Search found 2118 matches

by Random Walker
Sat Dec 16, 2017 5:43 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 189
Views: 22906

Re: My Favorite Alternative Funds

Jalbert,
Isn’t corellated behavior in a single 1-2 year time frame a rather short time period to draw conclusions from?

Dave
by Random Walker
Sat Dec 16, 2017 5:41 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 189
Views: 22906

Re: My Favorite Alternative Funds

Vesalius, In general, I think it’s a very good idea to incorporate the factors you want in a single core or multi style fund. This way you avoid rebalancing costs and avoid one fund buying the same investment when the other one is selling. So I think it looks like a great idea to effectively add TS ...
by Random Walker
Fri Dec 15, 2017 2:43 pm
Forum: Investing - Theory, News & General
Topic: Factor-Based Investing: The Long-Term Evidence - Dimson & Marsh
Replies: 84
Views: 2660

Re: Factor-Based Investing: The Long-Term Evidence - Dimson & Marsh

Rkhusky, Don’t think term “pseudo factors” is necessary. As you say, the factors are defined with long-short portfolios. About half the factor premium comes from the long position and half from the short position. People who use long only funds to gain factor exposure are simply exposing themselves ...
by Random Walker
Fri Dec 15, 2017 9:54 am
Forum: Investing - Theory, News & General
Topic: Factor-Based Investing: The Long-Term Evidence - Dimson & Marsh
Replies: 84
Views: 2660

Re: Factor-Based Investing: The Long-Term Evidence - Dimson & Marsh

Rkhusky, Good points. With regard to out of sample evidence, I think it can be obtained in a few different ways: different time periods, different geographic markets, different asset classes. I think it’s also important to look at sub periods within a time period. There is value in having the longes...
by Random Walker
Fri Dec 15, 2017 9:19 am
Forum: Investing - Theory, News & General
Topic: Factor-Based Investing: The Long-Term Evidence - Dimson & Marsh
Replies: 84
Views: 2660

Re: Factor-Based Investing: The Long-Term Evidence - Dimson & Marsh

The chart ranks the factors in order of relative performance. I think that isn’t so important. What is important is how often each factor is positive or negative and of course the fact we can’t predict what any given factor will do in any given time period. Diversifying across the factors is certain...
by Random Walker
Wed Dec 13, 2017 8:21 pm
Forum: Investing - Theory, News & General
Topic: Do You Sacrifice Tax Efficiency for Portfolio Efficiency?
Replies: 5
Views: 649

Re: Do You Sacrifice Tax Efficiency for Portfolio Efficiency?

By portfolio efficiency I mean increasing return per unit volatility (increasing Sharpe ratio) / moving closer towards the northwest corner of an efficient frontier.

Dave
by Random Walker
Wed Dec 13, 2017 5:45 pm
Forum: Investing - Theory, News & General
Topic: Do You Sacrifice Tax Efficiency for Portfolio Efficiency?
Replies: 5
Views: 649

Do You Sacrifice Tax Efficiency for Portfolio Efficiency?

General investing advice is to place tax inefficient asset classes (bonds, value, alternatives, REITs) in tax advantaged accounts and tax efficient asset classes (total market equity funds) in taxable accounts. But tax advantaged space can become limited and we can be forced to stray from ideal asse...
by Random Walker
Wed Dec 13, 2017 10:45 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Write Off Value
Replies: 20
Views: 2635

Re: Larry Swedroe: Don’t Write Off Value

DMW wrote +1 The proof will be in the long-term performance of retail funds. The risk management justification for buying and holding factor-based funds will be a difficult sell if they under perform for long periods of time. Show me the money is an argument that is hard to beat when selling investm...
by Random Walker
Wed Dec 13, 2017 10:28 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Write Off Value
Replies: 20
Views: 2635

Re: Larry Swedroe: Don’t Write Off Value

Garlandwhizzer wrote Multi-factor investing in theory should produce a smoother ride, but it is a very complex strategy, so many portfolio decisions to be made that seems akin to active management. I agree on the smoother ride, but disagree on the complexity. For the funds, they can be passive, form...
by Random Walker
Tue Dec 12, 2017 5:38 pm
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 2927

Re: Expanding on The Rewards Of Multiple Asset Class Investing

Just thought I’d bump this post. I think the initial diagram at the top of the thread is invaluable. Diversification across less than perfectly correlated sources of return works.

Dave
by Random Walker
Mon Dec 11, 2017 11:11 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Write Off Value
Replies: 20
Views: 2635

Re: Larry Swedroe: Don’t Write Off Value

I agree with garlandwhizzer and deadmanwalking, there is a strong element of faith involved in factor investing. But perhaps less than most people appreciate. A factor investor will diversify across market, size, value, momentum, profitability/quality and probably seek a given expected return with m...
by Random Walker
Mon Dec 11, 2017 7:05 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Write Off Value
Replies: 20
Views: 2635

Re: Larry Swedroe: Don’t Write Off Value

I think it’s very fair to bring up Buffett. He just uses Buffett to make the point of staying invested, stay the course, make more money asleep than when active, best holding time forever, etc.

Dave
by Random Walker
Mon Dec 11, 2017 7:01 pm
Forum: Investing - Theory, News & General
Topic: So... how do I need to "further" my investing knowledge?
Replies: 15
Views: 1493

Re: So... how do I need to "further" my investing knowledge?

Agree with reading financial history. It sort of builds up the muscles and fortitude to stay the course. A great book is Devil Take The Hindmost.

Dave
by Random Walker
Mon Dec 11, 2017 5:46 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Write Off Value
Replies: 20
Views: 2635

Re: Larry Swedroe: Don’t Write Off Value

This article needs to get a bump. This is an excellent review of the value premium. Moreover it shows us how recently bias can really screw us up and set us up for other behavioral foibles.

Dave
by Random Walker
Mon Dec 11, 2017 3:05 pm
Forum: Investing - Theory, News & General
Topic: Do DFA Funds have lower trading costs than Index Funds?
Replies: 32
Views: 1462

Re: Do DFA Funds have lower trading costs than Index Funds?

I am not sold on their methodology as I have asked them several times over which time periods they expect outperformance and I never really get a good answer. I would run if I got a specific answer on that one. There are no guarantees in investing. Maybe your not so good answers reflect some integr...
by Random Walker
Mon Dec 11, 2017 10:25 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Write Off Value
Replies: 20
Views: 2635

Larry Swedroe: Don’t Write Off Value

http://www.etf.com/sections/index-investor-corner/swedroe-19?nopaging=1 Excellent article. Although Larry focuses on the value premium, the article can be extrapolated to the behavior of all factors, including the market factor. They can all have very long periods of underperformance. Both the value...
by Random Walker
Sun Dec 10, 2017 7:10 pm
Forum: Investing - Theory, News & General
Topic: Are Bonds ever better than a Fund?
Replies: 10
Views: 1126

Re: Are Bonds ever better than a Fund?

If one has the philosophy that risk should be taken on the equity side and bonds should be as safe as possible, then a municipal ladder can have an advantage over a fund. An investor can build a ladder comprised of only the highest credit quality bonds, AAA and AA. These are generally general obliga...
by Random Walker
Sun Dec 10, 2017 1:28 pm
Forum: Investing - Theory, News & General
Topic: Are Bonds ever better than a Fund?
Replies: 10
Views: 1126

Re: Are Bonds ever better than a Fund?

There are potentially several good reasons to choose a Muni bond ladder over a fund. A few come to my mind immediately: 1. No expense ratio 2. Tailor holdings to your own particular state tax situation 3. Can tax loss harvest at individual bond level 4. Can specifically tailor quality and maturity L...
by Random Walker
Sat Dec 09, 2017 12:40 pm
Forum: Investing - Theory, News & General
Topic: Jason Zweig’s Finds limits to Index’s Effectiveness
Replies: 4
Views: 1293

Re: Jason Zweig’s Finds limits to Index’s Effectiveness

Most people equate index investing with effectively large cap growth investing. TSM and S&P 500 basically track each other. I think one can use his point about the potential over popularity of index investing as rationale for diversifying across asset classes, factors, sources of return. Do it all w...
by Random Walker
Fri Dec 08, 2017 3:43 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Two Views On Value Converge
Replies: 1
Views: 406

Larry Swedroe: Two Views On Value Converge

http://www.etf.com/sections/index-investor-corner/swedroe-2-views-value-converge Here Larry reviews a study that brings together both the risk based and behavioral based stories for the value premium. Not sure I completely understood the article, but I believe Larry is saying that the authors show w...
by Random Walker
Fri Dec 08, 2017 3:14 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum And Market Anomalies
Replies: 0
Views: 170

Larry Swedroe: Momentum And Market Anomalies

https://alphaarchitect.com/2017/12/08/momentum-and-market-anomalies/ In this article Larry reviews a paper that looks at the effect of momentum on 15 known market anomalies. There is persistent CS Momentum present in most of the anomalies, and applying momentum to each anomaly is highly likely to be...
by Random Walker
Wed Dec 06, 2017 7:59 pm
Forum: Investing - Theory, News & General
Topic: AQR/Asness - You Can Have Your Momentum Factor and Eat it Too
Replies: 21
Views: 1665

Re: AQR/Asness - You Can Have Your Momentum Factor and Eat it Too

I’m guessing they would find the same result for TS Momentum
by Random Walker
Wed Dec 06, 2017 6:23 pm
Forum: Investing - Theory, News & General
Topic: AQR/Asness - You Can Have Your Momentum Factor and Eat it Too
Replies: 21
Views: 1665

Re: AQR/Asness - You Can Have Your Momentum Factor and Eat it Too

Thanks Matjen for posting the article. I assume this article is discussing CS Momentum as opposed to TS Momentum?

Dave
by Random Walker
Tue Dec 05, 2017 7:43 pm
Forum: Investing - Theory, News & General
Topic: Everyone, Even a Passive Vanguard Investor, is a Factor Investor (Alpha Architect/Jack Vogel, 11-30-17)
Replies: 39
Views: 1559

Re: Everyone, Even a Passive Vanguard Investor, is a Factor Investor (Alpha Architect/Jack Vogel, 11-30-17)

Lack_ey
Agree with everything you said. Some stocks would have higher expected return than others because they have exposure to both the market factor and an additional factor like small and value.

Dave
by Random Walker
Tue Dec 05, 2017 6:33 pm
Forum: Investing - Theory, News & General
Topic: Everyone, Even a Passive Vanguard Investor, is a Factor Investor (Alpha Architect/Jack Vogel, 11-30-17)
Replies: 39
Views: 1559

Re: Everyone, Even a Passive Vanguard Investor, is a Factor Investor (Alpha Architect/Jack Vogel, 11-30-17)

It is difficult for me to see how investors can demand a higher return from a long/short scheme involving part of the market vs another part of the market, compared to investing in the market as a whole The long/short “scheme” is the point. By subtracting out the market factor, the long/short is is...
by Random Walker
Tue Dec 05, 2017 6:18 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Bitcoin & It’s Risks
Replies: 57
Views: 4845

Larry Swedroe: Bitcoin & It’s Risks

http://www.etf.com/sections/index-inves ... nopaging=1

Larry Swedroe on the speculative nature of Bitcoin

Dave
by Random Walker
Tue Dec 05, 2017 1:11 pm
Forum: Investing - Theory, News & General
Topic: Everyone, Even a Passive Vanguard Investor, is a Factor Investor (Alpha Architect/Jack Vogel, 11-30-17)
Replies: 39
Views: 1559

Re: All Investors are Factor Investors

I think a TSM investor needs to appreciate this point of view. He needs to understand he is investing in one single factor, the market factor. This could well be a rational choice: low cost, tax efficient, and the factor that dominates most all of our portfolios. But it should be an informed choice,...
by Random Walker
Tue Dec 05, 2017 10:37 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 9696

Re: Larry Swedroe: Managing Risk With Factors

I believe that VG would describe any strategy as active if it doesn’t strictly adhere to an index. I think they even describe their municipal bond funds as active. So VG could implement a very formulaic passive strategy and still officially feel the need to describe it as active just because of it’s...
by Random Walker
Mon Dec 04, 2017 9:01 am
Forum: Investing - Theory, News & General
Topic: Fama - Embrace passive management already
Replies: 16
Views: 2438

Re: Fama - Embrace passive management already

I think patient trading and provider of liquidity are not market timing. The DFA funds are sort of their own indexes; they certainly aren’t interested in mirroring any external index. If the fund has certain metrics (six, value, # stocks, etc), is totally agnostic as to which stocks it has as long a...
by Random Walker
Sun Dec 03, 2017 9:53 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
Replies: 133
Views: 12228

Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?

Hi Taylor, I agree with you that the market is ruthlessly efficient. But do you see a difference between the current popular factors which have academic evidence supporting them and the fads you are referring to? This is a serious question. At the time they were popular, did academics advocate them?...
by Random Walker
Sun Dec 03, 2017 3:48 pm
Forum: Investing - Theory, News & General
Topic: 15 Questions To Ask When Choosing A Financial Advisor
Replies: 9
Views: 1049

Re: 15 Questions To Ask When Choosing A Financial Advisor

I realize the essay comes from a financial services firm, but I felt comfortable posting it because the information is very generic, very general, and representatives from different firms are referenced and quoted in the article.

Dave
by Random Walker
Sun Dec 03, 2017 11:36 am
Forum: Investing - Theory, News & General
Topic: AA based on recent market performance and pre-determined target
Replies: 29
Views: 1676

Re: AA based on recent market performance and pre-determined target

Totally appropriate to adjust AA based on where one is relative to goals rather than blindly by age. We can’t control what the markets give us, but we can control how we respond. Recent large gains have gotten people closer to retirement than they may have expected. But high past returns have result...
by Random Walker
Sun Dec 03, 2017 10:43 am
Forum: Investing - Theory, News & General
Topic: 15 Questions To Ask When Choosing A Financial Advisor
Replies: 9
Views: 1049

15 Questions To Ask When Choosing A Financial Advisor

https://thecogentadvisor.com/blog/15-questions-to-ask-when-choosing-a-financial-advisor Not the most popular subject on the DIY Bogleheads site, but nonetheless a very worthwhile read. For anyone considering an advisor, this article containing 15 questions to ask a potential advisor is an excellent ...
by Random Walker
Sat Dec 02, 2017 1:45 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Finding The Source Of Value
Replies: 19
Views: 2121

Re: Larry Swedroe: Finding The Source Of Value

Vanguard isn't the greatest place to go for factor weighted investments I would like to expand on this a bit. Vanguard small funds aren’t as small as others and Vanguard’s value funds aren’t as high BtM as others, but they are certainly cheap. Why is this potentially problematic? First, if one’s go...
by Random Walker
Fri Dec 01, 2017 12:29 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Finding The Source Of Value
Replies: 19
Views: 2121

Re: Larry Swedroe: Finding The Source Of Value

It's always been a head-scratcher for me why the "go-go" growth stocks are actually less risky. I think the distinction is between the business and the stock. The business is solid and growing, with earnings growing. It’s a less risky business and investors should expect lower future returns. But i...
by Random Walker
Fri Dec 01, 2017 9:15 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Avoid High Ranked Funds
Replies: 9
Views: 2001

Larry Swedroe: Avoid High Ranked Funds

http://www.etf.com/sections/index-investor-corner/swedroe-avoid-high-ranked-funds?nopaging=1 Very Bogleheadish article. Even when I think I know exactly what one of Larry’s articles is going to say, I read it anyways. There’s always some new interesting information. In this article he demonstrates a...
by Random Walker
Thu Nov 30, 2017 11:32 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Finding The Source Of Value
Replies: 19
Views: 2121

Re: Larry Swedroe: Finding The Source Of Value

Exactly on the visa versa :-)

Dave
by Random Walker
Thu Nov 30, 2017 4:42 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Finding The Source Of Value
Replies: 19
Views: 2121

Re: Larry Swedroe: Finding The Source Of Value

With regard to persistence and size, from Larry’s factor book data 1927-2015. The odds of market beta underperformance at 1 year 34%, at 10 years 10%, at 20 years 4%. For value factor underperformance at 1 year 37%, at 10 years 14%, at 20 years 6%. As far as size of the premia, market beta 8.3% with...
by Random Walker
Thu Nov 30, 2017 4:02 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Finding The Source Of Value
Replies: 19
Views: 2121

Re: Larry Swedroe: Finding The Source Of Value

Fama-French showed value to be a unique risk factor independent from the market factor. From my reading the correlation between value and market is about 0.1. It appears the unique risk is the risk of doing especially poorly in bad economic times. It’s important to distinguish business risk from sto...
by Random Walker
Wed Nov 29, 2017 3:53 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
Replies: 133
Views: 12228

Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?

Hopefully the VG products will create competition for other suppliers of factor exposure and the expense ratios of those funds will start to drop.

Dave
by Random Walker
Wed Nov 29, 2017 10:26 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 9696

Re: Larry Swedroe: Managing Risk With Factors

CRTR, Maybe yes and maybe no. Not sure I’m qualified to make the judgement. Here’s what I do know. First of all, it’s good to combine multiple factors in a single core fund when possible. This avoids rebalancing costs and the possibility of one fund in a portfolio buying a given stock while at the s...
by Random Walker
Wed Nov 29, 2017 10:06 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Finding The Source Of Value
Replies: 19
Views: 2121

Larry Swedroe: Finding The Source Of Value

http://www.etf.com/sections/index-investor-corner/swedroe-finding-source-value?nopaging=1 In this article Larry discusses several articles describing risk stories behind the value premium. He also discusses the behavioral story a bit as well. As many have read before, he says value premium is not a ...
by Random Walker
Tue Nov 28, 2017 3:13 pm
Forum: Investing - Theory, News & General
Topic: Asset Allocation [in market crash]
Replies: 38
Views: 1932

Re: Asset Allocation [in market crash]

Going 60/40 and forget about crash. Don't forget to rebalance.
Good to remember that even at 60/40, about 90% of the portfolio risk is on the equity side.

Dave
by Random Walker
Mon Nov 27, 2017 9:37 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trades Reveal Institutiinal Truths
Replies: 3
Views: 978

Larry Swedroe: Trades Reveal Institutiinal Truths

http://www.etf.com/sections/index-inves ... nopaging=1

More evidence that markets are super competitive, efficient, tough.

Dave
by Random Walker
Sun Nov 26, 2017 11:02 pm
Forum: Personal Finance (Not Investing)
Topic: Anyone bail early and regret it?
Replies: 12
Views: 2840

Re: Anyone bail early and regret it?

I’m 55 and started pulling back over last 2 years. I’m in accumulation phase but feel like I might be forced into early retirement against my will in near future. If plug gets pulled, I would have to have more modest retirement than I expected. But still no regret. The pain of loss way more than hap...
by Random Walker
Thu Nov 23, 2017 3:12 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 9696

Re: Larry Swedroe: Managing Risk With Factors

Taylor, I don’t know much about Sharpe. I do understand the mathematics of active management story though. I think the behavior of individual portfolios may be where we differ. I’m a huge fan of modern portfolio theory: how different less than perfectly correlated sources of return improve portfolio...
by Random Walker
Thu Nov 23, 2017 12:19 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 9696

Re: Larry Swedroe: Managing Risk With Factors

Packer, I believe the market is super efficient. In fact I probably believe it’s more efficient than it actually is :-). The market prices risk. Small and value have been shown to be separate, unique, independent risks from the market factor. For a single stock, the market weights these unique diffe...
by Random Walker
Thu Nov 23, 2017 12:11 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 9696

Re: Larry Swedroe: Managing Risk With Factors

CULater, While I don’t see factor investing as a black box, you make a very good point. When a factor performs poorly for an extended period of time, is it just a bad streak or has it been permanently eradicated? No way to know until after the fact! We can only invest looking forward. That’s why sta...
by Random Walker
Thu Nov 23, 2017 12:03 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 9696

Re: Larry Swedroe: Managing Risk With Factors

Nedsaid, Totally agree that investing is not physics. Human behavior really jacks finance up. But that is a large part of what makes investing so fascinating. That being said, it’s not all hopeless. People have looked at data, made hypotheses, and evaluated their hypotheses with out of sample data. ...
by Random Walker
Thu Nov 23, 2017 11:52 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 9696

Re: Larry Swedroe: Managing Risk With Factors

Call me op, Have you ever used Monte Carlo simulation? I’ve found it very enlightening. The expected draw down is the output. By necessity one has to have inputs with some estimation of expected returns. How does one rationally choose a basic stock bond split much less tilts without some estimate of...