Search found 2970 matches

by Random Walker
Tue Sep 18, 2018 4:13 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Effective Diversification In A 3 Factor World and Roger Gibson: The Rewards Of Multi Asset Class Investin
Replies: 3
Views: 510

Re: Larry Swedroe: Effective Diversification In A 3 Factor World and Roger Gibson: The Rewards Of Multi Asset Class Inve

Good post RW. I make sure to read all of Larry's stuff. Roger Gibson doesn't get the attention he deserves. I agree. Gibson’s book Asset Allocation: Balancing Financial Risk is a classic. He makes his point using 4 asset classes; one of them is CCF’s, and that causes a lot of consternation around h...
by Random Walker
Tue Sep 18, 2018 9:49 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4195

Re: Larry Swedroe: Simple Factor Investing

Oh ya, I had forgotten that access to the article was lost. I think Larry contacted the ETF.com people about the issue.

Dave
by Random Walker
Tue Sep 18, 2018 9:17 am
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 49
Views: 5641

Re: Expanding on The Rewards Of Multiple Asset Class Investing

Thought I’d give this thread another bump in light of recent threads on diversifying across factors.

Dave
by Random Walker
Tue Sep 18, 2018 9:11 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Effective Diversification In A 3 Factor World and Roger Gibson: The Rewards Of Multi Asset Class Investin
Replies: 3
Views: 510

Larry Swedroe: Effective Diversification In A 3 Factor World and Roger Gibson: The Rewards Of Multi Asset Class Investin

http://thebamalliance.com/pdfs/Effective%20Diversification%20in%20a%20Three-Factor%20World%20-%20Larry%20Swedroe.pdf This is an old essay written by Larry Swedroe. I find it three of the most significant pages of investment reading that I have ever encountered. It’s been a long time since this has b...
by Random Walker
Tue Sep 18, 2018 9:03 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4195

Re: Larry Swedroe: Simple Factor Investing

http://thebamalliance.com/pdfs/Effective%20Diversification%20in%20a%20Three-Factor%20World%20-%20Larry%20Swedroe.pdf I thought this thread would get more traction. TSMers like simplicity, and Larry presents a 3 fund portfolio that is more diversified across the factors shown to drive returns than th...
by Random Walker
Mon Sep 17, 2018 11:02 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Disrupted Expectations
Replies: 53
Views: 5962

Re: Larry Swedroe: Disrupted Expectations

I think the estimates are worthwhile. Certainly we need to appreciate the potential dispersion of returns. It’s important for us to appreciate that a lower mean expected return represents the whole potential dispersion of returns shifts left. The potential good outcomes are less good and the potenti...
by Random Walker
Mon Sep 17, 2018 12:15 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Examining Factor Persistence
Replies: 1
Views: 295

Larry Swedroe: Examining Factor Persistence

https://www.etf.com/sections/index-investor-corner/swedroe-examining-factor-persistence Larry initially reviews his five criteria for a factor (I’d say really any source of return): persistent, pervasive, robust, intuitive, investable. One test of pervasiveness is existence of a factor premium acros...
by Random Walker
Sun Sep 16, 2018 2:58 pm
Forum: Investing - Theory, News & General
Topic: What are the "best" factors?
Replies: 19
Views: 1110

Re: What are the "best" factors?

Bet Against Beta is really nice IMHO. There's really strong theoretical arguments for it (leveraged constrained investors bid up high risk / high return assets in lieu of levering up low risk / low return assets to an appropriate risk and reward), studies have shown it to pop up in many environment...
by Random Walker
Sun Sep 16, 2018 12:00 pm
Forum: Investing - Theory, News & General
Topic: What are the "best" factors?
Replies: 19
Views: 1110

Re: What are the "best" factors?

Trend (Time series momentum) is interesting. It’s purely behavioral, well known, and yet has some of the very strongest historical data supporting it. The size of the premium, it’s persistence, and its pervasiveness are strong. Many of us, like me, are much more inclined to have faith in risk based ...
by Random Walker
Sun Sep 16, 2018 11:55 am
Forum: Investing - Theory, News & General
Topic: What are the "best" factors?
Replies: 19
Views: 1110

Re: What are the "best" factors?

I have the most confidence in value; it has both good risk based and behavioral based explanations behind it. People have gone back and forth about size, but intuitively it makes sense to me that smaller companies are riskier than big ones. MOREOVER, all the other factors (value, momentum, trend, pr...
by Random Walker
Fri Sep 14, 2018 9:28 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: A Factor With Caveats
Replies: 0
Views: 192

Larry Swedroe: A Factor With Caveats

https://www.etf.com/sections/index-investor-corner/swedroe-factor-caveats?nopaging=1 Quotes from the article summarize better than I can. One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between...
by Random Walker
Fri Sep 14, 2018 9:05 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4195

Re: Larry Swedroe: Simple Factor Investing

Jalbert, I meant it the way it was written. First of all, as Larry said above, the factors are risk based. Secondly, the phenomenon is a function of how portfolios work. Because size and market are weakly correlated, value and market uncorrelated, size and value uncorrelated, the underperformance ca...
by Random Walker
Wed Sep 12, 2018 10:14 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benchmark Smoke And Mirrors
Replies: 14
Views: 1127

Re: Larry Swedroe: Benchmark Smoke And Mirrors

Nedsaid, I especially like your idea of comparing Coffee House +/- QSPIX. The reason is that what really matters is the portfolio as a whole, and consequently, the effect of any new addition or potential addition to the overall portfolio. How a new investment affects a portfolio depends on expected ...
by Random Walker
Wed Sep 12, 2018 9:40 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benchmark Smoke And Mirrors
Replies: 14
Views: 1127

Re: Larry Swedroe: Benchmark Smoke And Mirrors

Earlier this week I was somewhat lambasted for making the comment that I had been told that DFA funds sort of serve as their own benchmarks and that I had begun to see the wisdom in that statement. Every fund is different. No fund is going to have the exact same factor loadings as another benchmark ...
by Random Walker
Wed Sep 12, 2018 9:25 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benchmark Smoke And Mirrors
Replies: 14
Views: 1127

Larry Swedroe: Benchmark Smoke And Mirrors

https://www.etf.com/sections/index-investor-corner/swedroe-benchmark-smoke-mirrors?nopaging=1 In this article Larry blows up a single active manager’s claim of beating an index benchmark. In the process he demonstrates that choosing an appropriate benchmark is not as straightforward as one would thi...
by Random Walker
Mon Sep 10, 2018 3:25 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4195

Re: Larry Swedroe: Simple Factor Investing

2. The article itself said that you could access the factors by simply buying funds that focus on the specific factors. The Dimensional funds he cited just simplify it by combining multiple factor exposure into a few core funds. 3. This is how I'm doing it. I am investing in the 3 Fund portfolio fo...
by Random Walker
Mon Sep 10, 2018 1:57 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4195

Larry Swedroe: Simple Factor Investing

https://www.etf.com/sections/index-investor-corner/swedroe-simple-factor-investing?nopaging=1 One of the advantages of Total Stock Market Funds is the simplicity with which one can construct a portfolio. One can construct an equity portfolio comprised of only two funds: Total US Stock Market and Tot...
by Random Walker
Sun Sep 09, 2018 6:20 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5024

Re: Cliff Asness: Liquid Alt Ragnarok?

AlphaLess wrote:
Sun Sep 09, 2018 5:38 pm
I don't trust Cliff Asness. Another snake oil salesman.
To me a good measure of someone’s honesty is the internal consistency of everything they say. Did you read anything in the article that didn’t fit right?

Dave
by Random Walker
Sun Sep 09, 2018 6:11 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5024

Re: Cliff Asness: Liquid Alt Ragnarok?

In the FAQ section at the end, Cliff does a great job of explaining some of the rationale behind volatility scaling. It doesn’t just help volatility, it also helps I think correlation to macro events. This is also related to the tracking error pain of “losing unconventionally” Why is this happening ...
by Random Walker
Sun Sep 09, 2018 3:07 pm
Forum: Investing - Theory, News & General
Topic: Why Bull Markets Are Dangerous
Replies: 152
Views: 16196

Re: Why Bull Markets Are Dangerous

Regarding dog years and time dilation, It’s easy to look at graphs of the market over decades, appreciate the overall trend, and think the little downward blips don’t look so bad. But those blips are frequently years in length. When we’re living in the middle of them they feel like forever. With reg...
by Random Walker
Sun Sep 09, 2018 1:55 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5024

Re: Cliff Asness: Liquid Alt Ragnarok?

Nisiprius, that’s pretty impressive! In one of the footnotes, it’s also stated that Ragnarok is in comic books too :-)

Dave
by Random Walker
Sun Sep 09, 2018 12:51 pm
Forum: Investing - Theory, News & General
Topic: Why Bull Markets Are Dangerous
Replies: 152
Views: 16196

Re: Why Bull Markets Are Dangerous

Thanks Rick, posting this was a great reality check. Most investors do get swept up in the thrill of good returns and the agony of big losses. Investors also have every short time frames, they think in dog years. :happy Paul Just read recent Cliff Asness essay referenced above. What you call dog ye...
by Random Walker
Sun Sep 09, 2018 12:32 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

Staythecourse, I’m glad that you brought confirmation bias up. I agree with you that there is a huge amount of confirmation bias involved in my posts and what I read. I actually do think about this a lot! I’m happy to hear others are as much subject to it as I am :-). Never looked at it this way, bu...
by Random Walker
Sun Sep 09, 2018 10:06 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5024

Re: Cliff Asness: Liquid Alt Ragnarok?

I don’t know of any, but I’m totally uninformed on the issue. Probably lots of investments out there, I just haven’t looked and likely wouldn’t do a good job evaluating them anyways. I’m only somewhat familiar with AQR and Stone Ridge.

Dave
by Random Walker
Sun Sep 09, 2018 9:57 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

Sorry I caused so much drama saying the passive DFA funds serve as their own benchmarks. Thanks to Larry for making my point way better. What matters is exposure to the factors and that a fund stays true to it’s targeted exposures. The attribution analyses would display that.

Dave
by Random Walker
Sun Sep 09, 2018 9:14 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5024

Cliff Asness: Liquid Alt Ragnarok?

https://images.aqr.com/-/media/AQR/Documents/Insights/Perspectives/Liquid-Alt-Ragnarok.pdf?la=en&hash=DA41FEAECB4D30ECFD4EF818914E23C168F8AC76 I’m still not clear on the title, but this is a Cliff Asness tour de force. His liquid alternatives (eg QSPIX) have apparently hit a rough patch over the bet...
by Random Walker
Sat Sep 08, 2018 4:28 pm
Forum: Investing - Theory, News & General
Topic: Best argument to tilt retirement portfolio
Replies: 2
Views: 589

Re: Best argument to tilt retirement portfolio

I would take a look at the figures in Chapter 9 of Larry Swedroe’s Your Complete Guide To Factor Based Investing. The years immediately preceding retirement and of early retirement are critical I believe. Large losses in this period can derail one’s plans big time. Over any short to moderate period,...
by Random Walker
Sat Sep 08, 2018 3:36 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

We should examine his ideas just as we examine anyone else's. Its remarkable how many ppl in this worthy forum pay attention to these personages. The sagacious marketers are prevalent and have been prevalent in the world of investment, nutrition, fitness, anti-aging. Why ppl should care about self-...
by Random Walker
Sat Sep 08, 2018 3:24 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

Nisiprius, I’m not sure there is a great answer to your benchmarking question. When I started using DFA funds for example, I asked the advisor about appropriate benchmarks. He said “the funds sort of serve as their own passive benchmarks”. Although that answer can sound a little slimy and not what ...
by Random Walker
Fri Sep 07, 2018 8:41 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rigged Horse Race
Replies: 2
Views: 1299

Larry Swedroe: Rigged Horse Race

https://www.etf.com/sections/index-investor-corner/swedroe-rigged-horse-race Larry reviews a paper questioning the value of index funds. The paper claims that an individual investor would have been better off investing in the 5 largest active funds rather than a corresponding collection of passive i...
by Random Walker
Fri Sep 07, 2018 4:23 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

Nisi I was referring to QSPIX (which is the thread title after all and referred to in my post). There has been a long history about the ER on it. Lackey mentioned as well. Check footnotes for net. 1.5 or 1.6. I see footnote 4. That's not total expenses. It's a number AQR thinks is relevant and that...
by Random Walker
Fri Sep 07, 2018 9:36 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

It’s good to read critical, but too much skepticism can blind one from learning something valuable. Larry’s posts, articles, and books simply are not the self serving marketing many suppose them to be. Way too much work for I believe virtually no monetary return. As I said above, people need to look...
by Random Walker
Thu Sep 06, 2018 10:27 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

Elysium, Fortunately people can pick and choose what to read and what not to. One of the reasons I’ve emphasized his articles is my strong interest in portfolio efficiency. Larry usually describes this as narrowing the SD of a portfolio and keeping expected return high. Another way to look at it is ...
by Random Walker
Thu Sep 06, 2018 10:26 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

Nisiprius, I’m not sure there is a great answer to your benchmarking question. When I started using DFA funds for example, I asked the advisor about appropriate benchmarks. He said “the funds sort of serve as their own passive benchmarks”. Although that answer can sound a little slimy and not what w...
by Random Walker
Thu Sep 06, 2018 10:11 am
Forum: Investing - Theory, News & General
Topic: Where to reinvest interest payments in bond ladder
Replies: 5
Views: 480

Re: Where to reinvest interest payments in bond ladder

I would just collect the dividends in a money market fund or bond fund for short term, then use them to rebalance with the new money according to my AA. If we are talking only about the bond ladder in isolation, using a bond fund with same average duration as the ladder makes sense to me. When enoug...
by Random Walker
Thu Sep 06, 2018 10:08 am
Forum: Investing - Theory, News & General
Topic: Good time to do value investing?
Replies: 37
Views: 2470

Re: Good time to do value investing?

I have been saying this for 3-4 years now but the markets won't listen. The impossibility of knowing when markets will turn from a growth phase to a value phase makes market timing an ineffective strategy. This Large Growth market could continue for quite a while. So if you are going to Value tilt,...
by Random Walker
Thu Sep 06, 2018 8:28 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

There is a more tax efficient version of QSPIX, designed for taxable accounts. It’s called QRPRX. It’s not quite the same. In addition to value, momentum, carry, and defensive, it adds two additional styles: trend and variance risk premium. I believe it uses all the same asset classes as QSPIX excep...
by Random Walker
Thu Sep 06, 2018 8:11 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

" We are trying to create more efficient portfolios by diversifying away from the market factor." Dave: Who are " we ?" Are you associated with with Larry Swedroe? I notice you are often first to introduce Larry's writings? Thank you and best wishes. Taylor Hi Taylor, As I’ve noted before, I’m a cl...
by Random Walker
Thu Sep 06, 2018 8:02 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

By definition, if you are going market neutral, you have to take the beta out. If you want equity like returns from just the factors themselves, you have to leverage. So are you better off being long only or better off with market neutral factor funds? These are not the only two options, and not re...
by Random Walker
Wed Sep 05, 2018 10:50 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

By definition, if you are going market neutral, you have to take the beta out. If you want equity like returns from just the factors themselves, you have to leverage. So are you better off being long only or better off with market neutral factor funds? These are not the only two options, and not re...
by Random Walker
Wed Sep 05, 2018 10:36 pm
Forum: Investing - Theory, News & General
Topic: Myth Busting on Index Funds
Replies: 16
Views: 4031

Re: Myth Busting on Index Funds

Larry, if factor out performance turns out to be caused by behavioral related mispricings, and given how easily one can access these factors, do you believe the factor out performance will one day almost entirely go away? If there is a risk element to the factors, I understand the out performance s...
by Random Walker
Wed Sep 05, 2018 5:45 pm
Forum: Investing - Theory, News & General
Topic: Myth Busting on Index Funds
Replies: 16
Views: 4031

Re: Myth Busting on Index Funds

This is a great article. Strong recommend to read. References to Bogle, Sharpe’s Arithmetic Of Active Management, Lo’s Adaptive Markets, factors, Fama’s definition of passive, Buffett’s Graham and Doddsville, and Incredible Shrinking Alpha /Academics turning alpha into beta.

Dave
by Random Walker
Sun Sep 02, 2018 3:02 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

Alternative risk premia, QRPRX, also supposed to be more tax efficient and the preferred choice in taxable over QSPIX.

Dave
by Random Walker
Sat Sep 01, 2018 9:58 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

Nisiprius, 1. I think the data you show comparing long only blend to long only value just shows that both funds are dominated by market beta, and that the value factor in the vsluemfund plays a much more minor role. If anything, this demonstrates the potential benefit of isolating the value factor f...
by Random Walker
Fri Aug 31, 2018 9:03 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

My expectation from alternatives like QSPIX would be bond like returns with low correlation to the stock market. When I say "bond like", I remember what you used to get from bonds in the days before the 2008-2009 financial crisis and the new normal, that is 5% to 6%. It isn't enough to just have so...
by Random Walker
Fri Aug 31, 2018 10:59 am
Forum: Investing - Theory, News & General
Topic: Investment Books
Replies: 42
Views: 2772

Re: Investment Books

I have a pretty big library of investment books. I enjoy seeing it on the bookshelf. No intention of removing the timeless ones, which is the dominant majority: Bogle, Ellis, Siegel, Malkiel, Swedroe, Bernstein, Gibson.

Dave
by Random Walker
Fri Aug 31, 2018 9:22 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factors & Emerging Markets
Replies: 2
Views: 563

Larry Swedroe: Factors & Emerging Markets

https://www.etf.com/sections/index-investor-corner/swedroe-factors-emerging-markets?nopaging=1 Larry reviews his 5 prerequisite criteria for a factor (I think really any potential source of return): persistent, pervasive, robust, intuitive, investable. He suggests Emerging Markets provide a good out...
by Random Walker
Thu Aug 30, 2018 11:15 pm
Forum: Investing - Theory, News & General
Topic: Taxable account cost basis. Specific ID, FIFO or average cost?
Replies: 18
Views: 1235

Re: Taxable account cost basis. Specific ID, FIFO or average cost?

Best way to go is specific lot basis and HIFO. 2 studies by Arnott and Belkin (I think they are in the wiki) show about 0.5-0.7% increase in annualized return with aggressive HIFO TLH throughout the year. TLH was a substantial portion of my rationale in choosing to go the advisor route.

Dave
by Random Walker
Thu Aug 30, 2018 6:27 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

...The advisor tells me the recent performance is within the expected range. I think he said they expect a year like this about 10% of the time... But did they say this before it happened? Do you have anything on paper, from the time when you made the purchase decision, showing that "expected range...
by Random Walker
Thu Aug 30, 2018 4:48 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 205710

Re: QSPIX - thoughts on interesting fund

I am curious to hear thoughts on the recent performance of QSPIX. Both the 3-month and YTD performance as of 7/31/18 is -7.41%. Also, I'm not positive but I believe Morningstar downgraded the fund from 5 stars to 4 stars sometime in the past year. I'm thinking this is within the bounds of normal fo...