Search found 2659 matches

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: 1401

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: 2405

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: 35
Views: 3176

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: 124
Views: 7885

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: 35
Views: 3176

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: 35
Views: 3176

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: 15828

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: 35
Views: 3176

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: 3363

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: 3363

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: 15828

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: 15828

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: 3363

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: 3363

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: 576

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: 3363

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: 3363

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: 3363

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: 597

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: 3363

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: 9282

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: 3363

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: 3363

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: 597

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: 9282

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: 2966

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
by Random Walker
Mon Jun 11, 2018 10:53 am
Forum: Investing - Theory, News & General
Topic: Multi-Asset vs. Simple Portfolio, 1970-2017
Replies: 37
Views: 2966

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

When a portfolio diversified across sources of return outperforms, it’s significant. When it underperforms, the shortfall tends to be pretty small. That’s an interesting point. Our portfolios have had a value tilt for most of the last 20 years. For the last 10 years (2008-2017) we outperformed our ...
by Random Walker
Mon Jun 11, 2018 9:29 am
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: Yes, you can diversify a market portfolio

This is perhaps semantic, but OP is talking about selectively weighting assets thought to be non correlated. That is different than diversifying since market portfolio is by definition diversified. Personally I do weight long and intermediate Treasury on the bond side as well as international small...
by Random Walker
Mon Jun 11, 2018 9:02 am
Forum: Investing - Theory, News & General
Topic: Multi-Asset vs. Simple Portfolio, 1970-2017
Replies: 37
Views: 2966

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

Top99,
I believe we think alike. When a portfolio diversified across sources of return outperforms, it’s significant. When it underperforms, the shortfall tends to be pretty small.

Dave
by Random Walker
Mon Jun 11, 2018 8:54 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Makes Factors Endure
Replies: 55
Views: 3363

Larry Swedroe: What Makes Factors Endure

http://www.etf.com/sections/index-investor-corner/swedroe-what-makes-factors-endure?nopaging=1 Good introduction to why there is good rationale to expect factors to persist in the future. It centers on Larry’s 5 criteria for a factor: persistent, pervasive, robust, intuitive, investable. Larry displ...
by Random Walker
Sun Jun 10, 2018 9:58 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: Yes, you can diversify a market portfolio

Markowitz’s personal allocation: Mr. Markowitz was then working at the RAND Corporation and trying to figure out how to allocate his retirement account. He knew what he should do: “I should have computed the historical co-variances of the asset classes and drawn an efficient frontier.” (That’s effi...
by Random Walker
Sun Jun 10, 2018 9:37 pm
Forum: Investing - Theory, News & General
Topic: Multi-Asset vs. Simple Portfolio, 1970-2017
Replies: 37
Views: 2966

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

There are real limits on the ability of past portfolio construction to divine with accuracy what is going to happen in the future even if the past backtesting period is 50 years. I think it is highly probable that stocks will outperform bonds over the next 50 years, since stocks are inherently more...
by Random Walker
Sun Jun 10, 2018 9:25 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: The 60/40 Portfolio is not for everyone

Bogleheads: It is a serious mistake to believe that there is only one stock/bond allocation that is ideal for all of us. Each of us should base this very important decision on our goal(s), our time-frame, our risk-tolerance and our personal financial situation. We are all different. Vanguard offers...
by Random Walker
Sun Jun 10, 2018 9:17 pm
Forum: Investing - Theory, News & General
Topic: Buffett says Bonds are a terrible investment now. What should we invest in besides stocks?
Replies: 141
Views: 20111

Re: Buffett says Bonds are a terrible investment now. What should we invest in besides stocks?

Wandering doc, I don’t know anything about real estate. You’re doing it, so likely nobody more expert on your specific situation than you. I can certainly appreciate the apparent bond like character of that income that’s coming in. I agree with dbr that only you can assess the rental income’s effect...
by Random Walker
Sun Jun 10, 2018 9:06 pm
Forum: Investing - Theory, News & General
Topic: Benjamin Graham's lesson on timing
Replies: 23
Views: 2731

Re: Benjamin Graham's lesson on timing

I mentioned taking some risk off the table as a sort of unidirectional stepwise move towards the retirement portfolio. By no means is all equity risk removed. I’m 40% equities/ 36% bonds/ 24% alternatives. Still I’m guessing about 60% of my portfolio risk is attributable to equities. And lots of roo...
by Random Walker
Sun Jun 10, 2018 5:43 pm
Forum: Investing - Theory, News & General
Topic: Buffett says Bonds are a terrible investment now. What should we invest in besides stocks?
Replies: 141
Views: 20111

Re: Buffett says Bonds are a terrible investment now. What should we invest in besides stocks?

I love Buffett, but I don't have the stomach for 90% stocks. I will stick with 60/40 and hopefully it gets me there. I'm there myself at 60/40 but doesn't the idle 40% gnaw at your soul? It's taken every once of my will to not 75/25 and live with the consequences. At 41, and fundamentally optimisti...
by Random Walker
Sun Jun 10, 2018 9:56 am
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: Yes, you can diversify a market portfolio

I think of this whenever someone says they overweight small value stocks in their equity portfolio. This seems to me to be a variation on the corporate-substiution game. It may produce higher risk-adjusted returns for a long time, if risk is measured by volatility. But if small and value are real r...
by Random Walker
Fri Jun 08, 2018 7:48 pm
Forum: Investing - Theory, News & General
Topic: Benjamin Graham's lesson on timing
Replies: 23
Views: 2731

Re: Benjamin Graham's lesson on timing

I agree with your question. Since over the course of a working lifetime most of us convert human capital into financial capital, there is generally a correlation between age, net worth, decreasing working years remaining to recover. So yes, as one gets older I would expect the ratio to increase. But...
by Random Walker
Fri Jun 08, 2018 5:41 pm
Forum: Investing - Theory, News & General
Topic: Benjamin Graham's lesson on timing
Replies: 23
Views: 2731

Re: Benjamin Graham's lesson on timing

“The market can stay irrational longer than you can stay solvent” :-). I’m getting a small taste of the folly of timing currently. I started taking risk off the table about 2 years ago and have continued to see the market rise. I say small taste because I see a big difference between in and out mar...
by Random Walker
Fri Jun 08, 2018 4:55 pm
Forum: Investing - Theory, News & General
Topic: Benjamin Graham's lesson on timing
Replies: 23
Views: 2731

Re: Benjamin Graham's lesson on timing

“The market can stay irrational longer than you can stay solvent” :-). I’m getting a small taste of the folly of timing currently. I started taking risk off the table about 2 years ago and have continued to see the market rise. I say small taste because I see a big difference between in and out mark...
by Random Walker
Fri Jun 08, 2018 3:53 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: Yes, you can diversify a market portfolio

I thought I remembered reading that beta was a measure of non-diversification potential, where beta = (corr)*(SDinv)/ (SDport) Where corr is the investment’s correlation to rest of portfolio, SDinv is the volatility of potential portfolio addition, SDport is volatility of current portfolio. So the l...
by Random Walker
Fri Jun 08, 2018 3:06 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: Yes, you can diversify a market portfolio

I think too many people are focusing on historical past performance in this thread. And sectors and individual stocks miss the point. What is significant is modern portfolio theory, how investments with unique sources of return mix in a portfolio, correlations, standard deviations, compounded retur...
by Random Walker
Fri Jun 08, 2018 2:16 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: Yes, you can diversify a market portfolio

I think too many people are focusing on historical past performance in this thread. And sectors and individual stocks miss the point. What is significant is modern portfolio theory, how investments with unique sources of return mix in a portfolio, correlations, standard deviations, compounded return...
by Random Walker
Fri Jun 08, 2018 9:29 am
Forum: Investing - Theory, News & General
Topic: Unnecessary Complexity? Your thoughts please.
Replies: 13
Views: 1196

Re: Unnecessary Complexity? Your thoughts please.

... of what benefit is it to slice and dice, adding complexity where one should seek simplicity? ... That question is the source of many disputes on this board. As far as I can tell, the point is (A) that some people believe they can actually get something extra, be it higher returns, or higher "ri...
by Random Walker
Fri Jun 08, 2018 7:35 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Passive Investing Demonized
Replies: 8
Views: 1668

Larry Swedroe: Passive Investing Demonized

http://www.etf.com/sections/index-investor-corner/swedroe-passive-investing-demonized?nopaging=1 An Ultra Bogleheadish article. Active manager’s livings are threatened by passive management, so bad arguments supporting active management are always poppoping up. Larry tackles a few of these: inflows ...
by Random Walker
Thu Jun 07, 2018 6:07 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: Yes, you can diversify a market portfolio

I don’t know whether the January effect explains all of the historic small return or not. But my intuitive risk story is that they are indeed more risky all 12 months of the year. With regard to momentum, I don’t think there is anything too magical about the specific time period definition. In fact,...
by Random Walker
Thu Jun 07, 2018 3:56 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What If Your Plan Fails?
Replies: 46
Views: 3992

Re: Larry Swedroe: What If Your Plan Fails?

I'm not saying that works for everyone, you are the captain of your own ship, but I do think people should be informed and flexible if they can be. My point exactly. We can’t control the markets and we can’t control our age. But we can control how we react to what the market has done in relation to...
by Random Walker
Thu Jun 07, 2018 3:47 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What If Your Plan Fails?
Replies: 46
Views: 3992

Re: Larry Swedroe: What If Your Plan Fails?

I’m a big fan of MCS. I'm not a fan at all, but then maybe I don't understand it... Isn't Monte Carlo purely random? Yet markets in the real world very rarely appear purely random. Last year's returns do seem to have some effect on the following years... But of course there is no good understanding...
by Random Walker
Thu Jun 07, 2018 3:38 pm
Forum: Investing - Theory, News & General
Topic: Yes, you can diversify a market portfolio
Replies: 190
Views: 9282

Re: Yes, you can diversify a market portfolio

Ah, this is a good thread! I would suggest anyone who wants to learn more about factor investing should pick up copies of Larry Swedroe's latest two books, and read them both. Then read them both again. And even once again. Reducing the Risk of Black Swans: Using the Science of Investing to Capture...
by Random Walker
Thu Jun 07, 2018 12:16 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What If Your Plan Fails?
Replies: 46
Views: 3992

Re: Larry Swedroe: What If Your Plan Fails?

Wrongfunds, I believe there is a difference between market timing and periodically looking at one’s financial circumstance, current valuations, future expected returns, dispersion of potential future returns, and adjusting accordingly. As I said above, it’s more like opportunistically adjusting the ...