Search found 911 matches

by Jerry_lee
Fri Nov 30, 2012 1:08 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

. Jerry_lee, So we can both replicate each other’s results – why not use DFA funds with live returns from 2003 (rather than DFA indexes) – this would make the conversations more efficient (and perhaps more transparent on what we each do)? .Pretty simple, DFA US Core 2 (TA Core 2) and DFA US Targete...
by Jerry_lee
Fri Nov 30, 2012 12:57 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: Don't forget the advisor's fee.

protagonist: If you are dealing with funds that roughly track the same index, and have roughly the same expense ratios, does it really matter whether they come from DFA, Vanguard, Fidelity, Schwab, or ??? DFA requires an additional adviser's fee (which may, or may not, be worth it). Best wishes. Ta...
by Jerry_lee
Fri Nov 30, 2012 12:30 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: Don't forget the advisor's fee.

protagonist: If you are dealing with funds that roughly track the same index, and have roughly the same expense ratios, does it really matter whether they come from DFA, Vanguard, Fidelity, Schwab, or ??? DFA requires an additional adviser's fee (which may, or may not, be worth it). Best wishes. Ta...
by Jerry_lee
Fri Nov 30, 2012 12:22 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: Don't forget the advisor's fee.

protagonist: If you are dealing with funds that roughly track the same index, and have roughly the same expense ratios, does it really matter whether they come from DFA, Vanguard, Fidelity, Schwab, or ??? DFA requires an additional adviser's fee (which may, or may not, be worth it). Best wishes. Ta...
by Jerry_lee
Fri Nov 30, 2012 11:56 am
Forum: Investing - Theory, News & General
Topic: Using Bridgeway Small-Cap Momentum (BRSMX) ?
Replies: 21
Views: 2617

Re: Using Bridgeway Small-Cap Momentum (BRSMX) ?

Incidentally, on the topic of Momentum, I was curious to see how AQR has been able to implement their momentum funds (net of all costs) relative to their costless momentum indexes for which the funds serve as a proxy. As you know, one knock on MOM is that the returns are much worse after controlling...
by Jerry_lee
Fri Nov 30, 2012 11:24 am
Forum: Investing - Theory, News & General
Topic: Using Bridgeway Small-Cap Momentum (BRSMX) ?
Replies: 21
Views: 2617

Re: Using Bridgeway Small-Cap Momentum (BRSMX) ?

I use BRSIX from bridgeway but not the momentum fund. I think AQR has some momentum mutual funds with lower expense ratios if you are looking for exposure to the momentum factor. Yes, I have seen those mentioned here in discussions, but what is the deal with the minimums. Their website says $5M. Th...
by Jerry_lee
Fri Nov 30, 2012 11:18 am
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

As a layman, my first rule to investing is don't invest in anything you don't thoroughly understand. That significantly limits my choices, mainly to index funds with low expense ratios. If you are dealing with funds that roughly track the same index, and have roughly the same expense ratios, does i...
by Jerry_lee
Fri Nov 30, 2012 11:01 am
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

. Jerry_lee, A final point – to try to square the circle of your estimated 1% or so higher returns for DFA portfolios in you earlier post, and my result of no ‘additional’ alpha on the DFA portfolio relative to the non-DFA portfolio (table in my earlier post). The answer is that all of your estimat...
by Jerry_lee
Fri Nov 30, 2012 10:31 am
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

. Jerry_lee, Just a clarification - your earlier posts don’t ‘prove’ that DFA adds 0.75% to 1.5% in ‘alpha’ relative to non-DFA funds. The ‘proof’ of this is whether, after accounting for risk exposure, there is any excess return (‘alpha’) on the DFA portfolio relative to the non-DFA portfolio. Thi...
by Jerry_lee
Fri Nov 30, 2012 7:36 am
Forum: Investing - Theory, News & General
Topic: Using Bridgeway Small-Cap Momentum (BRSMX) ?
Replies: 21
Views: 2617

Re: Using Bridgeway Small-Cap Momentum (BRSMX) ?

I use BRSIX from bridgeway but not the momentum fund. I think AQR has some momentum mutual funds with lower expense ratios if you are looking for exposure to the momentum factor. Yes, I have seen those mentioned here in discussions, but what is the deal with the minimums. Their website says $5M. Th...
by Jerry_lee
Thu Nov 29, 2012 2:26 pm
Forum: Investing - Help with Personal Investments
Topic: When to switch from 80/20 stocks/bonds allocation
Replies: 16
Views: 2734

Re: When to switch from 80/20 stocks/bonds allocation

I have a general question about when to start increasing bond holdings as a percentage of total assets in a retirement account. Here's some background information: 1) I am married with one child with twins on the way. 2) My wife and I are both 30 years old, both work and contribute to retirement, a...
by Jerry_lee
Thu Nov 29, 2012 10:36 am
Forum: Investing - Theory, News & General
Topic: Big companies become too big to succeed
Replies: 35
Views: 3376

Re: Big companies become too big to succeed

Larry, we often see LV compared to SV. At Vanguard there is also MV available. Below is a chart compare LV, MV, SV for recent years (just for fun). We see the MV and SV (VIMVX and VISVX) have performed similiarly compared to LV (VIVAX) in a severe down market and have outperformed in recent up mark...
by Jerry_lee
Wed Nov 28, 2012 5:04 pm
Forum: Investing - Theory, News & General
Topic: Bogleheads are Highly Skilled Investors
Replies: 54
Views: 7808

Re: Bogleheads are Highly Skilled Investors

Jerry Lee, I know you’re a big DFA guy and so I'm not going to argue with you about this one because you'll just continue to regurgitate historic CRSP decile 10 returns that no one earned and talk about the returns from the old DFA 9-10 portfolio strategy that doesn't exist anymore. That's fine. My...
by Jerry_lee
Wed Nov 28, 2012 4:02 pm
Forum: Investing - Theory, News & General
Topic: Using a financial advisor
Replies: 14
Views: 942

Re: Using a financial advisor

Yes, it doesn't really matter how many books you have read or how much you "get" investing. Our emotions/behavior is our biggest problem, and it isn't always easy to coordinate finances with taxes, estate planning, etc. and for other family members to pick up the slack in the event the pri...
by Jerry_lee
Wed Nov 28, 2012 3:26 pm
Forum: Investing - Theory, News & General
Topic: Bogleheads are Highly Skilled Investors
Replies: 54
Views: 7808

Re: Bogleheads are Highly Skilled Investors

Wow, yeah, if BRSIX was a decile 10 fund you would be right. But you're not. Ignore the marketing hype by Bridgeway of that decide they say their fund is following. BRSIX in not a decile 10 fund. It acts more like a like 7-8 and sometimes 9 decile fund. There is no such thing as a microcap index fu...
by Jerry_lee
Wed Nov 28, 2012 12:57 pm
Forum: Investing - Theory, News & General
Topic: Bogleheads are Highly Skilled Investors
Replies: 54
Views: 7808

Re: Bogleheads are Highly Skilled Investors

One more note, the funds you mention that I recommended were the equity funds I was using using at the time. They're all the same today with the exception of the Ultra-Small Company Market (BRSIX). The market is smaller than it used to be. There are about half the number of companies actively trade...
by Jerry_lee
Mon Nov 26, 2012 3:20 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

. Jan 2003 - Sept 2012 Alpha Market Size Value iShares Russell MidCap Value 0.06 1.00 0.25 0.30 iShares S&P600 Value -0.10 0.92 0.84 0.37 Bridgeway Utra-Small Co. Mkt -0.12 0.96 0.96 0.08 DFA TM US Marketwide Value -0.08 1.10 0.15 0.38 DFA TM US Targeted Value -0.14 1.04 0.82 0.36 DFA TM US Sma...
by Jerry_lee
Mon Nov 26, 2012 2:11 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

Lost in all this back and forth are the simple points I am making: 1. For a given portfolio size/value target, a well-constructed portfolio of DFA funds will outpace an index fund allocation by 0.75% to 1.5% (I've provided an exhaustive list of proof). If we know/use the best index funds in each as...
by Jerry_lee
Mon Nov 26, 2012 1:40 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

. Jerry_lee, Here is an example from the US portions of the ETF and DFA TM portfolios to illustrate what I have being saying – highlighting the difference between the ‘advertised’ benefits of DFA, the actual observed benefits, and possible reasons. The often advertised benefits of DFA funds => larg...
by Jerry_lee
Mon Nov 26, 2012 12:50 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

. Jerry_lee, The way you present it almost comes across as non-DFA investors are doomed to failure; their allocations are terrible, would never be held by investors in DFA funds; that a 70:30 US:Intl split with global size and value tilts spread evenly across US and Intl market is more efficient th...
by Jerry_lee
Wed Nov 21, 2012 1:33 pm
Forum: Investing - Theory, News & General
Topic: Bridgewater's All Weather Portfolio
Replies: 21
Views: 5475

Re: Bridgewater's All Weather Portfolio

Jebediah, I'm sorry, but you are the one confusing volatility with diversification. You can have large differences in quantity of beta and high correlation at the same time. In other words, low volatility and high volatility stocks can have high correlations but very different returns. There is no r...
by Jerry_lee
Wed Nov 21, 2012 1:15 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

Robert, You are right, this probably is exhausted, but you bring up some new points or counter points to my data above, so let me share quickly why I disagree: a. I imagine the whole notion of comparing one portfolio of investable strategies to another is to determine the viability of ownership . To...
by Jerry_lee
Tue Nov 20, 2012 6:34 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard Total market fund and diversification question
Replies: 12
Views: 1759

Re: Vanguard Total market fund and diversification question

I invest in total market as my only US market holding. I noticed that it has less than 10% small cap. This has me concerned that I am not properly diversified since all of my US holding count on the performance of large corporations. This is also true for my total international fund. Do most think ...
by Jerry_lee
Tue Nov 20, 2012 6:31 pm
Forum: Investing - Theory, News & General
Topic: Bridgewater's All Weather Portfolio
Replies: 21
Views: 5475

Re: Bridgewater's All Weather Portfolio

Jerry_lee All this demonstrates is that some equity slices are riskier (higher beta/volatility) than others. They still zig and zag all as one, some just go higher and lower than the rest (EMV in particular). This is NOT diversification. Diversification is lack of correlation. Let us admit once and...
by Jerry_lee
Tue Nov 20, 2012 5:07 pm
Forum: Investing - Theory, News & General
Topic: Bridgewater's All Weather Portfolio
Replies: 21
Views: 5475

Re: Bridgewater's All Weather Portfolio

Unfortunately it could be 70,000 companies and still equities would be, yes, one asset class. The sad fact is that US large, value, small, International, EM, and all sectors have been moving more or less in lockstep for several years. The idea of achieving meaningful diversification within equities...
by Jerry_lee
Tue Nov 20, 2012 3:39 pm
Forum: Investing - Theory, News & General
Topic: What is the academic literature against the bogleheads?
Replies: 90
Views: 7512

Re: What is the academic literature against the bogleheads?

I'm just trying to set my risk level when I allocate to bonds, I am not trying to increase my risk-adjusted return. You are at least being coherent when you say that other diversification model (other than that implied by CAPM) could increase one's risk-adjusted return, I suppose. One could beat th...
by Jerry_lee
Tue Nov 20, 2012 3:24 pm
Forum: Investing - Theory, News & General
Topic: RE as alternative to safe FI
Replies: 40
Views: 3780

Re: RE as alternative to safe FI

REITs have little correlation with the total return of a direct real estate investment, so I wouldn't compare the two. Please provide some additional information as this is interesting. Everything I have read in terms of research and studies ( I was actually reading one last night) shows over the s...
by Jerry_lee
Tue Nov 20, 2012 3:10 pm
Forum: Investing - Theory, News & General
Topic: "3 Keys to a Successful Investment Strategy"
Replies: 21
Views: 2042

Re: "3 Keys to a Successful Investment Strategy"

Reading some of these posts has me confused. By "active investing works if adhered to" I meant it works better for active investors who are consistent than for active investors who have no philosophy or discipline. To be clear, my belief is that a disciplined passive strategy works better...
by Jerry_lee
Tue Nov 20, 2012 3:06 pm
Forum: Investing - Theory, News & General
Topic: Bridgewater's All Weather Portfolio
Replies: 21
Views: 5475

Re: Bridgewater's All Weather Portfolio

But, I'll tell you, nothing sells with the investing public today like all these alternative approaches. The anti-stock portfolio is flying off the shelves at warehouses and discount brokerage firms around the country -- everyone's got their prepackaged suite of heavily alternative tactical schemes...
by Jerry_lee
Tue Nov 20, 2012 2:58 pm
Forum: Investing - Theory, News & General
Topic: Bridgewater's All Weather Portfolio
Replies: 21
Views: 5475

Re: Bridgewater's All Weather Portfolio

Jerry, Where can I find the All Weather's portfolio returns? I want to see how statistically similar it is to the PP. Thanks, Ryan Page 16 of the first attachment in the OP. Here is the Permanent Portfolio (and risk adjusted traditional stock/bond asset class mixes) added to my chart: STRATEGY........
by Jerry_lee
Tue Nov 20, 2012 2:46 pm
Forum: Investing - Theory, News & General
Topic: What is the academic literature against the bogleheads?
Replies: 90
Views: 7512

Re: What is the academic literature against the bogleheads?

Put another way, they don't think they are beating the market or any particular asset class, they just don't think others are actually capturing the asset class returns because they are either less focused (too many growth stocks in value funds, or too many mid cap stocks/not enough micro cap stock...
by Jerry_lee
Tue Nov 20, 2012 2:34 pm
Forum: Investing - Theory, News & General
Topic: What is the academic literature against the bogleheads?
Replies: 90
Views: 7512

Re: What is the academic literature against the bogleheads?

DFA trying to manage funds that provide exposure to areas of the market with additional exposure to small/value and therefore higher-than TSM returns. Another way to look at this is, under your line of reasoning, Vanguard is trying to "beat the market" with their Emerging Market's fund. W...
by Jerry_lee
Tue Nov 20, 2012 2:29 pm
Forum: Investing - Theory, News & General
Topic: What is the academic literature against the bogleheads?
Replies: 90
Views: 7512

Re: What is the academic literature against the bogleheads?

Tilting obviously leads to more trading and (all else being equal) more trading costs, "etc." is vague, "more focused on dimensions of risk/return" is vague with the benefit of appearing to be less vague than "etc." So, you are of the opinion that a higher level of tra...
by Jerry_lee
Tue Nov 20, 2012 2:02 pm
Forum: Investing - Theory, News & General
Topic: What is the academic literature against the bogleheads?
Replies: 90
Views: 7512

Re: What is the academic literature against the bogleheads?

I don't think it surprising that there isn't literature showing how it's possible to beat the market. If someone discovered how to do it, why would they tell anyone? But beating the market is exactly what DFA is trying to do. If they didn't try to beat the market, there would be no reason for DFA t...
by Jerry_lee
Tue Nov 20, 2012 1:12 pm
Forum: Investing - Theory, News & General
Topic: "3 Keys to a Successful Investment Strategy"
Replies: 21
Views: 2042

Re: The importance of stay-the-course.

I completely disagree with this notion that any strategy can work (including active) so long as it is adhered to. Rick's interview made sense to me so I went to Vanguard's website to see how a stay-the-course investor would have done during the past 10 years (which included two major bear markets)....
by Jerry_lee
Tue Nov 20, 2012 12:36 pm
Forum: Investing - Theory, News & General
Topic: What is the academic literature against the bogleheads?
Replies: 90
Views: 7512

Re: What is the academic literature against the bogleheads?

Basically, there is a ton of academic and professional studies on indexing strategy, and almost nothing on the advantages of active investing. No significant difference between DFA and RAFI in management style, both are actively managed. Fama and French in 1992 published their paper showing the sto...
by Jerry_lee
Tue Nov 20, 2012 12:32 pm
Forum: Investing - Theory, News & General
Topic: What is the academic literature against the bogleheads?
Replies: 90
Views: 7512

Re: What is the academic literature against the bogleheads?

Basically, there is a ton of academic and professional studies on indexing strategy, and almost nothing on the advantages of active investing. No significant difference between DFA and RAFI in management style, both are actively managed. Fama and French in 1992 published their paper showing the sto...
by Jerry_lee
Tue Nov 20, 2012 12:16 pm
Forum: Investing - Theory, News & General
Topic: "3 Keys to a Successful Investment Strategy"
Replies: 21
Views: 2042

Re: "3 Keys to a Successful Investment Strategy"

I completely disagree with this notion that any strategy can work (including active) so long as it is adhered to. First of all, it ignores the fact that the very nature of active investing is that it isn't adhered to consistently (strategies are constantly being shuffled, active managers exhibit sig...
by Jerry_lee
Tue Nov 20, 2012 12:02 pm
Forum: Personal Finance (Not Investing)
Topic: From "Estate Planning" to "Family Strategic Planning" Plus
Replies: 9
Views: 1836

Re: From "Estate Planning" to "Family Strategic Planning" Pl

Thanks for posting, this is actually a good resource. From an advisor perspective, this is something we've dealt with for a long time. Many family stewards appreciate having someone (a non-family member) who can help them carry out their legacy, frame it in a way that isn't coming exclusively from t...
by Jerry_lee
Tue Nov 20, 2012 11:39 am
Forum: Investing - Help with Personal Investments
Topic: Adding small cap to balance large Cap weighted portfolio
Replies: 15
Views: 1556

Re: Adding small-caps in a taxable account ?

Jon: The Vanguard Extended Market Index Fund is a suitable candidate for placement in taxable accounts. Below are cumulative 5-year before-tax and after-tax returns of Vanguard's Extended Market Index Fund and Total Stock Market Index Fund (for comparison) on December 31, 2000: Extended Market 85.9...
by Jerry_lee
Mon Nov 19, 2012 5:59 pm
Forum: Investing - Help with Personal Investments
Topic: Suze Orman 100% equities
Replies: 40
Views: 5195

Re: Suze Orman 100% equities

There is absolutely nothing wrong with being 100% in stocks at any point in your life. If you want/can afford lower risk, or need periodic cash-flow, then adding bonds can be a huge benefit. But 100% stocks has the highest expected returns, is the most volatile (which maximizes the benefits of doll...
by Jerry_lee
Mon Nov 19, 2012 5:43 pm
Forum: Investing - Theory, News & General
Topic: Bridgewater's All Weather Portfolio
Replies: 21
Views: 5475

Re: Bridgewater's All Weather Portfolio

I took a look at the periodic returns to this approach since June of 1996 (its inception) through 12/09 (last reported date) and compared it to two much simpler allocations -- a 60/40 TSM mix and a 60/40 Asset Class mix. STRATEGY.................................5YR...............10YR...............s...
by Jerry_lee
Mon Nov 19, 2012 4:00 pm
Forum: Investing - Help with Personal Investments
Topic: Suze Orman 100% equities
Replies: 40
Views: 5195

Re: Suze Orman 100% equities

There is absolutely nothing wrong with being 100% in stocks at any point in your life. If you want/can afford lower risk, or need periodic cash-flow, then adding bonds can be a huge benefit. But 100% stocks has the highest expected returns, is the most volatile (which maximizes the benefits of dolla...
by Jerry_lee
Mon Nov 19, 2012 2:24 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

Nisi, I deleted my post above, as I ultimately did not feel like Taylor's continued "participation" in this thread (none of which had garnered a response) was worthy of comment. If you wish to discuss the virtues of the Death of Equities article in another thread, I'd be happy to take the ...
by Jerry_lee
Mon Nov 19, 2012 1:13 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

Deleted an OT comment to Taylor (which lead to other OT comments) about how his continued efforts to use 12 year old articles (at the height of the tech bubble) to salvage some residual value to 100% TSM portfolios were not effective.
by Jerry_lee
Mon Nov 19, 2012 1:08 pm
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

. Jerry_lee, On EM value/growth – this paper by the Brandes Institute on Value Investing: Has It Worked in Emerging Markets? finds the EM value premium to be larger than the value premium in non-US developed markets (double the size) using data from June 1980 to June 2007 – so there is some evidenc...
by Jerry_lee
Sun Nov 18, 2012 9:55 am
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

One additional entry on the topic of EM size/value premiums (relative to EM market) being larger than US or Int'l Developed size/value premiums, I took a look at the returns to Russell 3000 US Total Stock Index, MSCI World exUS Index (net. divs) Int'l Developed Index, and MSCI Emerging Market Index ...
by Jerry_lee
Sun Nov 18, 2012 9:15 am
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

. While I’m on the topic In addition to the points made earlier on the impact of DFA’s investments rules and trading strategies changing fund factor loads more than adding alpha. Other advantages of DFA funds we sometimes hear are the more frequent rebalancing of their funds to maintain more consis...
by Jerry_lee
Sun Nov 18, 2012 9:13 am
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

Jerry_lee, On your three points: First – I don’t think its simply an academic argument – its to ensure an ‘apples to apples’ comparison (accuracy in analysis). There are non-US tilted funds available – and yes there are many ways to target the same ‘expected return’. Second – on ‘fund construction ...
by Jerry_lee
Sat Nov 17, 2012 9:35 am
Forum: Investing - Theory, News & General
Topic: "DFA vs. Vanguard. Which is Better?"
Replies: 167
Views: 29627

Re: "DFA vs. Vanguard. Which is Better?"

Whether DFA funds are managed more efficiently, target size/value premiums more consistently, or allow you to invest in a more diversified way to spread your size/value tilts consistently across all regions, the the outcome was higher returns--so (at least) one of those advantages materialized If y...