forum: Investing - Theory, News & General
Topic: tax efficiency of ETFs
Replies: 16
Views: 4477

larryswedroe wrote:stersj
Data came from DFA we had asked them to provide this


I would trust iShares numbers more... the DFA numbers look to be the same as Morningstar's numbers. Morningstar frequently overstates tax cost ratio (ignoring Qual. Dividends for example).
by sterjs
Wed Jun 27, 2007 2:55 pm
Forum: Investing - Theory, News & General
Topic: Reliable index fundamentals?
Replies: 18
Views: 4638

psteinx wrote:Can you give me a bit more info? What on E*Trade are you looking at?


Type in the ticker for the ETF and then click the portfolio tab.
by sterjs
Wed Jun 27, 2007 2:34 pm
Forum: Investing - Theory, News & General
Topic: Reliable index fundamentals?
Replies: 18
Views: 4638

The closest I've found is E*Trade. I'm not sure how accurate they are, but they at least have numbers to compare.
by sterjs
Wed Jun 27, 2007 2:23 pm
Forum: Investing - Help with Personal Investments
Topic: Powershares Zacks Microcap (PZI)
Replies: 16
Views: 3603

Maybe Morningstar reads this forum. They fixed PZI's dividend yield (1.2%).
by sterjs
Wed Jun 27, 2007 1:46 pm
Forum: Investing - Theory, News & General
Topic: tax efficiency of ETFs
Replies: 16
Views: 4477

Hmmm, I got much different numbers from ishares website. Did you use morningstar?

IWB: .34%
IWD: .46%
IWM: .29%
IWN: .44%
by sterjs
Wed Jun 27, 2007 2:34 am
Forum: Investing - Theory, News & General
Topic: Market, Size, Value... Momentum?
Replies: 11
Views: 3744

I give up. lol

I don't know what to believe.
by sterjs
Wed Jun 27, 2007 12:01 am
Forum: Investing - Theory, News & General
Topic: Market, Size, Value... Momentum?
Replies: 11
Views: 3744

as I understand it momentum explained returned as fourth factor but could not be used to exploit (create alpha) as costs were high--the momentum is highest in the stocks that are the most costly to trade-- But if you would otherwise not transacted except for momentum then it did not pay to use it a...
by sterjs
Tue Jun 26, 2007 11:53 pm
Forum: Investing - Theory, News & General
Topic: Market, Size, Value... Momentum?
Replies: 11
Views: 3744

Murray,

Care to provide a summary of the major points of the paper?

Seems like his data is 1980-1999 only? In that period, value, size and momentum factors apparently have all been nonlinear.
by sterjs
Tue Jun 26, 2007 5:03 pm
Forum: Investing - Theory, News & General
Topic: Market, Size, Value... Momentum?
Replies: 11
Views: 3744

1927-2005 (ret/SD) MOM = 7.8/14.9 MKT = 6.2/20.1 HML = 2.3/13.2 SMB = 4.3/12.7 MOM has negative correlation of -0.15 to -0.30 to each of the other factors. Note MOM is not a "risk factor", so its not included in the traditional 3 Factor Model. Wow, so momentum had higher returns than the ...
by sterjs
Tue Jun 26, 2007 4:55 pm
Forum: Investing - Theory, News & General
Topic: Market, Size, Value... Momentum?
Replies: 11
Views: 3744

I played around with French's data a bit, but I'm not sure how to interpret the data. I plugged French's annualized "Mom" factor into the TAMAsset spreadsheet to find CAGR and Std Dev: Construction: Mom is the average return on the two high prior return portfolios minus the average return ...
by sterjs
Tue Jun 26, 2007 3:34 pm
Forum: Investing - Help with Personal Investments
Topic: Your advice on my asset allocation
Replies: 9
Views: 3781

Re: Your advice on my asset allocation

+ I don't like the high fees of the current commodity mutual funds (PCRDX) and ETFs (DBC), or the unsecured creditor aspect of the DJP ETN. But if Vanguard or someone else comes out with a low-fee ETF tracking the Dow Jones-AIG Commodity index, would you put 5% in that? FWIW, the portfolio benefits...
by sterjs
Tue Jun 26, 2007 3:14 pm
Forum: Investing - Theory, News & General
Topic: Market, Size, Value... Momentum?
Replies: 11
Views: 3744

Market, Size, Value... Momentum?

Can anyone give me a summary of the Momentum factor: returns, variance, correlation, etc?

French's site has monthly data on the momentum factor.
by sterjs
Tue Jun 26, 2007 3:02 pm
Forum: Investing - Help with Personal Investments
Topic: Talk me out of this actively-managed fund (ADVDX)
Replies: 15
Views: 5373

Since M*'s forum search is horribly broken, I can't go back and find my posts against it in the Income and Dividend Investing forum and I don't have the wherewithal to redraft it. You can still search Morningstar. Use Google and append this term to your search: site:socialize.morningstar.com This h...
by sterjs
Mon Jun 25, 2007 10:42 pm
Forum: Investing - Help with Personal Investments
Topic: New Powershares International ETFs: Thoughts?
Replies: 11
Views: 2875

Re: New Powershares International ETFs: Thoughts?

The expense ratios are rapacious as usual... I find that a little unfair. 0.75% is substantially cheaper than most of the active international funds you see shilled on Morningstar. My main complaint is that they're charging .15% higher ER than the Schwab mutual fund investor shares covering the sam...
by sterjs
Mon Jun 25, 2007 10:12 pm
Forum: Investing - Help with Personal Investments
Topic: REITs in VG Midcap index fund?
Replies: 7
Views: 1982

Can't help you with VO, but I calculated 11% REITs for VOE.
by sterjs
Mon Jun 25, 2007 10:09 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard Goes ETF-Only; Files STRIPS Fund
Replies: 22
Views: 6409

Might have to do with the liquidity of the underlying bonds...
by sterjs
Mon Jun 25, 2007 9:17 pm
Forum: Personal Finance (Not Investing)
Topic: What is your opinion about tattoos?
Replies: 118
Views: 46087

I have no problem with tattoos except that most of them have no artistic value. I appreciate artistically excellent tattoos:

Slightly NSFW, so I'm linking
by sterjs
Mon Jun 25, 2007 7:00 pm
Forum: Investing - Help with Personal Investments
Topic: Talk me out of this actively-managed fund (ADVDX)
Replies: 15
Views: 5373

This fund is outrageously tax inefficient... if Morningstar is accurate, the tax cost ratio is 4.7%. Add 1.2% ER to that and this looks like the worst mutual fund I've ever seen for a taxable account. If you insist on satisfying your urge for active management and/or dividends, use an ETF from Wisdo...
by sterjs
Mon Jun 25, 2007 6:48 pm
Forum: Investing - Help with Personal Investments
Topic: Fidelity's Enhanced Index Funds
Replies: 34
Views: 12854

NAVigator wrote:How do you 'enhance' and index fund other than through active management?


I always thought "enhanced" index funds were just funds that bought index futures and then actively managed the collateral to try and beat the index return.
by sterjs
Mon Jun 25, 2007 5:27 pm
Forum: Investing - Theory, News & General
Topic: Inflation hedging advice?
Replies: 78
Views: 27152

Now you'd come along and say that "Historically the DJIA is a poor performer because look at all these decades where it returned 0%" And I'd say: So what? It was artificially pegged to that number. You need to look at the data after it was allowed to float. You cannot look at the return d...