Search found 3935 matches

by Random Walker
Sat Jul 13, 2019 10:45 am
Forum: Investing - Theory, News & General
Topic: Tax cost stopping move to indexing
Replies: 68
Views: 3071

Re: Tax cost stopping move to indexing

I agree with taking advantage of step up if your plan is legacy and DAF if that is in your plans. Otherwise, if you are going to use the money at some point, I say don’t let the tax tail wag the asset allocation dog. You essentially got lucky with a sector bet. Paying a tax is no fun, not having to ...
by Random Walker
Fri Jul 12, 2019 3:12 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 465
Views: 18887

Re: Why factor investing isn't working

Just to comment, it seems interesting to me that those asking about factoring investing and odds of success and confidence levels seem to completely miss that TSM is a factor investment, just happens to be in one factor. So the same questions one is seeking answers to re probability etc applies to ...
by Random Walker
Fri Jul 12, 2019 9:50 am
Forum: Investing - Theory, News & General
Topic: Correlation and Portfolio Additions
Replies: 13
Views: 718

Re: Correlation and Portfolio Additions

As I believe Asif was alluding to, it’s important to think about what one is trying to accomplish when adding a new investment to a portfolio. That necessarily requires one to consider what investment he is partially or completely removing to create the position. That involves comparing expected ret...
by Random Walker
Thu Jul 11, 2019 9:42 pm
Forum: Investing - Theory, News & General
Topic: Correlation and Portfolio Additions
Replies: 13
Views: 718

Re: Correlation and Portfolio Additions

I think with correlations changing over time all you can do is pretty much make qualitative decisions. I agree the expected return of a portfolio is the weighted average of the portfolio component expected returns. The SD of the portfolio will be less than the weighted average of the individual SDs ...
by Random Walker
Thu Jul 11, 2019 11:54 am
Forum: Investing - Theory, News & General
Topic: Asset Allocation of the Ultra-Wealthy, can I copy their portfolio with index funds?
Replies: 63
Views: 4690

Re: Asset Allocation of the Ultra-Wealthy, can I copy their portfolio with index funds?

Look how the REALLY BIG MONEY invests, the pension funds and institutions. There is a big trend towards passive for them. Dave Odd, in another thread discussing how pension funds and institutions were not getting any benefits from factor investing, Larry (your guru) said they were fools. So, why sh...
by Random Walker
Thu Jul 11, 2019 11:29 am
Forum: Investing - Theory, News & General
Topic: Asset Allocation of the Ultra-Wealthy, can I copy their portfolio with index funds?
Replies: 63
Views: 4690

Re: Asset Allocation of the Ultra-Wealthy, can I copy their portfolio with index funds?

Look how the REALLY BIG MONEY invests, the pension funds and institutions. There is a big trend towards passive for them. Dave Odd, in another thread discussing how pension funds and institutions were not getting any benefits from factor investing, Larry (your guru) said they were fools. So, why sh...
by Random Walker
Thu Jul 11, 2019 11:09 am
Forum: Investing - Theory, News & General
Topic: Asset Allocation of the Ultra-Wealthy, can I copy their portfolio with index funds?
Replies: 63
Views: 4690

Re: Asset Allocation of the Ultra-Wealthy, can I copy their portfolio with index funds?

Look how the REALLY BIG MONEY invests, the pension funds and institutions. There is a big trend towards passive for them.

Dave
by Random Walker
Thu Jul 11, 2019 8:10 am
Forum: Investing - Theory, News & General
Topic: S&P Indices: Blending Factors In Smart Beta Portfolios
Replies: 9
Views: 863

Re: S&P Indices: Blending Factors In Smart Beta Portfolios

Seems like using the 500 for factor exposure, is a good middle ground between full slice and dice and a total market portfolio. accepting increased tracking error resulted in a more efficient portfolio. There is the risk and reward. Dave, I was enthusiastic until "This suggests potential for strate...
by Random Walker
Wed Jul 10, 2019 10:49 pm
Forum: Investing - Theory, News & General
Topic: S&P Indices: Blending Factors In Smart Beta Portfolios
Replies: 9
Views: 863

S&P Indices: Blending Factors In Smart Beta Portfolios

https://us.spindices.com/documents/education/education-blending-factors-in-your-smart-beta-portfolio.pdf?force_download=true Here’s an article from S&P on factors: low volatility, size, quality, value, momentum. It studies the period 1995-2018 and compares S&P 500 single factor indices to the S&P 50...
by Random Walker
Mon Jul 08, 2019 11:07 am
Forum: Investing - Theory, News & General
Topic: Jack Bogle was right: smart beta ETFs are closet trackers (including Vanguard’s)
Replies: 21
Views: 2353

Re: Jack Bogle was right: smart beta ETFs are closet trackers (including Vanguard’s)

Not too surprising I think. Most long only equity funds, even if emphasizing a factor, will still have a market beta exposure of about 1. For factor investors, this article seems to make the argument for using the funds with the deepest exposures to the desired factor. This allows the investor to ta...
by Random Walker
Sat Jul 06, 2019 8:25 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Historical Imperative For International Diversification
Replies: 347
Views: 16276

Re: Larry Swedroe: The Historical Imperative For International Diversification

SevenBridgesRoad wrote:
Sat Jul 06, 2019 8:19 pm
Glad to see after Moderators banned Larry Swedrow's columns (see recent thread) that we are still having Larry's columns here. Yes! Freedom of ideas wins.
Article was posted prior to my receiving the request to refrain from posting his essays.

Dave
by Random Walker
Sat Jul 06, 2019 7:46 pm
Forum: Investing - Theory, News & General
Topic: No More Posts Of Larry Swedroe Essays
Replies: 65
Views: 5351

Re: No More Posts Of Larry Swedroe Essays

It's healthy to read other views and give them space to argue their points. I agree. I think it is important for TSM 3 Funders to learn about alternative approaches. The knowledge, and making an informed decision to stick with TSM, will provide fortitude to stick with the plan when it is needed mos...
by Random Walker
Sat Jul 06, 2019 7:33 pm
Forum: Investing - Theory, News & General
Topic: No More Posts Of Larry Swedroe Essays
Replies: 65
Views: 5351

Re: No More Posts Of Larry Swedroe Essays

Mr. Bogle, to the best of my knowledge, was a pretty big fan of Larry. To be fair, the moderator commented that they would welcome Larry posting some of his columns himself; it is my posting of them that appears to be part of the issue. But Larry was driven away quite a while ago by antagonism and l...
by Random Walker
Sat Jul 06, 2019 6:56 pm
Forum: Investing - Theory, News & General
Topic: No More Posts Of Larry Swedroe Essays
Replies: 65
Views: 5351

Re: No More Posts Of Larry Swedroe Essays

Although there were apparently accusations of “shill”, it does appear that part of the reason is that there were ideas “contradictory to Boglehead philosophy”. I take that as anything different from a TSM or 3 fund approach. I don’t remember it that way in the early-mid 2000’s when I started partici...
by Random Walker
Sat Jul 06, 2019 6:45 pm
Forum: Investing - Theory, News & General
Topic: No More Posts Of Larry Swedroe Essays
Replies: 65
Views: 5351

Re: No More Posts Of Larry Swedroe Essays

As requested by moderators, in response to multiple complaints, I will no longer be posting Larry’s essays. For those interested, he will be posting at Advisor Perspectives, Alpha Architect, and Evidence Based Investor websites. He can also be followed with Google Alerts and on Twitter. I have had ...
by Random Walker
Sat Jul 06, 2019 6:14 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Historical Imperative For International Diversification
Replies: 347
Views: 16276

Re: Larry Swedroe: The Historical Imperative For International Diversification

I’ve always tried to be accurate, and thus have posted titles best I can exactly as written. Didn’t want to fog anything up unless it was clearly my own comments in the ensuing thread.

Dave
by Random Walker
Sat Jul 06, 2019 5:48 pm
Forum: Investing - Theory, News & General
Topic: No More Posts Of Larry Swedroe Essays
Replies: 65
Views: 5351

No More Posts Of Larry Swedroe Essays

As requested by moderators, in response to multiple complaints, I will no longer be posting Larry’s essays. For those interested, he will be posting at Advisor Perspectives, Alpha Architect, and Evidence Based Investor websites. He can also be followed with Google Alerts and on Twitter. I have had n...
by Random Walker
Sat Jul 06, 2019 2:37 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Historical Imperative For International Diversification
Replies: 347
Views: 16276

Larry Swedroe: The Historical Imperative For International Diversification

https://www.advisorperspectives.com/articles/2019/07/05/the-historical-imperative-for-international-diversification If your equities do not have significant international diversification, you might be affected by home country bias or recency bias. In a separate article I posted a day or two ago, Lar...
by Random Walker
Sat Jul 06, 2019 12:37 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Be Careful How You Frame The Problem
Replies: 0
Views: 586

Larry Swedroe: Be Careful How You Frame The Problem

https://www.evidenceinvestor.com/be-careful-how-you-frame-the-problem/ Larry frequently hears from investors considering tilting / diversifying across factors something to the effect “but I don’t have enough time to wait for the factor premium to show up”. People thinking this way may well be framin...
by Random Walker
Mon Jul 01, 2019 5:57 pm
Forum: Investing - Theory, News & General
Topic: Capital Efficiency Trumps Fees
Replies: 14
Views: 1501

Re: Capital Efficiency Trumps Fees

Like I said, take it for the overall theme. Looking forward it can potentially be beneficial to add investments uncorrelated to stocks and bonds to a portfolio dominated by stocks, even if it increases cost a bit. Dave It could be beneficial if the additions to the portfolio really are uncorrelated...
by Random Walker
Mon Jul 01, 2019 1:17 pm
Forum: Investing - Theory, News & General
Topic: Capital Efficiency Trumps Fees
Replies: 14
Views: 1501

Re: Capital Efficiency Trumps Fees

Like I said, take it for the overall theme. Looking forward it can potentially be beneficial to add investments uncorrelated to stocks and bonds to a portfolio dominated by stocks, even if it increases cost a bit.

Dave
by Random Walker
Mon Jul 01, 2019 12:00 pm
Forum: Investing - Theory, News & General
Topic: Allan Roth: Probabilities, Truth, and Consequences
Replies: 40
Views: 3793

Re: Allan Roth: Probabilities, Truth, and Consequences

I myself use the 50% mind experiment. I haven’t considered the 90% possibility in my planning.

Dave
by Random Walker
Mon Jul 01, 2019 11:23 am
Forum: Investing - Theory, News & General
Topic: Allan Roth: Probabilities, Truth, and Consequences
Replies: 40
Views: 3793

Allan Roth: Probabilities, Truth, and Consequences

https://www.advisorperspectives.com/articles/2019/07/01/probabilities-truth-and-consequences Found this article by Allan Roth at Advisor Perspectives. Good reminder that in making investment decisions it is likely a good idea to let the consequences of being wrong override the probabilities of being...
by Random Walker
Sun Jun 30, 2019 8:52 am
Forum: Investing - Theory, News & General
Topic: Multi-factor funds: are more factors really better?
Replies: 25
Views: 1836

Re: Multi-factor funds: are more factors really better?

There is a common argument that its better to combine all factors in an integrated way (multiples sorts on the same stocks in a portfolio) rather than as a component approach reflected above. This has some merit but IMO the benefits are often “over sold”, and as pointed out earlier it adds to the i...
by Random Walker
Sat Jun 29, 2019 10:43 pm
Forum: Investing - Theory, News & General
Topic: Capital Efficiency Trumps Fees
Replies: 14
Views: 1501

Re: Capital Efficiency Trumps Fees

so it seems possible that there is some choice-supportive bias at work. Definitely could be true of me :-) but just like I say to patients “just cause I’m biased doesn’t mean I’m not right” :-) I really think these decisions come down to known costs versus potential benefits. But at some point the ...
by Random Walker
Sat Jun 29, 2019 8:55 pm
Forum: Investing - Theory, News & General
Topic: Capital Efficiency Trumps Fees
Replies: 14
Views: 1501

Re: Capital Efficiency Trumps Fees

And awaaay we go. Alternates may be viable, but Bogleheads strongly promote a simplified investment strategy for two reasons: 1 It works 2 it is easy to understand and easy to implement I would guess that 50-75% of forum members would be less successful with an “alternative” strategy or any strateg...
by Random Walker
Sat Jun 29, 2019 3:29 pm
Forum: Investing - Theory, News & General
Topic: Capital Efficiency Trumps Fees
Replies: 14
Views: 1501

Re: Capital Efficiency Trumps Fees

What counts is the portfolio as a whole. One can potentially bring a portfolio’s compounded return closer to its simple average return by adding uncorrelated assets. The incremental benefit could potentially be worth the incremental cost in terms of expense ratio and taxes. If portfolio efficiency ...
by Random Walker
Sat Jun 29, 2019 3:10 pm
Forum: Investing - Theory, News & General
Topic: Capital Efficiency Trumps Fees
Replies: 14
Views: 1501

Capital Efficiency Trumps Fees

https://investresolve.com/blog/capital-efficiency-trumps-fees/ I found this essay on a website recommended by Larry Swedroe, Resolve Asset Management. I think the essay makes an important point: that portfolio efficiency counts. Bogleheads rightly and importantly focus on expense ratios and taxes. B...
by Random Walker
Sat Jun 29, 2019 9:32 am
Forum: Investing - Theory, News & General
Topic: "Alice's Adventures in Factorland"
Replies: 209
Views: 9943

Re: "Alice's Adventures in Factorland"

Back in the “slice and dice days” was conventional wisdom around here to hold equal parts growth and value? I’m not sure there was a single conventional wisdom. But I think the idea was that TSM is the core holding and that TSM for all practical purposes is a large growth fund. Look at historic cor...
by Random Walker
Sat Jun 29, 2019 9:29 am
Forum: Investing - Theory, News & General
Topic: "Alice's Adventures in Factorland"
Replies: 209
Views: 9943

Re: "Alice's Adventures in Factorland"

I don’t think that deviating from the TSM portfolio implies the factor investor believes he knows more than the market. The point Larry teaches is that in an efficient market all risky assets should have about the same risk adjusted expected return. Under that circumstance the TSM portfolio sounds o...
by Random Walker
Fri Jun 28, 2019 11:47 pm
Forum: Investing - Theory, News & General
Topic: "Alice's Adventures in Factorland"
Replies: 209
Views: 9943

Re: "Alice's Adventures in Factorland"

No I didn’t read the paper. But as you and the paper note, the problem seems to be with investor’s expectations. Term is a factor as well. And if one tilts towards the equity factors with higher expected return, he can keep portfolio expected return about the same by decreasing overall equity alloca...
by Random Walker
Fri Jun 28, 2019 8:02 pm
Forum: Investing - Theory, News & General
Topic: "Alice's Adventures in Factorland"
Replies: 209
Views: 9943

Re: "Alice's Adventures in Factorland"

I am not smart enough to pick next year’s winning categories or the losers. So am invested in total market. Alternatively, you could diversify as broadly as possible across factors known to provide unique risks and associated returns. Not a bad strategy when an investor has now clue which will outp...
by Random Walker
Fri Jun 28, 2019 7:23 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Is Active Management Skilled? If So, Who Benefits?
Replies: 1
Views: 543

Larry Swedroe: Is Active Management Skilled? If So, Who Benefits?

https://alphaarchitect.com/2019/06/28/is-active-management-skilled-if-so-who-benefits/ In the active fund world, past winning performance does not predict future performance. It’s more than the odds catching up with random luck though. Successful active management sows the seeds of its own destructi...
by Random Walker
Fri Jun 28, 2019 9:38 am
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 26
Views: 2476

Re: Ex DFA CIO launches competitor which will also have ETFs

....perhaps deeper tilts. So more loading per unit of cost. That sounds appealing. Might allow one to keep the same portfolio factor loading while owning more of Vanguard’s funds, or to go deeper into a “Larry Portfolio” by increasing factor load and reducing the equity %. This brings up important ...
by Random Walker
Fri Jun 28, 2019 9:00 am
Forum: Investing - Theory, News & General
Topic: "Alice's Adventures in Factorland"
Replies: 209
Views: 9943

Re: "Alice's Adventures in Factorland"

It would be super interesting to see a version of the Callan table looking specifically at the factors, styles, and alternatives.

Dave
by Random Walker
Thu Jun 27, 2019 7:34 pm
Forum: Investing - Theory, News & General
Topic: "Alice's Adventures in Factorland"
Replies: 209
Views: 9943

Re: "Alice's Adventures in Factorland"

3. Do I have enough birthdays remaining for this sector bet to play out so I can enjoy the extra return should they materialize? This is the statement that perplexes me the most. Wouldn’t a multifactor portfolio provide exactly the type of equity diversification most required by those with short in...
by Random Walker
Thu Jun 27, 2019 12:13 pm
Forum: Investing - Theory, News & General
Topic: "Alice's Adventures in Factorland"
Replies: 209
Views: 9943

Re: "Alice's Adventures in Factorland"

Bogleheads: Factor investors are having a difficult time. Small-cap value (factor) funds are heavily promoted by the fund industry as a way to increase portfolio returns. Nevertheless, small cap value funds have the worst 5-year returns of all Morningstar style categories. Index Performance Return ...
by Random Walker
Thu Jun 27, 2019 12:10 pm
Forum: Investing - Theory, News & General
Topic: "Alice's Adventures in Factorland"
Replies: 209
Views: 9943

Re: "Alice's Adventures in Factorland"

Since 2000: Total Stock Index: $10,000 becomes $28,785, 5.60% CAGR Small Cap Value Index: $10,000 becomes $56,351, 9.31% CAGR What does the future hold? That we do not know. I think it is very important to point out that this result uses data that begins about 8 years after Fama French published th...
by Random Walker
Thu Jun 27, 2019 8:58 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: How Trading Costs Erode Factor Returns
Replies: 43
Views: 3071

Re: Larry Swedroe: How Trading Costs Erode Factor Returns

However, fund companies did not create style funds and industry funds to aggregate (not even Vanguard). The USE of select style index products or industry index products to overweight a portfolio was offered for investors to make bets. These funds were designed to be used actively. I know nothing a...
by Random Walker
Wed Jun 26, 2019 8:17 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 26
Views: 2476

Re: Ex DFA CIO launches competitor which will also have ETFs

This one example brings up some more general issues regarding the evolution of investing. Competition certainly increases the accessibility of the various sources of risk/return and decreases cost. But the more accessible, lower cost, more liquid the investment, the lower expected return. Low cost f...
by Random Walker
Tue Jun 25, 2019 10:20 am
Forum: Investing - Theory, News & General
Topic: Dimensional Funds versus Vanguard
Replies: 27
Views: 2930

Re: Dimensional Funds versus Vanguard

greg24 wrote:
Tue Jun 25, 2019 9:52 am
Costs matter around here, until you've drunk the DFA kool aid. Then its a lot of hand waving.
Not hand waving, just discussion beyond simple expense ratio. Can’t deny expense ratio critically important. But may as well try to look at all relevant costs as best we can.

Dave
by Random Walker
Tue Jun 25, 2019 9:42 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: How Trading Costs Erode Factor Returns
Replies: 43
Views: 3071

Larry Swedroe: How Trading Costs Erode Factor Returns

https://www.advisorperspectives.com/articles/2019/06/20/how-trading-costs-erode-factor-returns As Bogleheads know, costs are critical. But there is a lot more to costs than the expense ratio: taxes, bid-ask spreads, market impact costs, turnover, rebalancing all affect the overall costs and returns ...
by Random Walker
Tue Jun 25, 2019 9:32 am
Forum: Investing - Theory, News & General
Topic: Dimensional Funds versus Vanguard
Replies: 27
Views: 2930

Re: Dimensional Funds versus Vanguard

As they showed, implementation costs can far exceed the fund’s expense ratio, making it critical that investors consider not only the factor exposure provided by a fund and its expense ratio, but also the fund’s construction rules and implementation strategies. Intelligent design and trading can ad...
by Random Walker
Mon Jun 24, 2019 10:56 pm
Forum: Investing - Theory, News & General
Topic: Dimensional Funds versus Vanguard
Replies: 27
Views: 2930

Re: Dimensional Funds versus Vanguard

DFA has a pretty big expense ratio compared to Vanguard. Tread lightly. Expenses are critical: Bogle’s Cost Matters Hypothesis. But there is a lot more to expenses than just the expense ratio: securities lending, trading expenses, taxes, bid-ask spreads, market impact costs. Unfortunately I don’t u...
by Random Walker
Mon Jun 24, 2019 3:20 pm
Forum: Investing - Theory, News & General
Topic: Dimensional Funds versus Vanguard
Replies: 27
Views: 2930

Re: Dimensional Funds versus Vanguard

DFA funds are passive funds that typically have deeper exposure to size and value than the analogous Vanguard funds. They take advantage of the positives of indexing while minimizing or avoiding some of the negatives. DFA funds are typically somewhat more expensive. When size and value do well, DFA ...
by Random Walker
Sat Jun 22, 2019 3:07 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Curse Of Popularity
Replies: 29
Views: 3377

Re: Larry Swedroe: The Curse Of Popularity

DaufuskieNate, Your intuition is correct. The expected return of a portfolio is the weighted average of the expected returns of the components. The expected standard deviation of a portfolio is less than the weighted mean volatility of the portfolio components because of the less than perfect correl...
by Random Walker
Sat Jun 22, 2019 10:54 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Curse Of Popularity
Replies: 29
Views: 3377

Re: Larry Swedroe: The Curse Of Popularity

However, like most investment concepts, the data that you presented show long term performance; and unfortunately, not everyone has 20 or 30 years to find out. Huge point! Perhaps the shorter the time period, the more important diversification is. Look at the tables in Chapter 9 of Larry’s factor b...
by Random Walker
Sat Jun 22, 2019 10:47 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Curse Of Popularity
Replies: 29
Views: 3377

Re: Larry Swedroe: The Curse Of Popularity

Dave, I can fully appreciate the lack of correlation between these sources of return. One question I have had in this regard is why this does not reduce the volatility of an asset class like SCV. In other examples of diversification, this would be the expected result. What am I missing? Not sure I ...
by Random Walker
Sat Jun 22, 2019 9:54 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Curse Of Popularity
Replies: 29
Views: 3377

Re: Larry Swedroe: The Curse Of Popularity

Alwayspassive, TSM does have all stocks, but no net exposure to any of the factors other than the market factor. A big key point of Larry’s example above is that the correlations between A,B,C,D above are very low. Historically I believe market and size have had very low correlation, market and valu...
by Random Walker
Fri Jun 21, 2019 9:23 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Curse Of Popularity
Replies: 29
Views: 3377

Re: Larry Swedroe: The Curse Of Popularity

Excellent article. My bottom line is hold the Total Market , unless you think that you can time the popularity regimes. Am I wrong? That’s not my takeaway. No market timing required to take advantage of the information. Many of the risk factors and behavioral characteristics can be used to passivel...