Search found 1888 matches
- Sat Mar 19, 2022 7:46 am
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
I sort of lost track of Larry Swedroe's articles and internet postings etc. Where can one follow him these days. He certainly is gone from Bogleheads :-| I can't say I blame him. I like this forum but selling factor investing ideas to this group is like trying to sell protection at a nunnery. It ain't happening so why bother. Better off going somewhere where people are excited to talk about things you like to talk about. . The forum used to be: “there are many roads to Dublin” It seems to now becoming:“there is only one road” with strong and persistent rebuke of any other roads (a tendency to be “holier than Bogle”). Unfortunately, this does not encourage dialogue and discussion – rather the opposite. Many great contributors have left as a...
- Tue Mar 15, 2022 5:44 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
I can't say I blame him. I like this forum but selling factor investing ideas to this group is like trying to sell protection at a nunnery. It ain't happening so why bother.
Better off going somewhere where people are excited to talk about things you like to talk about.
- Tue Mar 15, 2022 1:35 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
Ahhhh yes, found the throwback: viewtopic.php?f=1&t=59145
I'm still rocking the equity plan. Wife had us add some bonds tho a while back. Nice compromise.
I'm still rocking the equity plan. Wife had us add some bonds tho a while back. Nice compromise.
- Tue Mar 15, 2022 1:30 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
Oh Taylor is still here too, love it! https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&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&relativeDeviation=25.0&leverageType=0&leverageRatio=0.0&debtAmount=0&debtInterest=0.0&maintenanceMargin=25.0&leveragedBenchmark=false&reinvestDividends=true&showYield=false&showFactors=false&factorModel=3&portfolioNames=false&portfolioName1=Portfolio+1&portfolioName2=Portfolio+2&a...
- Tue Mar 15, 2022 11:40 am
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
- Tue Mar 15, 2022 11:11 am
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
Rebalance when hit bands. Use factor proceeds to buy stuff that's down including both stocks and bonds. That pays for the ER right there. Only net returns matter and it'd be a mistake to look at these funds in isolation. Gotta look at the whole pie and how it all plays together.
- Tue Mar 15, 2022 10:49 am
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
Well well well. Haven't posted in years but look what the cat dragged in. :-) Observations 1) YTD everything is getting crushed. Normally treasuries are good bet for flight to safety but not when there's 8% inflation. Factor alt funds YTD QSPIX +24.32% QMHIX +26.11% Factor diversification helps and indeed they don't correlate with anything: https://www.portfoliovisualizer.com/asset-correlations?s=y&symbols=VBR%2C+VSS%2C+VFITX%2C+QSPIX%2C+QMHIX&timePeriod=2&tradingDays=60&months=36 2) other side note, I expect value to do well in an inflationary environment as these stocks have more debt than non-value and fixed rate debt gets inflated away in this scenario Turns out the expert on asset allocation Larry Swedroe was right. Go ...
- Fri Feb 28, 2020 1:06 pm
- Forum: Investing - Theory, News & General
- Topic: Small Cap Value Stewardship Risk in Taxable
- Replies: 18
- Views: 2651
Re: Small Cap Value Stewardship Risk in Taxable
Following up this ol' thread and I haven't posted in years! Took me a while to get back to having a taxable account.
I am doing this and harvesting some losses as we speak:
"1) For the tilter who is concerned with stewardship risk, lowest fees, and desires maximum liquidity, AUM, average daily volume, etc:"
VBR--IJS
VWO--IEMG
VSS--SCZ
I love that these non-Vanguard ETFs are even $0 commission now. Awesome!
Keep on sharing all that high quality free finance advice y'all.
I am doing this and harvesting some losses as we speak:
"1) For the tilter who is concerned with stewardship risk, lowest fees, and desires maximum liquidity, AUM, average daily volume, etc:"
VBR--IJS
VWO--IEMG
VSS--SCZ
I love that these non-Vanguard ETFs are even $0 commission now. Awesome!
Keep on sharing all that high quality free finance advice y'all.
- Tue Sep 11, 2018 5:25 pm
- Forum: Investing - Theory, News & General
- Topic: QSPIX - thoughts on interesting fund
- Replies: 1753
- Views: 293345
Re: QSPIX - thoughts on interesting fund
Got it, thanks!larryswedroe wrote: ↑Tue Sep 11, 2018 4:25 pm grap
Not really, very limited, just trying to be helpful pointing out factual errors or providing answers where I can be of help. However, as always happy to answer any emails to lswedroe@bamadvisor.com.
Best wishes
Larry
- Tue Sep 11, 2018 2:37 pm
- Forum: Investing - Theory, News & General
- Topic: QSPIX - thoughts on interesting fund
- Replies: 1753
- Views: 293345
Re: QSPIX - thoughts on interesting fund
Larry, you are back on Bogleheads?!?! Amazing!!larryswedroe wrote: ↑Tue Sep 04, 2018 9:28 am To be helpful
ROUGHLY
ytd three of the four styles are positive this year, with defensive, and momentum both up about 5% or so, with carry up about 2.5% and cash contributing about 0.5%. That's all gross of course. Value on other hand down about 20%, with about 12% of the 20 coming from individual stocks and industries and equity indices (countries) losing another about 2.5%. Rest comes from value in bonds, commodities and currencies.
Larry
- Mon Sep 03, 2018 3:50 pm
- Forum: Investing - Theory, News & General
- Topic: QSPIX - thoughts on interesting fund
- Replies: 1753
- Views: 293345
Re: QSPIX - thoughts on interesting fund
Yawn.... nothing out of the ordinary going on here. Fund is not correlated to anything. Sometimes it goes down a little. Most often it goes up.
- Mon Jul 09, 2018 5:01 pm
- Forum: Personal Investments
- Topic: Allocation Decisions: LENDX, SRRIX and QSPIX
- Replies: 64
- Views: 21331
Re: Allocation Decisions: LENDX, SRRIX and QSPIX
^^^That's what I use. You can figure out dividends and annualized returns. Takes some work but it's doable.
- Tue Feb 20, 2018 11:41 pm
- Forum: Investing - Theory, News & General
- Topic: QSPIX - thoughts on interesting fund
- Replies: 1753
- Views: 293345
Re: QSPIX - thoughts on interesting fund
Ho ho, gotta get my comments in on page 25 of this thread! People seem to either love or hate this fund. What a polarizing topic.
QSPIX reminds me of the Lagunitas Maximus I'm drinking right now. They are both known to have about 8% returns pretty darn consistently.
QSPIX reminds me of the Lagunitas Maximus I'm drinking right now. They are both known to have about 8% returns pretty darn consistently.
- Wed Nov 29, 2017 3:14 pm
- Forum: Investing - Theory, News & General
- Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
- Replies: 156
- Views: 25166
Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
You get to be comfortable by first going through some discomfort. If you start out trying to make yourself comfortable from the get go you are not going to get very far.ResearchMed wrote: ↑Wed Nov 29, 2017 1:50 pm
"As in life in general, the folks who are the most comfortable with being uncomfortable for prolonged periods of time are going to reap the rewards."
I'd consider "being comfortable for prolonged periods of time" as reaping some of the rewards, at the least, be it financial or "life in general".
RM
- Wed Nov 29, 2017 3:10 pm
- Forum: Investing - Theory, News & General
- Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
- Replies: 156
- Views: 25166
Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
I'm not sure what I'm supposed to be looking at.
https://www.portfoliovisualizer.com/bac ... ion2_2=100
I know the above is accurate. I know, I know 21 basis points is nothing to sneeze at.
- Wed Nov 29, 2017 1:43 pm
- Forum: Investing - Theory, News & General
- Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
- Replies: 156
- Views: 25166
Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
There is behavioral research that shows on average those who hold cap-weighted indexes, plain old beta, are less likely to bail out during bad times. Factors have outperformed historically. Factor investors as a whole have not. Tracking error is difficult for many to tolerate. Many factors especially MOM, but to a lesser extent VAL, have behavioral explanations. It is not hard to imagine that behavioral explanations play a role in why factor investors on average underperform plain vanilla beta investors. Sticking with factor approaches requires rock solid belief in their eventual outperformance and the discipline to maintain positions during the sometimes long periods of underperformance. Some factor investors discover too late that they d...
- Wed Nov 29, 2017 1:34 pm
- Forum: Investing - Theory, News & General
- Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
- Replies: 156
- Views: 25166
Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
That chart is not right. It does not include dividends. VBR's yield is like 2% while IJS is like 1/2 % or something. Punch in VISVX or VSIAX and then add add IJS to compare. It's a difference of like $5.82 or something like that over the past 10 years. Could easily go either way between the 2 funds.
I've been on a bit of a hiatus from BGs due to a very busy personal life at the moment but I see you guys need me on here regularly to catch these data errors and misrepresentation of information!
- Wed Nov 29, 2017 9:35 am
- Forum: Investing - Theory, News & General
- Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
- Replies: 156
- Views: 25166
Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
1. I think the differences between IJS and VBR are small.triceratop wrote: ↑Tue Nov 28, 2017 4:54 pm Most of the factor nuts here (myself included) prefer IJS/VIOV, the S&P600 Value index etfs, to VBR for purer exposure to both Value and Small. Why don't you?
2. VG would not charge me to buy VBR but it charges $7 for IJS.
3. I don't even own any US large caps in any fashion. My portfolio is tilted to the gills. I'm willing to sacrifice some minor factor loads in IJS for more holdings in VBR.
4. I already have lots of VSIAX so when the time comes VBR is the closest equivalent. Makes sense just to stick with it to keep things simple.
- Tue Nov 28, 2017 4:39 pm
- Forum: Investing - Theory, News & General
- Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
- Replies: 156
- Views: 25166
Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
https://www.portfoliovisualizer.com/bac ... ion2_2=100
Ok, official no thanks on Vanguard strategic small cap. Had similar returns to good ol' VISVX. A fraction of the # of holdings. Much longer duration of max draw down during 08 financial crisis. Plus there is manager risk. I'll pass.
Ok, official no thanks on Vanguard strategic small cap. Had similar returns to good ol' VISVX. A fraction of the # of holdings. Much longer duration of max draw down during 08 financial crisis. Plus there is manager risk. I'll pass.
- Tue Nov 28, 2017 4:33 pm
- Forum: Investing - Theory, News & General
- Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
- Replies: 156
- Views: 25166
Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
Unfortunately, for us factor nerds investing in these funds will simply come down to factor exposure versus cost. IMO, it takes at least a couple of years before one can reliably identify the factor loadings of a new fund. Wake me up after three years of results. No doubt these funds won't be said by advisers to be as "pure" as AQR/DFA versions. Will be interesting to see how the Vanguard funds compare against higher cost alternatives, particularly if you throw the adviser's AUM fee in. Mind you. perhaps the Vanguard funds really won't be as good, as e.g. the Vanguard small cap fund might might have too many assets to go as far down the "small company" direction of of the size axis. Still seems like a good thing for tho...
- Tue Nov 28, 2017 3:59 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
Unfortunately, I think it can be more difficult to draw forward-looking conclusions from financial data as opposed to medical data. Changes in health and drug reactions among broad human populations are likely to be pretty slow over time. If drug B works a bit better than the previous status quo (A), even among a relatively small test sample of, say, 80 patients, then it's, IMO, fairly likely to maintain that edge 5, 10, 15 years ago. Of course, a new better drug (C) could come out, or the test of B could have been flukey, or other changes in the relevant population could affect things, but still... Whereas, for financial data, the fact that strategy B beat strategy A over some finite past period should be regarded, IMO, with far more caut...
- Tue Nov 28, 2017 12:50 pm
- Forum: Personal Investments
- Topic: Can I afford a $1,400,000 house
- Replies: 112
- Views: 18962
Re: Can I afford a $1,400,000 house
I vote you can afford it but you should not buy it. What if your wife does not like her job? What if after having kids you both want to go down to 0.7 FTE? You probably feel you deserve this house because you have worked hard and paid your dues. Nobody owes you anything. Take your time. Pay down some debts. Once you pull the trigger you get handcuffed to that huge mortgage and other outstanding debts and become forced to work whether you like it or not.
- Tue Nov 28, 2017 12:44 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
Be careful backtesting with short time periods. While that's an interesting backtest, 4 years is nowhere near enough to evaluate something like this in my opinion. I usually try to perform multi-decade backtests. I feel that hasn't been around long enough to backtest that far back in the past is usually too new or too risky to be reasonable. There are limitations to backtesting, and history is no guarantee - even a long history, but especially a short history. I ain't back testing, I'm front testing! These are real funds. If I back test folks say that it doesn't count as it does not include real transaction costs and real fees. When I do things prospectively with funds I actually invest in I'm told it's too short of a time period. I'm damn...
- Mon Nov 27, 2017 8:38 am
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
Be careful backtesting with short time periods. While that's an interesting backtest, 4 years is nowhere near enough to evaluate something like this in my opinion. I usually try to perform multi-decade backtests. I feel that hasn't been around long enough to backtest that far back in the past is usually too new or too risky to be reasonable. There are limitations to backtesting, and history is no guarantee - even a long history, but especially a short history. I ain't back testing, I'm front testing! These are real funds. If I back test folks say that it doesn't count as it does not include real transaction costs and real fees. When I do things prospectively with funds I actually invest in I'm told it's too short of a time period. I'm damn...
- Fri Nov 24, 2017 1:00 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe: Managing Risk With Factors
- Replies: 326
- Views: 28771
Re: Larry Swedroe: Managing Risk With Factors
Dave, Can you give me a comparative alt portfolio (including MOM, Reinsurance etc.) to a 60:40 three fund one. I really want to follow this prospectively. The alt portfolio has good 'science' but I'm skeptical of costs, implementation and performance in the next bear market and and I'm not even going in to tax considerations. Unfortunately with investing, I believe, one has to embrace and accept 'fat tails' with lots of patience, discipline and a good dose of bonds. I got you vencat: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2017&lastMonth=12&endDate=11%2F23%2F2017&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjus...
- Tue Nov 07, 2017 8:04 am
- Forum: Personal Investments
- Topic: Allocation Decisions: LENDX, SRRIX and QSPIX
- Replies: 64
- Views: 21331
Re: Allocation Decisions: LENDX, SRRIX and QSPIX
I've been lazy about these ALTS. Illiquid ones might still be worth it. Hassle factor must be taken into consideration. Probably worth it if portfolio is 1 million+.
On another thought, look at QSPIX making a charge! Even QMHIX is coming back from the dead!
On another thought, look at QSPIX making a charge! Even QMHIX is coming back from the dead!
- Mon Nov 06, 2017 4:00 pm
- Forum: Personal Finance (Not Investing)
- Topic: HSA question
- Replies: 4
- Views: 917
Re: HSA question
Shoot, one more question, is the limit for 2018 based on the above $6900 or $3450? I assume the former since she can use it for the entire family?
- Mon Nov 06, 2017 3:57 pm
- Forum: Personal Finance (Not Investing)
- Topic: HSA question
- Replies: 4
- Views: 917
Re: HSA question
Thank you!
- Mon Nov 06, 2017 1:52 pm
- Forum: Personal Finance (Not Investing)
- Topic: HSA question
- Replies: 4
- Views: 917
HSA question
Open enrollment!
Just want to double check my understanding:
Spouse HSA plan (self only)
HMO plan (kids + me)
Spouse can use her HSA dollars to pay for myself and kids copays even though we are not on her plan correct?
Thank you!
grap
Just want to double check my understanding:
Spouse HSA plan (self only)
HMO plan (kids + me)
Spouse can use her HSA dollars to pay for myself and kids copays even though we are not on her plan correct?
Thank you!
grap
- Wed Oct 25, 2017 7:27 am
- Forum: Investing - Theory, News & General
- Topic: Why [was] QSPIX steadily declining?
- Replies: 172
- Views: 22620
Re: Why is QSPIX steadily declining?
ER of 1.48% :shock: How does anyone who calls themselves a Boglehead get interested in such a fund? Because according to Larry Swedroe, you should divide the expense ratio by two for a long-short fund Priceless :!: And as of today, QSPIX ER now seems to be-- drum roll... Net Expenses - 2.35 %. But yes, there is a fee waver that lowers the fee to 1.5%* through 4/2018 *(excluding interest, taxes, dividends on short sales, borrowing costs, acquired fund fees and expenses, interest expense relating to short sales and extraordinary expenses) https://funds.aqr.com/our-funds/alternative-investment-funds/style-premia-alternative-fund Paul Not very helpful. QSPIX YTD returns are 9.07%. Does it matter if the ER is 1.5 or 2%? Fees matter most when yo...
- Wed Oct 25, 2017 7:23 am
- Forum: Investing - Theory, News & General
- Topic: Why [was] QSPIX steadily declining?
- Replies: 172
- Views: 22620
Re: Why is QSPIX steadily declining?
^^^That's exactly what I'm wondering.
I think I'm too lazy to do anything and I don't want to pay the $49.95 fee to purchase it. Think I'll just stick with my 15% QSPIX and 5% QMHIX. Might add some volatility scaling at some point eg AVRPX. It basically gets you to the same place.
I think I'm too lazy to do anything and I don't want to pay the $49.95 fee to purchase it. Think I'll just stick with my 15% QSPIX and 5% QMHIX. Might add some volatility scaling at some point eg AVRPX. It basically gets you to the same place.
- Mon Sep 11, 2017 7:03 am
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
Individual stocks are waaaaayyyy more risky than anything listed in this thread. Not even close. You are entitled to your opinion of course.midwayboomer wrote: ↑Sun Sep 10, 2017 5:56 pm Our TD Ameritrade holds individual stocks and mutual funds and returns in excess of 3 % in dividends yearly.
- Sat Sep 09, 2017 5:09 pm
- Forum: Personal Finance (Not Investing)
- Topic: Thinking about accepting new job that pays a bit less
- Replies: 27
- Views: 3587
Re: Thinking about accepting new job that pays a bit less
OP, you are in great financial shape. Slam dunk. Go for it if it improves your family life. You might find yourself even happier at work and your output will reflect that and you end up making more at some point.
- Fri Sep 08, 2017 12:58 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
All strategies have risks! It's still positive something like ~85% of months. Much better than equities ~60%. Plus the reinsurance industry would change their fees to remain profitable if there really was an increase in natural disasters. I have more conviction in this strategy after watching it and doing more homework on it. Recent events should not influence a well thought out plan.
- Mon Aug 21, 2017 8:21 am
- Forum: Investing - Theory, News & General
- Topic: Why [was] QSPIX steadily declining?
- Replies: 172
- Views: 22620
Re: Why is QSPIX steadily declining?
...SPIX is operating as designed, a fund with positive returns with low correlation to the stock market. Again, I would view such a fund as a bond substitute. ER of 1.48% :shock: How does anyone who calls themselves a Boglehead get interested in such a fund? Because of this bwahaaahawhahwhwha!!! https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2016&lastMonth=12&endDate=09%2F28%2F2016&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0.0&frequency=4&rebalanceType=1&showYield=false&reinvestDividends=true&symbol1=VTHRX&allocation1_1=100&allocation1_2=80&symbol2=QS...
- Mon Jul 17, 2017 9:36 pm
- Forum: Personal Investments
- Topic: [Need help to review alternative investment portfolio]
- Replies: 18
- Views: 2882
Re: [Need help to review alternative investment portfolio]
Privately he has stated since that comment that he's moving towards something like this:Lieutenant.Columbo wrote:this 2:1 is the LENDX:SRRIX ratio Larry Swedroe recommendsWildCat48 wrote:...SRRIX (5% of total portfolio), LENDX (10% of total portfolio)...
8% LENDX
8% SRRIX
8% AVRPX
8% QSPRX
2% QMHRX
Alts 1/3 of portfolio, equal weighting them with the exception of QMHRX.
- Mon Jul 17, 2017 7:08 am
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
...Yep, Larry is getting into the land of 1/3 equities, 1/3 bonds, 1/3 Alts... The Only Guide To Winning Investment Strategy You'll Ever Need: Index Funds and Beyond--The Way Smart Money Creates Wealth Today isn't all you ever need? It's not good enough to stay the course in these model portfolios? https://s21.postimg.org/mlyvucvl3/Swedroe-model-portfolios-1998.png That's an excellent point. It seems virtually every financial author has changed their recommendations at some point in their career. It can make one skeptical about the recommendations. Although finance is a very soft science I think this is analogous to medicine. Smart people change their mind when presented with new information as Larry says. I concur. Eg. MDs and other healt...
- Fri Jul 14, 2017 12:43 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
How you liking QMHIX? I dislike it so far and that's why I know it's good for me. I'm about 20 basis points from needing to buy more. Everything else going up and this going down makes the band easy to hit.tarheel wrote:Been traveling so just catching up with this great thread now. Thanks grap! Nice to have a discussion on alternatives without the normal "don't ever buy these are you crazy" comments.
70% tilted equities/15% bonds/7.5% QSPIX/7.5% QMHIX for life.
- Fri Jul 14, 2017 12:42 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
The latter allocation gives more weighting to LENDX and SRRIX due to more persistent positive returns and return per unit of risk ie risk/reward trade off looks more favorable for these funds than the other three.... somewhere else sometime earlier this year, and speaking of LENDX and SRRIX, The two funds have about same expected return but the volatility of LENDX is only about 5 (vs 20 for equities) and for SRRIX it’s only about 10. So with about same expected return currently and about half the risk in terms of volatility I have 2x in LENDX that I do in SRRIX. EDIT: Also, just now ...we have approved and I will be personally investing significant dollars, in SRs All Asset Variance Risk Premium fund with similar expect ed returns and risk...
- Wed Jul 12, 2017 3:01 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
Final point, maybe I'm a little overly influenced on these funds by one expert former poster? Maybe. If I can understand the concepts of these funds and he tells me he's done due diligence I don't need to backtest for example SRRIX in 2008 or maybe try to find the last 150 years of reinsurance returns. He's already done the work. I'll take his word for it. I've never caught him lying. It's no different that taking the recommendation from a brain surgeon when you need brain surgery. Will I go read a book on brain surgery beforehand? Nope. Do I understand every minor detail in all of these strategies? No. Do I need to? I don't think so. These funds will be fun to follow.
- Wed Jul 12, 2017 2:59 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
Hi Grap, [As Always] I really enjoyed this thread you started and your insights on the different alternative funds. A few thoughts: 1) I can't help to draw the analogy to the complexity pension/endowment/SWF funds have layered on in an effort to produce superior risk adjusted returns than the classic stock-bond balanced portfolio. The results didn't turn out well. 2) Just because an asset has low correlation to stocks and positive expected return, does not mean that it the addition of the asset will improve the Sharpe ratio of the portfolio. For example, if the asset has high volatility, returns which are not sufficiently large, or is highly correlated with other non-equity assets in your portfolio, the inclusion of it could have a negativ...
- Tue Jul 11, 2017 7:17 am
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
QSPIX is about 1/3 CS MOM and it is scaled for volatility and it has MOM outside of equities. You're not gonna lose your shirt on this one IMO. That's ok if you don't like the fund though.grok87 wrote: The correlations are not stable. certainly not stable enough to make a leveraged bet on it like QSPIX does- the idea of making a leveraged bet on something that (unleveraged) can lose 82% in a year is insane IMHO.
- Mon Jul 10, 2017 8:40 am
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
I wish there was a risk story then it'd be easier to swallow. The data is what it is however. It is as robust as value and small IMO. I cannot ignore it and have to put some there.Random Walker wrote:What sort of risk story could be behind Momentum though?
Dave
I should see if I can find the monthly returns of that TS MOM index back in 2008 and 2009 (they are on my home PC). You could actually feel the momentum at the time and also visualize it in the data.
- Mon Jul 10, 2017 8:34 am
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
That's a short time frame. Patience. Equity premium can be negative for significantly long times, you have to expect the same could happen here. Although with the 4 factors I think it's less likely than equity to be flat for a significantly long time eg 5-10 years. Stop looking at it for a while. EM was down/flat for quite some time and know I'm getting rewarded for my discipline.Avo wrote:Well I'm pretty disappointed with QSPNX, which has been flat for the past 1.5 years:
- Sun Jul 09, 2017 9:49 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
I'm still 15% QSPIX, 5% QMHIX for the record. I'm in the homework phase of these other funds. Plus moving money around may subject any backdoor Roths to pro rata rules for me so I'm still weighing my options.nisiprius wrote:Did you manage to buy this fund directly from Stone Ridge? If not, how did you manage it?grap0013 wrote:Fund Example: LENDX
Purchase: Stone Ridge
- Sun Jul 09, 2017 9:43 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
Thanks for laying these out in such a convenient table. We use QSPIX, LENDX and SRRIX for ~20 percent of our portfolio. The fees are very hard to swallow and something that I hope will come down with time but the diversification benefit suits us. That's why I try to look at annualized returns net of fees. Comparing X2 TSM funds you want to pick the one that costs 0.2% vs. 1.2%. No brainer. If LENDX or SRRIX had lower cost investable competition I would have more to deliberate. However, these funds are kinda unicorns for now. They are living up to the bill though. From what I listed above, the average of the 3 Stone Ridge funds is 7.07% with 78% of the months positive. Equities have been only positive about 60% of months historically plus y...
- Sun Jul 09, 2017 9:29 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
Really what has fueled interest in these type of instruments is the desire for a good bond substitute. Wasn't too awful long ago that you could get 6% returns from bonds with minimal risk and minimal correlation to the stock market. Well, your bond yields are more like 2% to 3%, even a 30 year US Treasury Bond doesn't get you 3%. Heck, I remember the days of 8% US Treasury Zero Coupon Bonds. I remember I-Bonds and TIPS with real rates of 3% or more. The days of low-risk, decent returns from bonds are pretty much over. Today, they are low risk, low return. Grap0013 wrote an excellent post and summarized some of the best Alternative Funds out there. Hopefully they can deliver the 7% returns and low stock market correlations. So far the retur...
- Sun Jul 09, 2017 9:18 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
LENDX looks very broad and to have a lot of capacity IMO. The only geographical location they exclude is emerging markets. Me thinks the profits may have dried up some for the DIY borrower and gone to these larger outfits? Hence, you pay Stone Ridge to get your 7% return and they work hard for it.Jack FFR1846 wrote:I'd be careful with Lending Club. I own notes there and have kept up with the goings on in business there and trends with their lending. There's a big outflow from lenders (including me) and lots of former proponents have soured (and shown their monthly profits which have turned into monthly losses). My opinion is that they're going down the toilet. Don't just look at numbers and notice that they're depressed.
- Sun Jul 09, 2017 9:16 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
Re: My Favorite Alternative Funds
QSPIX - interview with AQR folkswhodidntante wrote:How did you determine hypothetical 2008 performance?
QMHIX - TS MOM index was +20%, high volatility version implies 50% higher returns, but you know how that goes.
LENDX - Larry S. I was being conservative with -5%. Any estimate needs at least 5% error bars on either side of it though IMO. If not higher.
SRRIX - Last bad year was ~-15% in 2005 for this strategy per Larry
AVRPX - wild guess, would need to dig deeper
- Thu Jul 06, 2017 10:27 pm
- Forum: Investing - Theory, News & General
- Topic: My Favorite Alternative Funds
- Replies: 229
- Views: 50700
My Favorite Alternative Funds
Putting all of my favorite alternative funds in one place. If you do not like alternative funds and want to peddle total stock market please refrain from chiming in. You are not my intended audience. This is for folks interested in funds outside traditional stocks and bonds. Style Premia Alternative Fund Example: QSPIX/QSPNX Purchase: Through Fidelity Expected return (nominal and net of fees): ~7% annualized Expected standard deviation: 10 Correlation to stocks/bonds: 0 Correlation to anything else? Yes. TS MOM ~0.3 Hypothetical 2008 performance: -5% Returns Jan. 2014 thru June 2017: 5.86% annualized % positive months: 59% Notes: pure meth factor tilts for value, CS MOM, carry, and defensive https://www.bogleheads.org/forum/viewtopic.php?t=...