Search found 2683 matches

by Random Walker
Thu Jun 21, 2018 8:22 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

Wolf359, I believe you are seeing things correctly. Probably shouldn’t hire an advisor only for DFA access. The returns in the article do account for expense ratios but do not account for advisor fees. If you wanted DFA access alone, I think it is likely available for much less than the 1% fee you ...
by Random Walker
Wed Jun 20, 2018 5:50 pm
Forum: Investing - Theory, News & General
Topic: Alpha Architect: Sustainable Active Investing Framework Simple But Not Easy
Replies: 7
Views: 599

Re: Alpha Architect: Sustainable Active Investing Framework Simple But Not Easy

bertilak wrote:
Wed Jun 20, 2018 5:41 pm
Question: When does the crowd switch from rational to manic?
When your Starbucks barista gives you a stock tip or your mother in law has joined an Investing club.

Dave
by Random Walker
Wed Jun 20, 2018 5:36 pm
Forum: Investing - Theory, News & General
Topic: Alpha Architect: Sustainable Active Investing Framework Simple But Not Easy
Replies: 7
Views: 599

Re: Alpha Architect: Sustainable Active Investing Framework Simple But Not Easy

I'm pretty sure I remember Fama telling his class something like this: "we don't need to assume that investors ARE rational, just that on average they behave AS IF they were rational." Great quote. Ever read The Wisdom Of Crowds by James Surowiecki? Sort of speaks to that point. When crowds are com...
by Random Walker
Wed Jun 20, 2018 4:44 pm
Forum: Investing - Theory, News & General
Topic: Alpha Architect: Sustainable Active Investing Framework Simple But Not Easy
Replies: 7
Views: 599

Alpha Architect: Sustainable Active Investing Framework Simple But Not Easy

https://alphaarchitect.com/2015/08/17/the-sustainable-active-investing-framework-simple-but-not-easy/ Another Alpha Architect paper. BORING TITLE BUT VERY INTERESTING AND ENJOYABLE ARTICLE. The writer, Wes Gray, did his PhD under Fama at U of Chicago, arguably the father of efficient market hypothes...
by Random Walker
Wed Jun 20, 2018 3:08 pm
Forum: Investing - Theory, News & General
Topic: Alpha Architect: The Future For Factor Investing May Be Different From It’s Backtested Past
Replies: 0
Views: 140

Alpha Architect: The Future For Factor Investing May Be Different From It’s Backtested Past

https://alphaarchitect.com/2018/06/08/future-factor-investing-may-different-backtested-past/ As most people here know, I’m pretty much all in on factor investing while at the same time having a strong belief in market efficiency. Thought I’d post this article which actually second guesses factor inv...
by Random Walker
Wed Jun 20, 2018 10:05 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: True Alpha A Rare Thing
Replies: 1
Views: 344

Larry Swedroe: True Alpha A Rare Thing

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

Alpha exists, but it occurs even more rarely than expected by chance. Moreover, in the fierce world of investing, by the time we recognize alpha, it has been turned into beta.

Dave
by Random Walker
Wed Jun 20, 2018 9:47 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

I always read that picking a portfolio and sticking with it long term may be one of the best decisions an investor can make. But I constantly read here how so many believe there is a better way or think there is a better way. So, I may be confused at times and think there is a better portfolio. But...
by Random Walker
Wed Jun 20, 2018 9:26 am
Forum: Investing - Theory, News & General
Topic: Factor tilts -- only for small caps?
Replies: 7
Views: 638

Re: Factor tilts -- only for small caps?

I think in general what you say is true: the other factors tend to be stronger in the small cap realm.

Dave
by Random Walker
Wed Jun 20, 2018 9:24 am
Forum: Investing - Theory, News & General
Topic: Debt Song Not a Pretty Tune
Replies: 5
Views: 1515

Re: Debt Song Not a Pretty Tune

I much prefer being a lender and seller of insurance than a debtor or purchaser of insurance. I have a good dose of bonds, sell reinsurance and volatility insurance with some alternative funds.

Dave
by Random Walker
Wed Jun 20, 2018 9:18 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

I was with a DFA advisor for about 3 years. The cost was 1.3% for advisor fees and ers. I learned a lot from the advisor about passive investing. Then I found this site and bought into the 3 fund portfolio. I did not believe the fee was worth it any longer. Also, the money was in my 457 fund and I ...
by Random Walker
Wed Jun 20, 2018 9:04 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

First, can an individual factor tilt with the "right" funds as well as an advisor can? Or at least close enough? Obviously it depends on the investor, but I'd say yes it is definitely possible using the funds and tools available today. Case in point was the Vanguard Small Value Index ETF that I pur...
by Random Walker
Wed Jun 20, 2018 8:56 am
Forum: Investing - Theory, News & General
Topic: You Can Market Time At Valuation Extremes
Replies: 36
Views: 3908

Re: You Can Market Time At Valuation Extremes

If some structural change to equity investing occurs to make it less risky, then we would expect to see a one time increase in valuations and we would benefit from increased returns. Looking forward though, the higher valuations, representing less risky equity investing, would predict lower future r...
by Random Walker
Wed Jun 20, 2018 8:44 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

Bgf, Not sure what you mean by old school, but if you mean active, these passive asset class funds are certainly not that. There is no market timing or specific stock picking. It’s formulaic. These funds simply provide access to the factors identified by academics to explain equity returns. They ar...
by Random Walker
Wed Jun 20, 2018 7:49 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

Bgf, Not sure what you mean by old school, but if you mean active, these passive asset class funds are certainly not that. There is no market timing or specific stock picking. It’s formulaic. These funds simply provide access to the factors identified by academics to explain equity returns. They are...
by Random Walker
Tue Jun 19, 2018 6:16 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

I understand the argument. I don’t agree with it. Factor premiums are not guarantees. I don’t treat them like they are. They should be used as a potential additive to beta, not a substitute for beta. I appreciate your point. Market beta aside, when it comes to other factors, do you see your above r...
by Random Walker
Tue Jun 19, 2018 10:10 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

jeffyscott wrote:
Tue Jun 19, 2018 9:46 am
Random Walker wrote:
Tue Jun 19, 2018 9:31 am
It’s worthwhile to note that the value factor is nearly as persistent as market factor.
May also be worth noting that it has been MIA for about 15 years, based on returns of DFLVX vs. S&P 500.
Is your point that maybe value is gone or that it’s time for it to make a comeback? :-)

Dave
by Random Walker
Tue Jun 19, 2018 9:31 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

Vineviz, Yes, you got my point exactly. If one looks at diversification a bit differently, then “not putting all your eggs in one basket” can be “don’t put all your eggs in the same risk basket”. By using SV funds with deeper exposures, one can have a portfolio with same SV factor loadings and less ...
by Random Walker
Mon Jun 18, 2018 9:25 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

OP wrote: When a fund has deeper factor exposure, less market beta exposure needs to be taken on to achieve the same tilt: a more efficient portfolio. I do not believe in having less market exposure because of a hope that other factor premiums will make up the difference. I believe in allocating to...
by Random Walker
Mon Jun 18, 2018 8:56 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

Vineviz,
RZV certainly seems to meet the criteria we’re discussing. Just quickly looking at it, seems to beat DFSVX according to loadings and expenses. I’d be interested to hear more of the DFA argument.

Dave
by Random Walker
Mon Jun 18, 2018 6:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

Vineviz, I realize in your comparison you were trying to match funds by factor exposure. But it’s important to appreciate (as I’m sure you do) that you are comparing Vanguard’s SCV Fund (VIOV) with Dimensional’s Small Blend Fund (DFSTX). One of the advantages of DFA asset class funds is that you nee...
by Random Walker
Mon Jun 18, 2018 3:14 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

Wolf, There are many reasons Larry and BAM prefer DFA over VG. I can rattle off a few of them. Deeper exposures to the factors means less market beta exposure for same exposure to other factors, tax management in many value funds, profitability and momentum screens, securities lending, patient tradi...
by Random Walker
Mon Jun 18, 2018 12:55 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Re: Larry Swedroe: The Battle Of Passive Strategies

Wolf359, I believe you are seeing things correctly. Probably shouldn’t hire an advisor only for DFA access. The returns in the article do account for expense ratios but do not account for advisor fees. If you wanted DFA access alone, I think it is likely available for much less than the 1% fee you m...
by Random Walker
Mon Jun 18, 2018 9:59 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: The Battle Of Passive Strategies
Replies: 60
Views: 5023

Larry Swedroe: The Battle Of Passive Strategies

https://www.advisorperspectives.com/articles/2018/06/18/the-battle-of-the-passive-strategies May 2018 marks the 20th anniversary of Larry’s first book. The book had two main themes. First, passive beats active. Second, size and value represent independent sources of return from market beta, and it’s...
by Random Walker
Mon Jun 18, 2018 9:05 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Excusing Active’s Failures
Replies: 1
Views: 216

Larry Swedroe: Excusing Active’s Failures

http://www.etf.com/sections/index-investor-corner/swedroe-excusing-actives-failures In this article Larry reminds us that passive is the winner’s game. Active managers always have an excuse. Two are rising correlations and a narrowing market. Both are nonsensical and mutually exclusive on top of tha...
by Random Walker
Sun Jun 17, 2018 7:58 pm
Forum: Investing - Theory, News & General
Topic: "Money Talk" Radio Program with Bob Brinker
Replies: 15
Views: 1686

Re: "Money Talk" Radio Program with Bob Brinker

I listened to him in the 90’s and early 2000’s. He guided me towards Bogle, Malkiel, and other excellent books. I credit him with being pointed towards Bogle’s Common Sense On Mutual Funds and Vanguard.

Dave
by Random Walker
Sun Jun 17, 2018 9:47 am
Forum: Investing - Theory, News & General
Topic: Why is risk adjusted return important?
Replies: 35
Views: 2480

Re: Why is risk adjusted return important?

The risk adjusted return of any one fund in isolation has some significance. How that fund affects the risk adjusted return of the entire portfolio as a whole is more significant I think. What a potential portfolio addition adds to a portfolio depends on its expected return, volatility, correlations...
by Random Walker
Sat Jun 16, 2018 1:53 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rediscovering The Size Effect
Replies: 36
Views: 3477

Re: Larry Swedroe: Rediscovering The Size Effect

Robert’s data above serves as an excellent introduction to the benefit of diversifying across uncorrelated sources of return. The small cap / bonds portfolio had exposure to market beta, size, term. The large growth portfolio was effectively market beta alone. There is a significant positive effect ...
by Random Walker
Sat Jun 16, 2018 8:25 am
Forum: Investing - Theory, News & General
Topic: Which boglehead rule do you break--and are ok with
Replies: 152
Views: 10947

Re: Which boglehead rule do you break--and are ok with

I use an advisor. Have substantial tilts and alternatives.

Dave
by Random Walker
Fri Jun 15, 2018 2:32 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rediscovering The Size Effect
Replies: 36
Views: 3477

Re: Larry Swedroe: Rediscovering The Size Effect

I went back and took a look at the appendix on size in Larry’s factor book. I was reminded that there is a bit of a definitional problem potentially clouding the issue. All of the factors are defined as long-short portfolios. Generally all the stocks in a given universe are ranked according to the m...
by Random Walker
Fri Jun 15, 2018 9:29 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rediscovering The Size Effect
Replies: 36
Views: 3477

Re: Larry Swedroe: Rediscovering The Size Effect

Obviously returns are important. And they get discussed here lots. But correlations are important as well, and how asset classes, factors, styles mix in a portfolio is very important. What matters is the portfolio as a whole. I’m gaining an appreciation for the Sharpe ratio of an investment in isola...
by Random Walker
Fri Jun 15, 2018 12:33 am
Forum: Investing - Theory, News & General
Topic: Fresh Look at the "Larry Portfolio" from Portfolio Charts
Replies: 125
Views: 15890

Re: Fresh Look at the "Larry Portfolio" from Portfolio Charts

The key is decreasing overall equity allocation, strongly increasing equity tilt, and increasing high quality bond allocation very substantially. What matters is the portfolio as a whole. Don’t look at the equities in isolation.

Dave
by Random Walker
Fri Jun 15, 2018 12:29 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rediscovering The Size Effect
Replies: 36
Views: 3477

Larry Swedroe: Rediscovering The Size Effect

http://www.etf.com/sections/index-investor-corner/swedroe-rediscovering-size-effect?nopaging=1 I didn’t realize that the size premium had been on such shaky ground. But looks like it has been saved by accounting for other factors: profitability, quality, defensive. In the presence of these factors, ...
by Random Walker
Thu Jun 14, 2018 11:59 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

Certainly AI will be a bigger factor in markets but I am skeptical that human emotion will be taken out. As much as I believe in ruthlessly efficient markets always getting more so, I tend to agree. Just think human emotion can’t get sucked out of the markets no matter how advanced the gizmology ge...
by Random Walker
Thu Jun 14, 2018 11:37 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

Certainly AI will be a bigger factor in markets but I am skeptical that human emotion will be taken out. As much as I believe in ruthlessly efficient markets always getting more so, I tend to agree. Just think human emotion can’t get sucked out of the markets no matter how advanced the gizmology ge...
by Random Walker
Thu Jun 14, 2018 11:28 pm
Forum: Investing - Theory, News & General
Topic: Fresh Look at the "Larry Portfolio" from Portfolio Charts
Replies: 125
Views: 15890

Re: Fresh Look at the "Larry Portfolio" from Portfolio Charts

Stlutz, Strongly recommend Larry’s Black Swan book. The shorter the time period, like the critical few years on either side of starting retirement, the more important it is to be diversified across sources of return. What you view as a small corner of the market, SV, is actually highly diversified a...
by Random Walker
Thu Jun 14, 2018 9:16 pm
Forum: Investing - Theory, News & General
Topic: Fresh Look at the "Larry Portfolio" from Portfolio Charts
Replies: 125
Views: 15890

Re: Fresh Look at the "Larry Portfolio" from Portfolio Charts

I would contend that the LP is applicable at any stage of investing. I think it’s not a single specific stock bond split. Rather I think it’s a concept that can be tailored to any risk level. The concept is target an expected return and choose an equity / bond split that targets that return. The Lar...
by Random Walker
Thu Jun 14, 2018 2:18 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

What active investors are doing is valuing companies & securities. They are understanding businesses and what drives value. I did this a business for the past 20 years primarily for private business. It much more involved that running factor screens and developing portfolios with the output of thes...
by Random Walker
Thu Jun 14, 2018 9:53 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

I, like Packer16, intuitively feel that markets will always be more efficient and perhaps “smarter” than we can ever imagine. This especially concerns me with regard to behavioral anomalies. Nonetheless risk stories make lots of sense and the market prices risk. There are substantial limits to arbit...
by Random Walker
Wed Jun 13, 2018 1:45 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rising Rates Effects Unclear
Replies: 3
Views: 589

Larry Swedroe: Rising Rates Effects Unclear

http://www.etf.com/sections/index-investor-corner/swedroe-rising-rate-effects-unclear?nopaging=1 Given that the Fed will decide on rates today, this is a well timed article by Larry. He discusses knowledge versus information and the forward looking nature of markets. He reviews a paper by one of his...
by Random Walker
Wed Jun 13, 2018 9:57 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

Nedsaid, I totally agree with your description of “price risk” for growth stocks. I’ve thought of it myself as “bubble risk” perhaps because I started my investing career in the late 1990s :-). There can be a lot of perfection built into growth stock prices, and when those expectations are not met, ...
by Random Walker
Wed Jun 13, 2018 9:49 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

And here’s more references regarding the premia provided by Larry 1.Baruch Lev and Theodore Sougiannis, “Penetrating the Book-to-Market Black Box,” Journal of Business Finance and Accounting (April/May 1999). 2.Robert F. Peterkort and James F. Neilsen, “Is the Book-to-Market Ratio a Measure of Risk?...
by Random Walker
Wed Jun 13, 2018 9:45 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

Larry Swedroe was generous enough to pass on the essay below he wrote about 11 years ago regarding risk based explanations for size and value premia. Dave Risk-Based Explanations of the Size and Value Premiums Few objectives ever stirred explorers more than the search for the source of the Nile. In ...
by Random Walker
Tue Jun 12, 2018 9:30 pm
Forum: Investing - Theory, News & General
Topic: Upping equity exposer instead of adding Factors/Value
Replies: 7
Views: 614

Re: Upping equity exposer instead of adding Factors/Value

Agree with KlangFool, Need to have an investment policy statement and generally stick to the plan. It’s the anchor. That being said, over time the market will do all sorts of crazy things. Periodically, and more frequently as one approaches retirement age or retirement net worth, they should look at...
by Random Walker
Tue Jun 12, 2018 9:19 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

Thanks for the reply, Dave. Yes I do think small stocks are riskier than big stocks. Who would you rather lend money to, a huge multinational company or a smaller local or regional company? Who would you charge the higher interest rate? This isn't really what I asked. Of course investing in a singl...
by Random Walker
Tue Jun 12, 2018 9:26 am
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9382

Re: Yes, you can diversify a market portfolio

I don’t think it’s semantic. Just need to look at diversification differently, perhaps more broadly within an MPT framework. The most fundamental definition of diversification is “don’t put all your eggs in one basket”. Thus owning the entire stock market appears diversified. But the TSM investor i...
by Random Walker
Tue Jun 12, 2018 9:11 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

St Lutz, Yes I do think small stocks are riskier than big stocks. Who would you rather lend money to, a huge multinational company or a smaller local or regional company? Who would you charge the higher interest rate? The cost of capital for a company equals the expected return for the company’s sto...
by Random Walker
Mon Jun 11, 2018 10:41 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3428

Re: Larry Swedroe: What Makes Factors Endure

Dave, I'm wondering whether you think that a compelling, rational reason for most investors to take the other side of the trade should be such a criteria? e.g. "Everybody knows stocks are highly likely to outpeform bonds. But, most of the money should still prefer bonds because ___________" "Everyb...
by Random Walker
Mon Jun 11, 2018 4:35 pm
Forum: Investing - Theory, News & General
Topic: Upping equity exposer instead of adding Factors/Value
Replies: 7
Views: 614

Re: Upping equity exposer instead of adding Factors/Value

One can certainly create a simple TSM/TBM Portfolio with the same expected return as a more complex tilted portfolio. The tilted portfolio would have a lower equity allocation and likely be more efficient. More efficient would be reflected in lower volatility, higher Sharpe ratio, smaller maximal dr...
by Random Walker
Mon Jun 11, 2018 12:11 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9382

Re: Yes, you can diversify a market portfolio

Putting all your eggs in market beta alone with TSM with current P/E ratio S&P 500 something like 26-30 sounds risky to me.

Dave
by Random Walker
Mon Jun 11, 2018 11:36 am
Forum: Investing - Theory, News & General
Topic: Multi-Asset vs. Simple Portfolio, 1970-2017
Replies: 37
Views: 3018

Re: Multi-Asset vs. Simple Portfolio, 1970-2017

So you were comparing the value tilt results to the total market’s benchmarks. Your data does support the thesis that tilted portfolios underperform modestly when they underperform and outperform more significantly when they do that.

Dave