Search found 15622 matches

by larryswedroe
Thu Oct 04, 2018 7:05 pm
Forum: Investing - Theory, News & General
Topic: Key differences between investing philosophies: Swedroe vs. Bogle
Replies: 144
Views: 7533

Re: Key differences between investing philosophies: Swedroe vs. Bogle

few thoughts to get facts right First, to say I don't favor simplicity is simply an absurd statement. It's as silly as saying I favor high cost funds!!! But I don't favor simplicity (or lowest expense) at the expense of more efficient portfolios that significantly reduce dispersion of returns (or ad...
by larryswedroe
Thu Oct 04, 2018 6:46 pm
Forum: Investing - Theory, News & General
Topic: Bloomberg - Cliff Asness Interview
Replies: 22
Views: 1958

Re: Bloomberg - Cliff Asness Interview

get the facts right, value in US has been slightly negative over last 10 years or so, but is has been positive internationally by greater amount over the same period. And nothing unusual as value has underperformed about 14% of 10 year periods if memory serves. so taking both int'l and domestic ther...
by larryswedroe
Sun Sep 16, 2018 8:12 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Disrupted Expectations
Replies: 53
Views: 6158

Re: Larry Swedroe: Disrupted Expectations

grok Just to point out that the data applies to CS momentum and only in stocks--TS MOM would have shown strong positive returns in both 08 and 09 I would think a) long only momentum does not experience the type of crash you saw in 2008, and of course long only mutual funds, using momentum screens wo...
by larryswedroe
Sat Sep 15, 2018 2:17 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4510

Re: Larry Swedroe: Simple Factor Investing

Jalbert, yes it is more diversified by factors, but it also has higher expected returns allowing you to lower your market beta exposure and increase term exposure as well. So you have more size, more value and more term and less beta, creating a more diversified, more of a risk parity strategy, whic...
by larryswedroe
Sat Sep 15, 2018 1:47 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4510

Re: Larry Swedroe: Simple Factor Investing

Just question, so owning a Vanguard small value index fund is not simple? Rhetorical
by larryswedroe
Sat Sep 15, 2018 9:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4510

Re: Larry Swedroe: Simple Factor Investing

Jalbert I agree with your logic, but it hasn't happened despite many decades of this knowledge out there, and IMO it's behavioral issues that prevent it from ever happening, things like tracking error. Packer 64-17 annual correlation of size to beta is 0.26 and value to beta is -.25 -call it what yo...
by larryswedroe
Fri Sep 14, 2018 4:53 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4510

Re: Larry Swedroe: Simple Factor Investing

Jalbert don't agree. It has to do with what Dave suggested. How the assets mix. In good times correlation of safe bonds to stocks about 0, but in bad times correlation turns highly negative pulling in that left tail a lot IF you use the allocations to factors to also lower BETA. Have to do both. I d...
by larryswedroe
Fri Sep 14, 2018 9:17 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

Elysium comes down to two things: how much do you trust the findings and can the fund execute as implementation costs matter a great deal . In Your Complete Guide to Factor Based Investing we lay out five important and all inclusive criteria before one should consider investing. With over 600 factor...
by larryswedroe
Fri Sep 14, 2018 8:04 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

elysium Even if we were to consider all the evidence for the factors to be present, how do we know the screens they employ are able to accurately select those displaying positive factors while avoiding the ones with negative factors, consistently, especially given there are so many factors to screen...
by larryswedroe
Fri Sep 14, 2018 8:00 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4510

Re: Larry Swedroe: Simple Factor Investing

Jalbert No reason to expect arbitrage away because the factors are risk-based and risk cannot be arbed away. Now premiums can shrink due to cash flows, which is true of all factors/assets/investment strategies including market beta. Now if you think they are behavioral based then yes they can be arb...
by larryswedroe
Thu Sep 13, 2018 7:34 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

What do you do when stocks underperform for very long periods? Nothing because you assume that the same risk story applies. Same would be true for example for reinsurance and alternative lending and variance risk premiums as they are all highly intuitive risks which require risk premiums and there a...
by larryswedroe
Thu Sep 13, 2018 11:16 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

Nedsaid
Agree completely and love the producers analogy
by larryswedroe
Thu Sep 13, 2018 8:53 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

That article is really poor, missing so much of what caused the problem. It totally misses the huge frauds in appraisals that allowed for much of the problem to happen and the total failure of state mortgage banking regulators to do anything about it, even though it was well known what was occurring...
by larryswedroe
Wed Sep 12, 2018 7:22 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

Elysium Just thought for you. Funds like QSPRX and QRPRX actually reduce the concentration of risk that typical stock and bond portfolio has. See my book Reducing the Risk of Black Swans which discusses the ideas behind risk parity type strategies. So IMO using funds like AQR's style and risk premia...
by larryswedroe
Wed Sep 12, 2018 2:57 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

Elysium Sorry if I misinterpreted your view but I got that view since you quoted this Elysium » Sun Sep 09, 2018 8:13 pm AlphaLess wrote: ↑Sun Sep 09, 2018 5:38 pm I don't trust Cliff Asness. Another snake oil salesman. So I should have stated AlphaLess is the one with the problem. Again, my apology...
by larryswedroe
Wed Sep 12, 2018 12:20 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

Obviously they are not the same situation between lending crisis and the models employed vs. the models employed by AQR. However, the point remains all models have some basic assumptions they take into consideration. What you are suggesting is that AQR is different, and theirs is based on sound the...
by larryswedroe
Wed Sep 12, 2018 10:27 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

re the models and theory. Models are only as good as the theory behind them. If people used models based on garbage theory then the models are wrong. There was literally NO ACADEMIC THEORY behind the crisis or the models, Just some people's opinions. Thus comparing the use of false models based on b...
by larryswedroe
Wed Sep 12, 2018 9:14 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

With all due respect, mathematical models based on academic research and theories devised by well qualified army of PhDs also gave us the sub-prime lending crisis that led to near financial collapse. This statement is so wrong it shows totally a lack of knowledge of the situation. The collapse lite...
by larryswedroe
Wed Sep 12, 2018 7:58 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

Just to correct the misstatements I will not trust investing with someone who is being very opaque about that they do, other than point to erroneos or unsound academic research. AQR is just as transparent as DFA. They are fully transparent providing in depth attribution analysis on regular basis. Th...
by larryswedroe
Tue Sep 11, 2018 8:58 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4510

Re: Larry Swedroe: Simple Factor Investing

fyi
I just emailed the editor as it has disappeared for some reason
by larryswedroe
Tue Sep 11, 2018 8:57 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

Grok Not really back, just posting on occasion to either correct misstatements or to provide answers to questions that others cannot, like the sources of returns to AQR funds this year. As to that leverage, so you would consider a market neutral fund that is 100% long and 100% short to be 100% lever...
by larryswedroe
Tue Sep 11, 2018 4:25 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

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
by larryswedroe
Mon Sep 10, 2018 5:17 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5293

Re: Cliff Asness: Liquid Alt Ragnarok?

Few thing to keep in mind. As noted AQR funds use limited amounts of leverage, maybe 3-4 times and they do so in relatively lower volatility factors. LTCM was leveraged at 100 to 1 or more. Thus a 1% move could wipe them out. Second, funds like QSPRX are well diversified across factors with very low...
by larryswedroe
Mon Sep 10, 2018 3:11 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4510

Re: Larry Swedroe: Simple Factor Investing

Lots of different funds one can use and to find factor loadings just use www.portfoliovisualizer.com and/or can also look at portfolio metrics on M*
by larryswedroe
Sun Sep 09, 2018 11:54 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

How many open ended mutual funds exist employing these strategies profitability for 20+ years? While we don't have that we do have evidence for many decades in some cases. For example, there are several papers on CTAs which have been using Time Series MOM strategies for many decades (managed future...
by larryswedroe
Sun Sep 09, 2018 9:57 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

Lack ey Agree totally, that's true of MARKET BETA too, as was the case in March 2000 when real expected return was below that of totally riskless TIPS! So it doesn't just apply to alts, but to all assets, which is why valuations matter a great deal and should not be totally ignored. BTW, interesting...
by larryswedroe
Sun Sep 09, 2018 9:13 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

Few other thoughts to be helpful Re this: All of these theories and models are trying to outsmart the market which is really very efficient. Strategies that involve futures, swaps, and derivatives are potential time bombs that may blow up in the next serious market correction, or it may reward you w...
by larryswedroe
Sun Sep 09, 2018 7:46 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

I'll add few other important points to be helpful, explaining few things. First, as to comment that I lost him on that costs matter but only fools only consider them, ---costs should be only thing when things are commodities, like 2 S&P 500 funds. When you have differences you should evaluate the va...
by larryswedroe
Sat Sep 08, 2018 8:38 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

Just to set record straight on these statements-- was going to ignore but want to correct the misstatements so those not aware would not be fooled. Most of these funds are not only high cost to the investors, but they have been losing money. In fact, he simply stopped supporting CCF without even exp...
by larryswedroe
Sat Sep 08, 2018 2:18 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

just to set record straight, while fund is ranked 97 ytd it's three year ranking is 28 and if it was longer ranking since inception would be higher as in 2015 it had 2 ranking and had great year in 2014 up 11.4%
by larryswedroe
Sat Sep 08, 2018 8:40 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

To be helpful Let's assume you expect 7% return (or say 5% above riskless) and the fund targets 10% vol. That means 2/3 of time returns should fall in between -3 and +17, and 95% of time between -13 and +27. So certainly the returns earned since inception are well within expectations. Second, the fu...
by larryswedroe
Thu Sep 06, 2018 8:18 am
Forum: Investing - Theory, News & General
Topic: Myth Busting on Index Funds
Replies: 16
Views: 4118

Re: Myth Busting on Index Funds

Reformedtrader Clearly prefer risk-based explanations as they cannot be arbed away, though cash flows (curse of popularity) certainly can shrink spreads between the left hand side (long) and the right hand side (short) of the anomaly thus reducing the premium. We have seen this in many of the behavi...
by larryswedroe
Wed Sep 05, 2018 11:26 am
Forum: Investing - Theory, News & General
Topic: Myth Busting on Index Funds
Replies: 16
Views: 4118

Myth Busting on Index Funds

I know the Bogleheads will enjoy this one exposing some of the BS put out by active managers.
https://www.etf.com/sections/index-inve ... -investing
Larry
by larryswedroe
Wed Sep 05, 2018 11:24 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

nedsaid I don't see how or why you would draw the conclusion you did. Clearly the fund is obtains systematic exposure to 4 factors. It does so in equities in variety of ways, country indices, sectors and individual stocks. It systematically selects the stocks to go long or short based on the portfol...
by larryswedroe
Wed Sep 05, 2018 7:45 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

Lackey It goes long stocks with the positive side of the characteristic and short stocks with the negative side of the characteristic. So long individual stocks with say positive MOM and short with negative momentum. Same with value, long value, short growth and so on across asset classes. It also d...
by larryswedroe
Tue Sep 04, 2018 9:37 am
Forum: Investing - Theory, News & General
Topic: "Safeguarding Your Wealth From The Effects Of Cognitive Decline"
Replies: 52
Views: 5031

Re: "Safeguarding Your Wealth From The Effects Of Cognitive Decline"

This is very important topic that goes WAY beyond investing to the broader category of getting exploited by not just con artists who prey on the elderly but family members as well. My new retirement book (be out in January) with a foreward by Wade Pfau has a chapter dedicated to the subject of elder...
by larryswedroe
Tue Sep 04, 2018 9:28 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 207693

Re: QSPIX - thoughts on interesting fund

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 s...
by larryswedroe
Fri Aug 31, 2018 1:52 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factors & Emerging Markets
Replies: 2
Views: 626

Re: Larry Swedroe: Factors & Emerging Markets

Hedgefundie to be helpful here's the live fund data Since inception of the DFA funds 4/98-7/18 VEIEX, the Vanguard index fund 7.16 DFEMSX, DFA EM small 11.2 DFEVX DFA EM value 10.3 I would add that the two DFA funds have also outperformed VEIEX over almost any period you care to look at including la...
by larryswedroe
Mon Aug 27, 2018 1:01 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Institutional Investing Money Pit
Replies: 11
Views: 1189

Re: Larry Swedroe: Institutional Investing Money Pit

To be helpful In one sense the institutional investors are smart money, but that's relative of course. They underweight all the behavioral anomalies, those black holes, like penny stocks, stocks in bankruptcy, small growth with low profit and high investment while retail money overweights them. Sadl...
by larryswedroe
Sun Aug 26, 2018 7:36 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: TIPS Versus Nominal Bonds
Replies: 46
Views: 4097

Re: Larry Swedroe: TIPS Versus Nominal Bonds

BTW, go out to five years and see about 2.7 for Treasuries and 3.4 for CDs, so big difference. At times these spreads are even wider, like in financial crises when liquidity premium for Treasuries rises. Also state taxes not an issue often because if in higher brackets than buying munis not taxables...
by larryswedroe
Sat Aug 25, 2018 7:33 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: TIPS Versus Nominal Bonds
Replies: 46
Views: 4097

Re: Larry Swedroe: TIPS Versus Nominal Bonds

Few answers Re Philly Fed, I'm not making any argument about the accuracy of their forecasts. It's that you have if memory serves 65 leading economists from the nations largest institutions and they not only shape inflation forecasts of investors but they impact prices with the actions of their inst...
by larryswedroe
Fri Aug 24, 2018 12:18 pm
Forum: Investing - Theory, News & General
Topic: Expectations of factor investing from a factor regression
Replies: 25
Views: 1102

Re: Expectations of factor investing from a factor regression

Gamma
glad you are enjoying the book and finding it helpful. And always happy to answer questions from readers. So don't hesitate
Larry
by larryswedroe
Fri Aug 24, 2018 7:54 am
Forum: Investing - Theory, News & General
Topic: Expectations of factor investing from a factor regression
Replies: 25
Views: 1102

Re: Expectations of factor investing from a factor regression

Few thoughts to be helpful First, others have already explained the math, but of course it is backward looking, not forward looking (unless you believe historical premiums will be the same in the future). The regressions help you understand the SOURCE of returns of a fund. Second, and importantly, i...
by larryswedroe
Sun Aug 12, 2018 6:41 pm
Forum: Investing - Theory, News & General
Topic: Swedroe's guidelines to Bonds
Replies: 137
Views: 14889

Re: Swedroe's guidelines to Bonds

Today can get 5 year CD at about 3.5, and 5 year TIPS at .75, and expected inflation about 2.1 so about 65bp inflation insurance premium, which to me is on higher side, so I would choose, all else equal the CDs. At say 20-25bp I would choose TIPS, but should depend on your risk aversion to unexpecte...
by larryswedroe
Fri Aug 10, 2018 2:48 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 14388

Re: Larry Swedroe: Valuations Too High?

Firechief, have anything valuable to contribute? What I showed was that the estimates we made were in fact providing useful information by any reasonable definition. The MCS based on the estimates then allowed us to ESTIMATE (not know) what the best of success were for various strategies of withdraw...
by larryswedroe
Fri Aug 10, 2018 2:07 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 14388

Re: Larry Swedroe: Valuations Too High?

Firechief Sorry that isn't right. It's misusing the information ---as pointed out by others, a tool doesn't have to be perfect or even close to that to add value. And the evidence is very clear that the CAPE 10 or similar metrics has signficant value as has been pointed out, and as noted all profess...
by larryswedroe
Fri Aug 10, 2018 1:48 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 14388

Re: Larry Swedroe: Valuations Too High?

Thought to consider So Homer thinks he is being conservative by not changing his AA when expected returns are high, just stick with his withdrawal rate. But that IMO is just an emotional answer and MIGHT be right, or might not be right. The best tool we have to determine if that is more conservative...
by larryswedroe
Fri Aug 10, 2018 8:14 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 14388

Re: Larry Swedroe: Valuations Too High?

To be helpful here Again, it's not that valuations don't matter to AA, they do matter a great deal because they impact expected returns and that in turn impacts your need to take risk. And it's the need to take risk that should drive your AA, along with ability and willingness to do so. So as valuat...
by larryswedroe
Thu Aug 09, 2018 7:34 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 14388

Re: Larry Swedroe: Valuations Too High?

will I have basically said that for 24 years. And it should have been perfectly clear from my posts as it was all about the NEED to take risk, not valuations. How Homer or anyone else could draw any other conclusion is beyond my ken. As it was very clear in my writing---have not gotten one question ...
by larryswedroe
Thu Aug 09, 2018 7:00 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 14388

Re: Larry Swedroe: Valuations Too High?

To help those for whom this seems difficult First, when young and starting out on your investment career, unless lucky to be born to wealth, your AA should be dominated by your ability and willingness to take risk. Valuations won't matter much if at all because you should be saving and investing as ...