Search found 3667 matches

by Random Walker
Thu Apr 18, 2019 10:25 am
Forum: Investing - Theory, News & General
Topic: The S&P 500 Goes Supernova
Replies: 93
Views: 15065

Re: The S&P 500 Goes Supernova

Just saw S&P 500 hit 2900 today, very close to all time high I think. The index’s rise over the last decade has been amazing. The rise with associated lack of volatility is crazy amazing. The Sharpe ratio has been astronomical. Vanguard has just reclassified, according to SEC rules, it’s growth inde...
by Random Walker
Thu Apr 18, 2019 9:52 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Hedge Fund Performance Update
Replies: 2
Views: 368

Larry Swedroe: Hedge Fund Performance Update

https://www.etf.com/sections/index-investor-corner/swedroe-hedge-fund-performance-update?nopaging=1 Hedge funds have underperformed every major equity asset class over the last decade and have only beaten riskless 1 year treasuries by less than 1%. In the first quarter 2019 the streak continues. Lar...
by Random Walker
Thu Apr 18, 2019 9:04 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Factors That Plague Factor Investing
Replies: 44
Views: 2892

Re: Larry Swedroe: The Factors That Plague Factor Investing

Larry reminded me that although SV has underperformed in US over last decade, internationally SV has outperformed. Over last decade DISVX has outperformed MSCI ex-US AWI by over 2%. Strong argument for diversifying as broadly as possible across geographies, asset classes, styles, factors.

Dave
by Random Walker
Wed Apr 17, 2019 7:13 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Factors That Plague Factor Investing
Replies: 44
Views: 2892

Re: Larry Swedroe: The Factors That Plague Factor Investing

I'm personally not convinced that this ongoing search for 'lowly correlated assets' is going to be significantly more effective in terms of costs, returns, and diversification than a simple mix of equities and government-backed or guaranteed fixed income like Treasuries and CDs. I’m not convinced e...
by Random Walker
Wed Apr 17, 2019 2:53 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Factors That Plague Factor Investing
Replies: 44
Views: 2892

Re: Larry Swedroe: The Factors That Plague Factor Investing

Excuse my ignorance.. SCV has a return premium because it's riskier. Isn't that using the beta factor? Or is SCV return even higher that what the beta would predict? Yes, that’s my understanding. Small and value stocks have additional risks and expected premia beyond what can be explained by their ...
by Random Walker
Wed Apr 17, 2019 1:24 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Factors That Plague Factor Investing
Replies: 44
Views: 2892

Re: Larry Swedroe: The Factors That Plague Factor Investing

As long the 'low correlations' persist in the future, then this seems to be reasonable. But as many investors discovered the hard way last year, even a practically zero correlation between asset classes (i.e. stocks and bonds) does not at all preclude both going down at the same time. And the last ...
by Random Walker
Wed Apr 17, 2019 11:56 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Factors That Plague Factor Investing
Replies: 44
Views: 2892

Re: Larry Swedroe: The Factors That Plague Factor Investing

IMHO, the biggest issue related to factor investing is investors' impatience. The historic data are clear that any identified factor has underperformed the market at some point, and this can go on for years. As is evident by the posts of many on this forum, it's very difficult for many, probably mo...
by Random Walker
Wed Apr 17, 2019 9:24 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Factors That Plague Factor Investing
Replies: 44
Views: 2892

Re: Larry Swedroe: The Factors That Plague Factor Investing

Hi Nisi, As you likely know, I’ve joined the “market beta is just another factor” crowd. Your point regarding ability to get a long only loading of 1 cheaply is a good one. Not sure about overcrowding; couldn’t overall valuation changes of the entire market reflect overcrowding? For individual portf...
by Random Walker
Tue Apr 16, 2019 10:56 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Factors That Plague Factor Investing
Replies: 44
Views: 2892

Larry Swedroe: The Factors That Plague Factor Investing

https://alphaarchitect.com/2019/04/16/the-factors-that-plague-factor-investing/ Larry references a recent paper by Arnott et.al Alice’s Adventures In Factorland: Three Blunders That Plague Factor Investing. This paper serves as the starting point for an essay by Larry discussing some concerns, misun...
by Random Walker
Mon Apr 15, 2019 9:23 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Q1 2019 ‘Sure Things’ Review
Replies: 0
Views: 336

Larry Swedroe: Q1 2019 ‘Sure Things’ Review

https://www.etf.com/sections/index-inve ... ngs-review

Looks like this is the tenth year Larry has been tracking ‘sure things’ from gurus and investors. Their track record ain’t so good, but this year so far, not as bad as most.

Dave
by Random Walker
Sun Apr 14, 2019 9:05 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Investment Strategy In An Uncertain World
Replies: 21
Views: 2684

Re: Larry Swedroe: Investment Strategy In An Uncertain World

From the article: Portfolios can be constructed to add exposures to other unique sources of risk, such as the ones mentioned earlier (carry, momentum, variance risk premium, reinsurance and others). What funds or alternatives would these sources of risk include? Is it discussed in one of Larry’s re...
by Random Walker
Fri Apr 12, 2019 9:15 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Investment Strategy In An Uncertain World
Replies: 21
Views: 2684

Re: Larry Swedroe: Investment Strategy In An Uncertain World

if you’re explicitly assuming multiple sources of risk (not just variance, which is the only source of risk in the Markowitz CAPM), then traditional and common measures of risk-adjusted return (like Sharpe ratio) are no longer relevant. You’d have to describe what you mean by risk-adjusted return ,...
by Random Walker
Fri Apr 12, 2019 6:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Investment Strategy In An Uncertain World
Replies: 21
Views: 2684

Re: Larry Swedroe: Investment Strategy In An Uncertain World

columbia wrote:
Fri Apr 12, 2019 5:46 pm
It seems that factor premiums (including size and value) wouldn’t exist, if markets were truly efficient.

So which one is it?
The risk premiums should exist BECAUSE markets are efficient. Markets price risk, they don’t equilibrate returns.

Dave
by Random Walker
Fri Apr 12, 2019 5:21 pm
Forum: Investing - Theory, News & General
Topic: Diversification across factors // recommended books & resources
Replies: 4
Views: 264

Re: Diversification across factors // recommended books & resources

Certainly I’d recommend Larry’s Black Swan and Factor books. I’d also though strongly recommend Roger Gibson’s Asset Allocation: Balancing Financial Risk. That book basically displays the benefits of Modern Portfolio Theory. The 4 specific asset classes used in the book are not important. What is im...
by Random Walker
Fri Apr 12, 2019 5:00 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Investment Strategy In An Uncertain World
Replies: 21
Views: 2684

Re: Larry Swedroe: Investment Strategy In An Uncertain World

From the article: "If you believe that markets are highly efficient, you should also believe that all diversified sources of systematic risk (unique sources of risk and return), such as major asset classes and factor exposures like size, value, momentum, quality, profitability and carry should have...
by Random Walker
Fri Apr 12, 2019 4:48 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Investment Strategy In An Uncertain World
Replies: 21
Views: 2684

Re: Larry Swedroe: Investment Strategy In An Uncertain World

If I read it correctly, Mr. Swedroe suggests a small cap value stock fund and an intermediate term investment grade bond fund portfolio. Should of read this and acted on it thirty years ago. IIRC, Mr. Swedroe also suggested that sometimes this type of factor investing takes sometime to even out. Lo...
by Random Walker
Fri Apr 12, 2019 2:59 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Investment Strategy In An Uncertain World
Replies: 21
Views: 2684

Re: Larry Swedroe: Investment Strategy In An Uncertain World

Although it is implicit throughout the essay, I think it is important to emphasize the fact that the diversification benefits described derive from the lack of correlation between the sources of risk/return. Many of the described factors are effectively uncorrelated with one another. Also several of...
by Random Walker
Fri Apr 12, 2019 2:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Investment Strategy In An Uncertain World
Replies: 21
Views: 2684

Larry Swedroe: Investment Strategy In An Uncertain World

https://alphaarchitect.com/2019/04/11/investment-strategy-in-an-uncertain-world/ In this article written for Alpha Architect, Larry distinguishes risk from uncertainty. With risk the odds are calculable, with uncertainty they are not. In investing, whether we know it or not, we are likely dealing mo...
by Random Walker
Fri Apr 12, 2019 9:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Peers Can Change Financial Behavior
Replies: 14
Views: 1739

Larry Swedroe: Peers Can Change Financial Behavior

https://www.etf.com/sections/index-investor-corner/swedroe-peers-can-change-financial-behavior?nopaging=1 Peer pressure can be a strong influence in both the positive and negative directions. Larry spends most of the article reviewing a study that looked at changes in individual’s spending relative ...
by Random Walker
Wed Apr 10, 2019 6:59 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: ESG Strategy Performance
Replies: 1
Views: 368

Larry Swedroe: ESG Strategy Performance

https://www.etf.com/sections/index-investor-corner/swedroe-esg-strategy-performance Investor demand for environmental, social, and governance investments has dramatically increased in the recent past. And concomitantly, index providers have created ESG indices. In the US, ESG now accounts for about ...
by Random Walker
Wed Apr 10, 2019 1:20 pm
Forum: Investing - Theory, News & General
Topic: Baby boomer vicious cycle crash
Replies: 63
Views: 5475

Re: Baby boomer vicious cycle crash

Siegel wrote a book after Stocks For The Long Run called The Future For Investors. He brought up this demographic concern. If I recall, his thesis is that new investors from China and India will provide more than plenty of buyers for the retirees liquidating stocks to finance retirement.

Dave
by Random Walker
Wed Apr 10, 2019 9:34 am
Forum: Investing - Theory, News & General
Topic: Reverse Gear - The Bogleheads
Replies: 9
Views: 1325

Re: Reverse Gear - The Bogleheads

I know well informed people who understand the philosophy yet continue to only own individual stocks. I myself was a hard core TSM BH 2001-2009, then sort of evolved into a factorhead. Still committed to passive investing through funds though. Don’t know anyone who specifically went backwards to ind...
by Random Walker
Wed Apr 10, 2019 9:20 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Inverted Yield Curve Worries
Replies: 3
Views: 701

Larry Swedroe: Inverted Yield Curve Worries

https://www.etf.com/sections/index-investor-corner/swedroe-inverted-yield-curve-worries?nopaging=1 Larry reviews the significance or lack of significance of inverted yield curve for investors. Important to appreciate the underlying factors related to flattening yield curve. Larry reviews some work o...
by Random Walker
Sun Apr 07, 2019 11:51 am
Forum: Investing - Theory, News & General
Topic: When to add bonds?
Replies: 37
Views: 2667

Re: When to add bonds?

I’m a fan of a small allocation to bonds, maybe 10%. I think the psychological/behavioral muscles that you build from rebalancing are worth the minimal decreased expected return compared to 100% equities. Dave I'm not so sure about that. Sacrificing 40-50 basis points annually just to get an invest...
by Random Walker
Sun Apr 07, 2019 11:25 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Expected Vs. Realized Returns
Replies: 77
Views: 5688

Re: Larry Swedroe: Expected Vs. Realized Returns

How is that useful for the long term investor? So, if he is correct then returns will be down in the future and the valuations will be less so then at that time the future returns are going to be higher. And so the cycle begins. So, for that to be useful you need an exact date or number to be in or...
by Random Walker
Sun Apr 07, 2019 11:08 am
Forum: Investing - Theory, News & General
Topic: When to add bonds?
Replies: 37
Views: 2667

Re: When to add bonds?

I’m a fan of a small allocation to bonds, maybe 10%. I think the psychological/behavioral muscles that you build from rebalancing are worth the minimal decreased expected return compared to 100% equities.

Dave
by Random Walker
Sat Apr 06, 2019 4:46 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Expected Vs. Realized Returns
Replies: 77
Views: 5688

Re: Larry Swedroe: Expected Vs. Realized Returns

With regard to factor premia, academic evidence indicates that they get reduced by about 1/3 once they become published and well known. That alone is significant evidence that markets are not as efficient as many believe them to be. Otherwise, publishing the historic results of factor premia should...
by Random Walker
Sat Apr 06, 2019 3:10 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benefits Of International Diversification
Replies: 86
Views: 6662

Re: Larry Swedroe: Benefits Of International Diversification

What are Larry's thoughts regarding international bonds as an asset class? You beat me to it. I'm also interested in the views of the "equity diversification über alles" crowd here. What do they think about global diversification in the corporate debt market? I don't think anyone's responded to you...
by Random Walker
Sat Apr 06, 2019 11:41 am
Forum: Investing - Theory, News & General
Topic: Why have Stoneridge Reinsurance failed to have "equity like returns"?
Replies: 37
Views: 2614

Re: Why have Stoneridge Reinsurance failed to have "equity like returns"?

Don’t get me wrong, higher returns always better than lower. In my case, I’ve gone all in on the alternatives with AQR Alternative Risk Premia, reinsurance, alternative lending, variance risk premium. These alternatives are generally tax inefficient. Nonetheless, I have let some of them spill over i...
by Random Walker
Sat Apr 06, 2019 8:48 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benefits Of International Diversification
Replies: 86
Views: 6662

Re: Larry Swedroe: Benefits Of International Diversification

What are Larry's thoughts regarding international bonds as an asset class? You beat me to it. I'm also interested in the views of the "equity diversification über alles" crowd here. What do they think about global diversification in the corporate debt market? I don't think anyone's responded to you...
by Random Walker
Fri Apr 05, 2019 11:36 pm
Forum: Investing - Theory, News & General
Topic: Why have Stoneridge Reinsurance failed to have "equity like returns"?
Replies: 37
Views: 2614

Re: Why have Stoneridge Reinsurance failed to have "equity like returns"?

I find it interesting to see how much modern portfolio theory has convinced many people to search for fabled 'uncorrelated, high return' asset classes. They don't have to be "high return" just "positive real return". Doesn't seem like that much of a stretch to me. As the OP noted, many want "equity...
by Random Walker
Fri Apr 05, 2019 8:13 pm
Forum: Investing - Theory, News & General
Topic: Why have Stoneridge Reinsurance failed to have "equity like returns"?
Replies: 37
Views: 2614

Re: Why have Stoneridge Reinsurance failed to have "equity like returns"?

willthrill81 wrote:
Fri Apr 05, 2019 8:05 pm
I find it interesting to see how much modern portfolio theory has convinced many people to search for fabled 'uncorrelated, high return' asset classes.
That would be me! I think there’s likely benefit to any correlation less than 1.

Dave
by Random Walker
Fri Apr 05, 2019 8:05 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Expected Vs. Realized Returns
Replies: 77
Views: 5688

Re: Larry Swedroe: Expected Vs. Realized Returns

Really important to appreciate that estimates represent a mean with associated wide dispersion of potential returns. High current valuations predict for modest future returns. Moreover the whole potential dispersion of future returns shifts left: less good good outcomes and worse bad outcomes. Dave...
by Random Walker
Fri Apr 05, 2019 11:42 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benefits Of International Diversification
Replies: 86
Views: 6662

Re: Larry Swedroe: Benefits Of International Diversification

willthrill81 wrote:
Fri Apr 05, 2019 10:45 am
IMHO, Japan is by far the most compelling piece of evidence in favor of international diversification for U.S. investors.
I agree, It’s a very strong argument!

Dave
by Random Walker
Fri Apr 05, 2019 10:02 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Expected Vs. Realized Returns
Replies: 77
Views: 5688

Re: Larry Swedroe: Expected Vs. Realized Returns

Really important to appreciate that estimates represent a mean with associated wide dispersion of potential returns. High current valuations predict for modest future returns. Moreover the whole potential dispersion of future returns shifts left: less good good outcomes and worse bad outcomes.

Dave
by Random Walker
Fri Apr 05, 2019 9:50 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Expected Vs. Realized Returns
Replies: 77
Views: 5688

Larry Swedroe: Expected Vs. Realized Returns

https://www.etf.com/sections/index-investor-corner/swedroe-expected-vs-realized-returns?nopaging=1 For one to make a reasonable investment plan for himself, he needs to estimate expected returns for the various asset classes in the portfolio. Otherwise the investor is likely taking on too much or to...
by Random Walker
Thu Apr 04, 2019 8:55 am
Forum: Investing - Theory, News & General
Topic: I hate bonds
Replies: 116
Views: 12773

Re: I hate bonds

I also hate bonds, so I own zero of them. +1. I follow the rule that says “only invest in things you understand.” I can’t figure them out so I use CDs instead and I’m paying off my house early. For me, CDs are tops; but they are fully taxable. Munis aren't...so sometimes, it's worth exploring muni ...
by Random Walker
Thu Apr 04, 2019 8:30 am
Forum: Investing - Theory, News & General
Topic: Alpha Architect: Momentum Factor Investing In Russia
Replies: 0
Views: 130

Alpha Architect: Momentum Factor Investing In Russia

https://alphaarchitect.com/2019/04/02/momentum-factor-investing-in-russia/ Talk about out of sample data! The Alpha Architect guys review a paper looking at cross sectional momentum in the Russian stock market 1865-1914. The factor looks strong. CS Momentum appears to be entirely behavioral. The Alp...
by Random Walker
Wed Apr 03, 2019 11:52 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benefits Of International Diversification
Replies: 86
Views: 6662

Re: Larry Swedroe: Benefits Of International Diversification

nisiprius wrote:
Wed Apr 03, 2019 11:44 am
In short... once again, there is no compelling evidence that international diversification makes much difference one way or the other.
It sure has made a difference for the Japanese investor!

Dave
by Random Walker
Wed Apr 03, 2019 10:49 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benefits Of International Diversification
Replies: 86
Views: 6662

Larry Swedroe: Benefits Of International Diversification

https://www.etf.com/sections/index-investor-corner/swedroe-benefits-intl-diversification?nopaging=1 Good article. References multiple studies including by Vanguard and Asness et al. Discusses recency bias, familiarity, importance of taking long view, greater diversification benefits in small, and fa...
by Random Walker
Tue Apr 02, 2019 11:33 pm
Forum: Investing - Theory, News & General
Topic: Good resources for liability matching
Replies: 21
Views: 1571

Re: Good resources for liability matching

The short fairly easy read is The Ages Of The Investor: A Critical Look At Life-Cycle Investing by William Bernstein The long high end read is Retirement Portfolios by Michael Zwecher Bernstein refers to and recommends Zwecher in his short e-book. I have not made it through much of Zwecher’s book, b...
by Random Walker
Mon Apr 01, 2019 3:16 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Performance Of State Pension Plans
Replies: 46
Views: 4809

Larry Swedroe: Performance Of State Pension Plans

https://www.etf.com/sections/index-investor-corner/swedroe-performance-state-pension-plans State pension plans are between a rock and a hard place. Us individual investors certainly should not follow their example. They have gone from 100% funded to 73% over last 20 years. Part of their problem has ...
by Random Walker
Sun Mar 31, 2019 5:59 pm
Forum: Investing - Theory, News & General
Topic: The Grey Zone: AQR, DFA, anyone else?
Replies: 7
Views: 1123

Re: The Grey Zone: AQR, DFA, anyone else?

they have one stop shop funds that give you a good value tilt without having to slice and dice. This isn't necessarily "better" but it is easier for some. Actually I think the core funds are a significant improvement, not just a convenience. No need for a fund to sell a stock when it gets bigger or...
by Random Walker
Sun Mar 31, 2019 11:33 am
Forum: Investing - Theory, News & General
Topic: Diversification Can Improve Retirement Outcomes (SWR) [Very Long Post]
Replies: 64
Views: 3856

Re: Diversification Can Improve Retirement Outcomes (SWR) [Very Long Post]

While I agree with the general concept, I do have a question. How would a retiree apply the results from this one specific retrospective case study with one specific set of returns/correlations/allocations to their own retirement portfolio going forward? Return sequences and correlations vary over ...
by Random Walker
Fri Mar 29, 2019 2:24 pm
Forum: Investing - Theory, News & General
Topic: Diversification Can Improve Retirement Outcomes (SWR) [Very Long Post]
Replies: 64
Views: 3856

Re: Diversification Can Improve Retirement Outcomes (SWR) [Very Long Post]

I strongly agree with Vineviz. Portfolio volatility and big drawdowns really hinder a portfolio. In retirement, with no new portfolio additions, the effects are much more obvious. Sequence of returns risk and lack of portfolio efficiency can hurt the likelihood of portfolio success. The expected ret...
by Random Walker
Fri Mar 29, 2019 9:48 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Index Investing’s Market Impact
Replies: 2
Views: 275

Re: Larry Swedroe: Index Investing’s Market Impact

While on the subject of securities lending, I like to subtract securities lending revenue from the expense ratio of a fund to think in terms of a net expense ratio.

Dave
by Random Walker
Fri Mar 29, 2019 9:45 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Index Investing’s Market Impact
Replies: 2
Views: 275

Larry Swedroe: Index Investing’s Market Impact

https://www.etf.com/sections/index-investor-corner/swedroe-index-investings-market-impact?nopaging=1 The trend to passive has been snowballing. In 2005 less than 5% of both bond and equity assets under management were managed passively. As of 2017 45% of equities under management and 26% of bonds ar...
by Random Walker
Thu Mar 28, 2019 9:22 am
Forum: Investing - Theory, News & General
Topic: A Profile of Larry Swedroe
Replies: 3
Views: 952

Re: A Profile of Larry Swedroe

With regard to AQR Style Premia Fund, I don’t know of any ETF alternatives. If looking for substitutes, I’d look very closely. It seems lots of things are labeled multi factor this or that, and each is its own very different beast: different collections of factors, different asset classes, some long...
by Random Walker
Wed Mar 27, 2019 8:10 pm
Forum: Investing - Theory, News & General
Topic: A Profile of Larry Swedroe
Replies: 3
Views: 952

A Profile of Larry Swedroe

https://www.thinkadvisor.com/2019/03/26/the-risk-warrior/ As many here know, I generally post Larry Swedroe’s 3X a week essays on this board for discussion. Occasionally someone questions my or Larry’s motivation. This short profile of Larry is titled Larry Swedroe: Risk Warrior In Action. I think t...
by Random Walker
Wed Mar 27, 2019 7:48 pm
Forum: Investing - Theory, News & General
Topic: I hate bonds
Replies: 116
Views: 12773

Re: I hate bonds

The quest for ultimate optimization in everything leads us to magnify all differences until they all look equally large. In typical portfolios, if you have a meaningful stock allocation, I don't think differences between one kind of bond fund and another matter much. This post reminded me of someth...