Search found 2219 matches

by Random Walker
Wed Jan 17, 2018 10:28 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Lessons From 2017
Replies: 4
Views: 1031

Larry Swedroe: Lessons From 2017

Larry has a 3 part series this week on investing lessons from 2017. Here are links to the first two parts and I’ll add the third when it comes out. http://www.etf.com/sections/index-investor-corner/swedroe-lessons-2017-part-1?nopaging=1 http://www.etf.com/sections/index-investor-corner/swedroe-lesso...
by Random Walker
Tue Jan 16, 2018 9:42 am
Forum: Investing - Theory, News & General
Topic: [Mark Cuban -] "Diversification is for idiots..."
Replies: 26
Views: 3615

Re: Diversification is for idiots...

It is very liberating as an investor to realize I don’t know anything. I think Buffett once said something to the effect that once dumb money realizes it’s dumb, it suddenly becomes very wise. Passive diversified equity investing is very wise indeed. The real smart money, pension funds, are rapidly ...
by Random Walker
Sun Jan 14, 2018 6:02 pm
Forum: Investing - Theory, News & General
Topic: International Small-cap Value Funds ??
Replies: 49
Views: 3975

Re: International Small-cap Value Funds ??

I don't know any alternatives other than DFA. But I do think it's a valuable asset class. Think I've read it's an even better diversified than EM.

Dave
by Random Walker
Sun Jan 14, 2018 11:39 am
Forum: Investing - Theory, News & General
Topic: More Funds More Rebalancing Opportunities?
Replies: 14
Views: 725

Re: More Funds More Rebalancing Opportunities?

DBR, More investments that behave differently in a portfolio imply more rebalancing opportunities. Perhaps somewhat ironically, depending on correlations, the addition of a volatile asset class to a portfolio can actually dampen portfolio volatility. TSM certainly has exposure to small and value sto...
by Random Walker
Sun Jan 14, 2018 11:28 am
Forum: Investing - Theory, News & General
Topic: AA is much harder than I thought...
Replies: 32
Views: 3672

Re: AA is much harder than I thought...

Hi Rudeboy, You are off to a great start. I think you are developing some excellent contrarian instincts! That being said, here’s what I think. You are young, and with many years of human capital ahead of you, you can afford to take risk. Moreover, current high equity valuations imply lower future e...
by Random Walker
Sun Jan 14, 2018 11:15 am
Forum: Investing - Theory, News & General
Topic: More Funds More Rebalancing Opportunities?
Replies: 14
Views: 725

Re: More Funds More Rebalancing Opportunities?

Multi asset class investing with non correlated asset classes will improve portfolio efficiency. The drag on returns caused by portfolio volatility will be lessened, Sharpe ratio improved, geometric return increased relative to simple average return, likely lower maximal drawdown. The key is finding...
by Random Walker
Sat Jan 13, 2018 4:23 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Value Effect And Macroeconomic Risk
Replies: 1
Views: 467

Larry Swedroe: The Value Effect And Macroeconomic Risk

https://alphaarchitect.com/2018/01/09/the-value-effect-and-macroeconomic-risk/ Good article where Larry reviews literature showing that the value premium is related to several macroeconomic variables: industrial production, credit spreads, term spreads, unexpected inflation. Value stocks are substan...
by Random Walker
Fri Jan 12, 2018 10:39 am
Forum: Investing - Theory, News & General
Topic: Skating where the puck was; e.g., commodities. Factors next?
Replies: 35
Views: 2411

Re: Skating where the puck was; e.g., commodities. Factors next?

I’m all in on factors, but I’m certainly concerned about skating where the puck was. Factor investing is certainly popular, widely accessible, and more expensive. But there are strong forward looking risk based and behavioral based reasons to believe premia should persist. The market prices risk, so...
by Random Walker
Fri Jan 12, 2018 10:14 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Hedge Fund Losing Persists
Replies: 1
Views: 266

Larry Swedroe: Hedge Fund Losing Persists

http://www.etf.com/sections/index-investor-corner/swedroe-21 The title pretty much says it all. I like the comparisons Larry chooses to make: S&P 500, equal weight across variety US & Int asset classes, and a typical 60/40 portfolio. Probably worthwhile for all of us to keep these comparisons in min...
by Random Walker
Wed Jan 10, 2018 10:23 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Do Funds Earn Their Fees?
Replies: 10
Views: 1152

Larry Swedroe: Do Funds Earn Their Fees?

http://www.etf.com/sections/index-investor-corner/swedroe-do-funds-earn-their-fees In this article Larry shows again that an active fund is not worth the fees. I think the article is worthwhile because of the thought process Larry displays in his analysis. He looks at a long time period and compares...
by Random Walker
Tue Jan 09, 2018 12:40 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

Just thought I’d point out the difference between MTUM and momentum investing for a real factor head. MTUM appears to be a long only equity fund investing in stocks with strong momentum. Someone truly interested in accessing the momentum factor would want to minimize (eliminate) exposure to market f...
by Random Walker
Sun Jan 07, 2018 10:17 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

I’m not looking for one factor fund to outperform versus another. I’m just looking for the purest factor exposures achieved in a passive formulaic manner. I guess there is some alpha achieved (patient trading, tax management, securities lending), but for the most part just looking for returns explai...
by Random Walker
Sun Jan 07, 2018 9:47 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

In reality, Not sure what point your data makes. We need to look at whole portfolios not individual funds. Moreover the last few years have been a short period dominated by large growth. And of course we know that the best long only equity funds can achieve is about half the factor exposure seen in ...
by Random Walker
Sun Jan 07, 2018 9:40 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

Naha66, You bring up a good point. Costs are certain, and the benefits are only potential. Cost may or may not be worth it over the long term. No one knows, and we all individually make our best estimates. I strongly feel individual investors should understand the trade offs involved in the decision...
by Random Walker
Sun Jan 07, 2018 2:33 pm
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 210
Views: 17622

Re: Memo to those who have won the game: it's time to quit playing

Aloha Joe,
I don’t understand your Alzheimer’s point. Are you saying we could live a lot longer than we expect and that our expenses much greater than we anticipate, so our need to take risk is potentially greater than we think?

Dave
by Random Walker
Sun Jan 07, 2018 2:31 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

Rfowler, Yes I think he is saying the typical 60/40 portfolio has overwhelmingly total market or large cap growth type funds. I think he would say that the typical TSM equity portfolio is diversified by number of stocks and minimization of single stock risk. But the equity portion is not diversified...
by Random Walker
Sun Jan 07, 2018 2:11 pm
Forum: Investing - Theory, News & General
Topic: Hitting The Sell Button
Replies: 219
Views: 23228

Re: Hitting The Sell Button

Ethelred, I think most of us are not talking about market timing. We are talking about substantial few times in a lifetime changes to the asset allocation. Valuations do matter. High past returns result in high valuations, lower future expected returns, whole dispersion of potential future returns s...
by Random Walker
Sun Jan 07, 2018 2:06 pm
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 210
Views: 17622

Re: Memo to those who have won the game: it's time to quit playing

Broken Man and Mel, I believe William Bernstein is a big fan of the Liability Matching Portfolio concept. I think he would agree with acting definitively to take risk off the table and create a liability matching portfolio with safe assets. Once the floor is established, an investor can have a separ...
by Random Walker
Sun Jan 07, 2018 12:58 pm
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 210
Views: 17622

Re: Memo to those who have won the game: it's time to quit playing

AndrewXnn, As Larry always says, we need to consider ability, need, willingness to take risk. Warren Buffett has tremendous ability because his cushion is humongous. For those of us with much smaller cushion, ability to take risk is a lot less than Buffett. It’s an irony of investing that those who ...
by Random Walker
Sun Jan 07, 2018 12:52 pm
Forum: Investing - Theory, News & General
Topic: Customizing The Glidepath
Replies: 9
Views: 977

Re: Customizing The Glidepath

Sandtrap, If that post got your interest, I can’t recommend William Bernstein’s short e-book highly enough. The most difficult investment decisions are in that near retirement period, and that’s why he saves that subject for the end. If you’re really cramped for time, just read the last few pages. B...
by Random Walker
Sun Jan 07, 2018 12:48 pm
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 210
Views: 17622

Re: Memo to those who have won the game: it's time to quit playing

Bastiat wrote: Those who have won the game should be adjusting their allocation based on their IPS and their willingness, ability, and need to take risk - not whatever you or the CAPE says. I don't know if you think you're helping people by encouraging them to go online tomorrow and unthinkingly "ge...
by Random Walker
Sun Jan 07, 2018 12:27 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

Naha66 wrote You just lost all credibility. The guys 70 like he's going to wait 50 year. You even say in the 1st post in this thread that it might under perform for a long time. I strongly disagree. I think you may be misunderstanding my point. My point is that one should diversify across all the kn...
by Random Walker
Sun Jan 07, 2018 12:09 pm
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 210
Views: 17622

Re: Memo to those who have won the game: it's time to quit playing

CULater wrote: I guess I don't understand why someone who has "won the game" would be taking a gradualist approach to reducing their equity allocation, especially in the face of the obvious high market valuations. If you don't need to have anything in stocks or need a much lower percentage than you ...
by Random Walker
Sat Jan 06, 2018 7:13 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

Midareff wrote It is interesting but at 70 years old I'm not interested in anything that could under perform for long periods. I believe diversifying across factors is perhaps more important the SHORTER the time frame. All factors, including market beta, can underperform at any given time. I think i...
by Random Walker
Fri Jan 05, 2018 5:07 pm
Forum: Investing - Theory, News & General
Topic: Customizing The Glidepath
Replies: 9
Views: 977

Re: Customizing The Glidepath

In Bernstein’s book he shows a “waterfall chart” where he basically shows that the number of years to being able to retire is strongly related to where the markets were when one started investing, and if they are on the verge of being where they want to be as a result of a strong bull, they can real...
by Random Walker
Fri Jan 05, 2018 3:22 pm
Forum: Investing - Theory, News & General
Topic: Customizing The Glidepath
Replies: 9
Views: 977

Customizing The Glidepath

This post is strongly influenced by Nedsaids post “Hitting The Sell Button”. I saw lots of us 50ish year olds responding, and I think they are on target. I think most of us assume that as we approach retirement, we should cool off the asset allocation. Target date funds define a glide path towards t...
by Random Walker
Fri Jan 05, 2018 2:34 pm
Forum: Investing - Theory, News & General
Topic: Talk me out of a 60/40 AA
Replies: 76
Views: 8046

Re: Talk me out of a 60/40 AA

ColorodoRick wrote On the Vanguard website I tested all stock allocations in 10% increments and found that to me, the probability of success percentage was only one or two percent (all in the 90's with a 4% WD rate) going from 40/60 to 60/40. To me this reflects one of the great values of Monte Carl...
by Random Walker
Fri Jan 05, 2018 12:25 am
Forum: Investing - Theory, News & General
Topic: Hitting The Sell Button
Replies: 219
Views: 23228

Re: Hitting The Sell Button

I’m 55, not sure when I could be forced into retirement. I started cooling off the AA two years ago. Two years ago I was 80/20. Now I’m 42 equities/38 bonds/20 alts with equities more tilted to SV. I’m paying big taxes and seeing the equities I used to have keep rising, but can’t time a market and f...
by Random Walker
Thu Jan 04, 2018 9:19 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

Hi GibsonL6s, I think all Bogleheads believe markets are efficient, can’t be timed, individual stock selection assumes uncompensated risk, and costs (including taxes) matter a lot. There is obviously serious variation between individuals though. Most recently the board seems dominated by total marke...
by Random Walker
Thu Jan 04, 2018 2:16 pm
Forum: Investing - Theory, News & General
Topic: Diversification: Is there any way to produce the same returns with less risk?
Replies: 52
Views: 5107

Re: Diversification: Is there any way to produce the same returns with less risk?

Yes, the difference between simple average return and compounded returns is just simple math. But the point is an important one. Volatility does impose a cost on the portfolio. If one can decrease volatility and keep simple average returns constant, then the portfolio will accumulate more wealth. No...
by Random Walker
Wed Jan 03, 2018 9:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Re: Larry Swedroe: Patience And Diversification Crucial

This is a great article, so thought I’d give it a bump. Although the market, small, and value premiums are substantial, their standard deviations are much larger! From the article negative equity premiums occur in 29% of three-year and 23% of five-year simulation runs. Even for 10- and 20-year perio...
by Random Walker
Wed Jan 03, 2018 6:03 pm
Forum: Investing - Theory, News & General
Topic: Nice Explanation of Volatility Drag
Replies: 3
Views: 299

Re: Nice Explanation of Volatility Drag

Ive put some numbers to it in the past. My amateur, back of napkin, calculations looked at decreasing SD by at least 4%. By keeping expected return constant, decreasing SD from say 16% to 12%, I think I pick up about 0.5% in geo return.

Dave
by Random Walker
Wed Jan 03, 2018 5:01 pm
Forum: Investing - Theory, News & General
Topic: Nice Explanation of Volatility Drag
Replies: 3
Views: 299

Nice Explanation of Volatility Drag

https://www.kitces.com/blog/volatility-drag-variance-drain-mean-arithmetic-vs-geometric-average-investment-returns/ I think volatility drag has turned into my own personal pet peeve. This Michael Kitces article explains the issue nicely. There is a very long thread regarding the issue that can be fo...
by Random Walker
Wed Jan 03, 2018 4:46 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Returns To Value Strategies WhenValuation Spreads Are Wide (Deep Value)
Replies: 8
Views: 1252

Re: Larry Swedroe: The Returns To Value Strategies WhenValuation Spreads Are Wide (Deep Value)

Didn’t go back and reread the article, but for me big points regarding value investing are 1. Takes patience and discipline 2. Can’t time factors 3. Value is truly independent, unique, uncorrelated risk factor 4. I really like the idea that there are BOTH risk and behavioral explanations behind valu...
by Random Walker
Wed Jan 03, 2018 10:41 am
Forum: Investing - Theory, News & General
Topic: Talk me out of a 60/40 AA
Replies: 76
Views: 8046

Re: Talk me out of a 60/40 AA

About 90% of the risk in a 60/40 portfolio is concentrated in the equities. If the equity risk is all TSM, then all that risk is in a single factor, market beta.

Dave
by Random Walker
Wed Jan 03, 2018 10:38 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6159

Larry Swedroe: Patience And Diversification Crucial

http://www.etf.com/sections/index-investor-corner/swedroe-patience-diversification-crucial?nopaging=1 This is an excellent short summary of the basis for Larry’s approach to investing. Larry shows that the market, size, value factors can each underperform for long periods. He shows how volatile each...
by Random Walker
Mon Jan 01, 2018 10:42 pm
Forum: Investing - Theory, News & General
Topic: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.
Replies: 56
Views: 3511

Re: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.

I too think sequence of returns risk is huge. I think, somewhat ironically, the shorter the time frame, the more important diversification is. Over short time periods, there’s no telling what source of returns will perform best or how any given source will perform at all. Those 5-10 years on either ...
by Random Walker
Sun Dec 31, 2017 7:47 pm
Forum: Investing - Theory, News & General
Topic: Alternative Investments
Replies: 29
Views: 2057

Re: Alternative Investments

The core of most Boglehead portfolios are TSM equity funds. The best diversifier is also the cheapest, high quality relatively short duration bonds. Improvements to portfolio efficiency come at increased marginal cost. Adding emerging markets and tilting to small and value cost a bit more. A cheap w...
by Random Walker
Sun Dec 31, 2017 2:37 pm
Forum: Investing - Theory, News & General
Topic: What is magnitude of risk reduction via international equity diversification
Replies: 26
Views: 1356

Re: What is magnitude of risk reduction via international equity diversification

TSM and Int Large tend to be highly correlated. I think much better diversification of TSM portfolio by international small value. In fact I think ISV is an even better diversifier than Emerging Markets. Of course ISV is riskier than large cap growth, either US or Int.

Dave
by Random Walker
Sun Dec 31, 2017 11:49 am
Forum: Investing - Theory, News & General
Topic: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.
Replies: 56
Views: 3511

Re: "Reducing sequence risk using trend following and the CAPE ratio" by Clare et al.

I agree that trend following is all behavioral. And I’m becoming more and more convinced that human behavior is very persistent. Time Series Momentum is basically trend following. The strategy buys what has risen in the recent past and sells what has fallen in the recent past. So it is a shifting al...
by Random Walker
Sat Dec 30, 2017 4:39 pm
Forum: Investing - Theory, News & General
Topic: What ever happened to the Larry portfolio?
Replies: 114
Views: 10462

Re: What ever happened to the Larry portfolio?

Grog, I think it’s important to distinguish business risk versus stock risk. Growth companies are safer companies and as investments thus have lower expected returns. But I agree with you that their stocks are subject to a sort of unique growth stock risk: if they don’t live up to their generous-lof...
by Random Walker
Sat Dec 30, 2017 4:21 pm
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 1945

Re: Is Beta a distinct factor or a summation of other factors

Packer wrote: If it is a summation, then factor investing is betting the market has it wrong in terms of weighting. I would never bet the market has it wrong, yet I’m pretty much all in on factors. The reason is that I believe that an efficient portfolio is a separate issue from an efficient market....
by Random Walker
Sat Dec 30, 2017 9:50 am
Forum: Investing - Theory, News & General
Topic: What ever happened to the Larry portfolio?
Replies: 114
Views: 10462

Re: What ever happened to the Larry portfolio?

I wouldn’t take specific comparisons too literally. The LP is more of a concept: lower equity exposure, all highest expected return equity classes, bigger helping of bonds. When he made the initial comparisons, he was intentionally looking for the back tested combination of S&P 500/bonds that would ...
by Random Walker
Sat Dec 30, 2017 8:15 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managed Vol Strategies Work
Replies: 24
Views: 2229

Re: Larry Swedroe: Managed Vol Strategies Work

Larry just wrote on article on this at Alpha Architect. I created a separate post on it.

https://alphaarchitect.com/2017/12/28/t ... trategies/

Dave
by Random Walker
Sat Dec 30, 2017 8:09 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Tax Efficiency Of Long -Short Strategies
Replies: 4
Views: 633

Larry Swedroe: The Tax Efficiency Of Long -Short Strategies

https://alphaarchitect.com/2017/12/28/the-tax-efficiency-of-long-short-strategies/ This article really surprised me. Conventional wisdom is that Long-Short Strategies are very tax inefficient. In this article Larry reviews an article that shows the conventional wisdom to be wrong. It is the short po...
by Random Walker
Fri Dec 29, 2017 6:25 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managed Vol Strategies Work
Replies: 24
Views: 2229

Re: Larry Swedroe: Managed Vol Strategies Work

FWIW, I actually have some of these tax inefficient alternatives in my taxable account. For me they are alternatives to bonds. I understand they are increasing the portfolio risk but I believe also increasing portfolio expected return and portfolio efficiency. Pre tax they have equity like expected ...
by Random Walker
Fri Dec 29, 2017 10:07 am
Forum: Investing - Theory, News & General
Topic: What ever happened to the Larry portfolio?
Replies: 114
Views: 10462

Re: What ever happened to the Larry portfolio?

When I ponder this SV stuff, I think I spend a lot less time focusing on historical returns than most people discussing SV here at Bogleheads. I rely much more on the forward looking intuitive rationale for premia to exist. The expected return on a company is it’s cost of capital. It makes strong se...
by Random Walker
Fri Dec 29, 2017 1:07 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managed Vol Strategies Work
Replies: 24
Views: 2229

Re: Larry Swedroe: Managed Vol Strategies Work

I don’t think “factor investing is getting more complex”. Modern Portfolio Theory is elegant, intuitive, solid: portfolio efficiency is increased as add uncorrelated sources of return. In identifying the drivers of equity returns, 5 or 6 factors have been identified: market, size, value, cross secti...
by Random Walker
Fri Dec 29, 2017 12:55 am
Forum: Investing - Theory, News & General
Topic: What ever happened to the Larry portfolio?
Replies: 114
Views: 10462

Re: What ever happened to the Larry portfolio?

Many people focus purely on the historical returns of SCV. We can only invest looking forward, and I too would have very little faith in the factors if all I looked at were historical results. But there are strong intuitive risk based and behavioral based rationale to expect the factors to perform i...
by Random Walker
Thu Dec 28, 2017 1:51 pm
Forum: Investing - Theory, News & General
Topic: What ever happened to the Larry portfolio?
Replies: 114
Views: 10462

Re: What ever happened to the Larry portfolio?

I think people are taking too literally the LP equity and bond allocations and what the portfolio is compared to. It’s the overall philosophy that is relevant. Use only the highest expected return equity asset classes, decrease overall equity allocation, increase bond allocation. Compared to a TSM p...