Search found 154 matches

by BJJ_GUY
Thu May 16, 2019 9:39 pm
Forum: Investing - Theory, News & General
Topic: Bonds beyond Total Bond Market - Anyone ?
Replies: 47
Views: 3488

Re: Bonds beyond Total Bond Market - Anyone ?

If considering floating rate notes because of concern about term risk, I'd add more short-term bonds instead. If desiring more credit risk found in high-yield/junk, I'd add more equities instead. I think TIPS are worthy of consideration, depending on other factors pertaining to the investor's indiv...
by BJJ_GUY
Thu May 16, 2019 9:30 pm
Forum: Investing - Theory, News & General
Topic: How do you treat I Bonds in AA?
Replies: 7
Views: 713

Re: How do you treat I Bonds in AA?

^ Pretty much this. I've retrained myself to think of the major assets as equities, fixed income and cash rather than equities, bonds and cash. That means the distinctions between bond funds, CDs, I-Bonds, etc don't really matter (at least not to me). Technically I suppose cash is fixed income too ...
by BJJ_GUY
Thu May 16, 2019 9:16 pm
Forum: Investing - Theory, News & General
Topic: Bonds beyond Total Bond Market - Anyone ?
Replies: 47
Views: 3488

Re: Bonds beyond Total Bond Market - Anyone ?

My Fixed Income allocation is some cash, and UST (which used to be long-dated as a deflation hedge and is now combined with cash as under 12 month USTs only If I want credit risk, ill take it very opportunistically via closed-end HY and levered loan funds when at steep discounts, and I'll also inves...
by BJJ_GUY
Thu May 16, 2019 9:05 pm
Forum: Investing - Theory, News & General
Topic: Does stock allocation truly matter?
Replies: 61
Views: 5344

Re: Does stock allocation truly matter?

Just VT or whatever the Vanguard All World Index ETF is.

Unless you have a strong reason to do anything other than invest in VT, then why make life more challenging?
by BJJ_GUY
Thu May 16, 2019 8:57 pm
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX [Cboe Volatility Index]

Closer! At least we're now thinking about investment return, prospectively. Close enough for me.. PY + VXX.. satisfies 2 of the 4 conditions. It's negative-to-uncorrelated with equities, and at least VXX is long volatility. Still lacks a return profile that is asymmetric and positively convex. I kno...
by BJJ_GUY
Thu May 16, 2019 5:21 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Public Vs. Private Hedge Funds
Replies: 13
Views: 1053

Re: Larry Swedroe: Public Vs. Private Hedge Funds

nisiprius, Many of those characteristics you listed as being favorable for mutual funds, as compared to hedge funds, have the potential to be value destructive. Specifically, the idea that it's a positive that mutual funds must mass redeem even when invested in markets that are anything less than hi...
by BJJ_GUY
Thu May 16, 2019 4:57 pm
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX

Suppose there was a futures contract that settled to log(SPX) on expiration day. Those futures would be linear in log(SPX) but nonlinear in SPX. In fact they would have negative convexity wrt SPX, because d^2/dx^2 log(x) = -1/x^2. Okay, let me try this again. When I'm talking about investment strat...
by BJJ_GUY
Thu May 16, 2019 1:00 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Public Vs. Private Hedge Funds
Replies: 13
Views: 1053

Re: Larry Swedroe: Public Vs. Private Hedge Funds

When a firm is as big as AQR, decides to enter mutual funds to provide watered down versions of their private funds (like Style Premia Alternative you mentioned) then it's hard to conclude much about their priority of motivations. If I were an LP in their hedge fund and saw that behavior, I'm out th...
by BJJ_GUY
Thu May 16, 2019 10:36 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Public Vs. Private Hedge Funds
Replies: 13
Views: 1053

Re: Larry Swedroe: Public Vs. Private Hedge Funds

Pretty much, there is no reason for individual investors to invest in hedge funds. Larry should follow up with an article about AQR and how it is different from hedge funds. Hopefully, it really is different. Just like other big quant shops, AQR has many different hedge funds. They also have a bunc...
by BJJ_GUY
Thu May 16, 2019 10:20 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX

The problem with using futures to obtain a 'hedge' through VIX products is that futures have linear payoffs where as OTM calls have positive convexity which will provide the long volatility profile one would expect from an instrument acting as something of an insurance policy. (For those not follow...
by BJJ_GUY
Thu May 16, 2019 8:05 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trend Following As Insurance
Replies: 110
Views: 5518

Re: Larry Swedroe: Trend Following As Insurance

Past performance has a tendency to persist. Stocks sorted on their prior 6 or 12 month returns, separated into deciles, show a perfect staircase of increasing performance for the subsequent 12 months. Losers continue to lose. To be frank; we should be more sceptical of the efficacy of stock momentu...
by BJJ_GUY
Thu May 16, 2019 2:32 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX

Here's a good starting point for inverse volatility trading strategies: http://volatilitymadesimple.com/category/strategy-backtests/ How did that strategy do, in live trading, in 2018? Strangely, I can't find even model results beyond 2017. Maybe I'm looking in the wrong spot. That link presents th...
by BJJ_GUY
Thu May 16, 2019 2:22 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Public Vs. Private Hedge Funds
Replies: 13
Views: 1053

Re: Larry Swedroe: Public Vs. Private Hedge Funds

Pretty much, there is no reason for individual investors to invest in hedge funds. Larry should follow up with an article about AQR and how it is different from hedge funds. Hopefully, it really is different. Just like other big quant shops, AQR has many different hedge funds. They also have a bunc...
by BJJ_GUY
Thu May 16, 2019 1:52 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX

NotTooDeepLearning wrote:
Thu May 16, 2019 1:08 am
Here's a good starting point for inverse volatility trading strategies: http://volatilitymadesimple.com/categor ... backtests/
How did that strategy do, in live trading, in 2018? Strangely, I can't find even model results beyond 2017. Maybe I'm looking in the wrong spot.
by BJJ_GUY
Thu May 16, 2019 1:36 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trend Following As Insurance
Replies: 110
Views: 5518

Re: Larry Swedroe: Trend Following As Insurance

Is the apparent predictive power of trends more than a data-mined artifact? The narrative of persistent behavioral anomalies is missing the link to how one can profit from them by more than luck. And if everyone knows about trends, why are they not arbitraged away? Or are they and trend followers w...
by BJJ_GUY
Thu May 16, 2019 12:13 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX

I tinkered with this once (on paper). I thought maybe you could invest, let's say, 10 percent in a VIX ETF and 90 percent in an S&P 500 ETF and the VIX would go up when the market went down. I don't remember why, but that didn't seem to work. A few ideas that come to mind immediately... ETNs try to...
by BJJ_GUY
Thu May 16, 2019 12:07 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX

Unless there is some sort of sophisticated hedge as has been mentioned, I cannot see how someone can hope to make money over the long term. Maybe fits and spurts if you happen to buy at good times but even then you gotta get out FAST! Using the ETNs discussed, you are correct. They are not money go...
by BJJ_GUY
Wed May 15, 2019 11:51 pm
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX

The problem with using futures to obtain a 'hedge' through VIX products is that futures have linear payoffs where as OTM calls have positive convexity which will provide the long volatility profile one would expect from an instrument acting as something of an insurance policy. (For those not follow...
by BJJ_GUY
Wed May 15, 2019 2:38 pm
Forum: Investing - Theory, News & General
Topic: Dividends almost Doubled between 2013 and now
Replies: 96
Views: 7342

Re: Dividends almost Doubled between 2013 and now

The buyback reduces shares outstanding RELATIVE to if it had not occurred. If they buyback 5% of shares you're ownership rises 1/0.95-1 or around 5%. If they issue 5% of shares...well yeah your ownershup didn't increase its still the same but it's 5% greater than if they didn't do the buyback. So s...
by BJJ_GUY
Wed May 15, 2019 2:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trend Following As Insurance
Replies: 110
Views: 5518

Re: Larry Swedroe: Trend Following As Insurance

Using economic data as an input variable may be useful as an investment indicator (I'm not debating it either way). I could be wrong here, but seems like methods that mimic systematic trading strategies are being described in this thread, but referred to as trend-following. I believe trend-following...
by BJJ_GUY
Wed May 15, 2019 12:49 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trend Following As Insurance
Replies: 110
Views: 5518

Re: Larry Swedroe: Trend Following As Insurance

This is the unemployment filter. It's hit rate in terms of filtering the S&P 500 moving average is just about faultless, post WWII. The time spent invested jumps from around 70% to 88% - that's a ton of avoided whipsaws. Trend is only active in the grey areas. Otherwise, the strategy is invested 10...
by BJJ_GUY
Wed May 15, 2019 12:39 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trend Following As Insurance
Replies: 110
Views: 5518

Re: Larry Swedroe: Trend Following As Insurance

Are you willing to acknowledge that there is a real risk that the future will not look like the past in a way that causes your trend strategy to fail? I will define failure as not preventing the big downturns while capturing most of the upsides. With that definition, I'd say there is low probabilit...
by BJJ_GUY
Wed May 15, 2019 12:23 pm
Forum: Investing - Theory, News & General
Topic: Dividends almost Doubled between 2013 and now
Replies: 96
Views: 7342

Re: Dividends almost Doubled between 2013 and now

I’m not a mathematician but if a company allocates $5 to paying dividends to its shareholders it will pay $.50 per share if it has 10 shares outstanding and $.625 per share after it repurchases 2 shares. Most companies don’t use all of their free cash for either dividend payments OR share repurchas...
by BJJ_GUY
Wed May 15, 2019 11:24 am
Forum: Investing - Theory, News & General
Topic: VIX [Cboe Volatility Index]
Replies: 31
Views: 1996

Re: VIX

Avoid the ETFs unless there is a very specific reason. I can't really think of one. If you boil down what institutional investors (hedge funds, sophisticated endowments, Canadian pensions, etc.) are doing, it might explain why even the underlying exposure from ETFs are undesirable - even before the ...
by BJJ_GUY
Wed May 15, 2019 11:06 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trend Following As Insurance
Replies: 110
Views: 5518

Re: Larry Swedroe: Trend Following As Insurance

Is the apparent predictive power of trends more than a data-mined artifact? The narrative of persistent behavioral anomalies is missing the link to how one can profit from them by more than luck. And if everyone knows about trends, why are they not arbitraged away? Or are they and trend followers w...
by BJJ_GUY
Wed May 15, 2019 10:51 am
Forum: Investing - Theory, News & General
Topic: Dividends almost Doubled between 2013 and now
Replies: 96
Views: 7342

Re: Dividends almost Doubled between 2013 and now

Maybe if there were strict standards on how buy backs should be used to benefit the stockholders instead of primarily benefitting the high executives , then buybacks might be better. Is there any analysis available on how buybacks have affected the stock price positively? So instead of getting a 3%...
by BJJ_GUY
Wed May 15, 2019 10:05 am
Forum: Investing - Theory, News & General
Topic: Nobody knows nothing and AA
Replies: 19
Views: 2220

Re: Nobody knows nothing and AA

I do think we can have a good idea of what will happen in the short term. Probably within the next few months at least. Beyond that would probably just be speculation. We do have a good idea of where bonds will go for the next year based on interest rates though. Seems like some results can be impr...
by BJJ_GUY
Wed May 15, 2019 10:01 am
Forum: Investing - Theory, News & General
Topic: Taleb says he's invested in gold and keeps away from stocks
Replies: 3
Views: 1037

Re: Taleb says he's invested in gold and keeps away from stocks

drk wrote:
Wed May 15, 2019 9:58 am
Doesn’t he still work for a fund that aims to hedge against exposure to stocks?
Don't think he's been active there for many years. Not sure if he owns a piece of the GP, but regardless, he isn't trading for them
by BJJ_GUY
Wed May 15, 2019 9:55 am
Forum: Investing - Theory, News & General
Topic: Dividends almost Doubled between 2013 and now
Replies: 96
Views: 7342

Re: Dividends almost Doubled between 2013 and now

Should dividend investors be concerned about the increased popularity of share buybacks? Dividend increases are generally favored by companies because they are attractive to both existing shareholders and potential new purchasers of their common stock. Share repurchases make it possible for company...
by BJJ_GUY
Wed May 15, 2019 8:59 am
Forum: Investing - Theory, News & General
Topic: Dividends almost Doubled between 2013 and now
Replies: 96
Views: 7342

Re: Dividends almost Doubled between 2013 and now

It's not that people here don't like dividends, they just realize that they are nothing more than taking a couple bucks out of your right pocket and putting it in your left pocket (and possibly paying taxes on it). Dividends and share repurchases COULD be akin to taking $ from one pocket and passin...
by BJJ_GUY
Fri May 03, 2019 11:53 pm
Forum: Personal Investments
Topic: Currency risk revisited
Replies: 2
Views: 324

Re: Currency risk revisited

I don't understand the reason for fx hedging the cash allocation away from your own local currency. Unless you have plans to be somewhere else, or need to buy something significant in a different currency at some future date, it seems only reasonable to have local cash as local cash.
by BJJ_GUY
Fri May 03, 2019 11:43 pm
Forum: Investing - Theory, News & General
Topic: To estimate (ex-ante) expected return, should one use arithmetic or geometric average return?
Replies: 12
Views: 778

Re: To estimate (ex-ante) expected return, should one use arithmetic or geometric average return?

Common question, which is interesting. Although it highlights how often things are done by habit, without proper understanding of the how and why. Very simply a normal distribution is defined by a mean and standard deviation. Therefore, mean has to be the answer. Which mean -- arithmetic, geometric...
by BJJ_GUY
Fri May 03, 2019 10:18 am
Forum: Investing - Theory, News & General
Topic: To estimate (ex-ante) expected return, should one use arithmetic or geometric average return?
Replies: 12
Views: 778

Re: To estimate (ex-ante) expected return, should one use arithmetic or geometric average return?

Common question, which is interesting. Although it highlights how often things are done by habit, without proper understanding of the how and why.

Very simply a normal distribution is defined by a mean and standard deviation. Therefore, mean has to be the answer.
by BJJ_GUY
Thu May 02, 2019 8:17 pm
Forum: Investing - Theory, News & General
Topic: Shouldn't VT be a zero sum game?
Replies: 24
Views: 1666

Re: Shouldn't VT be a zero sum game?

Thesaints wrote:
Thu May 02, 2019 8:04 pm
Where would you place Marx ? More in category A), or B) ?
haha. nice
by BJJ_GUY
Thu May 02, 2019 8:00 pm
Forum: Investing - Theory, News & General
Topic: Shouldn't VT be a zero sum game?
Replies: 24
Views: 1666

Re: Shouldn't VT be a zero sum game?

If real salaries have stayed the same and the population has increased 40% then there is 40% more real dollars of wages available to spend. Do you expect US population to grow 40% in next 40 years? Very possible. You guys are trying to answer the wrong question. At the macro level, for this topic, ...
by BJJ_GUY
Thu May 02, 2019 7:32 pm
Forum: Investing - Theory, News & General
Topic: Shouldn't VT be a zero sum game?
Replies: 24
Views: 1666

Re: Shouldn't VT be a zero sum game?

I would agree with you. Diesel car is worth $20k to me, but EV would be worth $30k. However, if my pay stays the same (and on average real salaries in US haven't grown that much in last 40 years), why would I expect both Toyota and BYD to succeed? Also, wouldn't there be a limit on how much one can...
by BJJ_GUY
Thu May 02, 2019 6:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Variance Risk Premium Evidence
Replies: 84
Views: 3860

Re: Larry Swedroe: Variance Risk Premium Evidence

Larry, I agree with the thesis, for the most part. I'll tell you though, Yale wouldn't invest in a fund in which their investment risks dilution of profits, taking on a greater portion of losses (if redemptions precede write-downs/offs). There are mechanisms to account for these issues in private ve...
by BJJ_GUY
Thu May 02, 2019 6:07 pm
Forum: Investing - Theory, News & General
Topic: Short BYND? (beyond meat, IPO today)
Replies: 76
Views: 5084

Re: Short BYND? (beyond meat, IPO today)

Its one thing to say a stock will go down or a company will go out of business but another to guess how long will that take. Don't when you short something you also have to put a time period with options trading on it or pay interest for the time period you are shorting? If you replicate a short po...
by BJJ_GUY
Thu May 02, 2019 6:02 pm
Forum: Investing - Theory, News & General
Topic: Short BYND? (beyond meat, IPO today)
Replies: 76
Views: 5084

Re: Short BYND? (beyond meat, IPO today)

Cycle wrote:
Thu May 02, 2019 3:09 pm
Let me guess, you also wanted to short netflix when they stopped DVDs
Or when Netflix was still in it's infancy within Enron!
by BJJ_GUY
Thu May 02, 2019 5:47 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Variance Risk Premium Evidence
Replies: 84
Views: 3860

Re: Larry Swedroe: Variance Risk Premium Evidence

https://www.investmentnews.com/article/ ... rval-funds

Here is an article that essentially summarizes the two sides of this debate. We could have just posted this and been done with it
by BJJ_GUY
Thu May 02, 2019 5:41 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Variance Risk Premium Evidence
Replies: 84
Views: 3860

Re: Larry Swedroe: Variance Risk Premium Evidence

I could be wrong, but I think they actually gated last year. Tender offer was insufficient. So we have two things going on here, just to clarify. 1. There is an illiquid nature to the contractual rights to get out of the fund 2. Separately, the underlying assets held by the fund range from t-bills t...
by BJJ_GUY
Thu May 02, 2019 5:21 pm
Forum: Investing - Theory, News & General
Topic: “If Some Part Of Your Portfolio Isn’t Performing Poorly, You Are Not Properly Diversified”
Replies: 34
Views: 2529

Re: “If Some Part Of Your Portfolio Isn’t Performing Poorly, You Are Not Properly Diversified”

Not arguing the fact that certain assets tend to have negative correlations in certain environments.

I was poking fun, in a friendly way, at the idea that there is a clear definition of "full diversification." That is silly to speak in absolutes about that which has no agreed upon answer.
by BJJ_GUY
Thu May 02, 2019 5:01 pm
Forum: Investing - Theory, News & General
Topic: “If Some Part Of Your Portfolio Isn’t Performing Poorly, You Are Not Properly Diversified”
Replies: 34
Views: 2529

Re: “If Some Part Of Your Portfolio Isn’t Performing Poorly, You Are Not Properly Diversified”

pward wrote:
Thu May 02, 2019 4:44 pm

1) You're debating opinion vs fact. To be fully diversified one does need to have at least one asset that is in a bull market and at least one in a bear market at all times. This is fact.
That's news to me...

I believe you get facts from a place unknown to the rest of us
by BJJ_GUY
Thu May 02, 2019 4:25 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Variance Risk Premium Evidence
Replies: 84
Views: 3860

Re: Larry Swedroe: Variance Risk Premium Evidence

Larry, We're close enough on most of this. We can just agree to disagree on how clean mark-to-model is, and the extent to which discretion is allowed in a reg d fund as well as a RIC. Doesn't really matter for what we're discussing (that being the original person asking about using the data in an op...
by BJJ_GUY
Thu May 02, 2019 2:58 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Variance Risk Premium Evidence
Replies: 84
Views: 3860

Re: Larry Swedroe: Variance Risk Premium Evidence

BJJ Values are set DAILY, by independent source, and there is no delay. They are based on of course estimates using models, and actual losses, which can take some time to fully be accounted for (as much as a year as rebuilding costs can be higher or lower than estimated), but that should be random....
by BJJ_GUY
Thu May 02, 2019 2:02 pm
Forum: Investing - Theory, News & General
Topic: Why does rebalancing reduce total return?
Replies: 23
Views: 2346

Re: Why does rebalancing reduce total return?

As for various indicators, I'd caution the idea of using VIX as a USEFUL forward-looking tool. Options markets notoriously trade near-dated contracts based more heavily on the most recent price action, rather than something that would be actionable as a forecast. There is a lot of research showing ...
by BJJ_GUY
Wed May 01, 2019 11:19 pm
Forum: Investing - Theory, News & General
Topic: Do You Believe 10 Years Return Data Is Just Noise?
Replies: 57
Views: 3407

Re: Do You Believe 10 Years Return Data Is Just Noise?

Understanding market cycles, and valuations/pricing is the importance generally referred to with the '10 year' references. Basically, 10 years is the most commonly used estimate of time for an economic and/or market cycle. If ten years is simply a proxy for peak-to-peak and/or trough-to-trough time ...
by BJJ_GUY
Wed May 01, 2019 9:22 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Variance Risk Premium Evidence
Replies: 84
Views: 3860

Re: Larry Swedroe: Variance Risk Premium Evidence

Does anyone know how to find the volatility metrics of the Stone Ridge and other interval funds? I would like to have that information in order to do some portfolio optimization. Much of the data you'd receive would ultimately be misleading, and any optimization model or exercise would yield inform...
by BJJ_GUY
Wed May 01, 2019 8:46 pm
Forum: Investing - Theory, News & General
Topic: Why does rebalancing reduce total return?
Replies: 23
Views: 2346

Re: Why does rebalancing reduce total return?

Not sure why the title of this thread is stated as a fact. There are a ton of examples that would support the claim that rebalancing reduces returns, but there are a ton of examples in which rebalancing would have increased returns. It all depends on what time frame you're looking at and what assets...
by BJJ_GUY
Wed Apr 24, 2019 11:40 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Using Valuation Metrics
Replies: 106
Views: 5252

Re: Larry Swedroe: Using Valuation Metrics

To state the above more generally, If you pay a price for something that is above its relationship with historical reference points, you are more likely to eventually sell this item at a smaller profit. Sounds wonderful. But what happens when your historical reference point, which one has assumed t...