Search found 135 matches

by Forester
Mon Jun 24, 2019 1:38 am
Forum: Investing - Theory, News & General
Topic: RIP to value investing...
Replies: 34
Views: 3470

Re: RIP to value investing...

RIP value investing or RIP price-to-book and value has had a hard time of it.
by Forester
Sat Jun 22, 2019 12:27 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin Talk
Replies: 16
Views: 1410

Re: Bitcoin Talk

My thought is that Bitcoin has a future as a speculative asset. The price could bounce around from $1k to $30k and the lottery ticket potential of this will sustain interest. So unlike Peter Schiff I don't think Bitcoin will go to zero - it has a "brand name" and kind of exists as a massive decentra...
by Forester
Fri Jun 21, 2019 9:00 am
Forum: Investing - Theory, News & General
Topic: The End of Passive Investing?
Replies: 55
Views: 4765

Re: The End of Passive Investing?

At the end of the day it's "someone else's problem". If indexing screws up the market then it hurts everyone who owns stocks, not just indexers. The main thing is (1) low cost (2) broad diversification. If a new low cost model comes along to replace indexing so be it. I have to believe the free mark...
by Forester
Fri Jun 21, 2019 7:13 am
Forum: Investing - Theory, News & General
Topic: The End of Passive Investing?
Replies: 55
Views: 4765

Re: The End of Passive Investing?

Chris Cole's concerns on passive investing; https://youtu.be/lTVE9ixrzgA?t=2045

His metaphor of the passive investor as a drunk who relies upon guidance; https://youtu.be/lTVE9ixrzgA?t=2253
by Forester
Thu Jun 20, 2019 10:52 am
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 93
Views: 4634

Re: Exploring SCV diversification with Morningstar category averages, 1968-2018

We'll have to wait until IJS is 50 years old for the definitive answer :beer https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=06%2F19%2F2019&initialAmount=10000&annualOperation=0&annualAdjustmen...
by Forester
Thu Jun 20, 2019 1:43 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Low-Volatility Investing Works - Sometimes
Replies: 23
Views: 1594

Re: Larry Swedroe: Low-Volatility Investing Works - Sometimes

Hasn't low volatility in US stocks matched or beaten the market in this "growth decade" ?
by Forester
Wed Jun 19, 2019 5:23 am
Forum: Investing - Theory, News & General
Topic: My trend following strategy and experience
Replies: 736
Views: 44191

Re: My trend following strategy and experience

To reiterate, I'd just say it wasn't mentioned and leave it at that. I think you can read through the thread and conclude the risk is viewed (inappropriately) as far less than buy and hold, despite the timing risk, lack of diversification risk, and implementation risk. I wouldn't mind someone wanti...
by Forester
Wed Jun 19, 2019 1:28 am
Forum: Investing - Theory, News & General
Topic: My trend following strategy and experience
Replies: 736
Views: 44191

Re: My trend following strategy and experience

This might be of interest. I notice that volatility could be a problem for trend following techniques. For example, trend following in general worked great in the initial stock market decline of 1929 to 1932. But then the volatility increased tremendously month to month. We have never seen volatili...
by Forester
Tue Jun 18, 2019 9:31 am
Forum: Investing - Theory, News & General
Topic: iShares Edge Global Multifactor ACWF - no loading on factors?
Replies: 6
Views: 456

Re: iShares Edge Global Multifactor ACWF - no loading on factors?

My gut feeling is that a global multifactor fund from one of the goliaths will be too similar to a simple global index fund. On a chart over the last 3 years it looks the same as ACWI, but lagging by a few percent. If I was buying a global factor fund holding hundreds of stocks from one of the big p...
by Forester
Tue Jun 18, 2019 1:12 am
Forum: Investing - Theory, News & General
Topic: My trend following strategy and experience
Replies: 736
Views: 44191

Re: My trend following strategy and experience

Another advantage of trend following is being less concerned by market valuation. A Boglehead in 1999 would suspect that he is piling money into garbage businesses, but somehow he also has to believe that these stocks are being efficiently priced by the invisible accumulated opinion of the market. T...
by Forester
Mon Jun 17, 2019 10:44 am
Forum: Investing - Theory, News & General
Topic: SCV tilt advocates, please suggest a percentage for me to use in a backtest
Replies: 31
Views: 1751

Re: SCV tilt advocates, please suggest a percentage for me to use in a backtest

https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=06%2F16%2F2019&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&...
by Forester
Mon Jun 17, 2019 7:23 am
Forum: Investing - Theory, News & General
Topic: [Book: Living off Your Money, by M. McClung (Prime Harvesting)]
Replies: 457
Views: 105421

Re: [Book: Living off Your Money, by M. McClung (Prime Harvesting)]

What’s the difference between

a) Prime harvesting 60/40, equities are allowed to creep up to 80/20

b) Drawing down a fixed percentage from 80/20
by Forester
Sat Jun 15, 2019 8:48 am
Forum: Personal Consumer Issues
Topic: 11 days. England, Ireland or Scotland?
Replies: 31
Views: 2036

Re: 11 days. England, Ireland or Scotland?

I have nothing to add about London, everyone will have their own plan for that. Stonehenge & Salisbury are perfect to do in one day. Then Bath the following day. Bath is under an hour's drive from Salisbury. Salisbury Market is on Tuesday. https://www.telegraph.co.uk/content/dam/science/2018/06/20/s...
by Forester
Sat Jun 15, 2019 7:21 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7373

Re: What is wrong with AQR?

...I would note that trend following and managed futures...tend to perform poorly in most periods and then do well when needed most in EXTENDED crashes, so most people cannot hold on. We have not had an extended crash since 08. So no big surprise it has not done well. Really nice piece by Jack Voge...
by Forester
Fri Jun 14, 2019 12:33 pm
Forum: Investing - Theory, News & General
Topic: Factors: After being spotted in the wild, where have they gone?
Replies: 22
Views: 2290

Re: Factors: After being spotted in the wild, where have they gone?

Small cap matching or beating large cap, in a period of Silicon Valley behemoths when supposedly small cap is a waste of time https://www.msci.com/documents/10199/80 ... 8f3063e565
by Forester
Fri Jun 14, 2019 11:28 am
Forum: Investing - Theory, News & General
Topic: Factors: After being spotted in the wild, where have they gone?
Replies: 22
Views: 2290

Re: Factors: After being spotted in the wild, where have they gone?

Have worked since 2000;
-size
-momentum
-time series momentum
-min vol

Jury is out on Value.
by Forester
Thu Jun 13, 2019 7:24 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7373

Re: What is wrong with AQR?

Correct me if I'm wrong but these futures markets are the same as betting exchanges which exist for sports and politics. It's an insulated system where all the profits & losses add up to zero, minus the trading costs.
by Forester
Thu Jun 13, 2019 5:18 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7373

Re: What is wrong with AQR?

I can't see the point of managed futures as an investment. Profits and losses equal zero. If the stock market becomes more efficient I still get market beta, if the futures markets become more efficient (smarter hedgers, competition among speculators), there's less profit to be had for the trend fol...
by Forester
Wed Jun 12, 2019 9:25 pm
Forum: Investing - Theory, News & General
Topic: Karsten (Early Retirement Now) Pens a Challenge to Merriman and the Small/Value Premium
Replies: 65
Views: 5297

Re: Karsten (Early Retirement Now) Pens a Serious Challenge to Merriman and the Small/Value Premium

What's the big deal? If the author is correct and there is little to no small cap or value premiums to be had, then all Merriman is guilty of is adding complexity. Following the author's logic, returns will wash out to be the same as just holding a megacap index fund. All we can say is that in the l...
by Forester
Mon Jun 10, 2019 1:31 pm
Forum: Investing - Theory, News & General
Topic: Instead of bonds; why not 100% Low Vol?
Replies: 8
Views: 1543

Instead of bonds; why not 100% Low Vol?

MSCI US Minimum Volatility https://www.msci.com/documents/10199/f5c0900d-ab44-4bdd-bec7-94761d009094 2008 -26.20% 2011 +11.94% 2015 +4.92% 2018 +0.18% US 70/30 portfolio https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&cale...
by Forester
Sat Jun 08, 2019 10:33 am
Forum: Non-US Investing
Topic: Small cap value & emerging markets value on European/London exchanges?
Replies: 4
Views: 545

Re: Small cap value & emerging markets value on European/London exchanges?

Wisdomtree
WTDGSE EMERGING
DFE EUROPE

SPDR
EMSD EMERGING

iShares
ISP6 USA
by Forester
Sat Jun 08, 2019 10:31 am
Forum: Non-US Investing
Topic: Late developer ..... (UK)
Replies: 37
Views: 2769

Re: Late developer ..... (UK)

The cheapest UK SIPP provider currently is iWeb (owned by Halifax).
by Forester
Sat Jun 08, 2019 8:05 am
Forum: Personal Investments
Topic: why are Small Caps falling?
Replies: 113
Views: 9379

Re: why are Small Caps falling?

Taylor Larimore has posted (and I can not locate it right now but perhaps he will see the post) a research study on the many advantages of Total Market investing. Here is Merriman's good article about the topic which I found interesting. He had a podcast as well which goes into more detail but I ca...
by Forester
Fri Jun 07, 2019 7:23 am
Forum: Investing - Theory, News & General
Topic: Trend Following: How do you "look under the hood" to understand this asset class?
Replies: 4
Views: 384

Re: Trend Following: How do you "look under the hood" to understand this asset class?

The 1980s aren’t coming back. Less dumb money, more “sophisticated money” chasing the same return, probably also the commodity long-only passive funds have an impact too.

https://portal.barclayhedge.com/cgi-bin ... -CTA-Index
by Forester
Fri Jun 07, 2019 4:57 am
Forum: Investing - Theory, News & General
Topic: Value stocks are cheaper than they've ever been -- and could get cheaper
Replies: 13
Views: 2065

Re: Value stocks are cheaper than they've ever been -- and could get cheaper

Value outperformance historically came from the cheapest 5% of stocks, even if on the face of it, exposure to the cheapest decile was the ticket to success. If the cheapest 20% of stocks today are not especially cheap (in other words, these are the value stocks which safe conservative big brand ETF ...
by Forester
Fri Jun 07, 2019 4:53 am
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 214
Views: 13870

Re: Market timers thread

Trend following Lowvol indexes looks promising (on little data). https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=3&startYear=2013&endYear=2019&initialAmount=10000&periodicAdjustment=0&adjustmentAmount=0&inflationAdjusted=true&adjustmentPercentage=0.0&...
by Forester
Fri Jun 07, 2019 4:41 am
Forum: Investing - Theory, News & General
Topic: Trend Following: How do you "look under the hood" to understand this asset class?
Replies: 4
Views: 384

Re: Trend Following: How do you "look under the hood" to understand this asset class?

Trend following as in, (1) futures markets, zero sum game. CTAs are competing with each other to accept the insurance premium of hedgers (2) equity indices, long-term track record of appreciating due to the risk premium. Personally I would avoid all those ETFs and consider the Pacer products which t...
by Forester
Fri Jun 07, 2019 1:59 am
Forum: Investing - Theory, News & General
Topic: Value stocks are cheaper than they've ever been -- and could get cheaper
Replies: 13
Views: 2065

Re: Value stocks are cheaper than they've ever been -- and could get cheaper

Tobias Carlisle has stated that value is relatively cheap versus glamour stocks, but still richly valued relative to history, since all US stocks are richly valued.
by Forester
Wed Jun 05, 2019 2:37 pm
Forum: Investing - Theory, News & General
Topic: Swedroe is far from a passive investor and I am beginning to agree
Replies: 62
Views: 5833

Re: Swedroe is far from a passive investor and I am beginning to agree

Two forms of very mild market timing that I endorse. First is rebalancing your portfolio. Second is making shifts of maybe 10%, 15%, or even 20% of your portfolio when you see valuation and sentiment extremes. So if we had a crazy market bubble in stocks, you could go from let's say 70% stocks down...
by Forester
Wed Jun 05, 2019 10:51 am
Forum: Investing - Theory, News & General
Topic: Using minimum volatility and managed risk strategies to reduce sequence of return risk in retirement
Replies: 73
Views: 4702

Re: Using minimum volatility and managed risk strategies to reduce sequence of return risk in retirement

I've changed my mind having looked at the evidence. Low vol is one of the few factors which survived real world implementation. Slightly better returns than market cap, with appreciably lower drawdowns. It looks like a good counterweight to SCV. It has the benefits of momentum - agnostic to fundamen...
by Forester
Wed Jun 05, 2019 3:39 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Re-Death of Value, or Deja Vu All Over
Replies: 61
Views: 5929

Re: Larry Swedroe: The Re-Death of Value, or Deja Vu All Over

S&P 600 Small Cap Value uses P/E & P/S in addition to book value. SC Growth is up around 300% over the last ten years, SC Value is up 240%, hardly horrific.

Probably using book value alone would play into the Value & Inflation narrative.
by Forester
Wed Jun 05, 2019 3:28 am
Forum: Investing - Theory, News & General
Topic: Swedroe is far from a passive investor and I am beginning to agree
Replies: 62
Views: 5833

Re: Swedroe is far from a passive investor and I am beginning to agree

Although all my life I have been a Bogleheads follower, at the age of 70, I begin to realize that time is not in my favor, and I may not be able to recover from a 50% market fall. So, I have began entertaining the idea to give up potential additional profit (long term B&H) for safety by applying Si...
by Forester
Mon Jun 03, 2019 2:45 am
Forum: Investing - Theory, News & General
Topic: International Small-cap Value Funds ??
Replies: 96
Views: 14580

Re: International Small-cap Value Funds ??

As a UK investor I track the UK's FT250 (midcap) index as a proxy for "SCV" and for data since 1986 the two have compared in risk/reward when rebased into either currency. If I was an American I would be looking at the FTSE 250 too. Cheap to access, much better track record than the FTSE 100, also ...
by Forester
Thu May 30, 2019 7:41 pm
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 214
Views: 13870

Re: Market timers thread

But for those interested, my favorite market timing article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is possible and...
by Forester
Thu May 30, 2019 2:28 pm
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 214
Views: 13870

Re: Market timers thread

Yes, just be patient and let the strategy work. I did not get a sell signal in Nov-Dec 20% correction and good thing I just bought some more around the lows and rode up the strategy into January. We can have a 20% correction anytime and that is just to be accepted in the investment game. 50% declin...
by Forester
Thu May 30, 2019 12:19 pm
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 214
Views: 13870

Re: Market timers thread

:arrow: But for those interested, my favorite market timingejs article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is p...
by Forester
Thu May 30, 2019 11:48 am
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 214
Views: 13870

Re: Market timers thread

:arrow: But for those interested, my favorite market timingejs article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is p...
by Forester
Thu May 30, 2019 8:54 am
Forum: Investing - Theory, News & General
Topic: Question regarding the phrase "smart money"
Replies: 23
Views: 1573

Re: Question regarding the phrase "smart money"

Reportables (Smart) vs Nonreportables (Dumb)
by Forester
Thu May 30, 2019 2:46 am
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 214
Views: 13870

Re: Market timers thread

Who are these guys/gals that run and write for this site? Could find no background on that. Much has been written about how some top pros, probably those with the quantitative prowess and behavioral discipline you mention, have beaten the market, though not consistently. As for the rest of us, it's...
by Forester
Wed May 29, 2019 1:59 am
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 214
Views: 13870

Re: Market timers thread

:arrow: But for those interested, my favorite market timingejs article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is po...
by Forester
Mon May 27, 2019 7:02 pm
Forum: Investing - Theory, News & General
Topic: Portfolio insurance
Replies: 11
Views: 982

Re: Portfolio insurance

Well, it serves as portfolio insurance. It is a hedge against market crashes. Isn’t that the same rationale that people use when purchasing bonds?? On the face of it, the ETF is a perfect inverse of SPY, but with an added expense fee so it seems useless. The point of it is not obvious at all which ...
by Forester
Mon May 27, 2019 1:06 pm
Forum: Investing - Theory, News & General
Topic: Portfolio insurance
Replies: 11
Views: 982

Re: Portfolio insurance

whodidntante wrote:
Mon May 27, 2019 11:54 am
Meb created an ETF to implement this strategy. So it may not be a coincidence that is was discuss on his show, LOL.

https://www.etf.com/TAIL#overview
What’s the utility of that ETF? On the chart it’s the exact inverse of the S&P 500.
by Forester
Mon May 27, 2019 5:47 am
Forum: Investing - Theory, News & General
Topic: My trend following strategy and experience
Replies: 736
Views: 44191

Re: My trend following strategy and experience

This graphic (source https://twitter.com/soloprosperity ) compares all the relevant strategies, from a simple 12mo US vs non-US model, all the way to economic filters paired with a more aggressive timing signal, and emerging markets broken apart from US & Developed. http://i66.tinypic.com/oqd5lf.jpg...
by Forester
Mon May 27, 2019 1:25 am
Forum: Investing - Theory, News & General
Topic: My trend following strategy and experience
Replies: 736
Views: 44191

Re: My trend following strategy and experience

I think it would be prudent not to lean too heavily on economic indicator filters. 40% stocks 20% bonds, 20% "dumb" price-based trend, 20% trend with a LEI filter. That still potentially gets you to 60% risk-off when the market rolls over, and you're not betting the farm on a strategy with an impres...
by Forester
Sun May 26, 2019 1:47 pm
Forum: Investing - Theory, News & General
Topic: My trend following strategy and experience
Replies: 736
Views: 44191

Re: My trend following strategy and experience

A list of all the whipsaws using his strategy over the last three decades. The UER filter has been very dependable. Jan 2019 Nov 2002 Mar 2002 Sep 2000 Nov 1991 Aug to Nov 1990 Jan & Feb 1990 In addition to UER, Willthrill81 is triggering on the relative strength signals that depend on the mutual f...
by Forester
Sun May 26, 2019 6:56 am
Forum: Investing - Theory, News & General
Topic: My trend following strategy and experience
Replies: 736
Views: 44191

Re: My trend following strategy and experience

I would seriously question anyone who says that they would sell their 'safe' bonds to buy stocks that plummeted in value all the way down to an 89% maximum drawdown. Some probably would, but I doubt that the typical Boglehead could stomach it. There were many die-hard Bogleheads here who didn't reb...