Search found 27 matches

by imak
Thu Apr 02, 2020 10:47 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 1064
Views: 89729

Re: [Small Cap Value heads Rejoice !!!]

I have to admit that with recent beating of SCV & stimulus bill (quantitative easing?) favoring larger companies, I have abandoned this SCV heavy allocation and now moved to a barbell-style approach similar to Bernstein Simpleton portfolio (with added 20% REITs). My major concerns were "unintended ...
by imak
Thu Apr 02, 2020 10:01 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 1064
Views: 89729

Re: [Small Cap Value heads Rejoice !!!]

Last week, I indulged in over-rebalancing in my tax-advantaged portfolio. Price to Book for IVOV and VIOV were lowest since about 2013. Change in allocation: IVOO: 15% IVOV: 15% -> 17.5% VIOO: 15% VIOV: 15% -> 17.5% USRT: 15% VSS: 15% EDV: 10% -> 5% I am 35% down as per Fidelity positions view as o...
by imak
Thu Apr 02, 2020 8:52 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 1064
Views: 89729

Re: [Small Cap Value heads Rejoice !!!]

Last week, I indulged in over-rebalancing in my tax-advantaged portfolio. Price to Book for IVOV and VIOV were lowest since about 2013. Change in allocation: IVOO: 15% IVOV: 15% -> 17.5% VIOO: 15% VIOV: 15% -> 17.5% USRT: 15% VSS: 15% EDV: 10% -> 5% I am 35% down as per Fidelity positions view as o...
by imak
Sat Mar 21, 2020 10:16 pm
Forum: Investing - Theory, News & General
Topic: Who do you follow for market insights ?
Replies: 49
Views: 2565

Re: Who do you follow for market insights ?

Listing here from my bookmarks compiled over the years: https://www.bogleheads.org/blog/ https://advisors.vanguard.com/insights/all https://awealthofcommonsense.com/ https://us.dimensional.com/perspectives https://www.collaborativefund.com/blog/ https://jasonzweig.com/blog/ https://humbledollar.com/...
by imak
Sat Mar 21, 2020 6:04 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 1064
Views: 89729

Re: [Small Cap Value heads Rejoice !!!]

Last week, I indulged in over-rebalancing in my tax-advantaged portfolio. Price to Book for IVOV and VIOV were lowest since about 2013. Change in allocation: IVOO: 15% IVOV: 15% -> 17.5% VIOO: 15% VIOV: 15% -> 17.5% USRT: 15% VSS: 15% EDV: 10% -> 5% I am 35% down as per Fidelity positions view as of...
by imak
Thu Mar 12, 2020 5:12 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 1064
Views: 89729

Re: [Small Cap Value heads Rejoice !!!]

I know BRK.B is an individual stock, but for a moment interpreting it as an actively managed value fund. I came across this tweet today where it seems that its P/B ratio is hovering near 2011/2009 levels. https://mobile.twitter.com/Greenbackd/status/1238207523926110208 Also, lowest P/B in last 5 yea...
by imak
Thu Mar 05, 2020 11:19 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 1064
Views: 89729

Re: [Small Cap Value heads Rejoice !!!]

Index selection matters a lot: I have 30% portfolio in IVOV (Vanguard S&P 400 Mid-cap Value ETF) and VIOV (Vanguard S&P 600 Small-cap Value ETF). I believe the advantage of S&P 400 & 600 Value indices over Russell or CRSP indices is specifically quality screening in parent indices S&P 400/600, follo...
by imak
Sun Mar 01, 2020 5:39 pm
Forum: Investing - Theory, News & General
Topic: Cheery William Bernstein insight after gloomy week
Replies: 12
Views: 2228

Re: Cheery William Bernstein insight after gloomy week

Thanks for posting this episode. I am a fan of Masters in Business podcast. It has amazing guests and deep conversations on economics and investing. Similar to this one, you might also enjoy Barry Ritholtz's conversation with Cliff Asness of AQR (a quant hedge fund). https://ritholtz.com/2015/02/mas...
by imak
Sun Mar 01, 2020 5:22 pm
Forum: Investing - Theory, News & General
Topic: Coronavirus and the market
Replies: 3737
Views: 270110

Re: Coronavirus and the market

Dimensional Fund Advisors (DFA) posted their perspective on coronavirus and market declines: https://us.dimensional.com/perspectives/the-coronavirus-and-market-declines Key takeaway: "The market is clearly responding to new information as it becomes known, but the market is pricing in unknowns, too....
by imak
Sat Feb 22, 2020 1:53 pm
Forum: Investing - Theory, News & General
Topic: Article on leveraging a balanced portfolio
Replies: 16
Views: 1396

Re: Article on leveraging a balanced portfolio

I think the overarching point of this article, as I understood it, was that rebalancing thresholds are most likely to get triggered at times when there is high volatility in the market and if those rebalancing windows get skipped/missed, then portfolio undergoes larger drawdowns compared to backtest...
by imak
Fri Feb 21, 2020 2:29 pm
Forum: Investing - Theory, News & General
Topic: Article on leveraging a balanced portfolio
Replies: 16
Views: 1396

Article on leveraging a balanced portfolio

Michael Batnick on his blog Irrelevant Investor posted this interesting article on leveraging a traditional 60/40 balanced portfolio using ETFs: https://theirrelevantinvestor.com/2020/02/20/levered-long/ His Key takeaway: "The key to outsized returns was the rebalancing, which was a constant occurre...
by imak
Thu Feb 20, 2020 12:27 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 109
Views: 8782

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

I wonder if it is possible to approximate this strategy, without leverage, simply by applying Max-Sharpe rolling optimization to permanent portfolio. Attempting this in Portfolio Visualizer -> Rolling Optimization feature, we see below risk/return profile: Time period: 1994-2020 Rolling look-back wi...
by imak
Wed Feb 19, 2020 5:01 pm
Forum: Investing - Theory, News & General
Topic: Investing with style: how size and value actually work
Replies: 2
Views: 394

Re: Investing with style: how size and value actually work

Thanks for posting this. Excellent article.
by imak
Tue Feb 18, 2020 2:31 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 109
Views: 8782

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

jimbomahoney, Thanks for sharing your work on recreating this strategy. Based on my limited understanding, it seems that the core aspect of this strategy which makes it work is 1) rebalancing frequency (geometric balancing), and 2) kelly criterion for leveraging (probably fractional kelly?). Regardi...
by imak
Mon Feb 17, 2020 11:55 am
Forum: Investing - Theory, News & General
Topic: Problem with Dividend Aristocrats Index Construction
Replies: 6
Views: 998

Re: Problem with Dividend Aristocrats Index Construction

Thanks sycamore and nisiprius for pointing out the correct concentration of these two companies in index. I misunderstood that to be positions weighting in the index.
by imak
Fri Feb 14, 2020 11:41 am
Forum: Investing - Theory, News & General
Topic: Problem with Dividend Aristocrats Index Construction
Replies: 6
Views: 998

Problem with Dividend Aristocrats Index Construction

Encountered this interesting piece from Matt Levine's Bloomberg article, related to SDY ETF, which tracks S&P High Yield Dividend Aristocrats Index. Index construction rules lead to a concentrated position of about 40% in only two stocks & these two stocks had dropping market cap, resulting in falli...
by imak
Thu Feb 13, 2020 3:34 pm
Forum: Personal Finance (Not Investing)
Topic: My LenderFi refinance is going well
Replies: 249
Views: 27622

Re: My LenderFi refinance is going well

Thanks to this thread, I locked in 2.75% (733 points) with 15 years duration & nearly 3600 in closing costs with LenderFi. Earlier mortgage was 3.75% with 30 years duration.
by imak
Mon Jan 20, 2020 2:18 pm
Forum: Investing - Theory, News & General
Topic: The Case for Global Investing by Meb Faber
Replies: 3
Views: 599

The Case for Global Investing by Meb Faber

Excellent charts on recent article by Meb Faber, summarizing and making the case for global equity diversification, across regions, sectors, revenues, valuations and other aspects: https://mebfaber.com/2020/01/10/the-case-for-global-investing/ Summary of his takes: 1) "Borders and sectors are becomi...
by imak
Thu Jul 25, 2019 9:14 pm
Forum: Investing - Theory, News & General
Topic: Is there a High Tech Bubble in S&P 500 & Total Market?
Replies: 152
Views: 11427

Re: Is there a High Tech Bubble in S&P 500 & Total Market?

An alternative/orthogonal way to think about Tech sector in general is to consider its contribution to "operational efficiency" of any organization. Operational efficiency is improved radically by deploying software in traditionally non-software operations (e.g. delivery, warehousing, inventory mana...
by imak
Wed Jul 17, 2019 9:39 pm
Forum: Investing - Theory, News & General
Topic: Does minimum volatility give better returns?
Replies: 31
Views: 4012

Re: Does minimum volatility give better returns?

You may find this research article by S&P DJI Indices helpful: Low Volatility: A Practitioner's guide https://us.spindices.com/documents/education/education-low-volatility-a-practitioners-guide.pdf The article provides insights on many aspects of low volatility indices, including: construction of in...
by imak
Mon Jul 15, 2019 9:01 pm
Forum: Investing - Theory, News & General
Topic: S&P MidCap 400: Outperformance and Potential Applications
Replies: 22
Views: 3380

Re: S&P MidCap 400: Outperformance and Potential Applications

While we are discussing MidCap outperformance, I also observed that S&P MidCap 400 low volatility index seems to have outperformed S&P MidCap 400 index for the past ten years on a risk-adjusted basis. Link: https://us.spindices.com/indices/strategy/sp-midcap-400-low-volatility-index Invesco ETF: XML...
by imak
Mon Jul 15, 2019 12:34 pm
Forum: Investing - Theory, News & General
Topic: S&P MidCap 400: Outperformance and Potential Applications
Replies: 22
Views: 3380

Re: S&P MidCap 400: Outperformance and Potential Applications

S&P Dow Jones Indices published an interesting research article on S&P MidCap 400 outperformance. Link: https://us.spindices.com/documents/research/research-sp-midcap-400-outperformance-and-potential-applications.pdf EXECUTIVE SUMMARY: Mid-cap stocks have often been overlooked in favor of other siz...
by imak
Sat Jul 13, 2019 4:39 pm
Forum: Investing - Theory, News & General
Topic: S&P MidCap 400: Outperformance and Potential Applications
Replies: 22
Views: 3380

S&P MidCap 400: Outperformance and Potential Applications

S&P Dow Jones Indices published an interesting research article on S&P MidCap 400 outperformance. Link: https://us.spindices.com/documents/research/research-sp-midcap-400-outperformance-and-potential-applications.pdf EXECUTIVE SUMMARY: Mid-cap stocks have often been overlooked in favor of other size...
by imak
Sat May 25, 2019 2:43 pm
Forum: Investing - Theory, News & General
Topic: S&P Indices Research - Is Low Volatility Anomaly Universal?
Replies: 11
Views: 963

Re: S&P Indices Research - Is Low Volatility Anomaly Universal?

Indeed these are very interesting results to dig into. Especially their backtests/graphs extend back to 1990 which allow more rigorous examination. Below article seems to be a super-set of all S&P Dow Jones Indices' research efforts on low volatility anomaly. It summarizes from several research pape...
by imak
Sun May 19, 2019 9:43 pm
Forum: Investing - Theory, News & General
Topic: S&P Indices Research - Is Low Volatility Anomaly Universal?
Replies: 11
Views: 963

S&P Indices Research - Is Low Volatility Anomaly Universal?

Interesting recent research article published by S&P Dow Jones Indices on low volatility anomaly: https://us.spindices.com/documents/research/research-is-the-low-volatility-anomaly-universal.pdf Key takeaways/Executive summary: 1) Portfolio managers have run defensive equity strategies for decades. ...
by imak
Fri Mar 22, 2019 6:30 pm
Forum: Investing - Theory, News & General
Topic: Interesting new paper on time series momentum using monte-carlo approach
Replies: 0
Views: 363

Interesting new paper on time series momentum using monte-carlo approach

I came across this recently published paper on SSRN which employs monte-carlo approach in order to overcome some drawbacks of traditional backtesting methods & creates 10000 alternate time-series paths for performing time-series momentum analysis using variety of lookback periods and assets (includi...