Search found 3187 matches

by Random Walker
Mon Nov 19, 2018 11:37 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates: Alternative Risk Premia
Replies: 38
Views: 1735

Re: Research Affiliates: Alternative Risk Premia

Thought I’d give this post a bump. In the current modest expected return world for equities and bonds, and viewing improved portfolio efficiency as a worthy goal, the linked paper is worth a read. The paper focuses on carry, Time series momentum, value. But there are other potential alternative sour...
by Random Walker
Mon Nov 19, 2018 1:22 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

Our faith in equity market beta, for good or bad, is also based at least partially on past performance. Dave Sure....but QSPIX is attempting to sell a magic potion, not market beta. Not magic potion. Each of the styles QSPIX invests in have historical data behind them. Moreover, they have intuitive...
by Random Walker
Mon Nov 19, 2018 1:03 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Munis Increasingly Risky
Replies: 27
Views: 2444

Re: Larry Swedroe: Munis Increasingly Risky

The quick, EZ-Breezy solution to this issue is Baird Quality Intermediate Muni Bond Inst BMBIX This fund will not return quite as much (assuming no crisis) but it is significantly safer than other intermediate term muni funds. 55% Advance Refunded and 75% AAA. If one believes in taking their risk o...
by Random Walker
Mon Nov 19, 2018 12:27 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

Our faith in equity market beta, for good or bad, is also based at least partially on past performance.

Dave
by Random Walker
Mon Nov 19, 2018 12:23 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Munis Increasingly Risky
Replies: 27
Views: 2444

Re: Larry Swedroe: Munis Increasingly Risky

It seems to me one can have one of two responses to the article. 1. More reason to maximize diversification by using a municipal bond fund 2. Take the specific advice when buying individual bonds I’ve taken the second option. With individual bonds I can have higher average quality than bond fund, ta...
by Random Walker
Mon Nov 19, 2018 12:06 pm
Forum: Investing - Theory, News & General
Topic: Vanguard: Indexing Truths, Myths, And Benefits
Replies: 0
Views: 342

Vanguard: Indexing Truths, Myths, And Benefits

https://www.etf.com/sections/etf-industry-perspective/vanguard-indexing-truths-myths-and-benefits?EXCMPGN=EX:PC:FAS:Sustaining Some people worry that indexing distorts markets or makes price discovery less efficient. This paper has some interesting statistics to relieve those fears. About 15% of the...
by Random Walker
Mon Nov 19, 2018 11:50 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Munis Increasingly Risky
Replies: 27
Views: 2444

Larry Swedroe: Munis Increasingly Risky

https://www.etf.com/sections/index-investor-corner/swedroe-munis-increasingly-risky?nopaging=1 State and local pension liabilities are rising, government return assumptions are precariously optimistic (don’t make assumptions like these for your own retirement!), and default may not be so taboo anymo...
by Random Walker
Sun Nov 18, 2018 10:00 pm
Forum: Investing - Theory, News & General
Topic: If riskier than US, why doesn't international outperform?
Replies: 171
Views: 9124

Re: If riskier than US, why doesn't international outperform?

We're talking "short" as in 20-30 years as opposed to 50 or 100 years. Not talking about just a few years... Oops sorry bout that. But big stuff can happen over 50-100 years as well. Dave Yes, big stuff can happen over 50-100 years, but that's beyond the time frame that we were talking about due to...
by Random Walker
Sun Nov 18, 2018 8:51 pm
Forum: Investing - Theory, News & General
Topic: If riskier than US, why doesn't international outperform?
Replies: 171
Views: 9124

Re: If riskier than US, why doesn't international outperform?

visualguy wrote:
Sun Nov 18, 2018 8:35 pm
We're talking "short" as in 20-30 years as opposed to 50 or 100 years. Not talking about just a few years...
Oops sorry bout that. But big stuff can happen over 50-100 years as well.

Dave
by Random Walker
Sun Nov 18, 2018 8:44 pm
Forum: Investing - Theory, News & General
Topic: DFA Dimensional Fund Advisors - compared
Replies: 11
Views: 996

Re: DFA Dimensional Fund Advisors - compared

DFA funds are passive, market cap weighted, funds that generally have deeper exposure to the size and value factors than corresponding Vanguard funds. Because they do not have to strictly adhere to an external index, they can participate in some activities that may well add value: screen for profita...
by Random Walker
Sun Nov 18, 2018 8:28 pm
Forum: Investing - Theory, News & General
Topic: If riskier than US, why doesn't international outperform?
Replies: 171
Views: 9124

Re: If riskier than US, why doesn't international outperform?

My time horizon is also limited, which significantly drives my choices. 👍🏻 I think this could potentially be a behavioral error. I think diversification is important over all time frames, but may well be MORE important over short time frames. When the risk premia have volatilities that are 3-4X the...
by Random Walker
Sun Nov 18, 2018 6:29 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental. Dave If we add taxes to inclusion considerations: Annualized returns since inception of QSPIX (according to M*): Before tax = 4.85% After tax = 2.34% Tax ha...
by Random Walker
Sat Nov 17, 2018 11:14 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: 7 Investing Rules
Replies: 14
Views: 2360

Re: Larry Swedroe: 7 Investing Rules

I look at my portfolio way too often. I haven’t made any short term changes because of looking, but in the big picture I sometimes wonder if I should/could tolerate a more aggressive AA if I never looked.

Dave
by Random Walker
Sat Nov 17, 2018 11:00 am
Forum: Investing - Theory, News & General
Topic: Alpha Architect: Factor Investing Fact Check: Are Value And Momentum Dead?
Replies: 34
Views: 2151

Re: Alpha Architect: Factor Investing Fact Check: Are Value And Momentum Dead?

Yes, that Rober T article from Asness/AQR was a perfect complement to the alpha architect article. I think alpha architect was implicitly making the same point. 5 years is a short time and most anything can happen over that period. The last 5 years has been a large growth boom. For the long term alp...
by Random Walker
Sat Nov 17, 2018 12:56 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave
by Random Walker
Fri Nov 16, 2018 9:36 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: 7 Investing Rules
Replies: 14
Views: 2360

Larry Swedroe: 7 Investing Rules

https://www.etf.com/sections/index-investor-corner/swedroe-7-investing-rules?nopaging=1 Very Bogleheadish advice for all of us: references to Buffett and Graham, stomach and mind, Santayana, non normal distribution of returns, current valuations and future expected returns, Jonathan Clements, Napole...
by Random Walker
Fri Nov 16, 2018 11:15 am
Forum: Investing - Theory, News & General
Topic: Alpha Architect: Factor Investing Fact Check: Are Value And Momentum Dead?
Replies: 34
Views: 2151

Re: Alpha Architect: Factor Investing Fact Check: Are Value And Momentum Dead?

Wolf359, I don’t know a lot about the alpha architect guys, but they are heavy on value and momentum. I don’t think anything in the article is going to cause them to deviate from their philosophy. I think they are just showing that segments of the market and factors can underperform for extended per...
by Random Walker
Thu Nov 15, 2018 10:58 pm
Forum: Investing - Theory, News & General
Topic: Alpha Architect: Factor Investing Fact Check: Are Value And Momentum Dead?
Replies: 34
Views: 2151

Alpha Architect: Factor Investing Fact Check: Are Value And Momentum Dead?

https://alphaarchitect.com/2018/11/15/factor-investing-fact-check-are-value-and-momentum-dead/ Interesting paper with nice graphics. Very humbling for a factor head like me. S&P 500 is effectively a bet on the mega cap growth corner of the market: a bet that has paid off very well the last 5 years! ...
by Random Walker
Thu Nov 15, 2018 6:06 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

But we look back at data, see a pattern, form a hypothesis. Then look into different time periods, different geographic markets, and in some cases even different asset classes for supporting data. That does start to sound like true evidence to me. 8-) Especially for the social sciences. Dave That's...
by Random Walker
Thu Nov 15, 2018 5:30 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

Thanks Nisiprius, What’s the timeframe on that, since the inception of QSPIX? Certainly the improvements to a portfolio are incremental, not revolutionary. But as you said improvement nonetheless. I can see why most everyone looking at the chart might think adding that one fund is not worth it. That...
by Random Walker
Thu Nov 15, 2018 3:52 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

Cheezit, I get your point, and you clearly know more math and stats than me. But we look back at data, see a pattern, form a hypothesis. Then look into different time periods, different geographic markets, and in some cases even different asset classes for supporting data. That does start to sound l...
by Random Walker
Thu Nov 15, 2018 3:14 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

There are trade offs between expenses and improved portfolio efficiency. Random Walker: There is no "trade off." Low-cost funds (on average) beat high-cost funds: "If there's anything in the whole world of mutual funds that you can take to the bank, it's that expense ratios help you make a better d...
by Random Walker
Thu Nov 15, 2018 2:54 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

The whole Boglehead philosophy is based on skepticism and a vocal rejection of this sort of thing. I pretty much agree with you. But what do we do when academic evidence suggests we might be able to make improvements? Does Boglehead philosophy require vocal rejection of something BEFORE we learn ab...
by Random Walker
Thu Nov 15, 2018 1:59 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

Tar Heel, You and I are in the same place on CS mom and TS mom. Given that they are not as distinct as maybe we thought previously, that generally more efficient to have multiple styles/factors/asset classes in single fund, and that they are tax inefficient, maybe only take away is for taxable inves...
by Random Walker
Thu Nov 15, 2018 1:36 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

For me, there is a problem with having a separate factor forum. There is an infinite spectrum of portfolio possibilities, ranging from simple lowest cost TSM to complex, expensive, advisor, factors, alts. What is interesting to me is the trade offs an investor has to decide on in designing his portf...
by Random Walker
Thu Nov 15, 2018 11:32 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

Larry discontinued his active participation in the forum because of sarcastic and cynical responses to him. His writings are too valuable to the individual investor to let his lack of participation result in his articles not being discussed here. So I post them for discussion. I have a very strong b...
by Random Walker
Thu Nov 15, 2018 10:55 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

Hi BJR, First of all, when I was talking about being loose with the term momentum, I was referring to the distinction between cross sectional momentum and time series momentum. Secondly, I can’t be any more straightforward than I have been. I started investing in 1996 with individual stocks. Learned...
by Random Walker
Wed Nov 14, 2018 9:37 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

There are some sizable declines across the board in the stock market today. I'll be interested see if QSPIX will be up for the third day in a row. +.52% -1.25% “Diversification is always working, whether you want it to or not”. Not sure where I read that, but definitely true. Another quote was some...
by Random Walker
Wed Nov 14, 2018 9:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

Since I'm completely invested in Tax advantaged space, I have nothing driving me to switch me from investing in QSPNX to QRPNX. It's also not really investable with Fidelity without an advisor. I guess given the situation, I would likely break up those allocations into 3 separate funds and rebalanc...
by Random Walker
Wed Nov 14, 2018 9:22 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

I’m a client of Larry’s firm, Buckingham Asset Management. QRPRX is a new fund; think it just opened this year.

Dave
by Random Walker
Wed Nov 14, 2018 8:27 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Re: Larry Swedroe: Momentum Distinctions

Interesting read. I wonder if this is going to change the methodology of any managed futures or other funds that use TS or CS momentum. Not sure. Until recently I have been invested in AQR Style Premia QSPRX and AQR Managed Futures. Style Premia has CS momentum and Managed Futures TS momentum. My a...
by Random Walker
Wed Nov 14, 2018 1:27 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

InertiaMan wrote: Virtually any backtest in Portfolio Visualizer over the life of QSPIX (Nov 2013 thru Oct 2018) will produce a slightly higher CAGR at a nearly identical SD when you compare a TSM/TBM to TSM/TBM/QSPIX portfolio. This is true over a wide range of TSM/TBM proportions (I checked from ...
by Random Walker
Wed Nov 14, 2018 9:15 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Distinctions
Replies: 29
Views: 1754

Larry Swedroe: Momentum Distinctions

https://www.etf.com/sections/index-investor-corner/swedroe-momentum-distinctions?nopaging=1 We discuss momentum frequently on the board. The term can get thrown around a bit loosely. There are actually two types of momentum: cross sectional (relative)momentum and time series (absolute)momentum. Ther...
by Random Walker
Wed Nov 14, 2018 8:44 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

There are some sizable declines across the board in the stock market today. I'll be interested see if QSPIX will be up for the third day in a row. +.52% -1.25% “Diversification is always working, whether you want it to or not”. Not sure where I read that, but definitely true. Another quote was some...
by Random Walker
Tue Nov 13, 2018 6:03 pm
Forum: Investing - Theory, News & General
Topic: "What If You Retire At a Stock Market Peak?" - by Ben Carlson
Replies: 49
Views: 5886

Re: "What If You Retire At a Stock Market Peak?" - by Ben Carlson

https://www.bogleheads.org/forum/viewtopic.php?t=220275 I’ve posted on this in the past: Murphy’s Law Of Retiremnt. Learned it from reading William Bernstein’s Life Cycle Investing book. As I think Larry has pointed out in the past, diversification is important no matter one’s time frame. In many wa...
by Random Walker
Tue Nov 13, 2018 2:04 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 172
Views: 12956

Re: A reminder: Stay away from AQR

The market corrects for these things. If there is “smart” beta then whomever is on the other side of the trade is “dumb” beta and why would any rationale investor own something with a projected return less than the general market? They wouldn’t. This is why the best you can hope for is the return o...
by Random Walker
Tue Nov 13, 2018 12:37 pm
Forum: Investing - Theory, News & General
Topic: Diversification Regret
Replies: 114
Views: 13196

Re: Diversification Regret

Cheesit, Yes, if keep expected return constant and back off overall equity allocation, then I’d expect volatility and max drawdown to decrease. If keep overall equity allocation constant, then I’d expect expected return to rise, volatility up, maximal drawdown up as well. In either case, I would exp...
by Random Walker
Mon Nov 12, 2018 9:38 pm
Forum: Investing - Theory, News & General
Topic: Diversification Regret
Replies: 114
Views: 13196

Re: Diversification Regret

Fortyforty, Didn’t really understand your question. But my understanding is that size and value do represent more volatility. They have some more of the same type of risk as the market generally, market beta. Size and value also represent distinct and independent sources of risk from the market fact...
by Random Walker
Mon Nov 12, 2018 7:30 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

There are some sizable declines across the board in the stock market today. I'll be interested see if QSPIX will be up for the third day in a row. S&P 500 -1.97% Dow -2.32% Russell 2K -1.98% QSPIX +0.52% (style premia: value, CS mom, defensive, carry across multiple asset classes) QMHRX +0.87% (TS ...
by Random Walker
Mon Nov 12, 2018 7:20 pm
Forum: Investing - Theory, News & General
Topic: Diversification Regret
Replies: 114
Views: 13196

Re: Diversification Regret

This is where we get into the slippery slope. First, you start with the idea that Market portfolio is not diversified and it is too concentrated in beta, then you add different slices of value and small, but you still have market beta, now finally you try to get around that by going all in on SCV w...
by Random Walker
Mon Nov 12, 2018 4:38 pm
Forum: Investing - Theory, News & General
Topic: Diversification Regret
Replies: 114
Views: 13196

Re: Diversification Regret

That's what I meant with there is no way around it, from a practical sense. Coming to the second part, that of diversifying, I do not think you are getting away from market risk even when you overweight value or size, aren't they are subject to same risk? just varying degrees. At the end of the day...
by Random Walker
Mon Nov 12, 2018 10:18 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Thwarting Financial Abuse
Replies: 2
Views: 626

Larry Swedroe: Thwarting Financial Abuse

https://www.etf.com/sections/index-investor-corner/swedroe-thwarting-financial-abuse?nopaging=1 An important subject that most all of us would like to sweep under the rug. The article starts out looking at elder financial abuse, but then progresses to the more general issue of aging, declining menta...
by Random Walker
Sat Nov 10, 2018 2:37 pm
Forum: Investing - Theory, News & General
Topic: The Perfect Portfolio for You
Replies: 27
Views: 4244

Re: The Perfect Portfolio for You

I’ve said many times before that costs are certain and possible benefits from increased complexity only potential. The best plan is the one the investor will stick with. For some people knowledge of rock bottom costs and no tracking error regret will provide the conviction while others might derive ...
by Random Walker
Sat Nov 10, 2018 1:20 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

Nisiprius, I think it’s fair to say the expected return is about 6-7%, equity like. But actual equity returns are rarely similar to the long term expected return. So I wouldn’t get too stuck on comparing the performance to a specific equity index, fund, or stock/bond portfolio over any given time fr...
by Random Walker
Sat Nov 10, 2018 11:21 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

So now I’m getting adventurous with Portfolio visualizer. I think what really matters is how an addition affects the portfolio as a whole. So I thought I’d look at two portfolios derived from the base 60/40 described above. In the first option I arbitrarily created a 10% QSPIX position by taking 5% ...
by Random Walker
Sat Nov 10, 2018 10:55 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

Nisiprius, Here’s a good response. Not my own, it’s an example from Larry Swedroe. He like Matjen above, thinks a 60/40 portfolio is a reasonable yardstick. The rationale is should compare investments with similar volatilities. QSPIX has an expected volatility of about 10. Stocks have vol about 20% ...
by Random Walker
Sat Nov 10, 2018 9:26 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1515
Views: 214001

Re: QSPIX - thoughts on interesting fund

...QSPIX has no net exposure to market beta, yet has Pre tax equity like expected returns... More than once you have used phrases like "pre tax equity like expected return." I want to bug you about that. If QSPIX has "pre tax equity like expected returns" than the S&P 500 would be an appropriate be...
by Random Walker
Fri Nov 09, 2018 9:01 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 172
Views: 12956

Re: A reminder: Stay away from AQR

To present factor investing as a free lunch (via diversification) is dishonest. I understand you are working from the assumption that these premium are enduring, and so believe tilting towards those investments will increase return. In any holding period though, there are no gaurantees that a facto...
by Random Walker
Fri Nov 09, 2018 8:49 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 172
Views: 12956

Re: A reminder: Stay away from AQR

You do NOT want to compete with those guys. Maybe AQR is smart enough to compete with those guys, but maybe not. I don't want to bet on which shark is smarter. I'll stick to the simple 3-fund portfolio, and just take the average return. I agree! I don’t want to bet on who’s smarter, faster, etc. Bu...
by Random Walker
Fri Nov 09, 2018 7:47 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 172
Views: 12956

Re: A reminder: Stay away from AQR

You do NOT want to compete with those guys. Maybe AQR is smart enough to compete with those guys, but maybe not. I don't want to bet on which shark is smarter. I'll stick to the simple 3-fund portfolio, and just take the average return. I agree! I don’t want to bet on who’s smarter, faster, etc. Bu...