Search found 1718 matches
- Sat Oct 23, 2010 6:16 pm
- Forum: Investing - Theory, News & General
- Topic: New DFA Article
- Replies: 78
- Views: 24383
You once showed 100% VG SV to equal 40%/36%/24% S&P 500/DFA LV/DFA SV... http://www.bogleheads.org/forum/viewtopic.php?p=476220#476220 Could you do the same again here for your portfolio? James, That chart in the post you linked listed various allocation with the same historical 79-0? retuns--the actual factor tilts were quite different. For 28/42/12/18, I would guess a combo of Vanguard SV and Wisdomtree Int'l Small Div...but due to the challenge of getting realistic returns on non-MSCI indexes, I'm not sure. For all practical purposes, if you need (or want) a high return associated with a 40/60 mix, I'd forget the factor tilts and just stick with Vanguard Value/Small Value, EAFE Value/EAFE Small and let the chips fall where they may....
- Sat Oct 23, 2010 6:00 pm
- Forum: Investing - Theory, News & General
- Topic: New DFA Article
- Replies: 78
- Views: 24383
I am 100% equity besides my emergency fund. Once I get to the point where I need bonds (I'll probably opt for 5-7 years of retirement income in fixed income to overcome inevidable equity bear markets), I'll use short term (5YRs or less), high quality (AA or better) fixed. I've never been a big fan of taking on additional fixed income risks (excessive term or credit risk).markfaix wrote:SH:SmallHi wrote:28% US LV
42% US SV
12% Int LV
18% Int SV
Do you mind describing your bond allocation and your equity-fixed ratios? Thanks.
sh
- Tue Sep 21, 2010 10:26 am
- Forum: Investing - Theory, News & General
- Topic: New DFA Article
- Replies: 78
- Views: 24383
Boglenut,
You can get there with VTV, VBR, EFV, and SCZ to keep it in the MSCI family. If the "market" nature of SCZ bothers you, DLS is an alternative.
james22,
My allocation is not constrained in any way other than having to get the buy in of my wife who doesn't fully share my zest for small value stocks!
SH
You can get there with VTV, VBR, EFV, and SCZ to keep it in the MSCI family. If the "market" nature of SCZ bothers you, DLS is an alternative.
james22,
My allocation is not constrained in any way other than having to get the buy in of my wife who doesn't fully share my zest for small value stocks!
SH
- Mon Sep 20, 2010 11:54 am
- Forum: Investing - Theory, News & General
- Topic: New DFA Article
- Replies: 78
- Views: 24383
- Sun Sep 19, 2010 2:12 pm
- Forum: Investing - Theory, News & General
- Topic: New DFA Article
- Replies: 78
- Views: 24383
. Perhaps the 25% EM came from posts like this one (from a distant thread). http://socialize.morningstar.com/NewSocialize/ViewPost.aspx?apptype=0&PostID=1804177 "If I had no account restraints and access to any fund out there, I would hold a simple 50% USSV/25%Int'L SV/25%EMV portfolio...." Robert . I am not sure how many posts are out there where I said that. Although I didn't remember that one so who knows. Not a particularly well authored post to begin with, and I do believe I was only referring to myself anyway. Suffice it to say, I think 30% or 40% in non-US stocks is plenty. As Rex Sinqufield layer out in "Where Are The Gains From Int'l Diversification", the reason to add Int'l stocks to a US portfolio are: a)...
- Sun Sep 19, 2010 10:52 am
- Forum: Investing - Theory, News & General
- Topic: New DFA Article
- Replies: 78
- Views: 24383
- Sun Sep 19, 2010 10:46 am
- Forum: Investing - Theory, News & General
- Topic: New DFA Article
- Replies: 78
- Views: 24383
Hey, SmallHi. I don't remember you being such an EM fan. Is this new? I think what’s new is him not being such an EM fan. He seemed okay with EM at about 25% of equities (if I recall from distant threads). Then seemed to shift to zero in favor of all ISV (in place of EM). Initial arguments for the reconsideration/change were spelled out by Jeff Troutner in this earlier article: http://www.capitalspectator.com/WM/2007/01/the_big_chill_1.html . Interesting take - and nothing wrong with changing your mind. . Robert is correct (in part). I don't see a compelling case for adding EM to a diversified small/value tilted developed stock portfolio. Company earnings growth and country economic growth are two sides of the same coin, and translate into...
- Wed Feb 10, 2010 5:24 pm
- Forum: Investing - Theory, News & General
- Topic: Larry Swedroe on Marketwatch
- Replies: 8
- Views: 3035
From the comments section appears an old friend with an interesting query (ruh-roh!): smallhi 02/10/10 | Report as spam RE: Why Bond Market Outperformance Is So Tough In your books, you have advocated a shifting allocation strategy between TIPS funds and short/interm. term T bond funds, depending on TIPS yields. While your strategy makes perfect sense to me, how is your shifting allocation strategy different from active management strategies critiqued in your post? - DDB logging in to check a PM, I noticed this comment. I assure you, there is a "smallhi imposter" out there. I would never say "a shifting strategy between TIPS and short term bonds... makes perfect sense to me ". Short term high quality. Period. SH
- Thu Sep 10, 2009 8:13 pm
- Forum: Investing - Theory, News & General
- Topic: Retirement withdrawal: The "old conventional wisdom&quo
- Replies: 20
- Views: 5152
Re: Retirement withdrawal: The "old conventional wisdom
. From Erin Botsford at http://www.cnbc.com/id/15840232?video=1248700943&play=1 . That's sort of old conventional wisdom. We don't believe in taking systematic withdrawals from balanced portfolios. I think Ms. Botsford is correct. The Trinity 4% SWR stuff is being replaced by something less volatile (nerve-wracking, risky, capitulation inducing), and more certain, as the new paradigm. In my view, that is a good thing. . Yeah, 4% is often out of reach for investors who really believe they should stuff all their US stock allocations in TSM, and their idea of international diversification is more big, blue chip stocks that just happen to be domiciled in other developed countries (EAFE with a smidge of EM). Eventually even the zealots were...
- Tue Sep 08, 2009 12:49 pm
- Forum: Personal Consumer Issues
- Topic: Men's Dress Shoes
- Replies: 75
- Views: 16841
- Tue Sep 08, 2009 12:26 pm
- Forum: Personal Consumer Issues
- Topic: Men's Dress Shoes
- Replies: 75
- Views: 16841
When it comes to shoes, you get what you pay for. The best value for mens shoes are from Alden. SmallHi knows what he's talking about. Alden shoes are great and I've worn them for many years. (I also think he had recommended Samuelsohn suits in the past-my favorite brand). That said, I do think there is a second sweet spot in the sub-$100 range. For example I own a pair of Bostonian shoes that I got for around $80. They are very comfortable, look good, and have lasted 2 years so far. So there are definitely good cheap options if one is unwilling to shell out $600. Thanks MudFud. I don't want to be on record as saying you have to spend 300+ on a pair of shoes. You don't. But I also want to stress that a nice pair of Alden's are well worth t...
- Mon Sep 07, 2009 8:03 pm
- Forum: Personal Consumer Issues
- Topic: Men's Dress Shoes
- Replies: 75
- Views: 16841
I don't need to, I see the eBay results on a daily basis. FWIW, due to a high demand and small availability of the leather, prices for new shell cordovan shoes (esp ravello, cigar, and whiskey colors) has jumped a few hundred dollars or so--while gently used versions have held their value.livesoft wrote:Appreciated shoes? Give me a break. I learned a long time ago that practically no one wants to buy used shoes.
Don't believe me? Put up a poll to see if anyone will buy used Alden shoes.
Thank goodness my job doesn't require anything more than Rockports and even those are too expensive so its Top-Siders on sale for $48 to $60 at the most.
Sh
- Mon Sep 07, 2009 7:38 pm
- Forum: Personal Consumer Issues
- Topic: Men's Dress Shoes
- Replies: 75
- Views: 16841
When it comes to shoes, you get what you pay for. The best value for mens shoes are from Alden. Timeless stlyes that last a lifetime (when 2 or more pairs are rotated, stored with cedar shoe trees, and resoled/refurbished when they get old). For the average shoebuyer, their calfskin shoes will fit the bill. For a select few, their shell cordovan leathers are worth it*.
Allen Edmonds, also USA made, are nice, but not up to the quality of Alden. AE makes more trendy shoes, if you are into that kind of thing---which I am not.
SH
*come to think about it, my shell shoes have appreciated by more in value during the last few years than my Smallhi stocks!
Allen Edmonds, also USA made, are nice, but not up to the quality of Alden. AE makes more trendy shoes, if you are into that kind of thing---which I am not.
SH
*come to think about it, my shell shoes have appreciated by more in value during the last few years than my Smallhi stocks!
- Wed Sep 02, 2009 6:34 pm
- Forum: Personal Consumer Issues
- Topic: 49er market correlation
- Replies: 16
- Views: 2885
Paul, Nate Davis has impressed, no doubt. I am a bit hesitant to crown him a starter this year, only because he did it against the other team's practice squad, which, if you think about it, isn't much more than a decent college team. And we know he had a good college career. For sure though, I like his mobility, and he has a small cannon for an arm. That ill-advised 50 yard bomb he threw off his back foot as he was scrambling in the Cowboy's endzone was no small feat. Of course, as many pass interferences as you get on one of those, you get the D returing it for a pick-6. At this point, I do think they can make the playoffs if they play mistake free offense. The downside is, Gore only has a few years left at this pace. I do agree, some of t...
- Wed Sep 02, 2009 3:39 pm
- Forum: Personal Consumer Issues
- Topic: 49er market correlation
- Replies: 16
- Views: 2885
I too am a diehard (and I mean diehard) 49ers fan. I only came along in the early 80s (due to my age :wink: ), but have more than made up for lost time. 2 for 2 on attending preseason games this year, as a matter of fact! I am a little bit more optimistic about this year. I think Hill is the consumate underdog, and if the line can give him some time (and thats a big if), he has decent weapons with Gore, Davis, and a resurgent Issac Bruce. If Josh Morgan can continue his maturation, and Cashtree will ever wake up and sign, we could be seeing a fairly potent offense. Defensively, I think they will be OK, although the lack of a pass rush could be a big problem. The X factor is Singletary. He's kinda like the DFA of football -- he really gets t...
- Tue Aug 11, 2009 10:35 pm
- Forum: Investing - Theory, News & General
- Topic: Hulbert: Hold or Fold, but Don’t Waver (NYT)
- Replies: 20
- Views: 4195
Maybe not...unless you invest in the Permanent Portolio.ClubberLang wrote:[quote="SmallHi"--rude remark deleted-- The vast majority of people simply cannot live the life they want to live with 20-30% equity allocations. Ain't gonna happen.
http://www.bogleheads.org/forum/viewtopic.php?t=15434[/quote]
I wouldn't bet on it!
sh
- Tue Aug 11, 2009 10:16 pm
- Forum: Personal Investments
- Topic: How much are you up since March 9?
- Replies: 48
- Views: 7088
. Sh, That is a rather peculiar mix of DFA funds you have recently (?) constructed. Its the closest factor load match to the ETF portfolio using DFA TM funds I could get (matching individually the US, Non-US Developed, EM & fixed income loads, as well as the overall portfolio loads). Constructed a while ago [following your advice...]. What happened to the Vector/Core benchmark mix? How's that done over this period (and how do you even check that)? ETF +4% range on the year last I remember... Up 53.5% (easy to do in M* tracker - takes about 10 seconds - just need to enter a custom time). The Vector/Core benchmark is not an exact factor load match (at subcomponent level), but had the same long-term estimated expected return (even though ...
- Tue Aug 11, 2009 9:58 pm
- Forum: Investing - Theory, News & General
- Topic: Hulbert: Hold or Fold, but Don’t Waver (NYT)
- Replies: 20
- Views: 4195
"Buy & Hold" has to be conservative/moderate risk AA for it to work for individual investors. Tolerable Loss x 2 = Equity Allocation < 50% BUY-AND-HOLD investing isn’t for the faint of heart. It works only if you’re willing to hang onto losing stocks for very long periods, in downturns that may be far sharper than you ever imagined. If you don’t have such fortitude, you’re better off selling at the first sign of trouble and sitting on the sidelines. If you sell at the first sign of trouble, you will only donate your money to the IRS and might miss out on the big gains because you will be jumping in and out of the markets all the time. The only reliable sign of trouble is the inverted yield curve. You either accept the higher ...
- Tue Aug 11, 2009 9:45 pm
- Forum: Investing - Theory, News & General
- Topic: Last 10 years' lessons about equity risk
- Replies: 81
- Views: 22973
and yet for the same 10 year period, we also have: Vanguard Sm Value - +5.72% Vanguard Sm Growth - +5.11% Vanguard small cap - +4.20% Vanguard tax managed small - +5.98% Of course the only thing constant about those funds in the last decade has been their names, as each one except TM small has changed indexes at least once in the last 10 years, making any conclusions about stock returns based on their results totally worthless. No different than trying to judge stock returns from an index fund that went from a 100% stock to a 60/40 balanced index allocation mid stream. Totally irrelevant. At one point (IIRC) Vanguard was using S&P, Wilshire, and Russell indexes in one fund family! Talk about a firm in need of a compass... sh
- Tue Aug 11, 2009 9:21 pm
- Forum: Investing - Theory, News & General
- Topic: Last 10 years' lessons about equity risk
- Replies: 81
- Views: 22973
I'd say the fact that small value underperformend mid cap value, and had very similar performance to small growth over the past 10 years, would imply caution when applying the three factor model too regilously. Last 10 years annualized return, % (latest data from MSCI website as of today - http://www.mscibarra.com/products/indices/us/performance.jsp ) MSCI US Midcap Value................+7.4% MSCI US Small Cap Value...........+7.7% MSCI US Small Cap Growth.........+4.0% . Yes, I was looking at Vanguard's fund returns, where most of us invest, 10 year annualized returns as of yesterday: Vanguard Sm Value - +5.72% Vanguard Sm Growth - +5.11% TSM - -.27% Not exactly the type of SG disaster predicted by some. "I recommend completely avoid...
- Tue Aug 11, 2009 8:01 pm
- Forum: Personal Investments
- Topic: How much are you up since March 9?
- Replies: 48
- Views: 7088
. Up about 50% for a 75:25 stock:bond portfolio. FWIW I track several portfolios in M*, largely for learning/demonstration purposes (on asset allocation, security selection, and market timing). Here are the returns of each since March 9 (according M*). Asset Allocation - ETF ..........................................+50.58% Asset Allocation - DFA Tax-Managed ....................+49.53% Security selection ................................................+82.35% Market timing (16 month MA) ................................-2.98% My takeaway: (1) Portfolios with the same factor exposure had similar returns (re: the ETF and DFA asset allocation portfolios, these two portfolios have the same estimated factor exposure across regions and fixed inco...
- Sun Aug 09, 2009 2:45 pm
- Forum: Investing - Theory, News & General
- Topic: Getting out of Small Value - exit point?
- Replies: 41
- Views: 5959
. FWIW - 'recent' analysis suggest a much smaller difference between PCE and CPI. BEA’s comparion [see second slide] BLS’s comparison “Both the Bureau of Labor Statistics (BLS) and the Bureau of Economic Analysis (BEA) produce measures of the change in prices that consumers pay on the goods that they consume. While these measures tend to agree in broad historical trends in prices, they sometimes give different pictures of inflation over short horizons.” . Robert, The 2% figure I used for standard of living adjustment was real per capita (PCE), meaning that the growing trend was in addition to CPI, and controled for a growing population. Real spending (PCE) and income levels (per capita disposable income, or DPI) in 1929 grew from around $5...
- Sat Aug 08, 2009 7:39 pm
- Forum: Investing - Theory, News & General
- Topic: Mid cap value?
- Replies: 6
- Views: 1957
- Sat Aug 08, 2009 7:33 pm
- Forum: Investing - Theory, News & General
- Topic: Economic Risk vs. Political Risk
- Replies: 5
- Views: 1761
Economic Risk vs. Political Risk
We all know that owning emerging markets expose you to a massive amount of political risk . You also know, owning smaller and more value oriented stocks in developed markets exposues you to a higher degree of economic/business risk . Tilting to small and value has rewarded investors with returns of 2% (size) and 4% (value) returns over time, and the domestic evidence looks eerily similar to the international results over very long stretches. How much should we expect to earn for assuming political risk? Is the last 20 years (which is all MSCI gives us) a resonable guide? Has one been better than the other? To the scorecard... 1988-6/2009 p1 p2 p3 Annual Return 9.1% 9.3% 10.2% Standard Deviation 15.5 15.5 15.5 7/1994-6/2009 p1 p2 p3 Annual R...
- Sat Aug 08, 2009 6:43 pm
- Forum: Investing - Theory, News & General
- Topic: Getting out of Small Value - exit point?
- Replies: 41
- Views: 5959
...most investors ignore the fact that our standard of living* has increased approximately 5-fold in the last 80 years, or by about 2% per year beyond the overall increase in inflation ... If your wealth didn't keep pace with our increase in standard of living, then you lost relative purchasing power. I think I merely lose the ability to keep up with the average over-spending American. I've had that ability, but have not really made use of it, while working, I don't expect to want to do this when retired. So I'd be losing the ability to do something I have no interest in doing. While both are undesirable, my guess (and the behavioral literature bears this out) is that falling behind your fellow citizen in living standard is far more painfu...
- Sat Aug 08, 2009 3:36 pm
- Forum: Investing - Theory, News & General
- Topic: Getting out of Small Value - exit point?
- Replies: 41
- Views: 5959
Stocks (TSM) have outpaced bonds (five-year notes) about as often and by as much as small value stocks have outpaced TSM: 28-08 TSM>5YR =+3.7% SV>TSM =+3.5% # of 5YR periods: TSM>5YR = 74% SV>TSM = 68% # of 10YR periods: TSM>5YR = 83% SV>TSM = 75% This seems obvious. Your risk and reward from moving from bonds into stocks is about as much as moving from the safest LG stocks to the riskiest SV stocks. But this just looks at asset classes in isolation. If you plan to spend all of your assets in the next 5 years, then a 1-5 year TIPS portfolio is probably safest (and ST Bond Index is easiest). If you have a longer horizon, but still need current cash flow, then you have to consider all of your risks: a) short term portfolio declines b) inflati...
- Wed Aug 05, 2009 6:07 pm
- Forum: Investing - Theory, News & General
- Topic: DFA Core and Vector Factor Loadings
- Replies: 3
- Views: 2476
More on Core:
Any updates on this? I'm just learning about the DFA core and vector funds while considering moving to a DFA adviser. Here are a few updates: a) don't hire an advisor to get access to DFA Vector funds, hire one because you need one b) it is largely irrelevant what the loading factors have been over the last 3 years, we barely have enough months to draw any conclusions whatsoever. what we can say about the DFA Core and Vector funds: 1. US Core 1 will have a 0.1/0.1-ish tilt over time, US Core 2 will have a 0.2/0.2-ish tilt over time, and US Vector will have a 0.4/0.4-ish tilt over time*. 2. there is less "tracking error" between the live Core funds and their internal indexes (correlation of about 0.99 or so) relative to the compon...
- Sun Jul 26, 2009 5:11 pm
- Forum: Investing - Theory, News & General
- Topic: Is Merriman nuts?..Shouldn't fire your investment advisor
- Replies: 93
- Views: 12065
This thread is a case study in behavioral economics: overconfidence! The amount of individuals that have the ability (not just the intellect, including reading a few books and corresponding on internet chat sites) to successfully manage their own money is miniscule. I believe Bernstein has it pegged at 1%? If all it took was a few hours of reading, we'd have a world of very wealthy librarians! Now, I do believe that the 1% is on this board , but it is being diluted every day, for sure. If we readdress the OP: I was listening to "Sound Investing" when I heard Paul Merriman himself explain that investors should not fire their investment advisors or managers even if performance is poor for 3, 5 or even 10 years. He explains that asse...
- Tue Jul 21, 2009 11:53 am
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
Trying to take a (no sides approach) to looking at the issue of EM. Seems to me that a fair comparison would be to look at Large Caps only if you are going to look at EM Large Only. Not so fair to compare Multi Factor portfolio's vs Components, or to choose specific periods. In an attempt to compare Apples to Apples and showing the "full span of available good data for EM" below shows the performance of the 3 individual Large Cap options. 500 Index EAFE (Intl Developed Markets) EM And then in "Green" what you would get with "Todays approx Global Portfolio" of Large Cap Equity (40% US Large, 40% EAFE, 20% EM). http://i30.tinypic.com/25g6wzr.gif Sh has a problem with EM and instead suggest using only Intl Develo...
- Sun Jul 19, 2009 4:17 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
- Sun Jul 19, 2009 4:16 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
saurabhec, Sorry, but I don't buy it. There are all number of posts talking about how Bernstein cautioned on emerging markets investings, share dilution, lack of correlation between growth and stock market returns et al. To say nothing of the fact that the patron saint of Bogleheads Jack Bogle is not a fan of international investing to begin with. I simply see no basis in fact for your assertion that you are the voice in the wilderness urging caution on emerging markets. Filed in the fiction category. You're way off. First of all, no one buys the 0% Int'l allocation suggestion that Bogle has offered up. At best, his limit (20%) is the "boglehead" starting point. Beside LBill and I, there are no dissenting views on emerging markets...
- Sun Jul 19, 2009 3:49 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
Robert, Thanks for responses, a few quick comments: SH wrote: Consider value or small dimensions, and EM would have (has) no appeal whatsoever Robert T wrote: This seems to be a significant shift from some of your earlier posts. If I’m not mistaken you had 1/3 of your equity allocation in EM at one time. Not saying its right or wrong, but just a very noticeable shift - why now? My portfolio hasn't/never changes. When I refer to emerging markets in the context of this thread, I am referring to the Vanguard/iShares Emerging Markets Index funds and their underlying index, relative to Vanguard/iShare developed size/value portfolios. We have discussed EM Core and EM Value in the past, but that seems outside the boundaries of this particular topi...
- Sat Jul 18, 2009 1:35 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
Robert, EM performance from 1975 to 1985 was not great, lagging the S&P500 (according to Barry et al. using the IFC EM composite index), a period overlapping with the Latin America debt crisis [1979-1988] (risk showed up). Despite the poor performance in 1975-1985, the “efficient” portfolio was a 50:50 S&P500:EM mix for that period (again according to the Barry article), with it being about 70:30 S&P500:EM for the 1975-1995 period. Another study by Eaker et al – showed higher returns for EM using an equal weighted index. If we believe Harvey Campbell - EM are priced for their diversification effects... important to look at portfolio as a whole, not just component parts IMO. A few issues with this. a) EM performance "was not...
- Fri Jul 17, 2009 7:00 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
Re: concluding thoughts
I'd say emerging markets investing deserves more critical thinking than Bogleheads have committed to the subject. I know you like to tweak Bogleheads now and then especially given their mistrust of small and value premiums, but on emerging markets if anything Bogleheads seem to be even bigger skeptics, so not sure if your aside was merited. If anything, I suspect the average Boglehead has far less exposure to emerging markets than investors as a whole. If you mean I point out my perceived flaws in the boglehead rationale, then yes, I do. Not reading much here lately, maybe I should stay away from generalizations. Although, I do note that I am the one dissenting voice on emerging markets on this entire 40+ post thread...so maybe my comments...
- Fri Jul 17, 2009 1:38 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
concluding thoughts
Hi Small, Using Simba's spreadsheet: 1975-1995 VFINX (S&P500) CAGR=15% VDMIX (Int'l Developed) CAGR=15% VEIEX (Emg. Mkts.) CAGR=27% 2000-2008 VEIEX (Emg. Mkts.) CAGR=4% VTRIX (Int'l Value) CAGR=1% The 2000-2008 period is the latest data Simba has, but the numbers don't come close to matching your data. What's up? Whats up is that Simba's spreadsheet is wrong, or just misguided. First of all, there is no standardized Emerging Markets data prior to 1988 when MSCI and Dimensional Indexes begin. People have (incorectly) used Int'l Small Cap (actually, UK Small and Japan Small) as a plug for emerging markets from 1970-1987. I sincerely hope no one is using this information to make decisions about emerging markets. 27% from 75-95? C'mon...I ...
- Thu Jul 16, 2009 10:33 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
EM looks awful growthy
Looking to iShares and DFA websites for independent verification: iShares Emerging Markets Index BtM = 0.36 iShares EAFE Growth Index BtM = 0.33 iShares EAFE Value Index BtM = 0.71 DFA Emerging Markets Fund BtM = 0.49 DFA International LC (EAFE) BtM = 0.68 DFA International LV BtM = 1.05 DFA International SV BtM = 1.41 Regardless of which site you use (iShares or DFA), the more stable measure of book value/price shows Emerging Markets trading almost at the level of developed growth stocks, telling you that investors are paying a significant glamour premium for future expected growth. Its fine to pay that for very large, stable and established companies in developed markets because they have very low risk. Emerging Markets, OTOH, should trad...
- Thu Jul 16, 2009 6:39 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
Totally, totally false. Only if realized growth exceeds the growth expectations already imbedded in share prices. And, as my post above showed, everybody and their dog already shares your opinion.bmb wrote:Did Bernstein really write this?
For an investor in his early years, an EM index is the place to be for at least 20% of his equity allocation. Stocks are about taking risks to get rewards. If value matters, in the long term equities reflect the degree of growth in the underlying entities. So where do you think the greatest percentage growth is going to be over the next 25 to 50 years? In economies that are growing rapidly, or in those that are already mature?
sh
- Thu Jul 16, 2009 6:35 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
Ok - let's go back a little further to the inception year of AEMGX (Acadian EM) to cover a 16-17 yr span.... Value of $10k invested on 9/30/93 to 7/15/09: VIVAX: $26,029 (VG Large Value) DFLVX: $30,210 (DFA US LV) AEMGX: $33,792 (Acadian Emerging Markets - Value tilted) From October of 1993 through June of 2009, a comparison of the highest expectation, best companies in the fastest growing emerging economies (MSCI EM Index) with the slowest growing, most unsuccessful low priced/expectation companies in the most fully developed world (US Large and Small Value): $1 in MSCI EM Index = $1.57 $1 in US Value co's = $3.87 Going forward , we must also contend with the fact that the market seems certain of a rather high level of sustained economic ...
- Thu Jul 16, 2009 5:01 pm
- Forum: Investing - Theory, News & General
- Topic: Emerging Markets Article by bill Bernstein
- Replies: 102
- Views: 22895
Makes sense, right? Developing countries are, after all, expected to lead us out of this global recession. And in the long run, countries like China and India will almost certainly leave economies in the U.S., Europe, and Japan in the dust. There's just one glitch: Economic growth and stock returns don't always move in sync. If they did, your S&P 500 fund would have made you money this past decade. And Chinese shares should have been the top performers, since GDP in China grew nearly double digits annually between 1998 and 2008. But the MSCI China index rose just 3% a year, vs. nearly 20% for stocks in Russia, where the economy grew a third slower. Maybe a decade is too short. Okay, let's consider the past 20 years. U.S. equities gaine...
- Thu Jun 25, 2009 12:06 pm
- Forum: Investing - Theory, News & General
- Topic: RAFI vs. DFA
- Replies: 131
- Views: 35666
. because, historically, all of the size/value returns have occured in the first few months of the year: June-December Value Premium = +0.7% Size Premium = -1.8% January-May Value Premium = +9.1% Size Premium = +8.1% So the average index that is reconstituing during June or July is only "fully loaded" during the months when the premiums have historically been the smallest (or negative). SH SH, Why is this true? Is this a statistical/behavioral anomaly like the January effect or is there some underlying hypothesis as to why this should be true going forward? Thanks for the education, Blue My take: the value premium calculation itself HmL is based on the FF research series which are reconstituted annually in June... so perhaps its ...
- Mon Jun 22, 2009 9:44 pm
- Forum: Investing - Theory, News & General
- Topic: RAFI vs. DFA
- Replies: 131
- Views: 35666
because, historically, all of the size/value returns have occured in the first few months of the year: June-December Value Premium = +0.7% Size Premium = -1.8% January-May Value Premium = +9.1% Size Premium = +8.1% So the average index that is reconstituing during June or July is only "fully loaded" during the months when the premiums have historically been the smallest (or negative). SH SH, Why is this true? Is this a statistical/behavioral anomaly like the January effect or is there some underlying hypothesis as to why this should be true going forward? Thanks for the education, Blue With almost a thousand monthly returns available on dozens of different asset classes and more than a half dozen different risk/return factors, yo...
- Mon Jun 22, 2009 9:31 pm
- Forum: Investing - Theory, News & General
- Topic: RAFI vs. DFA
- Replies: 131
- Views: 35666
Momentum and Reconstitution ramblings...
Robert, Just comparing returns of two Ken French series: one rebalanced annually, the other rebalanced quarterly. The results didn't suggest more frequent rebalancing helped returns. I agree, momemtum is likely part of the explanation for the difference. True, after controlling for momentum, there wasn't a big difference in returns. For the heck of it, I took a look at the performance of similar* Russell and Dimensional indexes over the last 30 years during the Jan-May and June-Dec periods I highlighted earlier to see if more consistent rebalancing (the Dimensional Indexes have a modified monthly rebalancing schedule, Russell is reconstitued 1X per year in June) led to significantly higher results for Dimensional during the periods of signi...
- Fri Jun 19, 2009 9:03 pm
- Forum: Investing - Theory, News & General
- Topic: RAFI vs. DFA
- Replies: 131
- Views: 35666
. Larry, To be honest, I’m not sure to what extent more frequent reconstitution helps. Here are the returns from 1926-2008 of the Fama-French Research portfolios which are rebalanced annually , and the Fama-French Benchmark portfolios which are rebalanced quarterly . Large Small ------------------------- ----------------------- Growth Neutral Value Growth Neutral Value Quarterly rebalancing 8.87 9.72 10.91 8.95 12.58 13.61 Annual rebalancing 8.92 9.71 11.65 8.24 12.98 14.62 Source: Derived from data from Ken French's wesbite Robert . Robert, You are ignoring the implications of momentum. Frequent rebalancing (with cashflows) is only helpful to the extent that the negative effects of immediately selling (+) momentum stocks and quickly buyin...
- Fri May 29, 2009 12:53 pm
- Forum: Investing - Theory, News & General
- Topic: Small Cap Value
- Replies: 7
- Views: 1960
Re: Small Cap Value
Here is one writer's view of performance of Small Cap Value (SCV): http://seekingalpha.com/article/139932-small-cap-value-beta-still-relevant Sometimes SCV overperforms, sometimes under. I notice 1987 to 2003, or even 1987 to 2008 returns were equalized. So to make use of SCV's "premium" one would have to trade and/or rebalance. 1987-2003 is a long stretch of underperformance. That was before the current downturn. Also, note most SCV funds generate higher taxes and expenses esp. compared with a TSM (Total Stock Market) that is not doing much buying and selling. As part of the portfolio, I would look at SCV more in line with the performance of an individual stock (although less risky). SCV appears to me something that must only be...
- Thu May 28, 2009 10:46 pm
- Forum: Investing - Theory, News & General
- Topic: Bond investment firm touts 100% bond allocation
- Replies: 6
- Views: 2074
A really, really horrible article ( no offense to Tom, by the way, thanks for posting it ), right along with the Arnott dribble. All of these bond bulls (if ever there was a better case of recency, I'd like to see it) never mention that bonds underperformed inflation for 50 years from 1940 to 1990! What kind of "core" is an asset class that in all likelyhood may not have a positive real return for the next half century. LOL! Stocks, by the way, over that period? Between 7% and 12% real returns. Newsflash: stocks are riskier than bonds. Sometimes, over 5, 10 years, or even longer, they may not outperform inflation or bonds. Thats what you have to endure for the chance to earn 5%, 10%, or even 15% real returns over time. Of course, ...
- Wed May 27, 2009 12:26 pm
- Forum: Personal Investments
- Topic: S&P 500 Index Return YTD
- Replies: 4
- Views: 3846
S&P 500 YTD Returns
S&P 500 Index = +1.94%
IVV = +2.14%
DFLCX = +2.06%
FSMKX = +1.96%
VFINX = +1.96%
SPY = +1.90%
SWPIX = +1.87%
sh
IVV = +2.14%
DFLCX = +2.06%
FSMKX = +1.96%
VFINX = +1.96%
SPY = +1.90%
SWPIX = +1.87%
sh
- Fri May 22, 2009 9:18 pm
- Forum: Personal Investments
- Topic: S&P500 over 30yrs with reinvesting dividends
- Replies: 17
- Views: 4289
To a limited extent, they are helpful becuase they are identical to the previous 33 year period, and a reasonable indication of what we can expect over the next few decades:DiscoBunny1979 wrote:Why are these returns helpful???? Who had $10,000 to invest back in 1976? Wouldn't have $10,000 been considered a small fortune? And if someone did have $10,000, wouldn't it have been in CDs? Just who would have jumped on a new form of unproven investing called "Indexing"?
Code: Select all
ASSET CLASS 76-09 43-75
S&P 500 10.2% 11.7%
Large Value 12.4% 13.3%
Small Value 15.6% 16.1%
- Thu May 21, 2009 6:20 pm
- Forum: Personal Investments
- Topic: S&P500 over 30yrs with reinvesting dividends
- Replies: 17
- Views: 4289
- Tue May 19, 2009 11:58 am
- Forum: Investing - Theory, News & General
- Topic: RZV - What a difference a month makes.
- Replies: 17
- Views: 4402
I am a bit less concerned with the concentration in the larger areas of the market than I am in small/micro. There are less large/mid cap stocks overall, and dispersion between individual names is much lower. Am I in love with 120 stocks when other comparable indexes hold 2X to 5X as many? You already know the answer to that! :wink: 500 Pure Value is a deep value mid cap fund. So you cannot compare it to the Russell 1000 Value or MSCI 750 Index. Since 1995, its exposure to size is about +0.16, which is about in line with the S&P 400 Value Index and even smaller than the Russell Mid Value Index (0.18 and 0.07 respectively). No doubt, those who run 500 PV through a regression model are attracted to its extreme exposure to value (about 1.0...
- Mon May 18, 2009 2:56 pm
- Forum: Investing - Theory, News & General
- Topic: RZV - What a difference a month makes.
- Replies: 17
- Views: 4402
Of course, its still highly negative and significant over the entire period available (back to 1995)--an issue that is even more problematic given that most of that period is simuated: even in backtests the strategy looked lousy. Furthermore, as I mentioned in a previous post, adding the momentum factor into the mix, we find RZV loads negatively and significantly, further detracting from the attractiveness of the strategy. Unless they come up with a strategy to overcome this issue, its unlikely the strategy will come close to capturing its risk dimensions over time. And, you are all but guarnateed of significant volatility (even relative to SV universe) and enormous tracking error in the meantime. Couple that with the risk that it won't eve...