Search found 1437 matches

by acegolfer
Thu Jun 06, 2019 6:29 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17247

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

Fama says The market portfolio is always efficient That snippet is devoid of all the context that surrounded it. I know, because I've been in the the room with Fama when he said something similar. The list of assumptions and conditions necessary for that result to apply would fill a notebook. Not l...
by acegolfer
Wed Jun 05, 2019 9:07 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17247

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

The market factor is easy to understand and simple to invest. The other factors are academic constructs which help to better explain asset pricing. FYI, all FF factors are academic. The difference is MKT is derived theoretically by Sharpe and Lintner in 60s. SMB and HML factors are derived empirica...
by acegolfer
Wed Jun 05, 2019 8:41 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17247

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

As to the last point, I think it's best to address the underlying nature of the problem. The market portfolio is only "efficient" for an investor who has precisely the same preferences in every regard as the so-called "average" investor. In reality, no one is the average investor: we are all differ...
by acegolfer
Wed Jun 05, 2019 8:08 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17247

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

As to the last point, I think it's best to address the underlying nature of the problem. The market portfolio is only "efficient" for an investor who has precisely the same preferences in every regard as the so-called "average" investor. In reality, no one is the average investor: we are all differ...
by acegolfer
Tue Jun 04, 2019 7:32 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17247

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

I've read Cochrane's Portfolio advice for a multifactor world and it says: An investor should hold, in addition to the market portfolio and risk-free bonds, a number of passively managed style funds that capture the broad (nondiversifiable) risks common to large numbers of investors. What I'm missi...
by acegolfer
Mon Jun 03, 2019 7:51 am
Forum: Investing - Theory, News & General
Topic: Rookie Factor-Tilting Question.. Please Help!
Replies: 27
Views: 1503

Re: Rookie Factor-Tilting Question.. Please Help!

ITT, 1. TSM is tilted to large caps 2. TSM is neutral because it has 0 factor loadings to SMB and HML. #2 is true. How about #1? It depends on how you define "tilt". To my knowledge, there's no academic definition of "tilt". If you define tilt using the matrix (rather than from a reference ptf), the...
by acegolfer
Mon Jun 03, 2019 7:02 am
Forum: Personal Finance (Not Investing)
Topic: any other post-docs on here? (or former post-docs?)
Replies: 51
Views: 6061

Re: any other post-docs on here? (or former post-docs?)

You are correct. Not all advice in BH are applicable to everybody. Each one is solving a unique constrained optimization problem.

Good news is you already obtained the logical and critical thinking skills during PhD program. Use them to determine which advice matters to you.
by acegolfer
Sun Jun 02, 2019 4:42 pm
Forum: Personal Finance (Not Investing)
Topic: What personal finance metrics do you track?
Replies: 44
Views: 3346

Re: What personal finance metrics do you track?

OP, I use Google Sheets. It has 3 tabs for data input: 1. bank/CC/loan transactions (date/account/payee/category/amount) 2. investment transaction (date/account/security/transaction type/price/shares/$ amount) 3. paycheck (date/gross/match/401k contribution/all deductions/net) Then the spreadsheet c...
by acegolfer
Sun May 26, 2019 3:45 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

vineviz wrote:
Sun May 26, 2019 2:42 pm
Let’s start with this: you know the total stock market is not even theoretically multifactor efficient, right? It can’t be because it doesn’t represent the total market portfolio.
Theoretically efficient? No.
Empirically efficient? VW CRSP is used as one of the multi factors. So yes.
by acegolfer
Sun May 26, 2019 3:41 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

Just as importantly, the market portfolio can only be optimal for investors who have EXACTLY the average utility function of all investors. Any source to back "only" part? It right there in that Cochrane article, for starters. I want to read this in detail. Which page in Cochrane? I just read the 1...
by acegolfer
Sun May 26, 2019 2:32 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

Furthermore, you’re overlooking a crucial point in my reply : the market portfolio which is multifactor efficient is NOT the total stock market portfolio. It’s the portfolio of all marketable assets, including bonds. Theoretically, yes. MKT should include all marketable assets including bonds. Fama...
by acegolfer
Sun May 26, 2019 2:22 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

vineviz wrote:
Sun May 26, 2019 2:10 pm
Just as importantly, the market portfolio can only be optimal for investors who have EXACTLY the average utility function of all investors.
Any source to back "only" part?
by acegolfer
Sun May 26, 2019 1:59 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: Total Stock Market is "Efficient"

Bogleheads: Many academics and Nobel Laureates recommend a total market index fund. One reason is it's "efficiency" --highest return with the least risk. This is a common logic ppl have who are against TSM. 1. CAPM is wrong. 2. Therefore, MKT is no longer efficient. This is a flawed logic. As long ...
by acegolfer
Sun May 26, 2019 1:47 pm
Forum: Investing - Theory, News & General
Topic: Three assets all with negative correlations?
Replies: 18
Views: 1522

Re: Three assets all with negative correlations?

Even if you believe in "factors" as a distinct source of risk/return, and that they are uncorrelated (they're not negatively correlated) there isn't really a good way to invest in a "factor" by itself... you're typically just buying a group of stocks that are weighted more on some "factor", but sti...
by acegolfer
Sun May 26, 2019 1:42 pm
Forum: Investing - Theory, News & General
Topic: Three assets all with negative correlations?
Replies: 18
Views: 1522

Re: Three assets all with negative correlations?

You are searching for what are called factors. No need to do the search from scratch unless you have billions to invest and can justify the expense. Nobel prize winners have done it for you. And people like Larry Swedroe have synthesized the results in understandable, actionable ways. I just downlo...
by acegolfer
Sun May 26, 2019 1:14 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

My reply was aimed solely at correcting and clarifying a misconception that the total stock market can be assumed to be on the efficient frontier. In a multifactor model, MKT is multifactor efficient. IOW, it's still on the multifactor efficient frontier. But it's no longer Mean-Variance efficient....
by acegolfer
Sun May 26, 2019 1:02 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

vineviz wrote:
Sun May 26, 2019 12:52 pm
None which make the CAPM a “bad” model per se, but there is some danger in relying on the theoretical result without understanding the limitations thereof.
Isn't this thread about MKT being efficient? It's not about CAPM (MKT is the only factor). These 2 are related but not the same.
by acegolfer
Sun May 26, 2019 12:46 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

groovy9 wrote:
Sun May 26, 2019 12:38 pm
So... if we have an academic model that never shows up in practice, you can understand a person's skepticism. :)
absolutely. Economists judge the model by its practicality, not by how sophisticated the math is.
by acegolfer
Sun May 26, 2019 12:29 pm
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

That’s only true if you include ALL risky marketable assets (including bonds, for instance). Even then, being (theoretically) mean-variance optimal is only useful under certain assumptions. Most which are untrue, to various degrees. Can it, though? I know that's been claimed since the 70's or somet...
by acegolfer
Sun May 26, 2019 6:50 am
Forum: Investing - Theory, News & General
Topic: Vanguard - Luck or Skill?
Replies: 30
Views: 4467

Re: Vanguard - Luck or Skill?

https://www.bogleheads.org/forum/viewtopic.php?t=146034 Interesting new video on active Manager skill. Many of the topics raised here on Bogleheads are covered. Summary: 1) Managers are more skilled now than in the past... but since all are no return difference 2) Skilled managers keep most if not a...
by acegolfer
Sun May 26, 2019 6:10 am
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

Anyway, I struggle to see the wisdom in owning "the market" aside from the above. There's nothing special about the market; it just includes everything by definition. If some brand new industry shows up tomorrow that serves no apparent purpose in my portfolio, am I just expected to buy it? If yes, ...
by acegolfer
Sat May 25, 2019 1:35 pm
Forum: Investing - Theory, News & General
Topic: How Much Diversification is Enough?
Replies: 24
Views: 2424

Re: How Much Diversification is Enough?

One issue that I have with any diversification thread is some people only look at the effects on volatility. It's true that diversification will lower stdev (mathematical fact). This last statement is a common misconception: although diversification CAN lower portfolio volatility it does not necess...
by acegolfer
Sat May 25, 2019 12:47 pm
Forum: Investing - Theory, News & General
Topic: How Much Diversification is Enough?
Replies: 24
Views: 2424

Re: How Much Diversification is Enough?

One issue that I have with any diversification thread is some people only look at the effects on volatility. It's true that diversification will lower stdev (mathematical fact). But it doesn't always reduce other non-volatility risks. How much diversification is enough? It depends on whether non-vo...
by acegolfer
Sat May 25, 2019 11:04 am
Forum: Investing - Theory, News & General
Topic: How Much Diversification is Enough?
Replies: 24
Views: 2424

Re: How Much Diversification is Enough?

One issue that I have with any diversification thread is some people only look at the effects on volatility. It's true that diversification will lower stdev (mathematical fact). But it doesn't always reduce other non-volatility risks. How much diversification is enough? It depends on whether non-vol...
by acegolfer
Sat May 25, 2019 10:04 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 126
Views: 5983

Re: Factor ETFs For Diversification Or “Diworsification”

I see now that French is referring to the low market-to-book portfolios as "growth", so your confusion is understandable. When I studied finance with Fama, he never let us call those portfolios "growth" portfolios, because nothing in their construction was actually measuring growth. Maybe they've a...
by acegolfer
Sat May 25, 2019 9:15 am
Forum: Investing - Theory, News & General
Topic: just a general comment about "too conservative" investors here
Replies: 151
Views: 14644

Re: just a general comment about "too conservative" investors here

About all I'm getting from this thread is that it's a nice example of belief superiority - especially when someone starts throwing around the "people" word as though they have some sort of special view into the flaws of the mass collective. https://digest.bps.org.uk/2018/05/31/people-who-think-thei...
by acegolfer
Sat May 25, 2019 8:57 am
Forum: Investing - Theory, News & General
Topic: Fama/French: "Volatility and Premiums in US Equity Returns" (easy read)
Replies: 0
Views: 249

Fama/French: "Volatility and Premiums in US Equity Returns" (easy read)

If you have difficulty with reading any Fama/French papers, try this first: https://famafrench.dimensional.com/media/467629/Volatility_And_Premiums.pdf 1. It's written for average readers (you do not need prior knowledge on CAPM). 2. Explains 2 F/F factors (SMB, HML), 6 portfolios (sorted by size, B...
by acegolfer
Sat May 25, 2019 7:05 am
Forum: Investing - Theory, News & General
Topic: Any option traders?
Replies: 41
Views: 2974

Re: Any option traders?

This is an option traders thread, so I'm hoping to get some feedback. I invested some time learning about options, and came to the following conclusions. Option can serve three functions: 1)generate income. Right now, I don't need income from my portfolio. However, I came to the conclusion that if ...
by acegolfer
Fri May 24, 2019 8:21 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factors Are For Holding
Replies: 26
Views: 1998

Re: Larry Swedroe: Factors Are For Holding

The whole factor crowd sees backtesting as the best way to derive investment strategies. I'm not sure that this has actually worked. I remember when backtesting showed that short-term bonds were much better than long-term bonds in a balanced portfolio. Which then proved to be completely wrong over ...
by acegolfer
Fri May 24, 2019 6:34 pm
Forum: Investing - Theory, News & General
Topic: Actual Experience as true measure of risk tolerance
Replies: 82
Views: 6260

Re: Actual Experience as true measure of risk tolerance

Experience (Time) with market changes is significant, but there are other factors such as the size of one's portfolio and the spending/saving ratio . Tim i think both points are mentioned for quite a few times, judging from a small sample of replies here. So the larger our portfolio, the less risk ...
by acegolfer
Fri May 24, 2019 6:18 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factors Are For Holding
Replies: 26
Views: 1998

Re: Larry Swedroe: Factors Are For Holding

When considering a new portfolio addition, what matters is expected return, correlations, volatility, and costs.
and non-volatility risks
by acegolfer
Fri May 24, 2019 7:23 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Mgmt Whiffs On Factors
Replies: 19
Views: 1634

Re: Larry Swedroe: Active Mgmt Whiffs On Factors

The one-year momentum factor is commonly studied and used and has high turnover. It is not buy-and-hold investing, nor is it "passive", although some people mislabel it as such. Same goes for SMB, HML factor. "To construct the SMB and HML factors, we sort stocks in a region into two market cap and ...
by acegolfer
Thu May 23, 2019 11:13 am
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 245
Views: 38894

Re: Vanguard New Factor Funds Portfolio Statistics

For these funds to be factors, the R^2 in factor regression must be 100%. Even a 99% R^2 implies the fund has some idiosyncratic risk (sigma_e ^2) hence not efficient (right of efficient frontier).
by acegolfer
Thu May 23, 2019 10:39 am
Forum: Investing - Theory, News & General
Topic: "Investing in Total Markets"
Replies: 45
Views: 4699

Re: "Investing in Total Markets"

Never seen his research so I looked him up. Seems he's not a finance professor. His argument for total markets is academically sound (based on MPT). However, even though he briefly mentions FF 3-factor model, he doesn't discuss the newer factors impacts on portfolio return/risk. Overall, it's a good...
by acegolfer
Thu May 23, 2019 9:52 am
Forum: Personal Finance (Not Investing)
Topic: Do you think we can stop funding our 529 plan?
Replies: 41
Views: 2920

Re: Do you think we can stop funding our 529 plan?

WhiteMaxima wrote:
Wed May 22, 2019 10:53 am
Fund your retirement 1st. It will have more time to grow. Then 529, college inflation in slight above general inflation. You would target 100K for each kid at today's dollar (4 year college 25k per year).
imo, best advice given so far
by acegolfer
Wed May 22, 2019 2:03 pm
Forum: Personal Finance (Not Investing)
Topic: Quicken: Windows to Mac
Replies: 14
Views: 821

Re: Quicken: Windows to Mac

Yeah if you really want to save every transaction, I wouldn't recommend spreadsheets for storing that volume of data, unless you're OK with closing off each year to a separate spreadsheet (which impairs search). Disagree. I have 10+ yrs of bank/CC/brokerage transaction data in Google Sheet. It runs...
by acegolfer
Wed May 22, 2019 1:47 pm
Forum: Personal Finance (Not Investing)
Topic: Quicken: Windows to Mac
Replies: 14
Views: 821

Re: Quicken: Windows to Mac

Yeah if you really want to save every transaction, I wouldn't recommend spreadsheets for storing that volume of data, unless you're OK with closing off each year to a separate spreadsheet (which impairs search). Disagree. I have 10+ yrs of bank/CC/brokerage transaction data in Google Sheet. It runs...
by acegolfer
Wed May 22, 2019 10:19 am
Forum: Investing - Theory, News & General
Topic: Don't add currency risk on top of equity risk
Replies: 68
Views: 4769

Re: Don't add currency risk on top of equity risk

We have BHers who will argue that there's a diversification effect because currency risk is not perfectly correlated with the equity risk. /s
by acegolfer
Tue May 21, 2019 4:56 pm
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, ranked by diversification benefit
Replies: 66
Views: 4491

Re: Vanguard ETFs, ranked by diversification benefit

Two portfolios with the same mean and variance can differ in their skew and kurtosis, with diversification playing a role in improving those additional metrics thus making the portfolio more desirable. If 2 portfolios have the same E(r), same stdev but 2 different skewness/kurtosis, then they don't...
by acegolfer
Tue May 21, 2019 3:51 pm
Forum: Investing - Theory, News & General
Topic: Does stock allocation truly matter?
Replies: 61
Views: 5344

Re: Does stock allocation truly matter?

BKM (popular investment textbook) differentiates

1. "asset allocation" from
2. "security selection"

I believe OP's "stock allocation" refers to security selection. BKM states that #1 really matters but #2 not too much.
by acegolfer
Tue May 21, 2019 3:32 pm
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, ranked by diversification benefit
Replies: 66
Views: 4491

Re: Vanguard ETFs, ranked by diversification benefit

vineviz wrote:
Mon May 20, 2019 4:22 pm
For any given level of expected return and risk, the investor should prefer a higher level of diversification to a lower level.
Can you explain the above? If 2 portfolios have the same E(r) and the same risks, why does the level of diversification matter?
by acegolfer
Tue May 21, 2019 10:25 am
Forum: Investing - Theory, News & General
Topic: Lies, Damned Lies, And Index Funds
Replies: 43
Views: 5729

Re: Lies, Damned Lies, And Index Funds

but only if I thought the active folks were starting to beat the indexes consistently. Not possible. Active investing is a zero sum game... in order for an active fund to beat the market, another active fund must trail the market. The active funds, on average, will trail the market by their higher ...
by acegolfer
Mon May 20, 2019 12:45 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 126
Views: 5983

Re: Factor ETFs For Diversification Or “Diworsification”

If correlations between market and size, market and value, and size and value are all low, I don’t understand why Fama wouldn’t agree that diversifying a TSM portfolio into these factors should create a more efficient portfolio. By doing that one is further diversifying the portfolio into unique an...
by acegolfer
Mon May 20, 2019 12:27 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 126
Views: 5983

Re: Factor ETFs For Diversification Or “Diworsification”

I have advocated for Small/Value tilted portfolios for those who believe in Academic Research and the simple 3 fund portfolio for those that don't. I bet Fama would disagree with this. It is a way of making peace on the forum. I believe in the Academic Research and have a mild Small/Value tilt with...
by acegolfer
Mon May 20, 2019 11:51 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 126
Views: 5983

Re: Factor ETFs For Diversification Or “Diworsification”

I have advocated for Small/Value tilted portfolios for those who believe in Academic Research and the simple 3 fund portfolio for those that don't. I bet Fama would disagree with this. Fama did say: The market portfolio is always an efficient portfolio. It's always a relevant portfolio for an inves...
by acegolfer
Mon May 20, 2019 11:38 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 126
Views: 5983

Re: Factor ETFs For Diversification Or “Diworsification”

nedsaid wrote:
Sun May 19, 2019 11:09 am
I have advocated for Small/Value tilted portfolios for those who believe in Academic Research and the simple 3 fund portfolio for those that don't.
I bet Fama would disagree with this.
by acegolfer
Mon May 20, 2019 11:35 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 126
Views: 5983

Re: Factor ETFs For Diversification Or “Diworsification”

https://i.imgur.com/a2ls30p.png The sources of risk can represent anything investor demands compensation to bear: that could be negative skew or positive excess kurtosis, but it could also be something more economically fundamental (Cochrane uses "recession risk" as an example, but it could be "inf...
by acegolfer
Fri May 17, 2019 7:53 am
Forum: Personal Consumer Issues
Topic: Usefullness of 2 in 1 laptops?
Replies: 18
Views: 1761

Re: Usefullness of 2 in 1 laptops?

Surface Pro w/ pen

I use it for:
1. Taking notes/pictures in meetings (Onenote)
2. Annotating PDF (Drawboard)
3. Annotating screenshots (Snip)
4. Record PPT with annotation (PPT built-in function)
by acegolfer
Sun May 12, 2019 6:28 am
Forum: Personal Consumer Issues
Topic: Mobile service with RedPocket
Replies: 25
Views: 1948

Re: Mobile service with RedPocket

Thx for the replies! I see a red pocket plan for unlimited talk and text for 17$ that looks like a decent deal. Do I have to buy for one year at a time on eBay. I want to just set it and forget it on auto pay like my boom mobile and my index funds. 1-yr is the maximum length you can prepay at a tim...
by acegolfer
Sat May 04, 2019 7:47 am
Forum: Investing - Theory, News & General
Topic: Estimating the rate of return on Social Security
Replies: 34
Views: 2619

Re: Estimating the rate of return on Social Security

How did you get -0.8%?

Using your numbers + =IRR(), I got -0.578% (with $6200 contribution) or 1.934% (w/ $3100 contribution) annualized return.