Search found 648 matches

by YRT70
Fri Sep 25, 2020 7:49 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

If I heard it correctly Ben Felix said in his last podcast that value is more likely to outperform during a recession. Is this accurate? From my earlier analysis using the "NBER recession" definition (which is the standard). Since start of 1928: SV underperformed Market in 60% of cases (9 of 15) Ho...
by YRT70
Fri Sep 25, 2020 7:13 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

Any other funds similar to DEMSX (small cap emerging) that are more easily accessible? Not FNDC FNDC is developed not emerging. DGS is one of your only options if you are set on small-value. There are many more value funds (AVEM for example). Is AVEM actually value or just emerging markets in gener...
by YRT70
Fri Sep 25, 2020 7:04 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

If I heard it correctly Ben Felix said in his last podcast that value is more likely to outperform during a recession. Is this accurate? I'm not sure about "more likely", but it has certainly been the case in the past. Both in the USA and globally, HmL, RmW and CmA are highly negatively correlated ...
by YRT70
Fri Sep 25, 2020 5:54 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

If I heard it correctly Ben Felix said in his last podcast that value is more likely to outperform during a recession. Is this accurate?
by YRT70
Thu Sep 24, 2020 9:19 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

The latest Ben Felix podcast has a lot of factor related topics. One of the papers they discuss claims diversification benefits of adding factors. Ben shares some findings from a model he built inspired by a program written by one of this show’s listeners that tests historical safe withdrawal rates ...
by YRT70
Wed Sep 23, 2020 8:58 am
Forum: Investing - Theory, News & General
Topic: So, you want to tilt to growth
Replies: 33
Views: 2728

Re: So, you want to tilt to growth

occambogle wrote: Wed Sep 23, 2020 8:51 am
YRT70 wrote: Wed Sep 23, 2020 8:49 am Great video. Thanks for sharing.
Is it just me or did Ben start talking slower?
Not sure about that but I really love the way he explains topics in a simple to understand way.
Me too. Big fan. Like his podcast too.
by YRT70
Wed Sep 23, 2020 8:49 am
Forum: Investing - Theory, News & General
Topic: So, you want to tilt to growth
Replies: 33
Views: 2728

Re: So, you want to tilt to growth

Am sure much of this video may be too simplistic for many here, but like all Ben Felix's videos I found it a very useful primer on some of the issues he talks about... "Large Cap Growth Stocks (FB, AMZN, AAPL, GOOGL, MSFT, TSLA)" https://www.youtube.com/watch?v=foqswJT3Spc Great video. Thanks for s...
by YRT70
Wed Sep 23, 2020 8:19 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

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 In case you haven't read it, I thought Larry made some pretty good points: "No Ne...
by YRT70
Wed Sep 23, 2020 7:23 am
Forum: Investing - Theory, News & General
Topic: [Professor Jeremy Siegel says 75/25 in retirement]
Replies: 87
Views: 9503

Re: [Professor Jeremy Siegel says 75/25 in retirement]

Just so you are aware, subsequent research has found that there wasn't anything significant about the reverse glidepath approach originally advocated by Kitces and Pfau. Even Kitces' own blog post showed only a tiny theoretical improvement with it over a fixed AA. There are several threads discussi...
by YRT70
Wed Sep 23, 2020 6:46 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

... so is 50% TSM and 50% SCV until age 50 acceptable? It can be if you have a high tolerance for risk and tracking error. One thing to keep in mind: if you plan to start decumulating your SCV allocation at age 50, what would you do if SCV has underperformed the broad market for a long period at th...
by YRT70
Wed Sep 23, 2020 1:33 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: "Tilting"

Anyone who "tilted" TSM with additional Small Cap Value stocks is way behind investors who stuck with just TSM. That's not true Taylor. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&calendarAligned=true&includeYTD=false...
by YRT70
Mon Sep 21, 2020 12:46 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

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 YRT70
Sun Sep 20, 2020 11:04 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

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 0.001...
by YRT70
Sun Sep 20, 2020 7:19 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

Is foreign tax drag a concern for anyone? Considering small value typically pays out higher dividends, you end up taking a bigger hit especially in a tax advantaged account. I've seen numbers thrown around of about 20-50 bps loss due to this which could be even higher in SCV funds. I do want to hol...
by YRT70
Sat Sep 19, 2020 3:27 am
Forum: Investing - Theory, News & General
Topic: Vanguard Multifactor fund VFMF has had a bad year
Replies: 93
Views: 4776

Re: VFMF has had a bad year

Small has had a bad year too so far. True, but I think it's worth pointing out that the benchmark for this fund is the Russell 3000, which is a cap-weighted near-total market index. The Vanguard Product Detail page (linked in my OP) has this to say about the fund's Objective: Vanguard U.S. Multifac...
by YRT70
Sat Sep 19, 2020 12:53 am
Forum: Investing - Theory, News & General
Topic: Vanguard Multifactor fund VFMF has had a bad year
Replies: 93
Views: 4776

Re: VFMF has had a bad year

1. Why didn't the other factors (momentum, quality) help this year? Momentum HAS helped so far this year, adding some performance relative to the total market. Quality has NOT helped because the quality factor has had negative returns year to date. Size helped a little bit, as did VFMF's slightly h...
by YRT70
Fri Sep 18, 2020 6:34 am
Forum: Investing - Theory, News & General
Topic: Vanguard Multifactor fund VFMF has had a bad year
Replies: 93
Views: 4776

Re: VFMF has had a bad year

Questions 1. Why didn't the other factors (momentum, quality) help this year? Momentum HAS helped so far this year, adding some performance relative to the total market. Quality has NOT helped because the quality factor has had negative returns year to date. Size helped a little bit, as did VFMF's ...
by YRT70
Fri Sep 18, 2020 4:38 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 20233
Views: 2761359

Re: U.S. stocks in free fall

I think I need to stop following the markets every day. It's become something to do during my morning and evening routines, but it's wearing on me and I think it was much better when I checked in a few times per year. (Of course back then, I didn't have enough for any losses to be painful. Now they...
by YRT70
Thu Sep 17, 2020 10:28 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

If you don't believe their inclusion will generate higher risk adjusted returns, then there is no reason to use them when holding bonds (you would be equally well off to simply tilt more towards total market equity funds). I believe holding the tilt incorporates different kinds of risk. Like not pu...
by YRT70
Thu Sep 17, 2020 10:04 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 20233
Views: 2761359

Re: U.S. stocks in free fall

I think I need to stop following the markets every day. It's become something to do during my morning and evening routines, but it's wearing on me and I think it was much better when I checked in a few times per year. (Of course back then, I didn't have enough for any losses to be painful. Now they...
by YRT70
Thu Sep 17, 2020 8:08 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

If you don't believe their inclusion will generate higher risk adjusted returns, then there is no reason to use them when holding bonds (you would be equally well off to simply tilt more towards total market equity funds). I believe holding the tilt incorporates different kinds of risk. Like not pu...
by YRT70
Thu Sep 17, 2020 7:58 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

Ok so you, like Dave and Swedroe, believe in a diversification free lunch. Nothing good or bad, it's just your belief. So you should tilt as much as you can while keeping the tracking error reasonable for you. Believing that a portfolio that has exposure to 3 factors is more diversified than a port...
by YRT70
Thu Sep 17, 2020 7:49 am
Forum: Investing - Theory, News & General
Topic: Best ETFs for shorting: IB Stock yield enhancement
Replies: 33
Views: 1935

Re: Best ETFs for shorting: IB Stock yield enhancement

I like that the ETF makes money from securities lending which is shared with the investor, and then the broker makes money from securities lending that is shared with the investor. It's not that difficult to net a negative ER these days. Yep same here. What do you think of the lending data on VIOV ...
by YRT70
Thu Sep 17, 2020 6:57 am
Forum: Investing - Theory, News & General
Topic: Best ETFs for shorting: IB Stock yield enhancement
Replies: 33
Views: 1935

Re: Best ETFs for shorting: IB Stock yield enhancement

But VIOV and SLYV track exactly the same index, they have the same TER and they perform the same. Sorry I wasn't aware of that.... in that case I guess it could make a very small difference. No problem. Well if your holding is big enough I'd estimate it could amount to a few hundred dollars a year....
by YRT70
Thu Sep 17, 2020 6:39 am
Forum: Investing - Theory, News & General
Topic: Best ETFs for shorting: IB Stock yield enhancement
Replies: 33
Views: 1935

Re: Best ETFs for shorting: IB Stock yield enhancement

Going by these numbers it looks like VIOV would deliver more income through lending, correct? I don't know the answer to that but I can say this... I wouldn't let SYEP amounts in any way determine which ETFs I invest in, because the differences between the ETFs themselves are likely to have way hig...
by YRT70
Thu Sep 17, 2020 6:13 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

rascott wrote: Thu Sep 17, 2020 5:26 am Thanks Robert.... I'm sure you've shared it before.... but care sharing your actual fund holdings?
It's in the quote above this post.
by YRT70
Thu Sep 17, 2020 6:02 am
Forum: Investing - Theory, News & General
Topic: Best ETFs for shorting: IB Stock yield enhancement
Replies: 33
Views: 1935

Re: Best ETFs for shorting: IB Stock yield enhancement

Vanguard VIOV en SPDR SLYV both track S&P 600 small cap value and both have an expense ratio of 0.15%. https://i.imgur.com/zJXTn9O.png (source: ETFchannel.com) According to this site SLYV lends at about 3.6-3.7% https://iborrowdesk.com/report/SLYV VIOV about 6% https://iborrowdesk.com/report/VIOV Th...
by YRT70
Thu Sep 17, 2020 5:56 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

It sounds crazy, but my ideal retirement portfolio would be just market-cap, broad, cheap, index funds, with no tilts (VTSAX+VXUS for instance). Interesting. Most of what I've read said 'a tilt is for life', which makes sense to me. If you'd want to switch to VTI/VXUS at retirement date and your ti...
by YRT70
Wed Sep 16, 2020 12:20 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

manlymatt83 wrote: Wed Sep 16, 2020 12:16 pm I presume he will replace SLYV/IJS with AVUV and DLS with AVDV in upcoming months...
I think so too. Ben Felix has indirectly said he will use AVUV instead of IJS. His model portfolio should come out soon.
by YRT70
Wed Sep 16, 2020 12:11 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

I recommend you first take a step back and think about what your beliefs are. Yes that makes sense. But I'm fairly agnostic. The way I see it the data is just the data. I do believe that tilting to small and value vs. only holding TSM improves diversification. I also believe it's more likely that s...
by YRT70
Wed Sep 16, 2020 10:43 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

With so many ways to calculate factor exposure and so many ways to compose portfolio's I'm a bit lost. Maybe some of you have some input. My situation in short: early retiree with 50% fixed income 50% equity. (I'm using a rising equity glide path so looking to slowly increase my equity exposure over...
by YRT70
Wed Sep 16, 2020 7:00 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

I just did a 5 factor analysis of VFMF. Only size and value get a significant loading, profitability and investment don't. Funds like SLYV and VIOV give stronger loading on size and value while they have lower expense ratios than VFMF. Can someone explain the appeal of VFMF? https://www.portfoliovis...
by YRT70
Wed Sep 16, 2020 6:57 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

...double...
by YRT70
Wed Sep 16, 2020 1:56 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

I suppose my conclusion is that even a small-blend fund in the S&P600 will have some value exposure, but I personally would still use the value variant. Even the R2K seems to load positively on value (see below); this isn't surprising once you realize that HML is anchored to a long-short portfolio ...
by YRT70
Wed Sep 16, 2020 1:53 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

Did anyone else replace their SLYV/DGS holdings with AVUV/AVDV? Just curious. And if so, did you dump your entire SLYV/DGS? I think you mean DLS instead of DGS (developed not EM). I moved from SLYV to AVUV where I could (SLYV is tax loss harvest parter now and have a bunch with gain so not moving t...
by YRT70
Tue Sep 15, 2020 12:26 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

Would anybody advocate investing in the broader s&p 600 (as opposed to specifically s&p 600 value) as a sufficient value position at this point in time? I was looking at morningstar metrics and s&p 600 average p/s is .78 and price to cash flow is about 6, for example. That to me seems to have a val...
by YRT70
Tue Sep 15, 2020 8:38 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

Would anybody advocate investing in the broader s&p 600 (as opposed to specifically s&p 600 value) as a sufficient value position at this point in time? I was looking at morningstar metrics and s&p 600 average p/s is .78 and price to cash flow is about 6, for example. That to me seems to have a val...
by YRT70
Mon Sep 14, 2020 11:40 am
Forum: Investing - Theory, News & General
Topic: Best ETFs for shorting: IB Stock yield enhancement
Replies: 33
Views: 1935

Re: Best ETFs for shorting: IB Stock yield enhancement

This might be an interesting website with more info: https://www.etfchannel.com/etfs/?symbol=VXUS VXUS — SHORT INTEREST Shares Short 3,600,000 Chg. from Last Month +2,060,000 Shares Outstanding 442,524,573 % of Shares Short 0.81% Days to Cover 1.4 Can anyone remember the other website that displayed...
by YRT70
Sun Sep 13, 2020 9:36 am
Forum: Investing - Theory, News & General
Topic: AQR still singing the same song
Replies: 114
Views: 8700

Re: AQR still singing the same song

The following is an article from Pensions and Investments Online about AQR's troubles with lousy performance, high fees, and fleeing investor base. It is worth reading for those who are considering expensive complex quant strategies which as a group they have massively underperformed for a decade. ...
by YRT70
Sat Sep 12, 2020 1:13 pm
Forum: Investing - Theory, News & General
Topic: Any further reason to hold DLS?
Replies: 32
Views: 2220

Re: Any further reason to hold DLS?

ilan1h wrote: Sat Sep 12, 2020 11:43 am I agree. I looked at VGTSX (Vang Intl stock index) and it's pretty much identical in most respects to DLS.
VGTSX contains Emerging Markets, DLS doesn't. VTMGX is more comparable to DLS.

10 year performance on M*
DLS: 6.48%
VTMGX: 5.54%
by YRT70
Sat Sep 12, 2020 2:50 am
Forum: Investing - Theory, News & General
Topic: Any further reason to hold DLS?
Replies: 32
Views: 2220

Re: Any further reason to hold DLS?

DLS hasn't done great but it still outperformed VEA and VGTSMX (Vanguard developed markets). https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annua...
by YRT70
Thu Sep 10, 2020 2:33 am
Forum: Investing - Theory, News & General
Topic: DCA, Lump sum, or...
Replies: 19
Views: 1077

Re: DCA, Lump sum, or...

Vanguard paper: Dollar-cost averaging just means taking risk later https://static.twentyoverten.com/5980d16bbfb1c93238ad9c24/rJpQmY8o7/Dollar-Cost-Averaging-Just-Means-Taking-Risk-Later-Vanguard.pdf Ben Felix paper: Lump sum vs. DCA https://www.pwlcapital.com/wp-content/uploads/2020/07/Dollar-Cost-A...
by YRT70
Tue Sep 08, 2020 12:38 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

...deleted...
by YRT70
Tue Sep 08, 2020 1:33 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2864
Views: 207969

Re: Small Cap Value heads Rejoice !!!

Kind of lost on which SCV to pick. How do you guys decide? VIOV, VBR, IJS, SLYV, and RWJ (Invesco Small Cap Revenue ETF) I want to learn a lot more about RWJ or any ETF that has to do with SCV companies that are somewhat filtered. I believe that is what AVUV tries to do, but I am a bit lost Any mor...
by YRT70
Mon Sep 07, 2020 11:55 am
Forum: Investing - Theory, News & General
Topic: Why are european markets always trailing US markets?
Replies: 18
Views: 1575

Re: Why are european markets always trailing US markets?

YRT70 I think you misinterpreted the OP. (The title is a little misleading.) I understand what you mean but I think I got what he meant. My thought was if the total returns can be so different surely Europe isn't always following US. And yes I agree with your point that there usually seems to be a ...
by YRT70
Mon Sep 07, 2020 11:33 am
Forum: Investing - Theory, News & General
Topic: Why are european markets always trailing US markets?
Replies: 18
Views: 1575

Re: Why are european markets always trailing US markets?

YRT70 I think you misinterpreted the OP. (The title is a little misleading.) I understand what you mean but I think I got what he meant. My thought was if the total returns can be so different surely Europe isn't always following US. And yes I agree with your point that there usually seems to be a ...
by YRT70
Mon Sep 07, 2020 11:15 am
Forum: Investing - Theory, News & General
Topic: Why are european markets always trailing US markets?
Replies: 18
Views: 1575

Re: Why are european markets always trailing US markets?

YRT70 I think you misinterpreted the OP. (The title is a little misleading.) I understand what you mean but I think I got what he meant. My thought was if the total returns can be so different surely Europe isn't always following US. And yes I agree with your point that there usually seems to be a ...
by YRT70
Mon Sep 07, 2020 7:06 am
Forum: Investing - Theory, News & General
Topic: Best ETFs for shorting: IB Stock yield enhancement
Replies: 33
Views: 1935

Re: Best ETFs for shorting: IB Stock yield enhancement

Is there any way to zero in on the net for that, what the actual results are on a day-to-day basis? If you were to get the FEERATE for the entire year on a position, it could be comparable in magnitude to a good transfer bonus (to my mind a good transfer bonus is $1M getting $2500, whereas $1M at 0...
by YRT70
Mon Sep 07, 2020 6:24 am
Forum: Investing - Theory, News & General
Topic: Best ETFs for shorting: IB Stock yield enhancement
Replies: 33
Views: 1935

Re: Best ETFs for shorting: IB Stock yield enhancement

Is there any way to zero in on the net for that, what the actual results are on a day-to-day basis? If you were to get the FEERATE for the entire year on a position, it could be comparable in magnitude to a good transfer bonus (to my mind a good transfer bonus is $1M getting $2500, whereas $1M at 0...