Search found 3298 matches

by Random Walker
Thu Dec 13, 2018 4:13 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1552
Views: 217013

Re: QSPIX - thoughts on interesting fund

Protagonist,
Sounds like you’ve read (or maybe even wrote!) Charles Ellis’ Winning The Loser’s Game. Very sound reasoning. 90% of trades are between one big institution with PhDs and their computers and another big institution with their PhDs and computers.

Dave
by Random Walker
Thu Dec 13, 2018 3:14 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1552
Views: 217013

Re: QSPIX - thoughts on interesting fund

But recent returns (and by "recent" I mean 100 years or more, not just five) are not a valid basis for deciding how to invest for decades to come. Even if past performance really DOES have predictive value. There are just way too few data points to be meaningful. So what do you depend on to make de...
by Random Walker
Thu Dec 13, 2018 2:43 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1552
Views: 217013

Re: QSPIX - thoughts on interesting fund

I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental. Dave Are you equating slightly better performance over a short time period with "an improvement"? I believe that is a fallacy. The same fallacy that led man...
by Random Walker
Thu Dec 13, 2018 9:23 am
Forum: Investing - Theory, News & General
Topic: "How NOT To Beat The Market"
Replies: 15
Views: 1946

Re: "How NOT To Beat The Market"

Nisiprius, Thanks for the above analysis, good summary and hard to argue with a lot of it. Regarding “equity like returns”, I think Larry has said a good way to interpret that is 4-5% above T Bills. I think the comparison to 60/40 was just an effort to compare investments with similar volatilities. ...
by Random Walker
Wed Dec 12, 2018 9:54 pm
Forum: Investing - Theory, News & General
Topic: "How NOT To Beat The Market"
Replies: 15
Views: 1946

Re: "How NOT To Beat The Market"

QSPIX has not promised “beating the market”. 5 years is short, especially amidst a big large growth bull. What matters is the portfolio as a whole; need to look at the behavior of entire portfolios with and without QSPIX. To create the QSPIX position, the person will most likely take from either equ...
by Random Walker
Wed Dec 12, 2018 9:08 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1552
Views: 217013

Re: QSPIX - thoughts on interesting fund

But don't worry Homer J, you are still correct that Cliff Asness is extremely wealthy. I know that is your favorite thing to point out. The horror! In America no less! :) "Where are the customer's yachts?" It was a good question 90 years ago, and is still a good question today. We're allowed to tel...
by Random Walker
Wed Dec 12, 2018 6:58 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Best Behavioral Finance Books
Replies: 6
Views: 604

Re: Larry Swedroe: Best Behavioral Finance Books

I think Larry has said that Investment Mistakes Even Smart Investors Make And How To Avoid Them is his personal favorite of the books he’s written. It’s a great book: easy and enjoyable to read, short concise self contained chapters.

Dave
by Random Walker
Wed Dec 12, 2018 1:59 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Best Behavioral Finance Books
Replies: 6
Views: 604

Re: Larry Swedroe: Best Behavioral Finance Books

I’ve read a few of the books. The most memorable for me is Ariely’s Predictably Irrational. Fun and interesting.

Dave
by Random Walker
Wed Dec 12, 2018 12:18 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1552
Views: 217013

Re: QSPIX - thoughts on interesting fund

I have only heard that a large part of the disappointing performance is due to value in equities. And I agree with you. If that is only one style in one asset class (1/16th) then why such a large effect? I don’t know, I’m an amateur. I’m sure there are good explanations, I just don’t know them. Dave
by Random Walker
Wed Dec 12, 2018 11:44 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1552
Views: 217013

Re: QSPIX - thoughts on interesting fund

It's just very difficult to achieve such a smooth path (in both directions). The fund has 4-5 strategies across diff assets. This aims to maximum diversification. 42.8% + 16.5% Stocks + Indices 19.6% Currencies 13.3% Commodities 7.7% Fixed Income x VALUE, MOM, CARRY, DEFENSIVE Ok, so roughly you ha...
by Random Walker
Tue Dec 11, 2018 10:35 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Best Investment Science Books
Replies: 9
Views: 837

Re: Larry Swedroe: Best Investment Science Books

Renee, After reading books like Bernstein’s 4 Pillars, Bogle’s Common Sense, Malkiel’s Random Walk, Ellis’ Winning The Loser’s Game, I’d move on to Roger Gibson’s Asset Allocation: Balancing Financial Risk and Larry Swedroe’s Reducing The Risk Of Black Swans. Both books focus on building more effici...
by Random Walker
Tue Dec 11, 2018 9:30 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Best Investment Science Books
Replies: 9
Views: 837

Re: Larry Swedroe: Best Investment Science Books

Renee,
I’ll give you a detailed answer in a little bit.

Dave
by Random Walker
Tue Dec 11, 2018 9:18 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Best Investment Science Books
Replies: 9
Views: 837

Re: Larry Swedroe: Best Investment Science Books

I like Ang’s book and Lussier’s book just about the same, maybe slightly favor Lussier’s

Dave
by Random Walker
Mon Dec 10, 2018 10:50 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Best Investment Science Books
Replies: 9
Views: 837

Re: Larry Swedroe: Best Investment Science Books

I’ve read a few of the books, so thought I’d make some comments: Four Pillars: outstanding beginner book, really like Bernstein’s tone. Likely the best book on the list for Bogleheads looking to develop a plan Expected Returns: dry, high end, academic. In the past I’ve read that Larry thinks it’s on...
by Random Walker
Mon Dec 10, 2018 10:35 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Best Investment Science Books
Replies: 9
Views: 837

Re: Larry Swedroe: Best Investment Science Books

None of the books on the list are written by Larry. I would strongly recommend any of the books he has written as well.

Dave
by Random Walker
Mon Dec 10, 2018 10:34 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Best Investment Science Books
Replies: 9
Views: 837

Larry Swedroe: Best Investment Science Books

https://www.etf.com/sections/index-inve ... ence-books

Larry provides a list of his favorite books on the science of investing. He’ll provide a separate list of behavioral finance books.

Dave
by Random Walker
Mon Dec 10, 2018 10:11 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Be Prepared For Losses
Replies: 146
Views: 18995

Re: Larry Swedroe: Be Prepared For Losses

The question is, do you want to be heavily in an investment where 10 years is just "noise"? That you have to accept significant losses for that long because you have no control. Those 10 years could be the most important or significant of your life. For ex. the last 10 years of your life when you a...
by Random Walker
Mon Dec 10, 2018 12:05 am
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

Agree,
From what I remember size to market about 0.4, value to market 0.1, size to value 0.1.

Dave
by Random Walker
Sun Dec 09, 2018 11:38 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

The Fama French work demonstrated that size and value are unique and independent factors from each other and from market beta. These unique independent risks cannot be diversified away.

Dave
by Random Walker
Sun Dec 09, 2018 11:26 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Be Prepared For Losses
Replies: 146
Views: 18995

Re: Larry Swedroe: Be Prepared For Losses

The question is, do you want to be heavily in an investment where 10 years is just "noise"? That you have to accept significant losses for that long because you have no control. Those 10 years could be the most important or significant of your life. For ex. the last 10 years of your life when you a...
by Random Walker
Sun Dec 09, 2018 7:44 pm
Forum: Investing - Theory, News & General
Topic: What should a new investor being reading?
Replies: 29
Views: 2005

Re: What should a new investor being reading?

Since you are following the three fund strategy, i would suggest that you read nothing else about investing. Learning more will likely make you dumber and broker. If i was you, i would read resources that would help you make more money, save on taxes, increase your savings rate, or make your life h...
by Random Walker
Sun Dec 09, 2018 7:38 pm
Forum: Investing - Theory, News & General
Topic: Low need to take risk - decrease allocation to stocks?
Replies: 42
Views: 3096

Re: Low need to take risk - decrease allocation to stocks?

For others in similar circumstances, do you have a reduced allocation to stocks as well? Reading the posts here I always get the impression that most people have 60%+ in equities regardless the size of the portfolio. We are in similar circumstances, and no longer do a percentage based asset allocat...
by Random Walker
Sun Dec 09, 2018 5:56 pm
Forum: Investing - Theory, News & General
Topic: Low need to take risk - decrease allocation to stocks?
Replies: 42
Views: 3096

Re: Low need to take risk - decrease allocation to stocks?

I’m 56 years old and have a 40/36/24 allocation. The 40% equities are evenly split between US and Int and very heavily tilted to SV. The 36% bonds are AAA/AA with average maturity 5-6 years. The remaining 24% is alternatives with Pre tax equity like expected returns. Big losses severely hurt termina...
by Random Walker
Sun Dec 09, 2018 4:36 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

I know that some people argue that size alone is not relevant. But to me intuitively its a risk. More importantly, I think the other factor premia are more pronounced in small stocks. E.g value and momentum more pronounced in small.

Dave
by Random Walker
Sun Dec 09, 2018 1:48 pm
Forum: Investing - Theory, News & General
Topic: What should a new investor being reading?
Replies: 29
Views: 2005

Re: What should a new investor being reading?

The problem with books is that they quickly go out of date. Nevertheless, there are many excellent books on investing. Just be aware that the older books can contain outdated information. I largely disagree. Bogle’s Cost Matters Hypothesis, Gibson’s Rewards of Multi Asset Class Investing, Ellis’ Wi...
by Random Walker
Sun Dec 09, 2018 12:40 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Be Prepared For Losses
Replies: 146
Views: 18995

Re: Larry Swedroe: Be Prepared For Losses

elainet7 wrote:
Sun Dec 09, 2018 8:24 am
Learn SEQUENCE OF RISK AND MARGINSAL UTILITY OF WEALTH
that should put you in the right asset allocated portfolio pre retirement :happy
Boy was that concise!

Dave
by Random Walker
Sun Dec 09, 2018 12:42 am
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

To me it seems that not enough about factor returns, volatilities, correlations, and correlation stability is known to be certain that portfolio efficiency will be increased in any given holding period. In other words, even with ideal factor diversification and zero cost, you are still adding the r...
by Random Walker
Sat Dec 08, 2018 10:09 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

So, just adding partially correlated assets does not necessarily improve efficiency. And factor investing increases risk with the expectation of increasing return. Factor investing should increase portfolio efficiency: either increase return and increase Sharpe ratio, or if comcomitantly increase b...
by Random Walker
Sat Dec 08, 2018 9:58 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

So, just adding partially correlated assets does not necessarily improve efficiency. And factor investing increases risk with the expectation of increasing return. Factor investing should increase portfolio efficiency: either increase return and increase Sharpe ratio, or if comcomitantly increase b...
by Random Walker
Sat Dec 08, 2018 9:18 pm
Forum: Investing - Theory, News & General
Topic: What should a new investor being reading?
Replies: 29
Views: 2005

Re: What should a new investor being reading?

Books!
My two favorite beginner books are William Bernstein’s 4 Pillars Of Investingand Larry Swedroe’s Wise Investing Made Simple

Dave
by Random Walker
Sat Dec 08, 2018 9:12 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

The specific asset classes in the portfolio are irrelevant. The point is that combining multiple less than perfectly correlated, uncorrelated, negatively correlated sources of return increase the likelihood that a given portfolio will land closer to the upper left. What an investment potentially ad...
by Random Walker
Fri Dec 07, 2018 9:38 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

The specific asset classes in the portfolio are irrelevant. The point is that combining multiple less than perfectly correlated, uncorrelated, negatively correlated sources of return increase the likelihood that a given portfolio will land closer to the upper left. What an investment potentially add...
by Random Walker
Fri Dec 07, 2018 9:06 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

Rkhusky, Can’t really disagree with anything you wrote. Whether the opportunity set of investment options is finite or not, I’m just referring to making changes to a portfolio that are likely to move it towards the northwest on return v. risk plot. In that vein, I think the argument that TSM is on t...
by Random Walker
Fri Dec 07, 2018 6:52 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

Thinking back, I realized that I got interested in Small/Value tilting about the time this strategy was at its peak back in 2007 and 2008, before the financial crisis. Peak Small/Value as it were. Still, it was not a big variation on what I was doing before, just refining what I was already doing. ...
by Random Walker
Fri Dec 07, 2018 5:11 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

Here is the problem: within the context of MPT, mean-variance optimization is well defined. Without defining what the maximal diversification portfolio is or how diversification can be quantified, there can be no reasoned discussion of the relative diversification of different portfolios. Just a bu...
by Random Walker
Fri Dec 07, 2018 5:04 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

I think there is a distinction between an efficient market and an efficient portfolio. The market can price market beta, size, value efficiently but a portfolio can be made more efficient by more equally balancing across these unique independent sources of risk. A portfolio on the efficient frontie...
by Random Walker
Fri Dec 07, 2018 3:29 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Understanding TIPS
Replies: 36
Views: 3354

Re: Larry Swedroe: Understanding TIPS

I'm surprised by the claim that TIPS has an expected real yield greater than nominal bonds because the liquidity premium for TIPS > the inflation risk premium for nominal bonds. If that's true, then the case for TIPS over nominal would be very strong for long term investors who don't need much liqu...
by Random Walker
Fri Dec 07, 2018 3:06 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

The point of a SCV/TSM being more diversified is where I miss the train. This implies that the market pricing set by alot of market participants is not providing a diversified weighting of stocks but you have to use historical construct (factors) to provide you a more diversified portfolio. Does th...
by Random Walker
Fri Dec 07, 2018 3:00 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

Finally, it's a pedantic point that's been explained multiple times here, but the purpose of risk-factor modeling is to measure risk. Not return. High factor exposure indicates concentration of risk, not diversification of it. The most conceivably diversified portfolio would have all factor weights...
by Random Walker
Fri Dec 07, 2018 2:56 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

Somebody is always underperforming something. I don't see why that is always discussed as being unique to concentrating ones investments on certain corners of a given market. The same issues impact anyone who engages in true diversification--e.g. adding bonds to your stock portfolio, adding interna...
by Random Walker
Fri Dec 07, 2018 11:18 am
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

First, conviction about factor based investing and conviction about MPT aren't same. One can implement an MPT based portfolio with or without the factors. Stocks, Bonds, Cash is enough at a basic level, and within that Domestic and Intl, Short term and Long Term, that's enough. Some may say Real Es...
by Random Walker
Fri Dec 07, 2018 10:49 am
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

My point about MPT and factors is simply that uncorrelated sources of return mix to build more efficient portfolios

Dave
by Random Walker
Fri Dec 07, 2018 10:47 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Understanding TIPS
Replies: 36
Views: 3354

Larry Swedroe: Understanding TIPS

https://www.etf.com/sections/index-investor-corner/swedroe-understanding-tips?nopaging=1 EXCELLENT explanation of TIPS v. Nominal Bonds. The difference in yield between the two is not the expected inflation rate: liquidity and risk premia for unexpected inflation play into the difference as well. La...
by Random Walker
Fri Dec 07, 2018 10:33 am
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

The "you aren't diversified if you don't use factors tilts" claim by factor proponents is the real scare mongering. I admit that I don't follow these factor threads closely (I'm a total market investor), but I've never seen a claim that "you aren't diversified if you don't use factors". Who is sayi...
by Random Walker
Fri Dec 07, 2018 9:52 am
Forum: Investing - Theory, News & General
Topic: Debt repayment vs Investing – thoughts on psychology
Replies: 10
Views: 908

Re: Debt repayment vs Investing – thoughts on psychology

I’m a big fan of paying off debt. Firstly, it’s a guaranteed return. Secondly, I’ve found it helps create the psychological muscles to perhaps take on a more aggressive asset allocation.

Dave
by Random Walker
Fri Dec 07, 2018 9:36 am
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5136

Re: Ignored Risks of Factor Investing

I certainly fall on the side of diversifying across factors. More expensive to do so. I would make two points. 1. For those who tilt to SV, they can increase their allocation to safe bonds and keep expected return about the same as TSM portfolio. That moves in the direction of risk parity and is mor...
by Random Walker
Wed Dec 05, 2018 10:55 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Long/Short Portfolios & Taxes
Replies: 15
Views: 1059

Re: Larry Swedroe: Long/Short Portfolios & Taxes

Marcopolo, I think I understand fairly well what I am invested in. I think for an amateur investor, I understand it very well. If I were a professional, the bar would be higher, and perhaps way higher depending on the type of professional. Yes I did recently admit that I don’t know a lot about taxes...
by Random Walker
Wed Dec 05, 2018 9:45 am
Forum: Investing - Theory, News & General
Topic: Vanguard US Multifactor Fund
Replies: 64
Views: 8604

Re: Vanguard US Multifactor Fund

I've been researching multifactor funds for investment in 2019. I think that it is curious that Vanguard doesn't include VFMF on their list of ETFs. To find info on the fund I had to enter VFMF in the search box. I noticed that the fund lost more than the market today. My interest in the fund is pr...
by Random Walker
Wed Dec 05, 2018 9:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Long/Short Portfolios & Taxes
Replies: 15
Views: 1059

Larry Swedroe: Long/Short Portfolios & Taxes

https://www.etf.com/sections/index-investor-corner/swedroe-longshort-portfolios-taxes?nopaging=1 Conventional wisdom says that high turnover strategies are tax inefficient. In this article Larry reviews two papers showing that Long/Short high turnover strategies can be very tax efficient. They can b...