Search found 216 matches

by hafius500
Sat Nov 14, 2015 5:43 pm
Forum: Investing - Theory, News & General
Topic: Constructing a Global Capital Market-Weighted Asset Allocation ?
Replies: 15
Views: 1839

Re: Constructing a Global Capital Market-Weighted Asset Allocation ?

Fat-Tailed Contagion, What do you mean by "true proportion"? Global market weighting. Just to point out the obvious: there isn't a single global market in which all assets are traded freely, a market in which assets reach equilibria against each other and not against other assets of the s...
by hafius500
Sat Nov 07, 2015 6:50 pm
Forum: Investing - Theory, News & General
Topic: Buy on Dip/Sell on Rise
Replies: 87
Views: 6988

Re: Buy on Dip/Sell on Rise

I rebalance when things drop and rebalance when they go back up. Rebalancing can decrease performance: The Telegraph - Fund managers get most of their bets wrong – but still make millions. Here's how..., Oct, 30, 2015 Mr Freeman-Shor[author of the new book 'The Art of Execution'], still working as ...
by hafius500
Sat Nov 07, 2015 5:18 pm
Forum: Investing - Theory, News & General
Topic: Buy on Dip/Sell on Rise
Replies: 87
Views: 6988

Re: Buy on Dip/Sell on Rise

Just because something has the word "time" and "market" in it does not make it "market timing". IMO. it does: "Yearly rebalancing is better than monthly rebalancing". "You don't need international securities because they will not outperform the domestic ...
by hafius500
Fri Nov 06, 2015 4:36 pm
Forum: Investing - Theory, News & General
Topic: Buy on Dip/Sell on Rise
Replies: 87
Views: 6988

Re: Buy on Dip/Sell on Rise

... the odds are as good as 50/50 of the next tick being either up or down. Repeating what you wrote does not make it factual. Identify one consistent choice that yields better than 50/50 odds and that will be arbitraged out very quickly. There are millions of computers and minds involved, the pros...
by hafius500
Sat Oct 31, 2015 5:37 pm
Forum: Investing - Theory, News & General
Topic: Glamour stocks and value tilt
Replies: 26
Views: 2611

Re: Glamour stocks and value tilt

Arnott uses glamour stocks (twitter, Facebook, Priceline) to suggest that cap-weighters are throwing money away on overpriced shares. I guess this is the 'Noisy-Markets-Hypothesis' (use the forum search or google) , which was coined by Jeremy Siegel (?). Several articles published in academic journ...
by hafius500
Sat Oct 31, 2015 2:24 pm
Forum: Investing - Theory, News & General
Topic: SPIVA new European Scorecard
Replies: 7
Views: 896

Re: SPIVA new European Scorecard

1) According to this paper 88 % (GBP) and 97 % (Euro) of active global funds underperformed the index over ten years. John Bogle recently predicted that foreign stocks won't outperform US stocks in the future. Vanguard USA calculated the "optimal" mix of domestic and foreign stocks. Will V...
by hafius500
Fri Oct 30, 2015 4:53 am
Forum: Investing - Help with Personal Investments
Topic: Precious metals mining stocks
Replies: 30
Views: 3105

Re: Precious metals mining stocks

See m Conclusions While the long term return of precious metal bullion is close to the risk free rate the long term return for precious metal equity appears to be similar to that of common stock. ... In the recent Morningstar interview William Bernstein said: That brings up another subject about pr...
by hafius500
Thu Oct 29, 2015 3:43 pm
Forum: Investing - Help with Personal Investments
Topic: Precious metals mining stocks
Replies: 30
Views: 3105

Re: Precious metals mining stocks

Why, exactly, do you think companies in the very narrow field of precious metals mining [...] are worth more than the market thinks they are? I don't think he said it. IIRC, he said precious-metal equities did underperform the market (implying that that will underperform in the future) because inve...
by hafius500
Sat Oct 24, 2015 6:48 pm
Forum: Investing - Help with Personal Investments
Topic: About to invest in emerging markets
Replies: 22
Views: 3412

Re: About to invest in emerging markets

I haven't bought into an EM ETF yet but was thinking of Comsgage EM which has a TER of 0.25%. I believe it is a synthetic fund. I haven't heard of a Comsgage fund, but a Comstage EM ETF exists. Note that this Comstage ETF is an accumulating synthetic fund while the quoted SPDR ETF is an accumulatin...
by hafius500
Sat Oct 17, 2015 6:50 pm
Forum: Investing - Theory, News & General
Topic: EMH, strong or semi-strong or weak form?
Replies: 49
Views: 4503

Re: EMH, strong or semi-strong or weak form?

... doesn't it just MAKE SENSE that investors who are trading stocks do NOT have perfect information? And the marginal buyer and seller can be trading based on reasons which are truly disconnected from fact and reality? i.e., emotion, or momentum, etc.? In an efficient market it is not required tha...
by hafius500
Sun Oct 11, 2015 5:18 pm
Forum: Investing - Theory, News & General
Topic: Passive investing requires active investors
Replies: 13
Views: 1502

Re: Passive investing requires active investors

Everybody can't be a passive investor but you don't need market prices to calculate 'fair' values. Mergers and takeovers generate signals of 'fair' values. Furthermore, it may be too simplististic to argue that 'passive investing' does not contribute to finding 'fair' market prices. This article arg...
by hafius500
Wed Oct 07, 2015 1:05 pm
Forum: Investing - Theory, News & General
Topic: International Funds Worth it?
Replies: 52
Views: 8425

Re: International Funds Worth it?

Vanguard Blog - Anytime is the right time to have international exposure in your portfolio, Chuck Riley October 6, 2015 this new article advocates investing in international stocks and bonds: The primary reason to invest internationally? Diversification. ... Non-U.S. bonds can also diversify an all...
by hafius500
Wed Oct 07, 2015 5:46 am
Forum: Investing - Help with Personal Investments
Topic: Buying Bond ETFs in Europe
Replies: 14
Views: 1813

Re: Buying Bond ETFs in Europe

Transaction costs of db x-trackers: You can find some information about "transaction costs" in the prospectus or in the latest report or on the website. See "ETF Knowledge -> ETF Background Knowledge : expected tracking difference = TER + OTC swap transaction costs - "improvement...
by hafius500
Mon Oct 05, 2015 5:52 am
Forum: Investing - Help with Personal Investments
Topic: Buying Bond ETFs in Europe
Replies: 14
Views: 1813

Re: Buying Bond ETFs in Europe

Thanks for the great replies. One thing I'd like to clarify is that I am looking for a bond fund not to balance risk in the portfolio but to get diversification. My ideal ETF would just hold the full market portfolio (bonds, equities, real estate, etc from across the world) and I'd have no need to ...
by hafius500
Sat Oct 03, 2015 3:28 pm
Forum: Investing - Theory, News & General
Topic: You won't get to the Promised Land by investing in stocks
Replies: 139
Views: 14581

Re: You won't get to the Promised Land by investing in stocks

but of course ultra-small businesses can double net assets every few months .. A huge advantage a small business has .. You don't get that investing in Unilever... IMO. to make your argument stronger, you'd better selected a lower hurdle: the index. Can't profits grow without growth in net assets? ...
by hafius500
Thu Oct 01, 2015 3:20 am
Forum: Investing - Help with Personal Investments
Topic: Buying Bond ETFs in Europe
Replies: 14
Views: 1813

Re: Buying Bond ETFs in Europe

I agree with Valuethinker and would like to add that IMO no Euro bond is free from default or currency risk even for Euro investors. The Bogleheads investment philosophy starts with a conclusion and then composes a narrative that defends this conclusion: "A government bond is safe because it is...
by hafius500
Sat Sep 19, 2015 3:40 pm
Forum: Personal Finance (Not Investing)
Topic: Other Blogs/Forums read by Bogleheads
Replies: 33
Views: 3453

Re: Other Blogs/Forums read by Bogleheads

I'd add:
- http://www.abnormalreturns.com
It offers a daily collection of blog posts, newspaper articles, and financial research papers.

- http://www.jasonzweig.com/
by hafius500
Wed Sep 16, 2015 1:19 pm
Forum: Investing - Theory, News & General
Topic: Yale collects Interest on Dutch Bond from 1648
Replies: 15
Views: 2328

Re: Yale collects Interest on Dutch Bond from 1648

If a coupon bond Yale has to deliver a coupon to the issuer. Sounds like the boyz at Yale got a tip that their bond was still a live one. It's not a coupon bond. The image from the article did not have any attached coupons. Besides, it is a perpetual bonds. That would mean a infinite number of coup...
by hafius500
Wed Sep 16, 2015 1:05 pm
Forum: Investing - Theory, News & General
Topic: Yale collects Interest on Dutch Bond from 1648
Replies: 15
Views: 2328

Re: Yale collects Interest on Dutch Bond from 1648

I'm not sure if it is a junk bond or if it has been a junk bond in the past: Google "bond Hoogheemraadschap De Stichtse Rijnlanden" Link to books.google.com: Goetzmann/ Louwenhorst - The Origins of Value: The Financial Innovations that Created Modern Capital Page 178: Water board bonds iss...
by hafius500
Sun Aug 23, 2015 2:46 pm
Forum: Investing - Theory, News & General
Topic: Shiller PE10 nearing nosebleed territory?
Replies: 322
Views: 42475

Re: Shiller PE10 nearing nosebleed territory?

This is a top-down approach. You first select the markets (countries). I'm quite sure that many managers of global funds adopt similar strategies. It's just the case US investors are not accustomed to invest in global funds. In another post I quoted Keppler Assoiates, NY which manages global funds ...
by hafius500
Sun Aug 23, 2015 1:15 pm
Forum: Investing - Theory, News & General
Topic: Are any US-only investors having 2nd thoughts?
Replies: 123
Views: 20540

Re: Are any US-only investors having 2nd thoughts?

I don't consider owning the entire domestic market and its thousands of stocks to be "one basket". Perhaps many baskets, but in the same barn? Depends on what you are looking at. That one basic has all the same currency and soveign risk (guess what those apply to the US as much as they do...
by hafius500
Sun Aug 23, 2015 7:25 am
Forum: Investing - Theory, News & General
Topic: Shiller PE10 nearing nosebleed territory?
Replies: 322
Views: 42475

Re: Shiller PE10 nearing nosebleed territory?

Or they'd just bought-and-held cheap regions instead of expensive ones? http://i.dailymail.co.uk/i/pix/2014/09/01/article-2738966-20E9975B00000578-17_634x374.jpg Yes ... Quite tragic really ... Do you know if there were any financial instruments available which followed the global CAPE as shown dur...
by hafius500
Sun Aug 23, 2015 6:24 am
Forum: Investing - Theory, News & General
Topic: Are any US-only investors having 2nd thoughts?
Replies: 123
Views: 20540

Re: Are any US-only investors having 2nd thoughts?

Total Returns YTD: Total Stock: -2.27% Total International Stock: -4.01% International is now lower than when I lump summed all of my cash into it in December 2012. What a farce. For example, over the last twelve months UK and euro investors would have profited from international diversification. D...
by hafius500
Sun Aug 23, 2015 5:34 am
Forum: Investing - Theory, News & General
Topic: Good argument for underweighting international stocks?
Replies: 77
Views: 6465

Re: Good argument for underweighting international stocks?

It is said that a passive investor copies the average (representative) investor. This investor does not rely on back-testing to set prices. Instead, estimated risks and returns are calculated. That's what Bogle did. He believes non-US markets are riskier and I assume he also believes they have no hi...
by hafius500
Fri Aug 21, 2015 4:37 pm
Forum: Investing - Theory, News & General
Topic: How many here follow Bogle's "no international" theory?
Replies: 82
Views: 7812

Re: How many here follow Bogle's "no international" theory?

It is not at all clear to me that owners of German, French, Italian and Spanish equities are going to do better than American. IIRC, the majority of all German stocks are owned by foreigners, with the largest group of foreign investors being US investors. Maybe these investors did not invest to ear...
by hafius500
Fri Aug 21, 2015 1:39 pm
Forum: Investing - Theory, News & General
Topic: Piling into emerging markets
Replies: 67
Views: 9960

Re: Piling into emerging markets

It seems I'm the only one who adds EM stocks and EM (LC) bonds (target: 10% of the bond/cash portfolio)
by hafius500
Wed Aug 19, 2015 2:44 pm
Forum: Investing - Theory, News & General
Topic: Good argument for underweighting international stocks?
Replies: 77
Views: 6465

Re: Good argument for underweighting international stocks?

To be clear, I am not arguing it is optimal to NOT have a substantial allocation to international. Just wondering if it is optimal to dial back from the cap-weight of 48% to say 40% in light of very real currency risk and costs. Just to be clear, I am not basing my argument on news or recent return...
by hafius500
Tue Aug 18, 2015 2:31 pm
Forum: Investing - Theory, News & General
Topic: Should you own foreign stocks?
Replies: 67
Views: 5868

Re: Should you own foreign stocks?

The benefit of diversification by adding international equities to the 3000+ stocks one gets in TSM really comes down to correlation. The long term trend is that international is becoming increasingly well correlated to US equities. Any benefit that existed in the past is diminishing. The following...
by hafius500
Thu Aug 13, 2015 1:29 pm
Forum: Investing - Theory, News & General
Topic: Money Mag:Why Vanguard Founder Jack Bogle Doesn’t Like Investing in Foreign Markets
Replies: 64
Views: 8745

Re: Money Mag:Why Vanguard Founder Jack Bogle Doesn’t Like Investing in Foreign Markets

John Bogle's arguments strongly differ from those of Vanguard. The Vanguard paper which is often quoted on this forum selected one data base and one period, performed a back-testing and concluded that this data-mined 'optimal' portfolio will predict the future. John Bogle, however, performs a classi...
by hafius500
Sat Aug 08, 2015 4:09 pm
Forum: Investing - Theory, News & General
Topic: Interest rate forecasts are garbage and best ignored
Replies: 20
Views: 2824

Re: Interest rate forecasts are garbage and best ignored

Every place you see hair sticking out from the main line is a place where the market predictions were wrong, and the best summary is "almost everywhere." The market doesn't know, either. If the market was efficient, it would make the 'best' prediction. It would not be less informed than t...
by hafius500
Sat Aug 08, 2015 2:04 pm
Forum: Investing - Theory, News & General
Topic: So do the uber wealthy invest money the same way we do?
Replies: 95
Views: 12709

Re: So do the uber wealthy invest money the same way we do?

UBS - Global Ultra Wealthy Population Reaches Record High of 211,275 Individuals with Combined Net Worth of Nearly US$30 Trillion, Hong Kong/Zurich, 19 Nov 2014 The Wealth-X and UBS World Ultra Wealth Report 2014, released today, shows that... ... The report finds that UHNW individuals have over tw...
by hafius500
Sat Jul 25, 2015 4:01 pm
Forum: Investing - Theory, News & General
Topic: Are Stocks Overvalued? A Survey of Equity Valuation Models
Replies: 202
Views: 16167

Re: Are Stocks Overvalued? A Survey of Equity Valuation Models

According to the new vocabulary, we're all "active" investors, because nobody can invest in the global portfolio of all assets*. No. The [global] cap-weighted portfolio of investable assets is the one and only passive portfolio. That's just elementary theory. OTOH, it has become a marketi...
by hafius500
Sat Jul 11, 2015 2:23 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard's recommended international allocation."
Replies: 63
Views: 9212

Re: "Vanguard's recommended international allocation."

An article pubished on 07/09/15 quotes a study performed by a bank. It is not mentioned if the returns are total returns or if they are returns in local currencies or in a single domestic currency. But this may not matter if the argument is that the historic returns were very different. A popular vi...
by hafius500
Fri Jul 10, 2015 2:12 pm
Forum: Investing - Theory, News & General
Topic: If you don't care about volatility, are long-term bonds better than total bond?
Replies: 66
Views: 7837

Re: If you don't care about volatility, are long-term bonds better than total bond?

GMO Quarterly Letter 1 Q 2015 - Ben Imker - Breaking Out Of Bonadage At current yields, the utility of long-term government bonds in most investment portfolios is questionable at best. To our minds, any investors who are not required to own longterm government bonds in their portfolios should warml...
by hafius500
Sat Jun 20, 2015 1:02 pm
Forum: Investing - Help with Personal Investments
Topic: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio
Replies: 71
Views: 13098

Re: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio

I'm not sure if an (many) investor(s) in mutual funds or ETFs that are domiciled in Europe can create a lasting 'factor-tilted' portfolio. IIRC in contrast to the USA size- or style-oriented active or index funds have played a less meaningful or a neglectable role in most European countries (UK inve...
by hafius500
Fri Jun 19, 2015 1:57 pm
Forum: Investing - Help with Personal Investments
Topic: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio
Replies: 71
Views: 13098

Re: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio

I just found out that my broker has 0.5% currency conversion fee when buying securities listed in currencies other than USD. For specific reasons, I wanna stick with this broker. This would mean additional 1% cost when buying and selling these funds: SMC - SPDR® MSCI Europe Small Cap UCITS ETF (INT...
by hafius500
Thu Jun 18, 2015 5:00 am
Forum: Investing - Help with Personal Investments
Topic: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio
Replies: 71
Views: 13098

Re: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio

2. SMALL US VALUE - I didn't find a non-US domiciled fund, so the US domiciled one seems to be the only option: VBR - Vanguard Small-Cap Value ETF - TER 0.09% + ~0.30%* = 0.39% * the 0.3% is an additional "withholding tax drag" for me (15% extra withdolding tax out of average 2% dividend)...
by hafius500
Thu Jun 18, 2015 4:23 am
Forum: Investing - Help with Personal Investments
Topic: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio
Replies: 71
Views: 13098

Re: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio

Re accumulating versus distributing shares and registered versus unregistered funds: IMO posters should resist to recommend one of these classes because it could be a bad choice in other countries. Why do I see advisors who avoid accumulating shares ? IIRC the Wiki article mentions the withholding a...
by hafius500
Mon Jun 15, 2015 1:34 pm
Forum: Investing - Theory, News & General
Topic: Merriman: Why bonds are the most important asset class
Replies: 10
Views: 3570

Re: Merriman: Why bonds are the most important asset class

Paul Merriman wrote: In the 45 calendar years from 1970 through 2014, the worst years for the diversified all-equity portfolio were 1974 (a loss of 22.6%) and 2008 (a loss of 41.7%). In 1974, bonds were up 6.5%. In 2008, they were up 7.1%. But why would a "rational" investor with a time ho...
by hafius500
Fri Jun 05, 2015 2:58 pm
Forum: Investing - Theory, News & General
Topic: Its not data mining - not even close
Replies: 11
Views: 3020

Re: Its not data mining - not even close

AQR wrote: Our most potent weapon in addressing data mining is the out-of-sample test. Price Action Lab Blog - Five Myths About Data-Mining Bias, Posted on May 29, 2015 Myth No. 2: Out-of-sample testing can deal with data-mining bias Out-of-sample tests are part of an overall algo development proces...
by hafius500
Mon Apr 13, 2015 12:50 pm
Forum: Investing - Help with Personal Investments
Topic: Need advice - Invest in Small Cap?
Replies: 6
Views: 1653

Re: Need advice - Invest in Small Cap?

Prof. Aswath Damodaran - The Small Cap Premium: Where Is The Beef?, Apr. 12, 2015 Summary - For decades, analysts and investors have bought into the idea of a small cap premium, i.e., that stocks with low market capitalizations can be expected to earn higher returns than stocks with higher market c...
by hafius500
Mon Apr 13, 2015 11:55 am
Forum: Investing - Help with Personal Investments
Topic: Need advice - Invest in Small Cap?
Replies: 6
Views: 1653

Re: Need advice - Invest in Small Cap?

Prof. Aswath Damodaran - The Small Cap Premium: Where Is The Beef?, Apr. 12, 2015 Summary - For decades, analysts and investors have bought into the idea of a small cap premium, i.e., that stocks with low market capitalizations can be expected to earn higher returns than stocks with higher market c...
by hafius500
Tue Jan 27, 2015 3:00 pm
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 62
Views: 9458

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

Oh, and while I won't address a specific product in depth (I get yelled at for that!), some of the turnover numbers above seem very odd and way too large. They are affected by inflows, especially when the funds are smaller, and how a fund like ours equitizes inflows - they are not regular, steady s...
by hafius500
Sat Jan 24, 2015 5:05 pm
Forum: Investing - Theory, News & General
Topic: Factors and zero-sum investing
Replies: 58
Views: 4459

Re: Factors and zero-sum investing

... The words themselves, "zero sum", make it seem like one person is winning and another person is losing, when that's not necessarily the case. If I choose to hold value, because I am more comfortable with holding value, and you choose to hold growth, then growth does better than value ...
by hafius500
Tue Jan 13, 2015 1:16 pm
Forum: Investing - Help with Personal Investments
Topic: STOXX® Europe 600 - Capitalization Question
Replies: 6
Views: 1168

Re: STOXX® Europe 600 - Capitalization Question

The Stoxx200 large-cap Index, the Stoxx200 mid-cap Index and the Stoxx200 small-cap Index are "derived" from the Stoxx600 Index. I think this means the Stoxx600 Index comprises 200 large-, 200 mid- and 200 small-sized companies. Morningstar boxes are misleading here because they are define...
by hafius500
Sat Dec 27, 2014 3:46 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates article on size premium
Replies: 42
Views: 5329

Re: Research Affiliates article on size premium

I think you can distill it down to your beliefs in the Efficient Market Hypothesis. If the EMH is true, the only way anyone earns excess returns is by loading up on risk (however they want to measure risk these days), and hoping the risk doesn't actually show up. If instead it's more nuanced, with ...
by hafius500
Fri Nov 21, 2014 3:51 pm
Forum: Investing - Theory, News & General
Topic: Diversification among Bonds?
Replies: 32
Views: 4759

Re: Diversification among Bonds?

a "Really Total Bond Market" doesn't exist because it's not really needed. It is needed because it is the o n l y benchmark for (active and passive) investors. It exists because it is (approximately) investable. Lots of active or passive funds invest in global portfolios of government bon...
by hafius500
Sat Nov 15, 2014 4:59 pm
Forum: Investing - Help with Personal Investments
Topic: 30% In International Stocks?
Replies: 59
Views: 9952

Re: 30% In International Stocks?

I got confused...In the absence of currency volatility (according to textbook theory, which makes assumptions which can be challenged but we won't), the optimum would be cap-weighted. No, according to the textbook theory that I quoted in my last posts this is false. IOW, your decision to overweight...
by hafius500
Sat Nov 15, 2014 12:26 pm
Forum: Investing - Help with Personal Investments
Topic: 30% In International Stocks?
Replies: 59
Views: 9952

Re: 30% In International Stocks?

One way to look at this: Millions of investors world-wide have already determined that US and International equities warrant a roughly 50/50 split. Given the perceived advantages of index/market weight investing, why would an individual investor want to deviate from global weightings? Exactly. If m...