Search found 4547 matches

by Random Walker
Fri Aug 07, 2020 2:12 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value vs Mega Cap Growth
Replies: 23
Views: 741

Re: Small Cap Value vs Mega Cap Growth

SCV investing is not just about hopefully experiencing the increased expected returns of that asset class. It can be about building a more efficient portfolio, with risks more evenly spread across uncorrelated sources of risk and return. By increasing exposure to SCV, decreasing overall equity alloc...
by Random Walker
Thu Aug 06, 2020 9:41 am
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

Re: What Would Be Your US/Int Equity Split If You Lived Outside US?

Getting at limits of my knowledge. I was just saying that currency risk is effectively an unpredictable random event. If one is invested equally US/EU, then when exchange rates move, one of the two investments will benefit and the other will get hurt. Should be about a wash. I don’t envision curren...
by Random Walker
Thu Aug 06, 2020 9:20 am
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

Re: What Would Be Your US/Int Equity Split If You Lived Outside US?

So, if International is more risky, it should also have higher expected return. How about increasing allocation to Int within your equity allocation, increasing exposure to safe bonds, thus decreasing your overall equity exposure and keeping portfolio expected return about constant? That would be a...
by Random Walker
Thu Aug 06, 2020 7:53 am
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

Re: What Would Be Your US/Int Equity Split If You Lived Outside US?

So, if International is more risky, it should also have higher expected return. How about increasing allocation to Int within your equity allocation, increasing exposure to safe bonds, thus decreasing your overall equity exposure and keeping portfolio expected return about constant? That would be a...
by Random Walker
Wed Aug 05, 2020 10:30 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Just need to look at “diversification” a bit differently. Everyone considers diversification to mean “don’t put all your eggs in one basket”. Traditionally this has meant more stocks. Looking at it a bit differently one can consider “don’t put all your eggs in a single risk basket”. TSM has net expo...
by Random Walker
Wed Aug 05, 2020 9:26 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Additionally, a portfolio that contains roughly equal allocations to both VIOV and VTI is more diversified than a portfolio which contains only one or the other. This is also easy to demonstrate empirically. This may not seem “obvious” or intuitive to someone unwilling to take the time to understan...
by Random Walker
Tue Aug 04, 2020 4:50 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Compared to a TSM portfolio, one can tilt heavily to SV, decrease overall equity exposure, increase exposure to term, and keep portfolio expected return about constant. This would be a move in the direction of risk parity. So instead of considering the tilt in isolation as a search for increased re...
by Random Walker
Tue Aug 04, 2020 4:28 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Factor diversification does not reduce risk, it increases risk, with the hope that one gets more return. Compared to TSM, an all SV portfolio certainly does have more risk. It has both more of the TSM market risk and the additional risks of SV. Factor diversification is not only used in the hope of...
by Random Walker
Tue Aug 04, 2020 4:19 pm
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

Re: What Would Be Your US/Int Equity Split If You Lived Outside US?

Doesn't it depend where outside of the US you live? If I lived in the Congo or S. Arabia I would want 90% in US. If I lived in Japan, maybe 65% outside. If Australia perhaps only 15% outside because their stock market was able to go without a recession for a longtime. If Europe, maybe 50%. But I re...
by Random Walker
Tue Aug 04, 2020 4:04 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Small Value stocks are not more similar to each other than to Large Value, Small Growth and Large Growth? They are not more correlated to each other than to the other sectors? That seems like the kind of detail you probably should have known before you made the claim that factor investing "purifies...
by Random Walker
Tue Aug 04, 2020 2:36 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

But even in the simple 2D world shown above, adding SV to TSM (which already has SV in proportion to market cap within it) moves closer to the northwest corner-more efficient. Dave That's expected because it was an ex-post efficient frontier. When looking at past data, there are always securities/p...
by Random Walker
Tue Aug 04, 2020 10:45 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

But even in the simple 2D world shown above, adding SV to TSM (which already has SV in proportion to market cap within it) moves closer to the northwest corner-more efficient.

Dave
by Random Walker
Tue Aug 04, 2020 9:12 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Hi Vineviz, I’m a big believer in MPT, combining more uncorrelated assets to improve portfolio efficiency. Yet knowledgeable people say TSM is definitionally on the efficient frontier. I don’t understand that. Can you explain? To me the efficient frontier is only known looking backward, and is unkno...
by Random Walker
Tue Aug 04, 2020 7:36 am
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

Re: What Would Be Your US/Int Equity Split If You Lived Outside US?

So North America and Switzerland are making up 80% of my portfolio. I strongly believe in their future outperformance compared to the other markets, especially Europe (which is going nowhere). Why isn't this priced in? Thanks Agree, there’s a difference between a business and its stock, and there i...
by Random Walker
Tue Aug 04, 2020 7:32 am
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

Re: What Would Be Your US/Int Equity Split If You Lived Outside US?

Doesn't it depend where outside of the US you live? If I lived in the Congo or S. Arabia I would want 90% in US. If I lived in Japan, maybe 65% outside. If Australia perhaps only 15% outside because their stock market was able to go without a recession for a longtime. If Europe, maybe 50%. But I re...
by Random Walker
Tue Aug 04, 2020 7:17 am
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

Re: What Would Be Your US/Int Equity Split If You Lived Outside US?

If you lived outside the US (or actually do live outside the US), what portion of your equity allocation would you invest in US equities? I’ve stated previously that I think one’s US/Int split is to a big extent a reflection of his belief in market efficiency. In my own case, I’m a strong believer ...
by Random Walker
Mon Aug 03, 2020 10:48 pm
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

Re: What Would Be Your US/Int Equity Split If You Lived Outside US?

Doesn't it depend where outside of the US you live? If I lived in the Congo or S. Arabia I would want 90% in US. If I lived in Japan, maybe 65% outside. If Australia perhaps only 15% outside because their stock market was able to go without a recession for a longtime. If Europe, maybe 50%. But I re...
by Random Walker
Mon Aug 03, 2020 9:37 am
Forum: Investing - Theory, News & General
Topic: What Would Be Your US/Int Equity Split If You Lived Outside US?
Replies: 58
Views: 2491

What Would Be Your US/Int Equity Split If You Lived Outside US?

If you lived outside the US (or actually do live outside the US), what portion of your equity allocation would you invest in US equities? I’ve stated previously that I think one’s US/Int split is to a big extent a reflection of his belief in market efficiency. In my own case, I’m a strong believer i...
by Random Walker
Mon Aug 03, 2020 9:23 am
Forum: Investing - Theory, News & General
Topic: Are Financial Advisors a Complete and Total Waste of Money?
Replies: 153
Views: 8635

Re: Are Financial Advisors a Complete and Total Waste of Money?

I’ve done a ton of spreadsheets trying to determine whether I’m better off with or without an advisor. Variables include increased tilt, increased portfolio efficiency, tax loss harvesting I wouldn’t do on my own, avoidance of behavioral errors, stuff I don’t know that I don’t know. Basically there’...
by Random Walker
Sat Aug 01, 2020 8:29 am
Forum: Investing - Theory, News & General
Topic: Diversification Regret Index
Replies: 190
Views: 24023

Re: Diversification Regret Index

Thanks for that updated chart. Definitely relevant to me and my diversified equity portfolio. We eat past returns but invest looking forward.

Dave
by Random Walker
Fri Jul 31, 2020 8:44 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

I still follow this thread, but tend to ignore most of the posts that don't fit the theme of rejoicing over SCV. I added to my SCV positions 2 days ago. There is no joy in VBR. I gave it a fling when it had its week but the handwriting is on the wall. Are you retired or accumulating? If you are acc...
by Random Walker
Tue Jul 28, 2020 1:30 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Just my opinion. But if one believes that information flows freely around the world and competitive investors around the world are trying to maximize profits, then all stocks around the world should have about the same risk adjusted returns. They should have similar Sharpe ratios. Thus a believer in...
by Random Walker
Tue Jul 28, 2020 11:43 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Don’t search for the needle in the haystack! Own the haystack! We investors together are the market. What about stocks from UK, Japan, Canada, Australia, Switzerland, Germany, France...? Are they part of the haystack? I sure think so. I’d go so far as to say that one’s US/Int split is a Rough measu...
by Random Walker
Mon Jul 27, 2020 7:22 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Don’t search for the needle in the haystack! Own the haystack! We investors together are the market. What about stocks from UK, Japan, Canada, Australia, Switzerland, Germany, France...? Are they part of the haystack? I sure think so. I’d go so far as to say that one’s US/Int split is a Rough measu...
by Random Walker
Mon Jul 27, 2020 7:20 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

The beauty of SCV funds is that you eliminate individual stock risk, you eliminate market sector risk, and you eliminate manager risk. :beer Stay the course! Not a lot of folks around here seem to appreciate that point. Dave Not sure why a SCV investor would want to use a fund. Isn't the whole appe...
by Random Walker
Mon Jul 27, 2020 6:41 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Jack Bogle's Words of Wisdom: "The beauty of owning the market is that you eliminate individual stock risk, you eliminate market sector risk, and you eliminate manager risk." The beauty of SCV funds is that you eliminate individual stock risk, you eliminate market sector risk, and you eliminate man...
by Random Walker
Mon Jul 27, 2020 2:42 pm
Forum: Investing - Theory, News & General
Topic: How did you determine risk tolerance?
Replies: 106
Views: 5928

Re: How did you determine risk tolerance?

People especially concerned about an extended equity bear might want to consider diversification with an allocation to time series momentum. I missed that class. Sounds complicated. If you’re interested, take a look at this. I think it’s also relevant to the the recent thread on sequence of returns...
by Random Walker
Mon Jul 27, 2020 11:36 am
Forum: Investing - Theory, News & General
Topic: How did you determine risk tolerance?
Replies: 106
Views: 5928

Re: How did you determine risk tolerance?

People especially concerned about an extended equity bear might want to consider diversification with an allocation to time series momentum. I missed that class. Sounds complicated. If you’re interested, take a look at this. I think it’s also relevant to the the recent thread on sequence of returns...
by Random Walker
Mon Jul 27, 2020 9:37 am
Forum: Investing - Theory, News & General
Topic: How did you determine risk tolerance?
Replies: 106
Views: 5928

Re: How did you determine risk tolerance?

I assumed equities could lose 50% at any given time. Seems many here assume that equities could lose 50%, but many among these assume stocks (US, at least) will recover in accordance with the speed they have historically recovered...something which is perhaps not a guarantee. Totally agree that ove...
by Random Walker
Mon Jul 27, 2020 9:12 am
Forum: Investing - Theory, News & General
Topic: How did you determine risk tolerance?
Replies: 106
Views: 5928

Re: How did you determine risk tolerance?

I assumed equities could lose 50% at any given time. And that in the worst circumstances for equities, high quality bonds might gain 5%. So I decided how much total portfolio loss I could tolerate and went from there.

Dave
by Random Walker
Sun Jul 26, 2020 5:01 pm
Forum: Investing - Theory, News & General
Topic: Managing sequence of returns risk
Replies: 74
Views: 4430

Re: Managing sequence of returns risk

As Larry Swedroe has outlined in his Black Swans book, one can lessen SOR risk by diversifying across uncorrelated equity factors: market factor, size, value, momentum, profitability/quality, and concomitantly increase bond exposure. This is a move towards risk parity for an otherwise TSM/TBM portfo...
by Random Walker
Sun Jul 26, 2020 4:56 pm
Forum: Investing - Theory, News & General
Topic: Managing sequence of returns risk
Replies: 74
Views: 4430

Re: Managing sequence of returns risk

It's been interesting to learn more about sequence of returns. Since much of it is based on "luck" with market returns, what are the common ways to manage this risk? An approach that's usually put down around here, but there is a 'bucket strategy' that has been effective in reducing the impact of s...
by Random Walker
Sun Jul 26, 2020 4:46 pm
Forum: Investing - Theory, News & General
Topic: Managing sequence of returns risk
Replies: 74
Views: 4430

Re: Managing sequence of returns risk

It's been interesting to learn more about sequence of returns. Since much of it is based on "luck" with market returns, what are the common ways to manage this risk? If the stock market crashes when you are accumulating money, it's not that big of a deal... You just keep buying, and wait for the st...
by Random Walker
Tue Jul 21, 2020 10:36 pm
Forum: Investing - Theory, News & General
Topic: The Remarkable Accuracy of CAPE As A Predictor Of Returns
Replies: 73
Views: 3919

Re: The Remarkable Accuracy of CAPE As A Predictor Of Returns

High P/E ratios predict for lower future returns. The author makes the point that some investors should decrease their equity allocation in this setting because the risk just isn’t worth the lower expected return. But some investors may see it the opposite way. They may need to increase their equity...
by Random Walker
Tue Jul 21, 2020 3:54 pm
Forum: Investing - Theory, News & General
Topic: The Remarkable Accuracy of CAPE As A Predictor Of Returns
Replies: 73
Views: 3919

Re: The Remarkable Accuracy of CAPE As A Predictor Of Returns

A financial advisor, who is a professor in wealth management and has 2 PhDs in finance and consumer science. Well a genius like this will definitely have an edge and easily beat the markets. Where do I sign up? Do you really think that he thinks he can beat the market? From the article we can only ...
by Random Walker
Tue Jul 21, 2020 1:34 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 2011
Views: 159599

Re: Small Cap Value heads Rejoice !!!

Jack Bogle's Words of Wisdom: "The beauty of owning the market is that you eliminate individual stock risk, you eliminate market sector risk, and you eliminate manager risk." The beauty of SCV funds is that you eliminate individual stock risk, you eliminate market sector risk, and you eliminate man...
by Random Walker
Tue Jul 21, 2020 1:02 pm
Forum: Investing - Theory, News & General
Topic: The Remarkable Accuracy of CAPE As A Predictor Of Returns
Replies: 73
Views: 3919

Re: The Remarkable Accuracy of CAPE As A Predictor Of Returns

Agree CAPE not a silver bullet. It’s a rough predictor of mean expected returns. I think it’s important to appreciate that stocks typically have an SD of about 15-20%. When the mean expected return shifts left, the entire potential distribution of returns also shifts left: less good positive outcome...
by Random Walker
Tue Jul 21, 2020 12:35 pm
Forum: Investing - Theory, News & General
Topic: The Remarkable Accuracy of CAPE As A Predictor Of Returns
Replies: 73
Views: 3919

Re: The Remarkable Accuracy of CAPE As A Predictor Of Returns

Michael Finke, PhD is a professor of wealth management at The American College Of Financial Services. Does this guy have any credentials that suggest he has a deep understanding of statistics? It's been many years since I earned my STEM degree, but some of the statistical analysis in the article ap...
by Random Walker
Tue Jul 21, 2020 12:08 pm
Forum: Investing - Theory, News & General
Topic: The Remarkable Accuracy of CAPE As A Predictor Of Returns
Replies: 73
Views: 3919

The Remarkable Accuracy of CAPE As A Predictor Of Returns

https://www.advisorperspectives.com/articles/2020/07/20/the-remarkable-accuracy-of-cape-as-a-predictor-of-returns-1 Michael Finke, PhD is a professor of wealth management at The American College Of Financial Services. CAPE gets criticized a lot as a predictor of future returns, but despite its poten...
by Random Walker
Wed Jul 15, 2020 9:02 pm
Forum: Investing - Theory, News & General
Topic: individual bonds vs bond funds
Replies: 36
Views: 1799

Re: individual bonds vs bond funds

I would like to have about 20% of my portfolio in bonds and short term (six month) treasuries, with about half in bonds and half in treasuries. I want the bonds to be intermediate term. My adviser at Fidelity is suggesting for the bond portion that I should hold individual bonds rather than a bond ...
by Random Walker
Wed Jul 15, 2020 1:32 pm
Forum: Investing - Theory, News & General
Topic: Expectations of factor investing from a factor regression
Replies: 67
Views: 3587

Re: Expectations of factor investing from a factor regression

It’s worthwhile to note here that this reveals the case where the cheapest factor fund is not necessarily the best. Sometimes a more expensive factor fund with deeper factor exposures is a better pick. First, if a fund has deeper exposures, then one needs less of it to obtain the portfolio tilt he w...
by Random Walker
Mon Jul 13, 2020 11:06 am
Forum: Investing - Theory, News & General
Topic: DFA Small-Cap Value has now underperformed since inception
Replies: 111
Views: 6684

Re: DFA Small-Cap Value has now underperformed since inception

Interesting exercise to go to Portfolio Visualizer and change the start and end dates of the comparison by a few years. Really emphasizes how specific chosen dates have huge effect.

Dave
by Random Walker
Sat Jul 11, 2020 11:09 pm
Forum: Investing - Theory, News & General
Topic: Stock Bond Allocation based on Size of Portfolio rather than Age
Replies: 5
Views: 1005

Re: Stock Bond Allocation based on Size of Portfolio rather than Age

Totally agree. With an SD of about 20% for equities, the market will do some crazy things over the course of our lifetimes. I think it makes much more sense to periodically evaluate where we are relative to our goals and if we are ahead of the game or have won the game, then take some definitive ass...
by Random Walker
Sat Jul 11, 2020 11:01 pm
Forum: Investing - Theory, News & General
Topic: Why [was] QSPIX steadily declining?
Replies: 172
Views: 18996

Re: Why [was] QSPIX steadily declining?

To the question "why don't they work", I would ask "why should they?" 1. Because risks deserve premia 2. Human behavior is tremendously persistent over time 3. Limits to arbitrage I can’t argue with the fact that the last several years have been rough. But we can only invest looking forward. Market...
by Random Walker
Sat Jul 11, 2020 10:39 pm
Forum: Investing - Theory, News & General
Topic: Why [was] QSPIX steadily declining?
Replies: 172
Views: 18996

Re: Why [was] QSPIX steadily declining?

So, you trust AQR to balance the complex factor weights in a beneficial way, but don't trust that they can tell if their approach active or passive? No. I trust AQR to do what they do in a systematic/formulaic way with no significant individual security selection or market timing. I believe that pe...
by Random Walker
Sat Jul 11, 2020 11:07 am
Forum: Investing - Theory, News & General
Topic: Why [was] QSPIX steadily declining?
Replies: 172
Views: 18996

Re: Why [was] QSPIX steadily declining?

I want to make it clear that I am not casting aspersions on anyone's character with my observations regarding the Liquid Alts. Don't want to be associated with calling people con men or calling into question their intelligence. What I do want to clearly say is that Liquid Alts have not made their c...
by Random Walker
Tue Jul 07, 2020 9:46 am
Forum: Investing - Theory, News & General
Topic: Why [was] QSPIX steadily declining?
Replies: 172
Views: 18996

Re: Why [was] QSPIX steadily declining?

Not sure why this fund is even discussed. From inception 10/13/2013 a $10K investment is now worth $9088.26 vs. $20,717.34 if the same money had gone into the S&P 500 (VFIAX). It seems apparent to me some people made big money from this fund, unfortunately that did not include the investors. Those ...
by Random Walker
Tue Jul 07, 2020 9:30 am
Forum: Investing - Theory, News & General
Topic: Why [was] QSPIX steadily declining?
Replies: 172
Views: 18996

Re: Why [was] QSPIX steadily declining?

Not sure why this fund is even discussed. From inception 10/13/2013 a $10K investment is now worth $9088.26 vs. $20,717.34 if the same money had gone into the S&P 500 (VFIAX). It seems apparent to me some people made big money from this fund, unfortunately that did not include the investors. Those ...
by Random Walker
Mon Jul 06, 2020 4:12 pm
Forum: Investing - Theory, News & General
Topic: Expectations of factor investing from a factor regression
Replies: 67
Views: 3587

Re: Expectations of factor investing from a factor regression

I believe international small value is a particularly good diversifier. I think small companies are more subject to the zigs and zags of their local economies than large multinational corporations, and thus less likely to be highly correlated to the remainder of most people’s equity heavy portfolios...
by Random Walker
Mon Jul 06, 2020 3:54 pm
Forum: Investing - Theory, News & General
Topic: Why [was] QSPIX steadily declining?
Replies: 172
Views: 18996

Re: Why [was] QSPIX steadily declining?

To a casual observer it appears that most are simply guessing what this fund is actually doing, even its supporters seems to only speculate on the AQR implementation, and what is in the attribution report explaining its latest performance. So, do those that buy into this strategy essentially ignore...