Search found 3894 matches

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: 0
Views: 32

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: 13
Views: 1292

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: 13
Views: 1292

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: 13
Views: 1292

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: 3257

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: 3257

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: 3257

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: 3257

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: 3257

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...
by Random Walker
Fri Jun 21, 2019 8:43 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Curse Of Popularity
Replies: 29
Views: 3257

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...
by Random Walker
Thu Jun 20, 2019 11:24 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Curse Of Popularity
Replies: 29
Views: 3257

Larry Swedroe: The Curse Of Popularity

https://alphaarchitect.com/2019/06/20/the-curse-of-popularity/ In this essay Larry reviews work by Roger Ibbotson and others resulting in a popularity asset pricing model which combines elements of both classical and behavioral finance. The model is fully described in a book which I think has been d...
by Random Walker
Thu Jun 20, 2019 9:42 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Low-Volatility Investing Works - Sometimes
Replies: 23
Views: 1599

Re: Larry Swedroe: Low-Volatility Investing Works - Sometimes

But it has become popular, a sure sign of lower expected returns in investing. How do we measure popularity? Increased valuations? Makes sense to me. A stock’s price is where supply equals demand. If demand increases and supply constant, price will rise. Increased valuation implies lower expected r...
by Random Walker
Wed Jun 19, 2019 10:46 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Low-Volatility Investing Works - Sometimes
Replies: 23
Views: 1599

Larry Swedroe: Low-Volatility Investing Works - Sometimes

https://www.advisorperspectives.com/articles/2019/06/17/low-volatility-investing-works-sometimes The superior performance of low volatility/low beta stocks has been known since the 1970’s. But it has become popular, a sure sign of lower expected returns in investing. Larry shows that the low volatil...
by Random Walker
Tue Jun 18, 2019 3:55 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Has The Value Trade Become Overcrowded.
Replies: 64
Views: 4657

Re: Larry Swedroe: Has The Value Trade Become Overcrowded.

I know myself and will want to tinker/add products as new research becomes available. This constant activity seems like it could be bad in the long run. This concerns me that I might just be better off coming full circle and sticking with broad based index funds. I think the key to making changes i...
by Random Walker
Sun Jun 16, 2019 10:06 am
Forum: Investing - Theory, News & General
Topic: Alpha Architect: Factor Investing Is More Art, And Less Science
Replies: 1
Views: 244

Alpha Architect: Factor Investing Is More Art, And Less Science

https://alphaarchitect.com/2017/02/03/factor-models-are-more-art-and-less-science/ I found this excellent article by Wes Gray. He starts out with a generalized description of factor models. He then describes the one factor model CAPM and it’s weaknesses. He then goes on to describe Fama French 3 fac...
by Random Walker
Sat Jun 15, 2019 5:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Has The Value Trade Become Overcrowded.
Replies: 64
Views: 4657

Larry Swedroe: Has The Value Trade Become Overcrowded.

https://www.advisorperspectives.com/articles/2019/06/13/has-the-value-trade-become-overcrowded Larry is now writing more at Advisor Perspectives. The growth-value spread appears to have predictive value for the value premium. Current relative valuations look favorable, but trying to time the premium...
by Random Walker
Sat Jun 15, 2019 5:19 pm
Forum: Investing - Theory, News & General
Topic: good example US vs UK returns
Replies: 20
Views: 1645

Re: good example US vs UK returns

It’s fascinating that what happens at the individual stock level also happens at the country level: a human propensity to overpay for growth. If anything, the relationship between a country’s GNP growth and returns to its stock market is somewhat negative. Jeremy Siegel’s The Future For Investors ma...
by Random Walker
Sat Jun 15, 2019 1:43 pm
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

I won’t be correcting course, I’ll be focusing on staying the course. So, if Larry decides to abandon say Alternative Lending like LENDX (maybe because it turns out that asset class becomes highly correlated with the market during times of crisis), like he did with CCFs (for other, possibly just as...
by Random Walker
Sat Jun 15, 2019 12:55 pm
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

Hi Nedsaid, Larry is referring to the left and right side of the equations that define factors. For example: Value premium = High BtM-Low BtM Size Premium = small companies-large companies CS momentum = recent top performers-recent poorest performers This confused me too at first. Dave Thank you Da...
by Random Walker
Sat Jun 15, 2019 12:52 pm
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

To your point about analyzing past data vs. judging strategy based on current results. You do realized the current results are going to be the past data that the next group of researchers use to discover the next previously hidden factor? Do you not allow for the possibilty that the previous analys...
by Random Walker
Sat Jun 15, 2019 12:23 pm
Forum: Investing - Theory, News & General
Topic: "John C. Bogle Quotes" by Rick Van Ness"
Replies: 7
Views: 740

Re: "John C. Bogle Quotes" by Rick Van Ness"

Rick Van Ness’ bond book Why Bother With Bonds is my favorite bond book. Quite short too. For those who want to get a grip on what duration actually is, the book provides simple, clear, and short explanations. I really like Rick’s tone in the book.

Dave
by Random Walker
Sat Jun 15, 2019 12:14 pm
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

Hi Nedsaid,
Larry is referring to the left and right side of the equations that define factors. For example:

Value premium = High BtM-Low BtM
Size Premium = small companies-large companies
CS momentum = recent top performers-recent poorest performers

This confused me too at first.

Dave
by Random Walker
Sat Jun 15, 2019 11:12 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

Results are very important. Dave We may have finally found an area where you and Larry appear to disagree. Look at his recent posts about the dangers of "resulting". Not even close. There is a world of difference between looking at past data to develop an investment plan and subsequently confusing ...
by Random Walker
Sat Jun 15, 2019 8:29 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

How come when we build these models based on PAST results, no one seems concerned about "resulting" as Larry calls it, but when we try to evaluate how well strategies built on those models perform using results after the models are built, all of a sudden, results are meaningless, it is only the str...
by Random Walker
Sat Jun 15, 2019 12:18 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

I am not down on the factor Alts that use shorts and leverage, neutral actually, but I have seen that you need shorting to isolate the factors from market beta to get a source of return that doesn't correlate to the US Stock Market. The problem with long only factor funds is that most of the return...
by Random Walker
Fri Jun 14, 2019 7:14 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

I think you are missing the huge structural difference between the US & Japanese markets when you state that the results of Bogle's preference for the US securities were luck. The US had a history of over 120 years in capital markets versus less than 40 for Japan also the US has a larger cross sect...
by Random Walker
Fri Jun 14, 2019 6:15 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

I think you are missing the huge structural difference between the US & Japanese markets when you state that the results of Bogle's preference for the US securities were luck. The US had a history of over 120 years in capital markets versus less than 40 for Japan also the US has a larger cross sect...
by Random Walker
Fri Jun 14, 2019 6:11 pm
Forum: Investing - Theory, News & General
Topic: Sequence of returns risk while accumulating
Replies: 83
Views: 6779

Re: Sequence of returns risk while accumulating

Over this time frame, the average return accounted for 64% (.8^2) of the variance in final portfolio value, definitely a big factor. The other 36% is due to the particular sequence of returns. The same is true of accumulation. This shows there are two issues that can both be addressed with one solu...
by Random Walker
Fri Jun 14, 2019 4:44 pm
Forum: Investing - Theory, News & General
Topic: Sequence of returns risk while accumulating
Replies: 83
Views: 6779

Re: Sequence of returns risk while accumulating

Over this time frame, the average return accounted for 64% (.8^2) of the variance in final portfolio value, definitely a big factor. The other 36% is due to the particular sequence of returns. The same is true of accumulation. This shows there are two issues that can both be addressed with one solu...
by Random Walker
Fri Jun 14, 2019 4:36 pm
Forum: Investing - Theory, News & General
Topic: Factors: After being spotted in the wild, where have they gone?
Replies: 22
Views: 2293

Re: Factors: After being spotted in the wild, where have they gone?

This last decade SV has hurt in US, but it’s been alive and well in International over same period. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=2009&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=06%2F13%2F2019&initialAmount=10000&annualOper...
by Random Walker
Thu Jun 13, 2019 11:30 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Larry Swedroe and Jack Bogle's books

Respectfully, Larry's books are more like pamphlets, and unfortunately self serving. The best resource is Andrew Ang book. :greedy I own and have read significant bits and pieces of all the above books. But I haven’t been able to get myself to go cover to cover on any of them. Dave: Bogleheads: I b...
by Random Walker
Thu Jun 13, 2019 11:06 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Larry Swedroe changed his mind.

fennewaldaj wrote:
Thu Jun 13, 2019 10:18 pm
I love Ang's book along with the other two mentioned. I must be weird but they were page turners almost like a good novel for me. I do like Larry's books as well.
I’m somewhat relieved to know there is someone more addicted to this stuff than me. :-)

Dave
by Random Walker
Thu Jun 13, 2019 3:57 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

And correct me if I'm wrong but if one diversifies across several factors (size, value, momentum, quality, term) it becomes quite likely at least some of the premiums will show up sooner or later (and of course I understand there are no guarantees as to what will happen in the future). Basically ye...
by Random Walker
Thu Jun 13, 2019 12:23 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

From the bits of the Ang book that I read, I came away with a big focus on portfolio efficiency. There are trade offs. A more efficient portfolio can (will) be more expensive and likely less tax efficient too. Lack of portfolio efficiency is a real cost too. Hard to decide where to draw the line in ...
by Random Walker
Thu Jun 13, 2019 12:03 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Larry Swedroe changed his mind.

For those who want to read something closer to an academic text, good starts include: Asset Management by Andrew Ang 704 pages Successful Investing Is A Process by Jacques Lussier 368 pages Expected Returns by Antti Ilmanen 570 pages For the rest of us who are interested in investing and want to ap...
by Random Walker
Thu Jun 13, 2019 12:01 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Larry Swedroe changed his mind.

For those who want to read something closer to an academic text, good starts include: Asset Management by Andrew Ang 704 pages Successful Investing Is A Process by Jacques Lussier 368 pages Expected Returns by Antti Ilmanen 570 pages For the rest of us who are interested in investing and want to ap...
by Random Walker
Thu Jun 13, 2019 11:29 am
Forum: Investing - Theory, News & General
Topic: Karsten (Early Retirement Now) Pens a Challenge to Merriman and the Small/Value Premium
Replies: 65
Views: 5304

Re: Karsten (Early Retirement Now) Pens a Serious Challenge to Merriman and the Small/Value Premium

No, we should trust what he actually does. I had the opportunity to ask him last year. All of his investments are in DFA small cap and value funds. However, he is old and still does research and collects a paycheck. And he has more money than he can spend. So this works for him. I think he was tryi...
by Random Walker
Thu Jun 13, 2019 9:18 am
Forum: Investing - Theory, News & General
Topic: Momentum telltale chart?
Replies: 10
Views: 1089

Re: Momentum telltale chart?

Personally, I am quite a skeptic about such approach, but the historical performance (compared to TSM) is actually quite impressive. This is what fascinates me about momentum. I am a very strong believer in market efficiency, and momentum is purely behavioral. So my natural inclination is to not ha...
by Random Walker
Wed Jun 12, 2019 10:17 pm
Forum: Investing - Theory, News & General
Topic: Karsten (Early Retirement Now) Pens a Challenge to Merriman and the Small/Value Premium
Replies: 65
Views: 5304

Re: Karsten (Early Retirement Now) Pens a Serious Challenge to Merriman and the Small/Value Premium

My post above showed that a 3-fund portfolio would not have done meaningfully better for year 2006 retirees than Merriman's UBH portfolio. So they wouldn't have really lost anything. As long as folks are not counting on getting higher returns from their tilting, no harm, no foul. I think this is a ...
by Random Walker
Wed Jun 12, 2019 5:47 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

I don’t really see a problem. I don’t see these factors as coming and going like bell bottom jeans and leisure suits. To me it’s been a one way, unidirectional, move towards explaining the behavior of assets and portfolios. What happened to CCFs? They don't seem to be mentioned any more. At limits ...
by Random Walker
Wed Jun 12, 2019 4:14 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

The problem is that when the evidence becomes compelling enough to change your factor choices, you are no longer staying the course with your initial factor choices (which may take decades to pay off-assuming they will pay off). When the back-testing and justifications come out that say, wait size ...
by Random Walker
Wed Jun 12, 2019 9:22 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

I think you'll find it nearly impossible to build a portfolio with statistically significant exposure to all those factors with only 30% equities and using 5-year treasuries. Ok good to know. Well 30% was just a hunch as it was similar to the Larry portfolio in his book. I don't mind taking it to 4...
by Random Walker
Wed Jun 12, 2019 9:15 am
Forum: Investing - Theory, News & General
Topic: Karsten (Early Retirement Now) Pens a Challenge to Merriman and the Small/Value Premium
Replies: 65
Views: 5304

Re: Karsten (Early Retirement Now) Pens a Serious Challenge to Merriman and the Small/Value Premium

There are significant risk stories supporting both size and value. Value has significant risk and behavioral stories. Sometimes the risk shows up. Internationally the premia have been significant over the last 22 years and last 10 years. Below from Portfolio Visualizer I compared Vanguard total inte...
by Random Walker
Tue Jun 11, 2019 7:37 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Larry Swedroe changed his mind.

I did read Larry's book but will have to read it again to see if I understand the way he calculates the exposure to each factor. YRT70: You will need to read one of Larry Swedroe's later books. His first books do not mention "factors." This is what he wrote in his forth book, Wise Investing Made Si...
by Random Walker
Tue Jun 11, 2019 10:53 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

Gemini, For all of us essentially long only investors, I think all we can do is move in the direction of risk parity as opposed to actually getting there. Market beta is so dominant in our portfolios. But by decreasing overall equity exposure, increasing exposure to SV, and increasing exposure to te...
by Random Walker
Tue Jun 11, 2019 9:27 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

I would strongly recommend Larry’s factor book. The description of the factors and the data supporting them is valuable. Perhaps more valuable though is the not so implicit lesson on how to evaluate whether any potential portfolio addition is worthwhile. For example, one can evaluate the alternative...
by Random Walker
Sun Jun 09, 2019 9:22 am
Forum: Investing - Theory, News & General
Topic: Having lunch with a retiree
Replies: 16
Views: 2452

Re: Having lunch with a retiree

What do you do with your time? Do you like being retired?

Dave
by Random Walker
Sat Jun 08, 2019 8:45 pm
Forum: Investing - Theory, News & General
Topic: Investing Techniques For People Approaching Retirement In This Aging Bull Market
Replies: 35
Views: 5256

Re: Investing Techniques For People Approaching Retirement In This Aging Bull Market

Minimize sequence of returns risk. Diversify across factors. Read Larry Swedroe’s Reducing The Risk Of Black Swans. Diversification is always important, but more important over critical short periods like a few years on either side of retirement date.

Dave
by Random Walker
Sat Jun 08, 2019 1:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Re-Death of Value, or Deja Vu All Over
Replies: 61
Views: 5946

Re: Larry Swedroe: The Re-Death of Value, or Deja Vu All Over

The comparisons are flawed but it doesn't mean they are meaningless. That is really what I am trying to say. I don't expect this calculated out to the 25th decimal point but I do expect that you would have a good sense that your investments are doing what they are supposed to be doing. I agree. Som...
by Random Walker
Sat Jun 08, 2019 11:21 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Re-Death of Value, or Deja Vu All Over
Replies: 61
Views: 5946

Re: Larry Swedroe: The Re-Death of Value, or Deja Vu All Over

Once you go passive, you simply get what you get based on the factor exposures. Even the simplest comparisons of a tilted portfolio to TSM quickly become nonsensical. If you compare two portfolios with the same bond allocation, you’re comparing portfolios with different expected return. If you pick ...