Search found 2382 matches

by Steve Reading
Mon Sep 28, 2020 2:29 pm
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

Interesting thread. Thanks to everyone for their contributions. What I am finding interesting is the emotional vs analytical side of life, and how that related to investing choices. Many people advocate for efficiency and optimization, and it is great, but few really apply that to their life. For e...
by Steve Reading
Mon Sep 28, 2020 2:05 pm
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

if stocks gained 15% and bonds went up 2%, I'd sell from stocks, and rebalance back to 50/50. This brings path dependence and market timing again. Imagine you start with $1M at 50/50: 1) Stocks go up 15%, bonds up 2%, you rebalance. So you end up at 575K/510K, rebalanced to 50/50 (so 542.5k/542.k)....
by Steve Reading
Mon Sep 28, 2020 1:35 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

In trying to further simplify, if I hold 50% AVUV, 40% AVDV, and 10% DGS, can I just dump the DGS allocation? I realize AVDV doesn't have emerging markets, but is the 10% really going to make that much of a difference? Or perhaps add a little AVEM at a much lower ER (even though it isn't small cap)...
by Steve Reading
Mon Sep 28, 2020 12:37 pm
Forum: Investing - Theory, News & General
Topic: Myths of international investing - Fidelity
Replies: 153
Views: 9912

Re: Myths of international investing - Fidelity

There is one MASSIVE inconsistency in all the arguments, opinions, and points made by global investors that I have noticed. International stocks are needed, but international bonds (i.e. that is the asset class that is the worlds BIGGEST) are not needed! Lmao yes, checkmate International lovers :tw...
by Steve Reading
Mon Sep 28, 2020 12:07 pm
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

1) Please explain how 100% bond is better than my current AA (60/40) with a FI rebalance limit of 300K (5 years of expense). Isn't it obvious? If you have $1.5M, spend $60K a year and want to be certain you don't run out of money for 5 years and minimize the probability of running out of money in 7...
by Steve Reading
Mon Sep 28, 2020 11:48 am
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

if stocks gained 15% and bonds went up 2%, I'd sell from stocks, and rebalance back to 50/50. This brings path dependence and market timing again. Imagine you start with $1M at 50/50: 1) Stocks go up 15%, bonds up 2%, you rebalance. So you end up at 575K/510K, rebalanced to 50/50 (so 542.5k/542.k)....
by Steve Reading
Mon Sep 28, 2020 10:28 am
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

if stocks gained 15% and bonds went up 2%, I'd sell from stocks, and rebalance back to 50/50. This brings path dependence and market timing again. Imagine you start with $1M at 50/50: 1) Stocks go up 15%, bonds up 2%, you rebalance. So you end up at 575K/510K, rebalanced to 50/50 (so 542.5k/542.k)....
by Steve Reading
Mon Sep 28, 2020 10:00 am
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

Rather, this has everything to do with market timing. If you start with a 50/50 asset allocation, stocks go up 20% and bonds go down 20%, then you end up with 60/40 asset allocation without a change in net worth. If you do not rebalance, this asset allocation can only be rationalized if the investo...
by Steve Reading
Mon Sep 28, 2020 9:34 am
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

Rather, this has everything to do with market timing. If you start with a 50/50 asset allocation, stocks go up 20% and bonds go down 20%, then you end up with 60/40 asset allocation without a change in net worth. If you do not rebalance, this asset allocation can only be rationalized if the investo...
by Steve Reading
Sat Sep 26, 2020 11:29 am
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

(Thank you longinvest https://www.bogleheads.org/forum/viewtopic.php?t=297459) Thanks RadAudit for reminding me of that specific thread. On it I had a post detailing the calculations to select a sensible asset allocation for the portfolio and then staying the course by rebalancing it. For the benef...
by Steve Reading
Fri Sep 25, 2020 3:26 pm
Forum: Investing - Theory, News & General
Topic: Why not 100% PSLDX?
Replies: 580
Views: 59081

Re: Why not 100% PSLDX?

Does this fund lean closer to a 90%/10% VT/BNDW portfolio, or a 55%/45% UPRO/TMF? Trying to decide if this is a happy medium between choosing to partake (or not partake) in UPRO/TMF. For AA considerations most people seem to treat this as 100% S&P500, but since this fund uses leverage I feel like i...
by Steve Reading
Fri Sep 25, 2020 3:22 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

This is also what is exactly happening with SCV stocks, while they do have higher expected returns, because of the higher variance in those expectations to begin with, they have ended up having less at the moment. It could have been the other way, if they did realize those higher returns, but for a...
by Steve Reading
Fri Sep 25, 2020 1:54 pm
Forum: Personal Investments
Topic: Investing on Margin
Replies: 79
Views: 11966

Re: Investing on Margin

Margin call is really the only real big issue. Let's say you do 150k into s&p500, 50k margin, 100k your own money. Market declines 50 percent. Your portfolio goes to 75k. Now, 25k of this is your money, 50k is still margin loan. At this point, you would get a margin call, interactive brokers will a...
by Steve Reading
Fri Sep 25, 2020 9:52 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks continue to soar!
Replies: 8926
Views: 708982

Re: U.S. stocks continue to soar!

JD2775 wrote: Fri Sep 25, 2020 9:43 am I added a chunk of VTSAX to my taxable this morning. As soon as I did that the market started to rise again. I blame myself
#MutualFundStruggles
by Steve Reading
Fri Sep 25, 2020 8:16 am
Forum: Investing - Theory, News & General
Topic: Never Ever Rebalance Bonds into Stocks?
Replies: 238
Views: 15126

Re: Never Ever Rebalance Bonds into Stocks?

Can someone explain how "Bellman's Principle of Optimality" proves anything in this scenario? Bellman's principle of optimality says that the optimal solution to any optimization problem must have a property called path independence. Informally, this means that if two retirees follow an optimal str...
by Steve Reading
Thu Sep 24, 2020 5:49 pm
Forum: Investing - Theory, News & General
Topic: International Correlation with the US and Struggling to Pick EM/ International
Replies: 33
Views: 1726

Re: Developed International Correlation with the US

Anymore, I am struggling to see how international stocks, and specifically developed countries are offering any benefit to a US only allocation. It appears the two move together. If there is a downturn, international declines much more than US. Perhaps many years ago this was not the case. On this ...
by Steve Reading
Thu Sep 24, 2020 3:49 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

I think it gives comfort to people like SteveReading and Vineviz to think that I don't understand, so instead of having to defend their ideas over and over, they can dismiss it off, giving them some sort of good feeling. Oh Moto already explained to you why it didn't make sense in the context of Un...
by Steve Reading
Thu Sep 24, 2020 3:38 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

I think Elysium doesn't understand that when Uncorrelated said "4% excess return for AVDV", that claim means an excess return over its own untilted benchmark. So by posting Int SCV vs S&P 500, he's not actually showing that Uncorrelated's claim would've been a foolish expectation over the past 25 y...
by Steve Reading
Thu Sep 24, 2020 3:04 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

But would you at least admit that IF you believe SCV did have higher compensated risk (like us), then the idea that you could access it with simple screens isn't crazy right? Yes, I mostly agree in direction but not magnitude. Two issues: (1) risks don't have to be compensated over my investing tim...
by Steve Reading
Thu Sep 24, 2020 1:45 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

Expecting a 4% annual premium by applying a few simple screens is hubris. This mischaracterizes the discussion to which your (presumably) are referring. In any case, running the screen is the least difficult part of the whole process and and isn’t the source of additional risk or expected return. T...
by Steve Reading
Thu Sep 24, 2020 1:37 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

It's so meta to use historical performance to argue that you shouldn't use historical performance for decisions. Not accurate representation of what I said. Academic backtests are often hypothetical, not using live historical fund data. Such backtests use indexes constructed for specific purposes, ...
by Steve Reading
Thu Sep 24, 2020 10:38 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

Expecting a 4% premium from Intl SCV stocks based on backtested data could be a big mistake. It certainly was for the past 25 years, as investors who tilted to Intl SCV taking away from US S&P 500 has trailed by -4% per annum. Could future be different? no one knows, but history is not on the side ...
by Steve Reading
Thu Sep 24, 2020 10:22 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

Is this a popular view here in this thread that a fund like AVDV with a .36% ER will likely eat up the SCV premium? The DFA int scv fund seems to have a decent history of returns and Avantis has better ERs than DFA. Edit: I should qualify this further and ask a popular view in this thread among SCV...
by Steve Reading
Thu Sep 24, 2020 9:37 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

... so is 50% TSM and 50% SCV until age 50 acceptable? Before jumping on the SCV train, I strongly suggest doing an industry analysis of what's in your chosen SCV fund. Could you not say the same about someone who is 100% TSM? I would wager the average sector-exposure goes down at 50/50 market-cap/...
by Steve Reading
Wed Sep 23, 2020 9:12 pm
Forum: Personal Investments
Topic: Long Suffering VXUS Holder No More
Replies: 127
Views: 10661

Re: Long Suffering VXUS Holder No More

International investing is a catch 22. It has underperformed the past 13 years, so anyone that dumps it is performance chasing and if you're holding it because you think it's going to change, you're market timing. Holding onto your international investments, regardless of its recent returns, is not...
by Steve Reading
Wed Sep 23, 2020 7:55 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

Im curious, would you also think adding credit risk (corporate bonds) to a portfolio with term and equity would increase risk-adjusted returns? It seems most tilters stick to equity factors plus term but eschew credit I personally do think so and once I buy bonds, I will buy both treasuries/TIPs an...
by Steve Reading
Wed Sep 23, 2020 7:42 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

The latter story is, of course, much harder to swallow. The reason is that many, like myself, believe in Fama's perspective that in a multi-factor world, the market portfolio is efficient. The average market participant does and should hold the market. And the market portfolio contains both market ...
by Steve Reading
Tue Sep 22, 2020 10:58 pm
Forum: Investing - Theory, News & General
Topic: Increase in Margin Reqs - IB
Replies: 23
Views: 1897

Re: Increase in Margin Reqs - IB

You can't leverage beyond 2:1 (less now, with the temporary increase) in a RegT account at IB (overnight). It's not like most brokerages. "Normally", at other brokerages, you're allowed to margin further after a position has been opened for a day. However you believe brokers work, IBKR works like t...
by Steve Reading
Tue Sep 22, 2020 9:34 pm
Forum: Investing - Theory, News & General
Topic: Increase in Margin Reqs - IB
Replies: 23
Views: 1897

Re: Increase in Margin Reqs - IB

What's crazy is the RegT overnight margin. Not many people, even IB clients who don't regularly use their margin, realize that IB's margin rules, beyond automatic liquidation policy, are vastly different than the majority of other brokers. There is no lower RegT maintenance margin requirement like ...
by Steve Reading
Tue Sep 22, 2020 8:26 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

So in this case there was a 'diversification benefit' by adding an additional source of risk "term risk" due to low correlation when the market tanked. A similar 'diversification benefit' story is often extended to 'within stock risk' e.g. some diversification benefits of adding small and value exp...
by Steve Reading
Tue Sep 22, 2020 4:11 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6421
Views: 594297

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Looks like I'm reinventing the wheel! Are you running something like this? I have a personalized approach in terms of how much I place at risk, but my asset allocation is based on using this algorithm to allocate my investable amount against the symbols I use. I do not use UGL currently. I use TQQQ...
by Steve Reading
Tue Sep 22, 2020 3:26 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

Will everyone's transition from TSM/SCV (say 50% TSM and 50% SCV) to something more conservative as they near retirement be linear, or exponential? For example, is it possible to formulate 80 - age as your SCV allocation so the number drops 1% each year until you hit 0%, or will it be better to pic...
by Steve Reading
Tue Sep 22, 2020 3:04 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Multifactor fund VFMF has had a bad year
Replies: 93
Views: 4800

Re: VFMF has had a bad year

I'd rather performance chase something that has a good long-run history but has done terrible in the last few years, than join this VGT/QQQ bandwagon of true performance-chasers :P. The only reason to tilt small and value is to chase performance. Such tilting certainly doesn't reduce volatility or ...
by Steve Reading
Tue Sep 22, 2020 2:58 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

Will everyone's transition from TSM/SCV (say 50% TSM and 50% SCV) to something more conservative as they near retirement be linear, or exponential? For example, is it possible to formulate 80 - age as your SCV allocation so the number drops 1% each year until you hit 0%, or will it be better to pic...
by Steve Reading
Tue Sep 22, 2020 2:36 pm
Forum: Investing - Theory, News & General
Topic: For Small Value Tilters, Are the Latest Pricing Models Important?
Replies: 11
Views: 853

Re: For Small Value Tilters, Are the Latest Pricing Models Important?

The Fama & French 5-factor model doesn't really have 5 independent factors. More like 3.5 independent factors: investment and profitability are highly correlated, How do you figure that? Using yearly returns from FF, from 1964 to 2019, the correlation between investment and profitability has been -...
by Steve Reading
Mon Sep 21, 2020 1:43 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

(a) The monthly alpha. (b) The yearly alpha. These refer to the fact that your portfolio produced slightly lower returns than one would've expected given the exposure it had to various factors and the returns of those factors themselves. It probably is because it loaded on negative momentum, and mo...
by Steve Reading
Mon Sep 21, 2020 12:55 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

(a) The monthly alpha. (b) The yearly alpha. These refer to the fact that your portfolio produced slightly lower returns than one would've expected given the exposure it had to various factors and the returns of those factors themselves. It probably is because it loaded on negative momentum, and mo...
by Steve Reading
Sun Sep 20, 2020 1:07 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

Trying to learn more about PV. I'm doing a factor regression on an int. ex. US portfolio with 50% VEA and 50% DISVX. I choose 5 factor Fama & French (good choice?). Market (Rm-Rf) 1.08 0.017 62.373 0.000 1.050...1.118 Size (SMB) 0.14 0.043 3.375 0.001 0.060...0.229 Value (HML) 0.19 0.054 3.530 0.00...
by Steve Reading
Sun Sep 20, 2020 1:00 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

As a US investor, assuming 25 bps tax drag, you only get 9.75% since that 25 bps is unrecoverable in a tax-advantaged account. What tax drag are you referring to here? Foreign withholdings on dividends How's that different from what I just said? I suppose you could make the argument FNDE's stocks a...
by Steve Reading
Sun Sep 20, 2020 10:53 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

As a US investor, assuming 25 bps tax drag, you only get 9.75% since that 25 bps is unrecoverable in a tax-advantaged account. What tax drag are you referring to here? Foreign withholdings on dividends How's that different from what I just said? I suppose you could make the argument FNDE's stocks a...
by Steve Reading
Sun Sep 20, 2020 10:52 am
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 114
Views: 8781

Re: AQR still singing the same song

Cliff Asness agreed to be my November guest on the Bogleheads on Investing podcast. Bogleheads will be able to ask him intelligent questions that would benefit the community. I will post more next month. Rick Ferri Rick, This is a great idea. I think Mr.Asness should begin with an apology to all in...
by Steve Reading
Sun Sep 20, 2020 10:43 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

kolder wrote: Sun Sep 20, 2020 10:38 am As a US investor, assuming 25 bps tax drag, you only get 9.75% since that 25 bps is unrecoverable in a tax-advantaged account.
What tax drag are you referring to here?
by Steve Reading
Sun Sep 20, 2020 10:21 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

I would and I do. My numbers work out such that FNDE is much more tax-inefficient but it's got the tax credit to bring it right around in line with USA holdings. That means that whether I hold FNDE in tax-advantaged and VTI in taxable, or the other way around, it comes out to around the same. Am I ...
by Steve Reading
Sun Sep 20, 2020 9:47 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

But sometimes I wonder if international is even worth it considering the unrecoverable tax withholdings. Whenever I've used triceratops tax efficiency calculator, I've found that US and Ex-USA funds are perfectly fine from a tax perspective for me. Actually quite close. I hold FNDE in my taxable ac...
by Steve Reading
Sun Sep 20, 2020 9:22 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2962
Views: 213101

Re: Small Cap Value heads Rejoice !!!

But sometimes I wonder if international is even worth it considering the unrecoverable tax withholdings. Whenever I've used triceratops tax efficiency calculator, I've found that US and Ex-USA funds are perfectly fine from a tax perspective for me. Actually quite close. I hold FNDE in my taxable ac...
by Steve Reading
Sat Sep 19, 2020 10:50 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 114
Views: 8781

Re: AQR still singing the same song

It is really not any specific strategy that i am questioning. It is the entire notion that really smart people can somehow mine historical data and develop an complex approach that will consistently beat their benchmarks going forward. There is an endless string of individuals and funds that claim ...
by Steve Reading
Sat Sep 19, 2020 10:17 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 114
Views: 8781

Re: AQR still singing the same song

Edit: Also, Cliff says that sticking to the model is important, but you say they change the model continuously. There seems to be a disconnect there. No disconnect. AQR doesn’t change strategies based on underperformance. Just because value has done poorly doesn’t mean AQR will stop using value. Th...
by Steve Reading
Sat Sep 19, 2020 10:02 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 114
Views: 8781

Re: AQR still singing the same song

AQR will definitely change its stance and refine its models as they continue to research and learn more. They probably do that constantly . More variables will almost certainly pop up in the future, which will change their investment strategy. They're called Applied Quantitative Research after all....
by Steve Reading
Sat Sep 19, 2020 5:28 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 114
Views: 8781

Re: AQR still singing the same song

Curious what you find funny. I laugh by the way because it's evident you haven't read these papers yet have plenty of opinions. In the original paper, they sure did make it seem like size was independently useful. Now they discover it is not, and they are going back and saying "no inconsistency" as...
by Steve Reading
Sat Sep 19, 2020 5:02 pm
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 114
Views: 8781

Re: AQR still singing the same song

If someone did a study and came to the conclusion that "poor people are less intelligent" without controlling for lack of educational opportunities, access to nutritional foods, etc. Then 5 years later looked into those items and discovered that when correcting for those things there was no link be...