Search found 172 matches

by YRT70
Sun Jun 23, 2019 11:15 am
Forum: Non-US Investing
Topic: What bond funds do you hold or would you ideally hold as a non-US investor, is global aggregate enough?
Replies: 6
Views: 481

Re: What bond funds do you hold or would you ideally hold as a non-US investor, is global aggregate enough?

I only hold Vanguard global aggregated bonds hedged to euro. I think it's enough. Vanguard thinks it's enough: https://personal.vanguard.com/pdf/ISGGLBD.pdf Vanguard will soon release an ETF version. https://www.vanguard.nl/portal/instl/nl/en/product.html#/fundDetail/etf/portId=9443/assetCode=bond/?...
by YRT70
Sun Jun 23, 2019 8:02 am
Forum: Non-US Investing
Topic: IB alternative
Replies: 4
Views: 536

Re: IB alternative

Can you tell me why you don’t feel safe at degiro? My account is there. There is another thread that ‘flatex’ is going international. Maybe that is an option in your place of residence. I have a Flatex account. They might be safe but their order execution is so slow. Terrible. Many complaints: http...
by YRT70
Sun Jun 23, 2019 7:59 am
Forum: Non-US Investing
Topic: Reinsurance fund available in Europe? Lending? Or other alternatives?
Replies: 0
Views: 68

Reinsurance fund available in Europe? Lending? Or other alternatives?

Larry Swedroe discusses the benefits of alternative investments in this presentation. https://www.podomatic.com/podcasts/aicpa-msc/episodes/2018-12-13T21_00_00-08_00 https://i.imgur.com/tZ4KVMS.png Has anyone found similar alternative investments that are available in Europe? Or other alternatives?
by YRT70
Sat Jun 22, 2019 1:58 pm
Forum: Investing - Theory, News & General
Topic: Small Value vs Multifactor
Replies: 30
Views: 1902

Re: Small Value vs Multifactor

Mr. Bogle was right: Although Morningstar does not have a "Multifactor" category, it does have a "Small Value" category--"Small Value" is currently its worst performing category. Small Value has lagged the the total stock market for the last 10-years and its 5-year return is less than half the Vang...
by YRT70
Sat Jun 22, 2019 12:47 pm
Forum: Investing - Theory, News & General
Topic: Small Value vs Multifactor
Replies: 30
Views: 1902

Re: Small Value vs Multifactor

Would that make IJS the better choice for factor exposure? "Better" is a dangerous word. ;) Depends on your goals and preferences. If I were just picking one US equity funds, I'd probably choose VFMF. The factor exposures are somewhat more balanced than IJS/SLYV/VIOV (i.e. it has somewhat better di...
by YRT70
Sat Jun 22, 2019 12:09 pm
Forum: Investing - Theory, News & General
Topic: Small Value vs Multifactor
Replies: 30
Views: 1902

Re: Small Value vs Multifactor

Interesting. How would these options compare to a small cap value fund + iShares Momentum added? My opinion of the iShares USA Momentum Factor ETF isn't very high: you give back more on size, value, and quality than you get in momentum. Maybe pairing a SCV fund with the Vanguard momentum fund (VFMO...
by YRT70
Sat Jun 22, 2019 10:24 am
Forum: Investing - Theory, News & General
Topic: Small Value vs Multifactor
Replies: 30
Views: 1902

Re: Small Value vs Multifactor

If I want to tilt a bit for higher volatility and possibly higher returns, should I use the old-fashioned Small Value or the newfangled Multifactor? My advice is to use a SCV fund if your intent is to supplement another core US stock fund (e.g. total stock market or S&P 500) and to use a "so called...
by YRT70
Sat Jun 22, 2019 10:19 am
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 99
Views: 4978

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

Why don't you use the data from this paper (see p. 21)? https://papers.ssrn.com/sol3/papers.cfm?abstract_id=879291 The conclusions of the paper are problematic because they used arithmetic instead of geometric returns, but the data methodology is at least sound. That is, the database has largely ad...
by YRT70
Sat Jun 22, 2019 10:03 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

I did see that the loading was still significant. What I was getting at is that the loading on value and momentum seems relatively small compared to quality and size. So I was wondering if you designed it that way. What I care is to have significant exposure to all factors for very low cost. I chal...
by YRT70
Sat Jun 22, 2019 3:19 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

Over the last decade I have heard more and read more about “factors” than ever. I can’t help but wonder if this strategy is overcrowded? Did it work better at one time? Has a lot of money rush in? Will it be the same in the future? Are a lot of investors chasing the same thing? I simply don’t know....
by YRT70
Sat Jun 22, 2019 3:15 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

I don't think you know how to read the table correctly. Notice how my portfolio has significant (from a stat point of view) loadings in ALL THE FACTORS except credit. :greedy I did see that the loading was still significant. What I was getting at is that the loading on value and momentum seems rela...
by YRT70
Fri Jun 21, 2019 10:59 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: U.S. Factor stocks

But even though you own all those stocks you're only exposed to market beta, and not to the size, value and quality factor. Personally I prefer to be exposed to more than one factor. Each to his own. YRT70] It is obvious to me that if I own the market weight in nearly all U.S. stocks that I also ow...
by YRT70
Fri Jun 21, 2019 8:07 am
Forum: Investing - Theory, News & General
Topic: Exploring SCV diversification with Morningstar category averages, 1968-2018
Replies: 99
Views: 4978

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

The following Telltale chart is an extract from this blog article , which itself was based on the best index-like numbers we have in the Simba backtesting spreadsheet . It certainly seems much more consistent. I remember making similar charts with the FF 2x3 data a while ago, and the general shapes...
by YRT70
Fri Jun 21, 2019 1:29 am
Forum: Investing - Theory, News & General
Topic: Momentum and value paradox
Replies: 10
Views: 1126

Re: Momentum and value paradox

What if you only get IJS + MTUM? You could get significant loading on size, value and momentum. It looks like not , for momentum and value: Value 0.07 (marginally statistically significant and I'm not sure if that is an investment significant loading) Momentum 0.12 It's significant if you use 60/40...
by YRT70
Thu Jun 20, 2019 12:10 pm
Forum: Investing - Theory, News & General
Topic: Momentum and value paradox
Replies: 10
Views: 1126

Re: Momentum and value paradox

What if you only get IJS + MTUM? You could get significant loading on size, value and momentum.
by YRT70
Thu Jun 20, 2019 6:47 am
Forum: Non-US Investing
Topic: How safe is the broker FLATEX? Is it a stable company? (Germany/Netherlands/...)
Replies: 0
Views: 121

How safe is the broker FLATEX? Is it a stable company? (Germany/Netherlands/...)

We just had the German broker Flatex enter the Dutch market.

How safe and reputable are they as a company? Would you trust them with a several hundred thousand portfolio?
by YRT70
Thu Jun 20, 2019 6:42 am
Forum: Investing - Theory, News & General
Topic: Yes -- Another Tilting Post
Replies: 11
Views: 787

Re: Yes -- Another Tilting Post

OP, If you are interested in this subject area, please buy/borrow this book. https://www.amazon.com/Your-Complete-Guide-Factor-Based-Investing/dp/0692783652/ref=sr_1_1?crid=14OELR9TV8NF2&keywords=swedroe+factor&qid=1561029739&s=gateway&sprefix=swedroe+fac%2Caps%2C133&sr=8-1 KlangFool Thanks very mu...
by YRT70
Thu Jun 20, 2019 1:21 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: U.S. Factor stocks

If you have a portfolio that's diversified over several factors: what is yours and why did you choose that one? I'm in the process of building a portfolio that diversifies risk over market, size, value, momentum and maybe quality too and I would like to see how other people have build theirs. For t...
by YRT70
Wed Jun 19, 2019 1:52 pm
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

If you have a portfolio that's diversified over several factors: what is yours and why did you choose that one? I'm in the process of building a portfolio that diversifies risk over market, size, value, momentum and maybe quality too and I would like to see how other people have build theirs. For t...
by YRT70
Wed Jun 19, 2019 12:36 pm
Forum: Investing - Theory, News & General
Topic: iShares Edge Global Multifactor ACWF - no loading on factors?
Replies: 6
Views: 457

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

What's your take on this fund? Smart way to get exposure for the average factor investor? I think ACWF could be a good choice for a factor investor that valued simplicity and minimal tracking error (relative to a cap-weighted benchmark). It's a very reasonable all-in-one equity fund. Because the un...
by YRT70
Wed Jun 19, 2019 11:51 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

I can't put percentages as they are always all over the place. 85/15 Equity Bonds, 50/50 US/Intl, 75/25 Dev/EM (for Intl), tilt to Small & Value as much as possible given 401k constraints. Own only SLYV (S&P 600V) and ISCF (Intl SC Multifactor) in IRAs. Own DFVEX (DFA EMV) in previous company 401k....
by YRT70
Tue Jun 18, 2019 9:34 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

Thanks guys. So many go with small cap / value funds. How about momentum and quality? Those seem to be beneficial factors as well. SP 600 small cap value funds also screen for quality as well as small and value. I do have interest in momentum but hard to pick SCV fund AND Mom fund as they can cance...
by YRT70
Tue Jun 18, 2019 9:20 am
Forum: Investing - Theory, News & General
Topic: iShares Edge Global Multifactor ACWF - no loading on factors?
Replies: 6
Views: 457

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

HEDGEFUNDIE wrote:
Tue Jun 18, 2019 9:07 am
You are using a US factor model on a Global fund.
Thank you!

Now took LRGF.
market: 0.91
value: not signifcant
size: 0.13
profitablity: 0.19

What's your take on this fund? Smart way to get exposure for the average factor investor?
by YRT70
Tue Jun 18, 2019 9:04 am
Forum: Investing - Theory, News & General
Topic: iShares Edge Global Multifactor ACWF - no loading on factors?
Replies: 6
Views: 457

iShares Edge Global Multifactor ACWF - no loading on factors?

According to BlackRock their Multifactor fund ACWF offers: Efficient access to a portfolio of global developed and emerging market large- and mid-cap stocks based on an index that focuses on four well-known investment factors: value, quality, momentum, and low size . Seeks to maximize exposure to fa...
by YRT70
Tue Jun 18, 2019 3:04 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

Thanks guys. So many go with small cap / value funds. How about momentum and quality? Those seem to be beneficial factors as well. SP 600 small cap value funds also screen for quality as well as small and value. I do have interest in momentum but hard to pick SCV fund AND Mom fund as they can cance...
by YRT70
Mon Jun 17, 2019 2:15 pm
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

Thanks guys. So many go with small cap / value funds. How about momentum and quality?

Those seem to be beneficial factors as well.
by YRT70
Mon Jun 17, 2019 11:10 am
Forum: Investing - Theory, News & General
Topic: SCV tilt advocates, please suggest a percentage for me to use in a backtest
Replies: 31
Views: 1753

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

DecumulatorDoc wrote:
Mon Jun 17, 2019 11:03 am
X=50
Y=10
Z=40
From what I've read that wouldn't give a significant SCV tilt because it holds more large cap blend stocks.

I could be wrong though, I'm quite new to this.
by YRT70
Mon Jun 17, 2019 10:57 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

My core portfolio is 55% Total US, 25% total international, 20% small value US. I don’t hold enough Int to be worth much complexity but someday I may tilt small (or small value if a good fund is available). The healthy tilt in my US equity keeps my tinkering urges down without too much complexity. ...
by YRT70
Mon Jun 17, 2019 10:39 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

My core portfolio is 55% Total US, 25% total international, 20% small value US. I don’t hold enough Int to be worth much complexity but someday I may tilt small (or small value if a good fund is available). The healthy tilt in my US equity keeps my tinkering urges down without too much complexity. ...
by YRT70
Mon Jun 17, 2019 10:38 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

I overweight small and value, but not other factors. For US stock, I have 1/8 LG, 3/8 LV, 1/8 SG, 3/8 SV, with large defined as the top 80%, and value defined as the lower half of P/B or P/E (corresponding to the split in traditional value indexes, although my value is held in Vanguard's VFMF). Thi...
by YRT70
Sun Jun 16, 2019 1:53 pm
Forum: Investing - Theory, News & General
Topic: Can You Get A Meaningful Factor Tilt With Present Investment Products?
Replies: 10
Views: 827

Re: Will You Get Increased Return From Your Factor Tilt?

Park wrote:
Sun Jun 16, 2019 1:29 pm
I agree with what you've written. However, the question is whether, with the investment products available to the retail investor, whether you will get a tilt that is of significance.
Wouldn't that be possible with a small cap value fund?
by YRT70
Sun Jun 16, 2019 12:50 pm
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

I guess I have a factor diversified portfolio. It goes basically like this: Start with total market weight portfolio of Total US, Total Int'l, Total Bond. Then add a US small-cap value index fund in about the same dollar amount as the Total US fund. Also as a small-cap foreign index fund in the sam...
by YRT70
Sun Jun 16, 2019 10:42 am
Forum: Investing - Theory, News & General
Topic: Can you help me understand this paper? Factor premia by Scot & Cavaglia
Replies: 4
Views: 572

Re: Can you help me understand this paper? Factor premia by Scot & Cavaglia

Both Scot and Cavaglia work for investment firms. I'm sure they'd be willing to clear up any confusion and put you into products that work well using their backtesting models. Whether or not that will improve your portfolio outcomes is IMO not predictable. It's very easy using backtesting to optimi...
by YRT70
Sun Jun 16, 2019 10:25 am
Forum: Investing - Theory, News & General
Topic: Any podcast recommendations about factor investing?
Replies: 3
Views: 364

Re: Any podcast recommendations about factor investing?

Check out AQR’s podcast series called The Curious Investor. Thank you, had not seen that before. Sound investing with Paul Merriman (small, value, and trend following) Meb Faber ("anything but cap weighting", value, momentum, managed futures, and trend following) Thank you. I have listened to a few...
by YRT70
Sun Jun 16, 2019 10:23 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

Re: For those of you who have a factor diversified portfolio, what is yours?

I just tilt using a small value fund in my 401K run by Vanguard that tracks the Russel 2K. It has an .04% expense ratio. I have about 20% of my domestic stock in it. On the int'l side, I overweight small with Vanguard FTSE All-World ex-US Small-Cap Index in my Roth IRA. That is about 25% of my int'...
by YRT70
Sat Jun 15, 2019 1:15 pm
Forum: Investing - Theory, News & General
Topic: Can you help me understand this paper? Factor premia by Scot & Cavaglia
Replies: 4
Views: 572

Re: Can you help me understand this paper? Factor premia by Scot & Cavaglia

Thanks for posting this information. Here's a bit more. This paper confirms the importance for investors to be exposed to certain factor premia (value, size, momentum, quality). In fact, it shows that an equal allocation to these four premia on top of a global equity portfolio: 1) enhances the prob...
by YRT70
Sat Jun 15, 2019 11:18 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3410

For those of you who have a factor diversified portfolio, what is yours?

If you have a portfolio that's diversified over several factors: what is yours and why did you choose that one? I'm in the process of building a portfolio that diversifies risk over market, size, value, momentum and maybe quality too and I would like to see how other people have build theirs. For th...
by YRT70
Sat Jun 15, 2019 9:26 am
Forum: Investing - Theory, News & General
Topic: Any podcast recommendations about factor investing?
Replies: 3
Views: 364

Any podcast recommendations about factor investing?

Does anyone have recommendations for good podcast episodes about factor investing? I'd like to learn more about the topic (and yes I'm also reading books :) ). I've listened to most podcasts with Larry Swedroe so far. Here are a couple: https://www.podomatic.com/podcasts/aicpa-msc/episodes/2018-12-1...
by YRT70
Sat Jun 15, 2019 3:28 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

Have these points already been reacted to? (they were brought up by Packer and Skeptic) "when you deviate from what the market sets as a reasonable weight you are saying on average the market is wrong. Although the market can be wrong in specific cases, saying it is wrong in a systematic way on aver...
by YRT70
Fri Jun 14, 2019 12:17 pm
Forum: Non-US Investing
Topic: Small cap value & emerging markets value on European/London exchanges?
Replies: 4
Views: 549

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

Wisdomtree WTDGSE EMERGING DFE EUROPE SPDR EMSD EMERGING iShares ISP6 USA Thanks for posting. In the mean time I've also found SPDR US small cap value ZPRV. The WisdomTree Emerging Markets SmallCap Dividend UCITS ETF is 26% Taiwan. The iShares ISP6 USA isn't value, correct? For EM "value" I have lo...
by YRT70
Thu Jun 13, 2019 2:05 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

Investing can actually be quite simple, if you guys would just accept "pretty good" instead of shooting for "optimal". "Pretty good" will still make you rich. The way the factor diversified portfolio with higher bond allocation (as suggested by Larry in his book) cuts tail risk and reduces SoRR is ...
by YRT70
Thu Jun 13, 2019 1:29 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

Hard to decide where to draw the line in putting the portfolio together. Investing can actually be quite simple, if you guys would just accept "pretty good" instead of shooting for "optimal". "Pretty good" will still make you rich. The way the factor diversified portfolio with higher bond allocatio...
by YRT70
Thu Jun 13, 2019 1:01 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

Hard to decide where to draw the line in putting the portfolio together. Investing can actually be quite simple, if you guys would just accept "pretty good" instead of shooting for "optimal". "Pretty good" will still make you rich. The way the factor diversified portfolio with higher bond allocatio...
by YRT70
Thu Jun 13, 2019 12:14 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Larry Swedroe changed his mind.

At the back of several of his books, perhaps Black Swans and Factor book, there are specific fund recommendations. I would look closely at Black Swans for construction ideas. A couple of thoughts: 1. Use funds that have deep exposures to the factors you want. That way you take on less market risk t...
by YRT70
Thu Jun 13, 2019 11:09 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Larry Swedroe changed his mind.

For those who want to read something closer to an academic text, good starts include: Asset Management by Andrew Ang 704 pages Successful Investing Is A Process by Jacques Lussier 368 pages Expected Returns by Antti Ilmanen 570 pages For the rest of us who are interested in investing and want to ap...
by YRT70
Thu Jun 13, 2019 10:16 am
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 57
Views: 7050

Re: Here's my portfolio

I've made a few minor changes to my portfolio since my last update, partly because some of my individual bonds were called and partly because I wanted to clean up a few investments that I wasn't entirely happy with. The current actual holdings looks like this: 21.8% SPDR® S&P 600 Small Cap Value ET...
by YRT70
Wed Jun 12, 2019 7:46 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

So in Larry's book 'Reducing the risk of black swans' this is one of the profiles. Or maybe I should say the Larry profile (:-)). 14.00% DFA US Small Cap Value I (DFSVX) 10.50% DFA International Small Cap Value I (DISVX) 3.50% DFA Emerging Markets Value I (DFEVX) 72.00% iShares 3-7 Year Treasury Bon...
by YRT70
Wed Jun 12, 2019 7:02 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

I think you'll find it nearly impossible to build a portfolio with statistically significant exposure to all those factors with only 30% equities and using 5-year treasuries. Ok good to know. Well 30% was just a hunch as it was similar to the Larry portfolio in his book. I don't mind taking it to 4...
by YRT70
Wed Jun 12, 2019 6:08 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17618

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

I like this idea of diversifying risk across several factors. Say my goal is to build a portfolio that's exposed to the market, size, value, quality, momentum and term factor. Say I build a portfolio with: 10% US small cap value (IJS) 10% International small cap value (DLS) 10% iShares Edge Multifac...