Search found 1845 matches

by garlandwhizzer
Fri Jun 22, 2018 6:38 pm
Forum: Investing - Theory, News & General
Topic: AQR throws a bit of shade at CAPE
Replies: 8
Views: 750

Re: AQR throws a bit of shade at CAPE

Cliff Asness makes another cogent and, for some of us, surprising revelation in the paper quoted above by matjen. The size effect paper is the easier one to discuss in a short blog. There isn’t one. That is, there isn’t a pure size effect (there is a paper). In fact, there never was a size effect. A...
by garlandwhizzer
Thu Jun 21, 2018 1:44 pm
Forum: Investing - Theory, News & General
Topic: Steep rise in "Old Age Dependency Ratio"
Replies: 15
Views: 1729

Re: Steep rise in "Old Age Dependency Ratio"

Great post, thx1138, thanks for posting. A sobering note for those who believe future US and DM equity returns are going to be at long term levels of real return. Demography plus debt does not equal destiny but they certainly influence it.

Garland Whizzer
by garlandwhizzer
Thu Jun 21, 2018 1:36 pm
Forum: Investing - Theory, News & General
Topic: AQR throws a bit of shade at CAPE
Replies: 8
Views: 750

Re: AQR throws a bit of shade at CAPE

Unfortunately, being “sure” isn’t a major feature of our business and anyone looking for it is going to have to learn to live with disappointment. 1+ Totally agree with Taylor on how wise and accurate Asness's statement is. In spite of some of the brightest, most knowledgeable experts carefully exa...
by garlandwhizzer
Wed Jun 20, 2018 2:22 pm
Forum: Investing - Theory, News & General
Topic: Factor tilts -- only for small caps?
Replies: 7
Views: 659

Re: Factor tilts -- only for small caps?

vineviz wrote; Both value and quality factors definitely show return premia among larger stocks, not just among small stocks. Is that what you're asking? True according to theory based on long term backtesting. It is important however to realize that long term means really long term. Since 2002, mo...
by garlandwhizzer
Tue Jun 19, 2018 1:12 pm
Forum: Investing - Theory, News & General
Topic: McKinsey: Rising corporate debt: Peril or promise?
Replies: 6
Views: 743

Re: McKinsey: Rising corporate debt: Peril or promise?

It is not entirely clear whether rising debt will be peril or promise in the long run, but high corporate debt levels do increase risk of default in the rapidly expanded corporate bond markets. In recent years many investors, frustrated by persistently low interest rates, flocked to high yield bonds...
by garlandwhizzer
Mon Jun 18, 2018 1:11 pm
Forum: Investing - Theory, News & General
Topic: Debt Song Not a Pretty Tune
Replies: 5
Views: 1539

Debt Song Not a Pretty Tune

Article from Liz Sonders at Charles Schwab
https://www.schwab.com/resource-center/ ... retty-tune

I'm sure many will pass this off as inconsequential, but I for one share Liz's long term concerns. Comments?

Garland Whizzer
by garlandwhizzer
Mon Jun 18, 2018 12:44 pm
Forum: Investing - Theory, News & General
Topic: Mean Reversion in Long-Term Stock Returns?
Replies: 25
Views: 1942

Re: Mean Reversion in Long-Term Stock Returns?

CurlyDave wrote: Currently Atlanta FED is forecasting 4.8% for 2Q 2018. https://www.frbatlanta.org/cqer/research/gdpnow.aspx New York FED is only forecasting 2.98%. https://www.newyorkfed.org/research/policy/nowcast These are 2Q estimates. The FED Open Market Committee estimates for the whole of 20...
by garlandwhizzer
Sun Jun 17, 2018 1:41 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rediscovering The Size Effect
Replies: 36
Views: 3488

Re: Larry Swedroe: Rediscovering The Size Effect

Robert T wrote: 1982-2018: Annualized return 11.8% = Large caps (Largest 30%) 11.6% = Small caps (Smallest 30%) Factor investing theory suggests that over sufficiently long periods of time, factors outperform beta consistently and reliably. Otherwise why hold onto a factor portfolio? The above is 3...
by garlandwhizzer
Sat Jun 16, 2018 9:28 pm
Forum: Investing - Theory, News & General
Topic: Mechanisms for disappearance of factor premia -- how does it work for momentum?
Replies: 14
Views: 758

Re: Mechanisms for disappearance of factor premia -- how does it work for momentum?

As grok87 points out MOM long/short portfolios can be lethal to portfolio value quickly when a bear market suddenly reverses. In 2009, the FF MOM factor lost 82.7% of its value in 12 months. It can take quite a long time to recover when your portfolio is only worth 17.3% of its value 12 months ago. ...
by garlandwhizzer
Sat Jun 16, 2018 12:43 pm
Forum: Investing - Theory, News & General
Topic: Mean Reversion in Long-Term Stock Returns?
Replies: 25
Views: 1942

Re: Mean Reversion in Long-Term Stock Returns?

CurlyDave wrote: A. US GDP growth rates are increasing -- this means I should push my AA toward higher equity percentages. It also means that the "doom and gloom" about real equity returns over the next decade might be wrong. Actually over the last decade and in fact since 2000, US GDP growth has s...
by garlandwhizzer
Fri Jun 15, 2018 7:05 pm
Forum: Investing - Theory, News & General
Topic: The Best Way to use Factor ETFs
Replies: 1
Views: 345

The Best Way to use Factor ETFs

The following is an interview from Morningstar between Christine Benz and Ben Johnson discussing both single factor ETFs and multi-factor ETFs and comparing those approaches to a broadly based cap weighted index fund like TSM. It seems to me that they lean toward multi-factor rather than single fact...
by garlandwhizzer
Fri Jun 15, 2018 12:55 pm
Forum: Investing - Theory, News & General
Topic: Vanguard - Newsletters & Research Reports
Replies: 2
Views: 389

Re: Vanguard - Newsletters & Research Reports

I occasionally read their research reports and in general I think they are helpful.

Garland Whizzer
by garlandwhizzer
Wed Jun 13, 2018 5:17 pm
Forum: Investing - Theory, News & General
Topic: Schwab's market predictions next 10 years
Replies: 20
Views: 2680

Re: Schwab's market predictions next 10 years

From Larry's article, "Assessing Expected Returns" And finally, we’ll look at research by Cliff Asness of AQR Capital. In a November 2012 paper, “An Old Friend: The Stock Market’s Shiller PE,” Asness found that 10-year forward average real returns fall nearly monotonically as starting CAPE 10 P/E r...
by garlandwhizzer
Mon Jun 11, 2018 8:39 pm
Forum: Investing - Theory, News & General
Topic: AlphaArchitect - Commodities for the Long Run
Replies: 10
Views: 750

Re: AlphaArchitect - Commodities for the Long Run

I do not mean to paint the entire financial industry with one brush although sometimes I slip into that. I believe Cliff Asness for example is honest, highly intelligent, well-meaning and tries his best through solidly grounded high quality research and vast knowledge to deliver his investors with o...
by garlandwhizzer
Mon Jun 11, 2018 3:09 pm
Forum: Investing - Theory, News & General
Topic: AlphaArchitect - Commodities for the Long Run
Replies: 10
Views: 750

Re: AlphaArchitect - Commodities for the Long Run

matjen wrote: I’m disappointed in you since the underlying paper is written by people affiliated with AQR. If you had bothered to read that of course. You missed a golden opportunity to cast aspersions on their motives as well. I admit I didn't read the article. When I see a suggestion or even a hi...
by garlandwhizzer
Mon Jun 11, 2018 1:43 pm
Forum: Investing - Theory, News & General
Topic: Multi-Asset vs. Simple Portfolio, 1970-2017
Replies: 37
Views: 3029

Re: Multi-Asset vs. Simple Portfolio, 1970-2017

aj76er wrote: What were the costs of buying international and small cap stocks over those time periods? And are those being reflected in these types of analyses? Note that cost includes E/R costs, bid-ask spreads, taxes, etc... I don't have data in front of me, but my suspicion is that recency bias...
by garlandwhizzer
Mon Jun 11, 2018 1:02 pm
Forum: Investing - Theory, News & General
Topic: AlphaArchitect - Commodities for the Long Run
Replies: 10
Views: 750

Re: AlphaArchitect - Commodities for the Long Run

How odd that a firm that markets commodity exposure thinks its attractive. Long term returns of commodities cluster around zero real. Increased diversification and lower portfolio volatility come at a price, no free lunch. AlphaArchitect suggests they have the secret sauce for Sharpe ratio success i...
by garlandwhizzer
Mon Jun 11, 2018 12:44 pm
Forum: Investing - Theory, News & General
Topic: Multi-Asset vs. Simple Portfolio, 1970-2017
Replies: 37
Views: 3029

Re: Multi-Asset vs. Simple Portfolio, 1970-2017

Random Walker wrote: How do you feel about correlations? I realize correlations change over time, but nonetheless feel that anything less than a correlation of 1 between portfolio components is beneficial. So I tend to err on the side of diversification across factors, styles, asset classes. I beli...
by garlandwhizzer
Sun Jun 10, 2018 3:23 pm
Forum: Investing - Theory, News & General
Topic: Multi-Asset vs. Simple Portfolio, 1970-2017
Replies: 37
Views: 3029

Re: Multi-Asset vs. Simple Portfolio, 1970-2017

nisi wrote: I know this is heresy, because if you say "well, the difference between a CAGR of 9.88% and one of 9.45% isn't much," someone is bound to say "it's huge of you compound it out for 30 years." Well, it would be if you knew those numbers were correct in the first place (and wouldn't flip a...
by garlandwhizzer
Sat Jun 09, 2018 3:13 pm
Forum: Investing - Theory, News & General
Topic: VMMXX (Vanguard Prime MM) risks
Replies: 71
Views: 7398

Re: VMMXX (Vanguard Prime MM) risks

pascalwager wrote: I don't understand why Vanguard would produce money market funds meant to hold cash that are not riskless and don't understand why anyone would want to place their cash in such funds. I guess Vanguard is simply competing with the banks and Treasury Direct for it's share of our ca...
by garlandwhizzer
Fri Jun 08, 2018 12:58 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman and Small Cap Value
Replies: 137
Views: 14802

Re: Paul Merriman and Small Cap Value

Just my 2 cents worth. If we're talking about adding risk to an equity portfolio to increase long term expected returns, I personally believe that at the present time both EM and INTL, including small cap exposure in those areas, are good choices, worthy of inclusion in the portfolio. US has bested ...
by garlandwhizzer
Fri Jun 08, 2018 12:38 pm
Forum: Investing - Theory, News & General
Topic: Factors From Scratch
Replies: 11
Views: 899

Re: Factors From Scratch

From the conclusion: Of course, the future is far more interesting and important than the past. To what degree can we be confident that these forms of “edge” will persist? It 's impossible to say with certainty. All we can do is go off of the evidence, which in this case provides strong support for ...
by garlandwhizzer
Thu Jun 07, 2018 8:12 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman and Small Cap Value
Replies: 137
Views: 14802

Re: Paul Merriman and Small Cap Value

I wasn't comparing SCV with the S&P 500 over the last 15 years. Rather I compared DFSVX with NAESX, both funds playing in the small cap space, DFSVX much deeper into the small factor and a deep value fund to boot in contrast to NAESX which contains mid cap stocks and makes no effort to seek the valu...
by garlandwhizzer
Thu Jun 07, 2018 2:00 pm
Forum: Investing - Theory, News & General
Topic: International Investing - a convincing argument by Fidelity
Replies: 6
Views: 946

Re: International Investing - a convincing argument by Fidelity

Number 5 suggests that actively managed INTL LC funds outperform INTL LC index funds. I suspect that their data did not take into account survival bias. A large percentage of actively managed INTL funds didn't survive the 1993 - 2016 time period due to underperformance. Using an honest comparison, I...
by garlandwhizzer
Thu Jun 07, 2018 1:46 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman and Small Cap Value
Replies: 137
Views: 14802

Re: Paul Merriman and Small Cap Value

vineviz wrote: I suppose that's true: if you look at each rolling 15-year period from January 1930 until December 2017, you'll find that SCV only outperformed the total stock market in 72 of those 74 periods. Interesting that the second such very rare 15 year spell of underperformance period for SC...
by garlandwhizzer
Thu Jun 07, 2018 1:15 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9393

Re: Yes, you can diversify a market portfolio

SimpleGift wrote: Thus it really comes down to how much one believes in the theory of multi-asset or factor investing and is willing to take their chances with investment portfolios that deviate from a standard neutral "market portfolio." Just my perspective. As usual, Todd hits the nail on the hea...
by garlandwhizzer
Wed Jun 06, 2018 9:18 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman and Small Cap Value
Replies: 137
Views: 14802

Re: Paul Merriman and Small Cap Value

Alchemist wrote: Umm....it has been true over the last decade. Total Return Per Morningstar over the last ten years: DFSVX: 9.58% VTSAX: 9.68% Another interesting fact: according to Portfolio Visualizer over the last 15 years (2003 - 2018) DFSVX has slightly underperformed NAESX, Vanguard's SC inde...
by garlandwhizzer
Wed Jun 06, 2018 12:13 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9393

Re: Yes, you can diversify a market portfolio

There is a big difference between risk and volatility. Academic theory can reduce volatility by optimizing diversification across various equity factors, exposure to INTL equity and bonds, using differing bond types and asset types in a mixture to optimize Sharpe ratio and reduce portfolio volatilit...
by garlandwhizzer
Tue Jun 05, 2018 8:36 pm
Forum: Investing - Theory, News & General
Topic: in idea with SCV and leverage..
Replies: 23
Views: 1744

Re: in idea with SCV and leverage..

Leverage with a high risk/high potential reward asset like SCV with a large portion of the portfolio is a fine option if you have sufficient safe wealth that you can comfortably afford to lose 60+% of SCV value without panic, and/or you have a high paying job that is totally secure regardless of wha...
by garlandwhizzer
Tue Jun 05, 2018 1:43 pm
Forum: Investing - Theory, News & General
Topic: vanguard fund that is the safest fund that is most likely to just keep up with inflation
Replies: 18
Views: 2482

Re: vanguard fund that is the safest fund that is most likely to just keep up with inflation

IMO the key to safely keeping up with inflation involves two things: safety with low volatility and short duration. Conservatively run MMF and T Bills do this with essentially zero duration and very high levels of default safety. Short term TIPS have a modestly longer duration but may be preferable ...
by garlandwhizzer
Mon May 21, 2018 1:05 pm
Forum: Investing - Theory, News & General
Topic: Does your value fund own the wrong value stocks?
Replies: 25
Views: 3022

Re: Does your value fund own the wrong value stocks?

vineviz wrote: RYSVX is a terrible choice for trying to illustrate this point. Not only is it a full load fund with an INSANE 1.53% expense ratio, it is ineptly managed (nearly 1,500% stock turnover, 5% cash, and one of the worst tax-adjusted returns I've ever seen). The expense ratio was not alway...
by garlandwhizzer
Mon May 21, 2018 12:48 pm
Forum: Investing - Theory, News & General
Topic: Does your value fund own the wrong value stocks?
Replies: 25
Views: 3022

Re: Does your value fund own the wrong value stocks?

Robert T wrote: DFA uses P/B as a value metric. Over the last 18 years: 2000-2017: Annualized Returns / Growth in $10,000 8.85% / $46,035 = DFA Large Value Fund [DFLVX] 5.76% / $27,398 = Vanguard Total Stock Market [VTSMX] https://www.portfoliovisualizer.com/bac ... ion2_2=100 Good point as always,...
by garlandwhizzer
Sun May 20, 2018 2:09 pm
Forum: Investing - Theory, News & General
Topic: Does your value fund own the wrong value stocks?
Replies: 25
Views: 3022

Re: Does your value fund own the wrong value stocks?

I believe the main point is that the value premium originally described by Fama/French was defined solely by GAAP measures of PB and it worked on backtesting at that time to produce robust long term outperformance. Now it no longer has worked in retrospect even on a cost-free basis for 18 years. I'm...
by garlandwhizzer
Fri May 18, 2018 4:55 pm
Forum: Investing - Theory, News & General
Topic: Does your value fund own the wrong value stocks?
Replies: 25
Views: 3022

Re: Does your value fund own the wrong value stocks?

The following website describes the problem with using PB as a criterion for harvesting the value premium over the last 18 years during which it has underperformed its benchmark, the Russell 3000. The author suggests that PB no longer works but can be modified by substituting "Tangible Book Value" f...
by garlandwhizzer
Fri May 18, 2018 12:16 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: No Need For Corp Bonds?
Replies: 38
Views: 3933

Re: Larry Swedroe: No Need For Corp Bonds?

nisi wrote: I think that unless you are close to 100% invested in bonds, it's all angels-dancing-on-the-head-of-a-pin stuff. As for the bond bull market, etc. absolutely everything that has ever happened in the history of US bonds has been unique in history. If you want to make any extrapolations f...
by garlandwhizzer
Thu May 17, 2018 12:23 pm
Forum: Investing - Theory, News & General
Topic: Good idea investing now in long term funds?
Replies: 57
Views: 4330

Re: Good idea investing now in long term funds?

raven15 wrote: -match duration to need for money -invest in longer term bonds if we have some combination of long horizons, large percentage stock allocations, will be making regular purchases for a long time, realize that long term bonds are risky -invest in shorter term bonds if we have some comb...
by garlandwhizzer
Wed May 16, 2018 12:10 pm
Forum: Investing - Theory, News & General
Topic: Good idea investing now in long term funds?
Replies: 57
Views: 4330

Re: Good idea investing now in long term funds?

raven15 wrote: Yield curves were flat in 2007 too. Even flatter in fact. Did 2007 turn out to be a bad time to buy long term government debt? IMO the main purpose of bonds in a portfolio is stabilization of volatility from the equity side. Vanguard's Long Term Treasury Bond Fund is down 6.92% YTD. ...
by garlandwhizzer
Tue May 15, 2018 8:29 pm
Forum: Investing - Theory, News & General
Topic: Good idea investing now in long term funds?
Replies: 57
Views: 4330

Re: Good idea investing now in long term funds?

Good idea investing now in long term funds? No. With a yield curve that is almost flat the risk/reward tradeoff is not favorable for increasing bond duration at present IMO. Historically speaking we're still in a very low rate environment. The point to increase duration risk is not when short term ...
by garlandwhizzer
Mon May 14, 2018 9:24 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 42
Views: 6164

Re: Larry Swedroe: Digging Into 'Deep Value'

comeinvest wrote: The argumentation sounds reasonable. But WisdomTree and others argue the opposite. They say the dividend tilt helps during times of distress Dividend paying stocks do tend to perform better during market declines for the reasons stated and in general they do have a modest value sl...
by garlandwhizzer
Mon May 14, 2018 6:22 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 42
Views: 6164

Re: Larry Swedroe: Digging Into 'Deep Value'

Just my two cents worth. Looking backward with 20/20 hindsight, there are multi-year periods when growth outperforms value (1990s and following the collapse of 2007-9) that alternate with periods where value outperforms growth (2000-2007). Likewise there are multi-year time periods when large cap ou...
by garlandwhizzer
Mon May 14, 2018 3:16 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Risks Of Short Selling
Replies: 8
Views: 1169

Re: Larry Swedroe: Risks Of Short Selling

In theory shorting losers should add to returns but it also can increase risk substantially relative to a long-only portfolio. This risk particularly shows up in MOM where short positions in high beta stocks that have gotten killed during the a long severe bear market suddenly backfire when the mark...
by garlandwhizzer
Thu May 10, 2018 12:52 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness (AQR) on Bloomberg discussing Fixed Income
Replies: 15
Views: 1762

Re: Cliff Asness (AQR) on Bloomberg discussing Fixed Income

AQR fixed income value = "For corporate bonds we compare credit option adjusted spreads against two fundamental anchors designed to capture the ‘risk’ that the company may migrate to a poorer credit quality. Our first fundamental anchor is a structural model which measures the bond’s “distance to d...
by garlandwhizzer
Thu May 10, 2018 12:20 pm
Forum: Investing - Theory, News & General
Topic: Total Bond - SEC yield breaks 3%
Replies: 104
Views: 12662

Re: Total Bond - SEC yield breaks 3%

willthrill81 wrote:
It would almost make you think that nobody knows what's actually going to happen.
1+

Garland Whizzer
by garlandwhizzer
Wed May 09, 2018 1:36 pm
Forum: Investing - Theory, News & General
Topic: Concerned about Total Bond Mkt duration increase?
Replies: 23
Views: 2495

Re: Concerned about Total Bond Mkt duration increase?

BlueEars wrote: I wonder if Total Bond Market (and other intermediate bond funds) pays enough for the added duration. It's a personal choice but for me the answer to this question at the present time is NO. Duration risk was rewarded roughly from 1982 to 2015 and duration risk wasn't an issue. Time...
by garlandwhizzer
Tue May 08, 2018 7:50 pm
Forum: Investing - Theory, News & General
Topic: Peer-to-peer lending as an investment?
Replies: 67
Views: 7776

Re: Peer-to-peer lending as an investment?

Today is not my day. I misquoted Jim Grant. What he actually said is:
The problem with money is credit. The problem with credit is people.
Garland Whizzer, hopefully for the last time today
by garlandwhizzer
Tue May 08, 2018 7:44 pm
Forum: Investing - Theory, News & General
Topic: Peer-to-peer lending as an investment?
Replies: 67
Views: 7776

Re: Peer-to-peer lending as an investment?

Sorry about repeating Grant's quote twice.

Garland Whizzer
by garlandwhizzer
Tue May 08, 2018 7:43 pm
Forum: Investing - Theory, News & General
Topic: Peer-to-peer lending as an investment?
Replies: 67
Views: 7776

Re: Peer-to-peer lending as an investment?

Jim Grant with whom I often disagree always has pithy commentary. This is his quote about lending in general and its risk. The problem with money is lending. The problem with lending is people. Lending Club and P2P lending as an investment class is relatively new and it has done well in its brief hi...
by garlandwhizzer
Tue May 08, 2018 7:13 pm
Forum: Investing - Theory, News & General
Topic: Bond Fund Point of Indifference vs. Principle Recovery
Replies: 57
Views: 4959

Re: Bond Fund Point of Indifference vs. Principle Recovery

What if it isn't a single 1 or 1.55 rise in rates (where equations can easily solve the point of principal recovery) but rather a long period of slow and gradual quarterly rate increases accompanied by slow gradual increases in inflation. In that scenario you can't define exactly when you'll get pri...
by garlandwhizzer
Mon May 07, 2018 8:34 pm
Forum: Investing - Theory, News & General
Topic: Avoid Emerging Markets due to stricter securities regulation in Developed Markets? Lessons from SZSE..Maybe not?
Replies: 26
Views: 2729

Re: Avoid Emerging Markets due to stricter securities regulation in Developed Markets? Lessons from SZSE..Maybe not?

SimpleGift wrote: Because of the a priori assumption in the minds of many that developed countries are exceptional and superior in every way, I wouldn't be surprised to see quite a few lessons coming from the developing economies in the decades ahead. After all, they do comprise 80% of the world's ...
by garlandwhizzer
Mon May 07, 2018 5:08 pm
Forum: Investing - Theory, News & General
Topic: Peer-to-peer lending as an investment?
Replies: 67
Views: 7776

Re: Peer-to-peer lending as an investment?

We've been in a modest economic recovery and an exuberant stock market recovery for 9 years. Expected defaults on loans whether they be LC, other P2P, mortgage, or corporate tend to be low when home and asset prices are rising and employment is increasing. Basically if you survived the Great Recessi...