Search found 88 matches

by kolder
Fri Jun 10, 2022 6:51 pm
Forum: Investing - Theory, News & General
Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Replies: 2998
Views: 519356

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

All of these spreads are negative for the second roll (second to deliver futures contract) for nearly 30 years. Take a look at figure 40 (final page) for the big picture (spread for second to deliver futures contracts.) Also, check out the figure on page 17 of the Understanding Treasury futures pdf: https://www.cmegroup.com/education/files/understanding-treasury-futures.pdf Correct me if I'm wrong but both of these sources are showing that the borrowing rate on treasury futures over the last ~30 years (12 years for the CME article) has been less than t-bills correct? Notably they were more like ~+10 bps in the last 10 years but still, that's quite good if true. Probably wouldn't count on it being negative as you said, but maybe assuming 20...
by kolder
Sat Jun 04, 2022 11:35 am
Forum: Investing - Theory, News & General
Topic: AQR Style Premia Update; Certainly Low Correlations
Replies: 100
Views: 9983

Re: AQR Style Premia Update; Certainly Low Correlations

gtwhitegold wrote: Sat Jun 04, 2022 12:33 am For AMFAX, it looks like they target a volatility of 12%, but allow it to float up to 17%. That's why it has an average around 13% per Morningstar.com
Their "Fund Overview" document directly says that the fund targets a vol of 17% "similar to the global equity market".

Image

IDK, I could understand if they were in between say 15-19% but 12% is a pretty large deviation from the target. Would likely be a solid fund if it was actually achieving 17% vol.
by kolder
Fri Jun 03, 2022 10:06 pm
Forum: Investing - Theory, News & General
Topic: AQR Style Premia Update; Certainly Low Correlations
Replies: 100
Views: 9983

Re: AQR Style Premia Update; Certainly Low Correlations

AQR Funds also have historically had the same issue. I think that the methodology that fund managers use tends to underestimate the expected volatility of the assets or it doesn't account for the net volatility offsetting positions, but this is pure speculation on my part. Have they? They look to be achieving their vol targets very well so far (15% and 10%): https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2022&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&absoluteDeviation=5.0&relativeD...
by kolder
Fri Jun 03, 2022 8:31 pm
Forum: Investing - Theory, News & General
Topic: AQR Style Premia Update; Certainly Low Correlations
Replies: 100
Views: 9983

Re: AQR Style Premia Update; Certainly Low Correlations

gtwhitegold wrote: Fri Jun 03, 2022 6:30 pm Swedroe definitely hasn't recommended AMFAX, but he has recommended managed futures and AMFAX seems to be one of the better available options to retail investors.
This fund says it targets a vol of 17% but it's realized vol has only been about 12%. Any idea why?
by kolder
Mon Feb 21, 2022 2:25 pm
Forum: Investing - Theory, News & General
Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Replies: 2998
Views: 519356

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

skierincolorado wrote: Mon Feb 21, 2022 1:48 pm You're probably looking at the correlation of daily returns? I think the correlation of 3 month returns for TBills and stocks would be fractionally positive. TBills and stocks both have very low returns during market crashes. But as you said, whether it's positive or negative, TBills have a very very low correlation with stocks.
Tbill returns might be low during a market crash, but unless interest rates spike dramatically at the same time, their returns should be positive, likely resulting in a negative correlation.
by kolder
Mon Feb 21, 2022 2:21 pm
Forum: Investing - Theory, News & General
Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Replies: 2998
Views: 519356

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

LIBOR + 20 bps sounds way too high? Considering LIBOR has been 40-50 bps over the tbill rate historically then the financing cost would be 60-70 bps over the tbill rate. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3804068 . This paper (admittedly, I take the math in here for granted, it is above my head) finds that the implied financing rate for S&P 500 future has been LIBOR - 6 bps or tbill + 38 bps over the last 25 years. I would guess the financing rate is relatively similar, or maybe lower, for treasuries. But I haven't been able to verify that. https://i.imgur.com/drZKcC2.png Financing spreads increased quite a bit during the financial crisis, and have been quite low since. I don't think it's a good idea expect that the low...
by kolder
Mon Feb 14, 2022 10:23 pm
Forum: Investing - Theory, News & General
Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Replies: 2998
Views: 519356

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

comeinvest wrote: Mon Feb 14, 2022 6:21 pm The futures collateral in the commodities segment at IB is pure cash, and will earn 0%, regardless of prevailing interest rates. This setup is intentional - it's one of their shareholders' profit generators.
This will become a problem if/when interest rates rise yes? The cash drag will start to become quite large. Is there any way to combat this potential issue?
by kolder
Mon Feb 14, 2022 3:55 pm
Forum: Investing - Theory, News & General
Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Replies: 2998
Views: 519356

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

I have not used IBKR or bought futures before so I have a layman question: What is actually being held as collateral when you buy a futures contract at IBKR? Most just say "cash" so I assume this means a money market fund, not literally 0 nominal yield cash right? If so then it should track the return of t-bills, less 10-30 bps or so, yes? Or are the money market rates at IBKR worse than that?
by kolder
Tue Feb 08, 2022 12:09 am
Forum: Investing - Theory, News & General
Topic: Question about QSPIX - Style Premia Help
Replies: 72
Views: 5543

Re: Question about QSPIX - Style Premia Help

So, "market-neutral" funds are normally more exposed to value, is that correct? Or just some of them? Only the ones that choose to be exposed to value. You could create a market neutral fund that has exposure to any factor/factors you wanted. Earlier I used market-neutral value as an example to demonstrate how a market-neutral fund could be constructed. The AQR fund primarily gets exposure to 4 factors, as you listed, and value is just one of them. It does this by going long securities that have high exposure to those 4 factors and short securities that have low exposure to them. This means that when value/carry/momentum/defensive factors do well, the fund will do well. When they don't do well, the fund will not do well. I'm not ...
by kolder
Mon Feb 07, 2022 11:02 pm
Forum: Investing - Theory, News & General
Topic: Question about QSPIX - Style Premia Help
Replies: 72
Views: 5543

Re: Question about QSPIX - Style Premia Help

So when value does well you get a positive return and when value underperforms you will have a negative return. i.e. the same as a value fund, which tracks with how this fund has performed in the real world. It definitely hasn't met its goal of "providing positive absolute returns in both rising and falling markets" It's not the same as a value fund. A value fund has full exposure to the market. A market neutral value fund has no exposure to the market and significantly more exposure to value. That said it should be noted that this fund does have exposure to factors other than value as well. You also said "Did you ask them why a market-neutral fund sucked so much when value was doing poorly?" We should expect this fund ...
by kolder
Mon Feb 07, 2022 9:21 pm
Forum: Investing - Theory, News & General
Topic: Question about QSPIX - Style Premia Help
Replies: 72
Views: 5543

Re: Question about QSPIX - Style Premia Help

What? How is that "market-neutral"? So when value does well, and growth does poorly, you do great... But when value does poorly, and growth does great, you lose money. How is that "market-neutral?" In one market, you do great, in a different market you do poorly... This doesn't make sense at all. You are 50% long a portfolio of (value) stocks and 50% short a portfolio of (growth) stocks. Therefore your exposure to the market is 0. The return you get from such a portfolio is the difference between the long and short portfolios. So if the value portfolio returns 12% and the growth portfolio returns 8%, the long short portfolio will have a return of 4%. If growth returns 2% and value returns -2%, your return will be -4%. S...
by kolder
Mon Feb 07, 2022 8:13 pm
Forum: Investing - Theory, News & General
Topic: Question about QSPIX - Style Premia Help
Replies: 72
Views: 5543

Re: Question about QSPIX - Style Premia Help

HomerJ wrote: Mon Feb 07, 2022 7:47 pm Did you ask them why a market-neutral fund sucked so much when value was doing poorly?

This is from their website...
By investing long and short, the Fund seeks to be market neutral with low correlation to equity and bond markets, and aims to provide positive absolute returns in both rising and falling markets.
It's value fund pretending to be a market-neutral fund.
Huh? Value is a market neutral strategy...
by kolder
Sun Feb 06, 2022 10:10 pm
Forum: Investing - Theory, News & General
Topic: RPAR on Steroids
Replies: 57
Views: 9478

Re: RPAR on Steroids

It's compelling, but I feel like the key problem is that for the last 40-50 years long-term treasuries and long TIPS (TIPS are newer) have averaged ~6%, but with current treasury yields, this is not likely to be the case going forward (~2% for LTT), so we should expect the bond portion to give much lower returns. Low yields impact the expect return of all assets. The expected return on equities is the risk free rate + an equity risk premium. Meaning, we can't expect the same high returns stocks had either. Relative to each other, the expected return on stocks is not low compared to bonds. LTT have an expected return of ~2-2.5% nominal and stocks have an expected return of ~4-6% nominal (depending on one's estimate of the equity risk premiu...
by kolder
Thu Nov 11, 2021 6:12 pm
Forum: Investing - Theory, News & General
Topic: Is Value investing behavioral speculation?
Replies: 133
Views: 9554

Re: Is Value investing behavioral speculation?

...Now what if we look at the global performance? If that portfolio was recommended in print by an expert, at any time near the starting date of the backtest, then it's impressive. Otherwise, it could just be a backtest of a portfolio with very heavy allocations to funds which, we now know in hindsight , outperformed over that period of time. I believe those tilts are far more extreme than anyone would have been bold enough to risk recommending back then. In 1998, certainly people such as Larry Swedroe were advocating small-cap value tilts, but much more moderate than that. Larry Swedroe published model portfolios in 1998 and in 2004, neither of which includes any international small-cap value at all. These are the 2004 portfolios: I don't...
by kolder
Thu Nov 11, 2021 11:54 am
Forum: Investing - Theory, News & General
Topic: Is Value investing behavioral speculation?
Replies: 133
Views: 9554

Re: Is Value investing behavioral speculation?

4) Finally, looking only at return without considering risk is a bad practice. I think most will agree that small-cap value stocks are riskier than the market as a whole. Since inception of DFSVX, it is accurate to say that it outperformed an S&P 500 index fund, but at what cost in terms of risk? Source https://imgur.com/AAI0PSf.png DFSVX has had a considerably higher risk as measured by standard deviation (20% versus 15%) and drawdown (-61% versus -51%), and according to the two ratios measuring risk-adjusted return, the extra return has not been worth the additional risk required to obtain it. Now what if we look at the global performance? https://i.imgur.com/77cwGwT.png https://i.imgur.com/cnAHp8K.png https://www.portfoliovisualizer...
by kolder
Tue Nov 09, 2021 12:17 pm
Forum: Investing - Theory, News & General
Topic: Is Value investing behavioral speculation?
Replies: 133
Views: 9554

Re: Is Value investing behavioral speculation?

There are two problems with SCV. The first is obvious: there has been no SCV premium since 2003. The second is that even before 2003, economists debate whether the SCV was behavior based or risk based. Nisprius' post quotes aspects of this debate. The distinction is extremely important. If the premium is behavior based, then SCV has higher risk-adjusted returns than TSM. If it's risk based, the higher returns of SCV are just from taking more risk. I could get the same return with the same risk by just leveraging TSM slightly. The fact that even before 2003 the evidence is inconclusive whether SCV is behavior or risk based (and from what I've read the evidence is more on the side of it just being a premium for taking more risk - like levera...
by kolder
Sat Oct 16, 2021 12:48 pm
Forum: Investing - Theory, News & General
Topic: Best [reading material] on the value factor?
Replies: 16
Views: 2717

Re: Best books on the value factor

strakert wrote: Fri Oct 15, 2021 2:03 pm but does not provide enough details to determine which factors to choose, in what proportion, with what risks, and using which funds.
If you are looking for a definitive answer or consensus on this you will not find it. There is little agreement on what is "best" or "right". We are all dealing with immense uncertainty here. All you can really do is develop your own convictions while remembering the basics like keeping costs low, diversifying, and not getting overly complex.
by kolder
Fri Oct 15, 2021 9:16 am
Forum: Investing - Theory, News & General
Topic: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory
Replies: 2998
Views: 519356

Re: Modified versions of HFEA with ITT and Futures / Lifecycle Investing with Modern Portfolio Theory

Has anyone done any analysis of this on an after-tax basis? I'm not really interested in leveraging my equities so all of my leverage would be in treasury futures (something like 90/10 or 80/20 stocks/futures collateral). My concern is getting marked-market every year makes holding futures in taxable much worse compared to equities in a taxable account, to the point where it might not even be worth the effort. Of course, this is not so bad at the moment with yields so low and not much expected tax impact, but I'm not too interested in changing my strategy based on the absolute level of yields.
by kolder
Sun Jul 25, 2021 10:09 am
Forum: Investing - Theory, News & General
Topic: Ben Felix - Chasing Top Fund Managers [ARK] - 2/27/2021
Replies: 20
Views: 2808

Re: Ben Felix - Chasing Top Fund Managers [ARK] - 2/27/2021

I like Ben Felix. He seems a bit of a SCV head, but his videos are of extremely high quality. But ironically enough it would be no worse to pick 10 active funds at random and hold them as a DIY investor, than to pay his management firm an annual fee to hold VOO + IJS... It might be worse. Many investors make bad behavioural errors and can’t stay the course. Investopedia claims the average AUM fee is 1.02% and the average active fund fee is between 0.5% & 1.0%. Some investors (guessing a minority depending on their mindset) might feel pressure to own more IJS than VOO to overcome the adviser fee. And some advisers might feel obliged to recommend more IJS than VOO to justify/overcome their fee. And the whole multifactor phenomenon is ano...
by kolder
Sat Mar 13, 2021 2:34 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

Bama12 wrote: Sat Mar 13, 2021 1:34 pm What's the best Small Value fund for taxable? I know I should know this....

This question is for my 17 year old son. He is 100% VTI, he has around 20 or so shares of VTI.

or should he just wait until he can open a Roth.


I'm 25% Vanguard S&P Small Cap 600 Value-VIOV in my Roth.

I'm 15% Vanguard Small Value-VSIAX in my 401K.
I expect AVUV will be a bit more tax efficient than other options because it excludes REITS
by kolder
Wed Mar 03, 2021 1:17 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

The last 4 years has been the largest drawdown for value in known history. Saying that value will not outperform based on a backtest right now is the same as an investor in 1932 saying that stocks will not outperform bonds anymore.
by kolder
Sat Feb 20, 2021 4:48 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

Chrono Triggered wrote: Sat Feb 20, 2021 2:59 pm Is anyone aware of some good research into why AVUV is better than a fund like IJS/SLYV? I remember reading that AVUV might have a deeper tilt, but with a 0.10% higher expense ratio, it might be a wash in the end. Although lately, it seems AVUV has had the advantage:
https://etfdb.com/tool/etf-comparison/A ... /#overview

Nevertheless, with the run up from SCV these days compared to TSM, I'm glad it's been comprised 50% of my US allocation since 2019.
Realistically, the lower turnover of AVUV (~20%) compared to IJS/SLYV (~50%) likely cancels out the .10% ER difference.
by kolder
Fri Feb 19, 2021 6:08 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

Nate7out wrote: Fri Feb 19, 2021 5:44 pm Surprised this thread was silent today. :greedy
Probably because yesterday was pretty ugly :shock:
by kolder
Thu Feb 18, 2021 7:59 pm
Forum: Investing - Theory, News & General
Topic: Abandon Fama French Factor Model?
Replies: 52
Views: 4704

Re: Abandon Fama French Factor Model?

With low interest rates Value stocks have been taking too much debt. Value stocks were at the 28th percentile in terms of debt to equity as of March of last year. So no, they are not taking too much debt, they are actually taking on less debt than normal. https://www.aqr.com/Insights/Perspectives/Is-Systematic-Value-Investing-Dead Next, the ratio of the debt-to-equity (book value of equity) of the cheap to the expensive portfolio has a historical median value of 81% (the cheap are somewhat less levered on this measure on average). So, how does today compare to history? Today, debt-to-book-equity (of the cheap divided by the expensive) stands at 66%, substantially below the 81% median value (that’s 28th percentile based on 50+ years of hist...
by kolder
Mon Feb 01, 2021 5:22 pm
Forum: Investing - Theory, News & General
Topic: Avantis Posts QDI for 2020
Replies: 7
Views: 1191

Re: Avantis Posts QDI for 2020

I Imagine part of the reason their QDI's are great and generally have lower dividends than comparable funds is because Avantis excludes REITS in their funds.
by kolder
Mon Jan 18, 2021 9:50 pm
Forum: Investing - Theory, News & General
Topic: Do you believe in the Efficient Market Hypothesis?
Replies: 118
Views: 8508

Re: Do you believe in the Efficient Market Hypothesis?

Nobody actually thinks markets are perfectly efficient. Not even Fama. We can argue about how close to perfectly efficient markets are though. All EMH is is just a model to think about how markets work. It's not reality and it's not meant to be. Every time someone points to some notable inefficiency there seems to be a need to dismiss the model as completely useless. The model is useful because the evidence is clear in my opinion that markets are highly efficient. If they weren't, you'd expect skilled managers to outperform the market consistently over long periods of time, but instead the majority who do well for a period of time tend to not continue to do well. By random chance alone, there will be some that outperform the market over lon...
by kolder
Sun Jan 17, 2021 2:16 pm
Forum: Investing - Theory, News & General
Topic: American Funds Charging 1.41% for Money Market Fund
Replies: 25
Views: 2267

Re: American Funds Charging 1.41% for Money Market Fund

Is this a small company, e.g., do you personally know the name of every single employee? If so, they probably don't know what they are doing, and were sold a plan by a "friend" or an executive's "guy." The solution is to lobby for change. My company's 401k used to be bad, though not as bad as yours. I lobbied and it took a few years but now it's much better. Or if you find it intractable and a big enough issue for you, see if you can get a better offer elsewhere. This was exactly my situation. People just had no idea how bad the plan was and it was set up because the owner of the business knew a "guy". I managed to lobby for a new plan last year and we are switching into a new plan this year. All it really too...
by kolder
Sun Jan 17, 2021 1:46 pm
Forum: Investing - Theory, News & General
Topic: American Funds Charging 1.41% for Money Market Fund
Replies: 25
Views: 2267

Re: American Funds Charging 1.41% for Money Market Fund

Is this a small company, e.g., do you personally know the name of every single employee? If so, they probably don't know what they are doing, and were sold a plan by a "friend" or an executive's "guy." The solution is to lobby for change. My company's 401k used to be bad, though not as bad as yours. I lobbied and it took a few years but now it's much better. Or if you find it intractable and a big enough issue for you, see if you can get a better offer elsewhere. This was exactly my situation. People just had no idea how bad the plan was and it was set up because the owner of the business knew a "guy". I managed to lobby for a new plan last year and we are switching into a new plan this year. All it really too...
by kolder
Sun Jan 17, 2021 11:43 am
Forum: Investing - Theory, News & General
Topic: American Funds Charging 1.41% for Money Market Fund
Replies: 25
Views: 2267

Re: American Funds Charging 1.41% for Money Market Fund

Is this a small company, e.g., do you personally know the name of every single employee? If so, they probably don't know what they are doing, and were sold a plan by a "friend" or an executive's "guy." The solution is to lobby for change. My company's 401k used to be bad, though not as bad as yours. I lobbied and it took a few years but now it's much better. Or if you find it intractable and a big enough issue for you, see if you can get a better offer elsewhere. This was exactly my situation. People just had no idea how bad the plan was and it was set up because the owner of the business knew a "guy". I managed to lobby for a new plan last year and we are switching into a new plan this year. All it really too...
by kolder
Thu Jan 14, 2021 10:35 am
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 304
Views: 57116

Re: Ex DFA CIO launches competitor which will also have ETFs

I agree both are solid funds. If you're having a tough time deciding, maybe look at the more simple characteristics of the funds as a comparison.

AVDV

AUM:418M
Bid/Ask Spread: 0.12%
Distribution Yield: 1.63%
ER: .36%
Turnover: 32%

ISCF

AUM:158M
Bid/Ask Spread: .27%
Distribution Yield: 2.28%
ER: .4%
Turnover: 47%

Of course these can change over time but AVDV wins across the board on these for now, which makes it slightly more favorable in my opinion if you consider their fund construction to be equally appealing.
by kolder
Wed Jan 13, 2021 7:33 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

I have become more sceptical on this premium. The issue is that the tests for this like "t-stat" or "t-value" that I mentioned before are valid assuming a Normal Distribution when in reality stock returns don't follow a normal distribution. I would recommend anyone even if they are a fanatic on this to limit exposure of SCV to 50% of Equities due to this uncertainty. I am not sure how good the results for this premium be if there were tests done on it that don't have the fantasy assumption of normal distribution for stock returns. By this logic you should be skeptical of the market premium too. There is a lot more to it than just a high t-stat. A high t-stat is really just a preliminary requirement for even considering ...
by kolder
Tue Jan 12, 2021 4:17 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

AVUV has now outperformed VOO over the last year (starting 1/13/2020)

Size premium has been huge over the last 6 months
by kolder
Tue Jan 12, 2021 12:40 pm
Forum: Investing - Theory, News & General
Topic: The Most Concentrated Market in 40 Years
Replies: 75
Views: 9727

Re: The Most Concentrated Market in 40 Years

000 wrote: Tue Jan 12, 2021 12:30 pm Sure, and if we go back to the 1600s in the Netherlands, the VOC would probably represent a MAJORITY of the whole market cap. Is it relevant?
Sure? I would love to see a chart going back to 1600.

How do you draw the line between what is relevant and not relevant though? Why not just look at only the last 5 years? We'd probably all agree that things are different now than they were in 2000, therefore going back further than a few years it is not relevant data.
by kolder
Tue Jan 12, 2021 12:27 pm
Forum: Investing - Theory, News & General
Topic: The Most Concentrated Market in 40 Years
Replies: 75
Views: 9727

Re: The Most Concentrated Market in 40 Years

000 wrote: Tue Jan 12, 2021 12:12 pm
kolder wrote: Tue Jan 12, 2021 12:09 pm Sure let's just ignore all of 1940-1970 then
The further you go back, the less useful the data is.

But the chart you posted seems to contradict, not support, your claim. The last two times in the last FIFTY years when we were near the current concentration were c. 1972 and c. 2000. And going back further there seems to be an eyeballed relation between concentration of top stocks and bubble about to burst.
Ah yes the good old "old data isn't useful anymore, so let me cherry pick as far back as I can while still being able to support my claim".

My claim was just that it's not that insane to have a few stocks represent a big portion of the market, and it has happened before in the past.
by kolder
Tue Jan 12, 2021 12:09 pm
Forum: Investing - Theory, News & General
Topic: The Most Concentrated Market in 40 Years
Replies: 75
Views: 9727

Re: The Most Concentrated Market in 40 Years

000 wrote: Tue Jan 12, 2021 12:05 pm
kolder wrote: Tue Jan 12, 2021 11:29 am Doesn't look too crazy if you go back further in time:

Image
Not sure that 2001 and 1972 were the best times for stock investing...

Or 1929...
Sure let's just ignore all of 1940-1970 then
by kolder
Tue Jan 12, 2021 11:29 am
Forum: Investing - Theory, News & General
Topic: The Most Concentrated Market in 40 Years
Replies: 75
Views: 9727

Re: The Most Concentrated Market in 40 Years

Doesn't look too crazy if you go back further in time:

Image
by kolder
Mon Jan 11, 2021 9:39 am
Forum: Investing - Theory, News & General
Topic: Munger warns of lost decade for investing (2021-2031)
Replies: 73
Views: 11313

Re: Munger warns of lost decade for investing (2021-2031)

Find me someone who thinks the next 10 years will have higher returns than the last 10.

Now that would be a bold claim lol
by kolder
Sun Jan 10, 2021 6:49 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

manlymatt83 wrote: Sun Jan 10, 2021 6:24 pm
caklim00 wrote: Sun Jan 10, 2021 6:08 pm
manlymatt83 wrote: Sun Jan 10, 2021 4:29 pm
muffins14 wrote: Sun Jan 10, 2021 4:28 pm ETFs are more flexible, so I don’t think there would be any advantage to offering a mutual fund, other than being able to automate purchases
Mostly what I'm looking for.
In a taxable account you wouldn't want the mutual fund versions. Taxes would kill you.
Oh. ETFs versions are better?
In a taxable account yes. ETFs can avoid capital gain distributions more easily than mutual funds. Mutual funds are generally preferable in tax-sheltered accounts since capital gains distributions don't matter, and they don't have bid-ask spread costs, which ETFs do.
by kolder
Sun Jan 10, 2021 3:48 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

Ketawa wrote: Sun Jan 10, 2021 1:34 pm
manlymatt83 wrote: Sun Jan 10, 2021 11:23 am Does anyone get there small-cap value allocation from a mutual fund? Seems like most of the discussion here is ETFs.
I use QSMLX. Since its inception, it happens to have outperformed every other major SCV fund that I can think of.
It has outperformed simply because it has less exposure to small and value stocks than other major SCV funds, and has only existed during a period of poor returns for said small and value stocks.
by kolder
Sun Jan 03, 2021 1:04 pm
Forum: Investing - Theory, News & General
Topic: Felix paper on factor investing; different factors
Replies: 120
Views: 17287

Re: Felix paper on factor investing; different factors

Vanguard FTSE All-World Ex-US Small Cap Index ETF (VSS) might be a good compromise as you believe that you aren't getting any factor loading in particular with DGS. Hard to get into all the sub-asset classes you would like. That's actually not a good idea the size factor is not statistically significant outside North America. I agree. Interestingly though (imo) VSS has been able to slightly outperform DISVX (Dimensional International Small Value) with lower volatility since inception. I hope the future for international small value will look better as I'm currently holding a significant amount of AVDV. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2020&lastMo...
by kolder
Sun Jan 03, 2021 11:43 am
Forum: Investing - Theory, News & General
Topic: Felix paper on factor investing; different factors
Replies: 120
Views: 17287

Re: Felix paper on factor investing; different factors

nedsaid wrote: Thu Dec 31, 2020 11:46 am It does surprise me that AVUV (Avantis US Small Cap Value ETF) has negative Momentum but it is only about a year old.
Keep in mind that Avantis funds use a 6-month momentum screen, while the FF momentum factor is 12-month momentum. So you'd likely expect some noise or negative loading on 12-month momentum in the regression but either neutral or positive loading on 6-month momentum. I don't have any way to check this though.
by kolder
Fri Dec 18, 2020 6:29 pm
Forum: Investing - Theory, News & General
Topic: Best international equity with tilts
Replies: 16
Views: 2320

Re: Best international equity with tilts

abuss368 wrote: Fri Dec 18, 2020 5:52 pm Why not simply own the entire international market with Total International Stock. Tilts may or may not outperform and it could take years.

Have you weighted that potential risk?

Best.
Tony
Why not simply own 1-month t-bills instead of any stocks? Stocks may or may not outperform and it could take years. Like they did for 13 years from 2000-2012 in the US.
by kolder
Fri Dec 18, 2020 10:50 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

caklim00 wrote: Fri Dec 18, 2020 10:28 am Anyone here buy any of the DFA ETFs yet? I only have interest in 2 of them DFA EM Core 1 and DFA US Targeted Value, but the latter seems too expensive.
The only one that seems useful to me is the International Value fund to get large cap value exposure in international but it's not worth it to overcomplicate things right now for me personally.

Also the Avantis EM core ETF is slightly smaller/deeper value and lower ER so I don't see much use in the DFA EM ETF. Although the DFA fund does have more holdings.
by kolder
Thu Dec 10, 2020 3:03 pm
Forum: Investing - Theory, News & General
Topic: Confused about Bond Funds
Replies: 76
Views: 6072

Re: Confused about Bond Funds

Predicting interest rate movements is about as hard as predicting stock market movements
by kolder
Wed Nov 25, 2020 9:49 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

Re: Small Cap Value heads Rejoice !!!

stocknoob4111 wrote: Wed Nov 25, 2020 9:38 am Spoke too soon? Looks like Small Caps are giving all their gains back...yikes! Hope this is just a 1 day pullback and not a trend...
Man it's 1 bad day after like 2 weeks of straight domination.

Can't expect scv to beat the market by 2% every day lol. Day to day returns are just noise anyways.
by kolder
Wed Nov 25, 2020 8:44 am
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 304
Views: 57116

Re: Ex DFA CIO launches competitor which will also have ETFs

FWIW I expect the ERs will be below, and maybe in some cases well below DFAs. With perhaps deeper tilts. So more loading per unit of cost. Larry How can you comment on how deep the tilts are for this new fund which doesn't have a long track record and doesn't follow an index? As I understand it is impossible to know what kind of long-term factor loads one would be getting with these kind of funds. Without knowing this one would not be able to decide on how much to allocate to these funds to achieve their target longterm SMB HML factor loads. This makes me hesitate to invest in these funds as I feel like I do not know what I am getting. What would you say to someone like me who is unsure about investing in these funds for this reason? I am ...
by kolder
Sat Nov 21, 2020 9:26 pm
Forum: Investing - Theory, News & General
Topic: Avantis vs DFA SCV
Replies: 8
Views: 4261

Re: Avantis vs DFA SCV

Yes I believe you are right that Avantis weights profitability more as they target value & profitability jointly, and DFA targets value primarily and then screens out low profitability stocks.

The only other difference I am aware of is that Avantis uses cash-based operating profitability as a proxy for gross profitability but DFA just uses operating profitability.

There are likely other differences though but that's all I've been able to find.
by kolder
Thu Nov 19, 2020 4:30 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 5577
Views: 623869

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? During the sell off, I sold 2/3 of my VSS position for AVDV. I sold VBR and bought SLYV for my SCV domestic (I used to have VBR+IJS for commission free reasons), but wish I would have also TLH my IJS for AVUV. Interesting that your actions were due to TLH. If you were starting from scratch today, what would you buy between SLYV/IJS, VSS, VBR, DLS, DGS, AVUV, ADVD, and ADEM? It really did open my eyes up recently when I realized the differences between these are pretty subtle once you adjust for factor exposure. You cannot really answer this question without first deciding how much of a tilt you want. For example, DFA'...
by kolder
Wed Nov 18, 2020 10:32 am
Forum: Investing - Theory, News & General
Topic: Six more ETFs from DFA (Dimensional Fund Advisors)
Replies: 131
Views: 23529

Re: Six more ETFs from DFA (Dimensional Fund Advisors)

These will be available to retail investors or still advisor/institutional only? IMHO - the reason DFA is so slow to the ETF game is because they don't want their funds available to the entire universe. By having only regular mutual funds, they can effectively control their distribution channel. Now, by creating ETF's, they have essentially bypassed the investment advisors of the world, who are their salesforce. Dimensional has said that they are moving to ETFs because of a rule that changed in 2019 for ETFs, allowing them to make custom basket orders. They didn't move to ETFs in the past because you could only make pro-rata baskets in the creation/redemption process, which does not allow them to rebalance daily, which is something DFA mut...
by kolder
Tue Nov 17, 2020 8:27 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman will be our February 2020 "Bogleheads on Investing" guest.
Replies: 90
Views: 8648

Re: Paul Merriman will be our February 2020 "Bogleheads on Investing" guest.

lepa71 wrote: Tue Nov 17, 2020 8:13 pm
One Ping wrote: Tue Nov 17, 2020 7:18 pm
lepa71 wrote: Tue Nov 17, 2020 6:53 pm Sorry for dummy question. How do you calculate 1.5% or 2.5% of allocation of target funds? Let say I'm 50 years old and target year 2040 for retirement.
Thanks
Not sure I understand the context of this question ... maybe a little more specific detail on what prompted it.
I'm asking on how to calculate the target date fund portion for Paul's 2 funds portfolio. I know he has one where you take 1.5%X age for TDF and the rest for SCV fund or 2.5%X(Age-25) for TDF and the rest to SCV. For some reason I'm lost on 1.5%X age and 2.5%X(Age-25)
Does this make more sense?
1.5x50=75%

so you would put 75% in the target date fund and 25% in SCV

or 2.5(50-25)=62.5%

so you would put 62.5% in the target date fund and 37.5% in SCV