Search found 98 matches

by imak
Sat May 08, 2021 4:24 pm
Forum: Personal Consumer Issues
Topic: Computer architecture course?
Replies: 14
Views: 1595

Re: Computer architecture course?

My top 3 : 1) Udacity - Georgia Tech - High Performance Computer Architecture: https://www.udacity.com/course/high-performance-computer-architecture--ud007 2) MIT Open Course Ware - Computation Structures I, II, III https://computationstructures.org/ (also available on EDX) 3) UC Berkeley - CS61C - ...
by imak
Sat May 01, 2021 1:35 pm
Forum: Investing - Theory, News & General
Topic: Useless Investment Books
Replies: 150
Views: 12981

Re: Useless Investment Books

Money Master the Game by Tony Robbins was the worst investing book I ever read. It's not a game and you don't master it. :happy It's a rambling incoherent mess. If you know how to invest it's worth reading for the sheer, maniacal incoherence of it, just for fun. Anything Everything by Jim Cramer is...
by imak
Sat May 01, 2021 1:23 pm
Forum: Investing - Theory, News & General
Topic: Berkshire Shareholders Meeting Today
Replies: 12
Views: 2098

Re: Berkshire Shareholders Meeting Today

Thank you for sharing this
by imak
Sat May 01, 2021 9:58 am
Forum: Investing - Theory, News & General
Topic: Research Affiliates launches Model Portfolios (tactical allocation)
Replies: 3
Views: 594

Re: Research Affiliates launches Model Portfolios (tactical allocation)

Note that Research Affiliates does not recommend these portfolios for retail investors. These are for advisors only. The way to think about these model portfolios is that they maybe used for implementing a "tactical overlay" portion of X% on a passive index fund based portfolio (say, 80% i...
by imak
Fri Apr 30, 2021 3:47 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

Over the long run the positive premium of the MOM factor offsets any negative HmL exposure. Yes you can incorporate screens to a value fund as well to offset negative momentum but that will also eat at your HmL exposure, and won't give you meaningful positive exposure. Regressing MTUM's full index ...
by imak
Fri Apr 30, 2021 3:09 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

From an expected return perspective, isn't adding a separate momentum fund to the portfolio reducing the overall expected return of portfolio. (Since momentum funds tend to consist of growth stocks most of the time). Hypothetically, a portfolio of 100% SCV has higher expected return (in absolute re...
by imak
Fri Apr 30, 2021 2:28 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

From an expected return perspective, isn't adding a separate momentum fund to the portfolio reducing the overall expected return of portfolio. (Since momentum funds tend to consist of growth stocks most of the time). Hypothetically, a portfolio of 100% SCV has higher expected return (in absolute ret...
by imak
Wed Apr 28, 2021 11:48 am
Forum: Investing - Theory, News & General
Topic: Equity Hedging Strategies ?
Replies: 9
Views: 645

Re: Equity Hedging Strategies ?

Longest duration US treasuries that you can find, currently available options are ETFs: ZROZ, EDV, GOVZ, TMF Reference papers: Running low: 2020 test of bonds as hedging assets https://www.deshaw.com/assets/articles/DESCO_Market_Insights_Bonds_As_Haven_Assets_20210114.pdf Positively-Negative: Stock-...
by imak
Tue Apr 27, 2021 3:33 pm
Forum: Investing - Theory, News & General
Topic: Factor + long term bonds vs 100% total
Replies: 8
Views: 626

Re: Factor + long term bonds vs 100% total

The following doubt just came to my mind. The comparison I want to make is between 100% total market on one hand and (100-x)% small cap (or value stock, the reasoning is more about the concept that the actual numbers) + x% long term bonds on the other hand. I don't know the precise value of x, but ...
by imak
Mon Apr 26, 2021 1:31 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates launches Model Portfolios (tactical allocation)
Replies: 3
Views: 594

Research Affiliates launches Model Portfolios (tactical allocation)

Research Affiliates has announced Model Portfolios based on dynamic/tactical allocation using valuation based & contrarian approach. https://www.researchaffiliates.com/content/dam/ra/advisors/ra-model-portfolios-overview.pdf Published portfolios are: 1) Conservative (40% Equities, 60% Bonds) 2) ...
by imak
Thu Apr 22, 2021 10:20 am
Forum: Investing - Theory, News & General
Topic: REITs for diversification
Replies: 53
Views: 3640

Re: REITs for diversification

For what it's worth, global REIT ETFs do provide diversification benefit and exhibit varying correlation with global equities. As per portfolio visualizer, rolling 12-month correlations (varying ranges) for the past 5 years: REET ETF correlation with VT : 0.4 to 0.8 RWO ETF correlation with VT : 0.4...
by imak
Wed Apr 14, 2021 10:01 am
Forum: Investing - Theory, News & General
Topic: First 20% of bonds in long-term Treasuries
Replies: 1107
Views: 93442

Re: First 20% of bonds in long-term Treasuries

I think what you are seeing is the negative correlation LTT have with equities which is kind of the whole point of this thread...Right? Mathematically, a negatively correlated asset like LTT can cause an increase equity contribution to >100%. However, one can see how some might find this to be coun...
by imak
Sun Apr 11, 2021 2:35 pm
Forum: Investing - Theory, News & General
Topic: Why not 100% PSLDX?
Replies: 869
Views: 102557

Re: Why not 100% PSLDX?

Second, PSLDX has been driven by market dynamics (dominance of mega cap growth heavily represented in S&P 500) and by the perfect bond market environment for quality LTT (more than a decade of FED generated record low interest rates in combination with sluggish economic growth). We are IMO at t...
by imak
Sat Apr 10, 2021 10:59 pm
Forum: Investing - Theory, News & General
Topic: Real Return Fakers & Quitting Investing For Good
Replies: 51
Views: 5336

Re: Real Return Fakers & Quitting Investing For Good

CAPE ratio based valuations do have a catch - they are calculated over a 10 year horizon. If we look at Robert Shiller's original reasoning for choosing 10 year duration, it was to account for a full business cycle including expansion and recession. 10 year was estimated as the "average" d...
by imak
Tue Apr 06, 2021 10:04 pm
Forum: Investing - Theory, News & General
Topic: First 20% of bonds in long-term Treasuries
Replies: 1107
Views: 93442

Re: First 20% of bonds in long-term Treasuries

As to the main topic of interest, I think everything has been said. My two cents, which repeat what I think Noobvestor was getting after: Duration matching eliminates interest rate risk, yes. LTTs are the safe-asset if I have a long-term nominal liability, yes. If I have a 80/20 portfolio with 80% ...
by imak
Fri Apr 02, 2021 12:02 am
Forum: Investing - Theory, News & General
Topic: Lifecycle Investing - Leveraging when young
Replies: 1334
Views: 173931

Re: Lifecycle Investing - Leveraging when young

I asked a mod to confirm if Steve was permanently banned. They were not able to discuss details of the situation due to privacy. But given the details shared by UberGrub, the time that has elapsed since his last post (Mar 22), the fact that he cannot be PM'd, and the fact that appeals are decided w...
by imak
Wed Mar 31, 2021 4:38 pm
Forum: Investing - Theory, News & General
Topic: Useless Investment Books
Replies: 150
Views: 12981

Re: Useless Investment Books

Book called "Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk" by Gary Antonacci Absolute garbage, it advocates trend following based on 12 months moving average on major indices. Of course, the backtests shown in the book works beautifully over 2001-2002...
by imak
Mon Mar 29, 2021 11:49 pm
Forum: Investing - Theory, News & General
Topic: Useless Investment Books
Replies: 150
Views: 12981

Re: Useless Investment Books

Book called "Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk" by Gary Antonacci Absolute garbage, it advocates trend following based on 12 months moving average on major indices. Of course, the backtests shown in the book works beautifully over 2001-2002 ...
by imak
Mon Mar 29, 2021 10:31 am
Forum: Investing - Theory, News & General
Topic: First 20% of bonds in long-term Treasuries
Replies: 1107
Views: 93442

Re: First 20% of bonds in long-term Treasuries

I am also impressed by Vineviz's incredible patience and persistence in helping others see the light and ditch the dogma surrounding long term bonds and how "risky" they are for long term investors...I was persuaded by the logic and benefitted tremendously a year ago as a result. You can'...
by imak
Sat Mar 20, 2021 5:41 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8898
Views: 873908

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

All trend following or momentum strategies are significantly sensitive to "Timing Luck" which creates large dispersion in portfolio returns based on day/week/month of rebalancing. Rebalance Timing Luck: The Difference between Hired and Fired Corey Hoffstein, Daniel Sibears and Nathan Faber...
by imak
Sat Mar 20, 2021 12:05 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree 90/60 U.S. Balanced Fund [NTSX]
Replies: 526
Views: 72585

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

I have the same question. However, I am more worried and want to know if the 10% BOND FUTURE will lose more than it's part for some reason. I've thought a long time on this. I think it's important to consider three things: 1. The bond component here is a ladder with exposure to all durations, 2, 5,...
by imak
Thu Mar 18, 2021 12:56 am
Forum: Investing - Theory, News & General
Topic: How to invest new large sum in current frothy market
Replies: 51
Views: 5061

Re: How to invest new large sum in current frothy market

As a starting point, Consider mimicking the global 60-40 portfolio such as DGSIX (DFA Global 60-40 Allocation) using Vanguard/iShares ETFs. Such a portfolio eliminates uncertainty in the short term and also later supports gradual tilting towards a desired risk-return-diversification tradeoff. Fund f...
by imak
Sat Mar 13, 2021 12:29 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

I am about 40% SCV with majority allocations in RAFI Indexes and targeting approximately 70/30 US/Intl split

Tax-deferred/Taxable:
30% FNDX/PRF
30% FNDA/PRFZ
10% FNDF/PXF
10% FNDC/PDN
5% VWO/IEMG
5% REET/EEMS
10% TMF/TMF

It has been a wild ride the past year.
by imak
Thu Mar 11, 2021 12:58 am
Forum: Investing - Theory, News & General
Topic: Any diversifiers for a younger accumulator?
Replies: 15
Views: 1326

Re: Any diversifiers for a younger accumulator?

There is a useful discussion of diversifiers in this thread: Improving Ray Dalio All Weather Portfolio: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=206028 This is essentially the Risk Parity strategy that is the so-called "holy grail" of diversification as popularized by Ray ...
by imak
Thu Mar 04, 2021 3:11 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

Cliff Asness of AQR published his latest article on the long run performance of value factor: https://www.aqr.com/Insights/Perspectives/The-Long-Run-Is-Lying-to-You "Everyone knows the value strategy has been a grave disappointment out-of-sample since, say, 1990 (thirty years!). And everyone kn...
by imak
Sat Feb 27, 2021 7:11 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

Interesting to see that AVUV and IJS are now outperforming the large cap growth and tech darlings ARKK and QQQ over the past 6 months from a price return perspective. For the 6 months period from 28 Aug 2020 to 26 Feb 2021, percentage gains (as seen in Google Finance): AVUV: 47% IJS: 45% ARKK: 41% Q...
by imak
Wed Feb 24, 2021 12:05 am
Forum: Investing - Theory, News & General
Topic: WisdomTree 90/60 U.S. Balanced Fund [NTSX]
Replies: 526
Views: 72585

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Appears WisdomTree thinks this is a winning strategy. They've filed for two more ETFs like NTSX, one with int'l developed equities and one with EM equities. Both still using Treasury futures. https://www.sec.gov/Archives/edgar/data/1350487/000119312521052481/d104174d485apos.htm https://www.sec.gov/...
by imak
Tue Feb 23, 2021 4:56 pm
Forum: Investing - Theory, News & General
Topic: Bonds in free fall
Replies: 666
Views: 56936

Re: Bonds in free fall

DE Shaw group published research article in Jan 2021 titled "Running Low: The 2020 Test for Bonds as Hedging Assets" : https://www.deshaw.com/assets/articles/DESCO_Market_Insights_Bonds_As_Haven_Assets_20210114.pdf Their conclusion and recommendation at the end of article is insightful: &q...
by imak
Sun Jan 24, 2021 10:42 am
Forum: Investing - Theory, News & General
Topic: Lifecycle Investing - Leveraging when young
Replies: 1334
Views: 173931

Re: Lifecycle Investing - Leveraging when young

@all: I finally had a chance to go through this thread and pick out the most important posts. I have updated the OP to answer most questions that have been addressed in this thread, with links to various relevant posts. Hopefully this means the information is clearer and no one needs to look throug...
by imak
Sat Jan 23, 2021 10:52 pm
Forum: Investing - Theory, News & General
Topic: Why isn't every indexer investing in small cap value index funds?
Replies: 372
Views: 35609

Re: Why isn't every indexer investing in small cap value index funds?

Over the long term, from a lifecycle investing perspective, isn't being diversified more important than underperforming the Total Market (which is a recent phenomenon)? A naive equal weight barbell portfolio of 50% TSM and 50% SCV provides better diversification in terms of factor correlations (Beta...
by imak
Thu Jan 14, 2021 8:54 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

Howard Marks published new memo this week, titled "Something of Value". It is an excellent and insightful take on the (seemingly) contrasting approaches of growth versus value, portfolio rebalancing versus never selling, traditional value managers' irrational aversion to tech stocks, intri...
by imak
Thu Jan 07, 2021 8:06 pm
Forum: Investing - Theory, News & General
Topic: Reading resources for going beyond Bogleheads investing
Replies: 14
Views: 1335

Re: Reading resources for going beyond Bogleheads investing

Checkout William Bernstein's "Investing for Adults" series of books on advanced topics in investing: 1) The Ages of the Investor: A critical look at life-cycle investing 2) Skating where the puck was: The correlation game in a flat world 3) Deep Risk : How history informs portfolio design ...
by imak
Thu Jan 07, 2021 7:08 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

David Booth, co-founder of DFA, on Rational Reminder podcast released today discusses value and small cap value's recent performance:
https://rationalreminder.ca/podcast/131
by imak
Sun Jan 03, 2021 11:01 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

Regarding VFMF, I find it surprising that Turnover reported by Morningstar is as high as 98%.

https://www.morningstar.com/etfs/bats/vfmf/portfolio

Reported Turnover % : 98

Curious if this is being addressed in the multi-factor methodology adopted by the fund.
by imak
Sun Dec 27, 2020 3:04 pm
Forum: Investing - Theory, News & General
Topic: A Gut Punch (Cliff Asness of AQR on the performance of multifactor equity models)
Replies: 304
Views: 18657

Re: A Gut Punch (Cliff Asness of AQR on the performance of multifactor equity models)

In my humble opinion, the factor investing debate boils down to increasing expected returns of the portfolio. If US Total Market returns are dominated by Large Growth companies, a Small-Value factor tilt helps increase expected returns of equity allocation of the portfolio. At present, Quality or Pr...
by imak
Sun Dec 27, 2020 11:35 am
Forum: Investing - Theory, News & General
Topic: Should we split REIT into US/INTL?
Replies: 19
Views: 1393

Re: Should we split REIT into US/INTL?

iShares Global REIT ETF: REET holds 65% US REITs and 35% Developed ex-US REITs. https://www.morningstar.com/etfs/arcx/reet/portfolio Based on the underlying index (FTSE/EPRA NAREIT Global REITs), it excludes real-estate operating companies (unlike VNQI), has better diversified sector exposure and le...
by imak
Sun Dec 20, 2020 3:12 pm
Forum: Investing - Theory, News & General
Topic: What is Schwab fundamental index?
Replies: 21
Views: 2427

Re: What is Schwab fundamental index?

For deep-dive into the fundamental indexation concept, this paper from Research Affiliates is a good reference:
https://www.etf.com/docs/Fundamental%20 ... Arnott.pdf
by imak
Sun Dec 20, 2020 2:44 pm
Forum: Investing - Theory, News & General
Topic: Why not 100% PSLDX?
Replies: 869
Views: 102557

Re: Why not 100% PSLDX?

Wondering if equity portion of PSLDX can be diversified away from S&P 500 to resemble more of diversified equity portfolio, such as Paul Merriman's ultimate buy and hold allocations. To mimick PSLDX (100% equity & 100% long-term bond), I attempted a lazy approximation with 110% Equity and 90...
by imak
Sat Dec 12, 2020 2:45 am
Forum: Investing - Theory, News & General
Topic: Is there any value fund that has some tech companies?
Replies: 9
Views: 1009

Re: Is there any value fund that has some tech companies?

VLUE ETF (iShares MSCI USA Value Factor) has about 30% Tech sector allocation:

https://www.morningstar.com/etfs/bats/vlue/portfolio

FNDX ETF based on Russell RAFI Fundamental Index has about 18% Tech sector allocation:

https://www.morningstar.com/etfs/arcx/fndx/portfolio
by imak
Fri Nov 06, 2020 9:43 pm
Forum: Investing - Theory, News & General
Topic: How on earth can overweighting US stock over international stock possibly be considered Boglehead?
Replies: 253
Views: 16190

Re: How on earth can overweighting US stock over international stock possibly be considered Boglehead?

Siamond has published excellent quantitative deep dive into this issue in his 3 part Boglehead blog series "50 years of Investing in the World". I wonder why this is not the go-to reference yet for international exposure discussions. 50 years of Investing in the world: https://www.boglehea...
by imak
Sat Oct 24, 2020 8:33 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

What do you think about this professor's take on value investing? https://www.youtube.com/watch?v=dA9AlDAbcMI&t=196s&ab_channel=AswathDamodaran Prof Damodaran's take on rigidity of value investors is quite true. S&P Value indices and Russell value indices were created about 2 decades ag...
by imak
Wed Oct 07, 2020 3:01 pm
Forum: Personal Finance (Not Investing)
Topic: Fidelity as a one stop shop
Replies: 1842
Views: 275125

Re: Fidelity as a one stop shop

Just curious if anyone here has any experience with Fidelity securities lending program? It's generally not recommended as there are some drawbacks: 1. You don't receive dividends, you instead receive "payments in lieu of dividend" from the borrower. This is taxed as income instead of div...
by imak
Wed Oct 07, 2020 2:17 pm
Forum: Personal Finance (Not Investing)
Topic: Fidelity as a one stop shop
Replies: 1842
Views: 275125

Re: Fidelity as a one stop shop

Just curious if anyone here has any experience with Fidelity securities lending program? Is it worthwhile to enable securities lending for taxable/IRA accounts? Any tax related or dividend related consequences to be considered? https://www.fidelity.com/trading/fully-paid-lending From the above site:...
by imak
Tue Oct 06, 2020 11:44 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness will be our next "Bogleheads on Investing" podcast guest [Questions for]
Replies: 70
Views: 6577

Re: Cliff Asness will be our next "Bogleheads on Investing" podcast guest

PluckyDucky wrote: Tue Oct 06, 2020 11:04 am What does he think about NTSX and how it is constructed (90% large caps, 10% cash as collateral for 60% treasury futures)?

Is he still doing anything in that area since his paper on 1.5x 60/40 from the 90s?
+1. Interested in this as well
by imak
Tue Oct 06, 2020 10:33 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness will be our next "Bogleheads on Investing" podcast guest [Questions for]
Replies: 70
Views: 6577

Re: Cliff Asness will be our next "Bogleheads on Investing" podcast guest

What are his thoughts on Risk Parity portfolios in the current environment of low yields?
by imak
Mon Oct 05, 2020 12:39 am
Forum: Investing - Theory, News & General
Topic: If you invest in REITs, are you sticking with VNQ/VGSLX or getting selective
Replies: 47
Views: 8509

Re: If you invest in REITs, are you sticking with VNQ/VGSLX or getting selective

I have 10% allocation to REET ETF in 401k and Roth IRA. REET holdings are more diversified than US-only REITs: REET has about 300 holdings compared to VNQ's 190 holdings. It also helps that it has a nice 66/34 split for US-International allocations (close enough to 70/30 split for rest of my equity ...
by imak
Fri Oct 02, 2020 12:05 pm
Forum: Investing - Theory, News & General
Topic: What book to read next? [Investing]
Replies: 23
Views: 2104

Re: What book to read next? [Investing]

Highly recommend Peter Bernstein books on evolution of financial markets and ideas over the course of history:

1) Against The Gods - A remarkable story of risk
2) Capital Ideas - The improbable origins of modern wall street
by imak
Mon Sep 28, 2020 12:19 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

Okay, so it's considered "small" by these metrics, I guess. But, am I mistaken that this is also supposed to be a "value" fund of sorts? By what measure is TSLA considered a value stock? For RAFI indexes the tilt to value is dynamic, i.e. it buys recently beaten down stocks and ...
by imak
Sun Sep 27, 2020 11:24 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

Re: Small Cap Value heads Rejoice !!!

Funny note while looking at FNDA... it's 2nd largest holding at 0.47% is TSLA! Funny quirk with these fundamental small-cap funds, the small comes from the economic scale and not the market-cap :). I'm a little confused about this. I was looking at closely at FNDA but noticed that TSLA is a top hol...
by imak
Thu Sep 24, 2020 1:13 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 4525
Views: 353084

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 s...