Search found 287 matches

by ClosetIndexer
Sun Nov 18, 2018 3:17 am
Forum: Investing - Theory, News & General
Topic: Investing idea--what am I missing?
Replies: 13
Views: 1399

Re: Investing idea--what am I missing?

Basically what you'll be doing is giving your portfolio a value tilt (which does slightly indeed increase expected return, but also risk), while at the same time adding a great deal of concentration risk. If you're interested in potentially beating the market by 'buying low' while avoiding the risk ...
by ClosetIndexer
Tue Nov 06, 2018 2:02 am
Forum: Investing - Theory, News & General
Topic: Is Small Value Still A Winner?
Replies: 96
Views: 7056

Re: Is Small Value Still A Winner?

Furthermore, it seems logical to not only diversify across asset classes but also across factors. In the old days, we used to call them investment styles. You can't help but notice that Growth and Value take turns outperforming each other. Ditto with Large and Small. Same with US and International....
by ClosetIndexer
Tue Nov 06, 2018 1:51 am
Forum: Investing - Theory, News & General
Topic: Is Small Value Still A Winner?
Replies: 96
Views: 7056

Re: Is Small Value Still A Winner?

Furthermore, it seems logical to not only diversify across asset classes but also across factors. In the old days, we used to call them investment styles. You can't help but notice that Growth and Value take turns outperforming each other. Ditto with Large and Small. Same with US and International....
by ClosetIndexer
Tue Nov 06, 2018 1:45 am
Forum: Investing - Theory, News & General
Topic: Brett Arends: Here's a simple way to beat a bear market
Replies: 38
Views: 5264

Re: Brett Arends: Here's a simple way to beat a bear market

Just for fun, here's a less crazy strategy. If you're fairly confident the market is on the way down, you could write covered calls on your index funds. It wouldn't protect you from losses, but it would cushion them a bit. And since realized volatility tends to exceed option implied volatility on a...
by ClosetIndexer
Sat Nov 03, 2018 5:00 am
Forum: Investing - Theory, News & General
Topic: Brett Arends: Here's a simple way to beat a bear market
Replies: 38
Views: 5264

Re: Brett Arends: Here's a simple way to beat a bear market

Just for fun, here's a less crazy strategy. If you're fairly confident the market is on the way down, you could write covered calls on your index funds. It wouldn't protect you from losses, but it would cushion them a bit. And since realized volatility tends to exceed option implied volatility on av...
by ClosetIndexer
Sat Nov 03, 2018 4:36 am
Forum: Investing - Theory, News & General
Topic: Is Small Value Still A Winner?
Replies: 96
Views: 7056

Re: Is Small Value Still A Winner?

Furthermore, it seems logical to not only diversify across asset classes but also across factors. In the old days, we used to call them investment styles. You can't help but notice that Growth and Value take turns outperforming each other. Ditto with Large and Small. Same with US and International....
by ClosetIndexer
Wed Oct 31, 2018 11:30 pm
Forum: Investing - Theory, News & General
Topic: Is Small Value Still A Winner?
Replies: 96
Views: 7056

Re: Is Small Value Still A Winner?

I don't know if SCV will repeat it's returns in future years, but I've decided to tilt my portfolio to SCV significantly (40%). I was conflicted about choosing Small Cap Blended or Value, but in the end decided to stick with SCV. My reasoning is simply that if there is indeed a SCV premium I would ...
by ClosetIndexer
Tue Oct 30, 2018 5:34 pm
Forum: Investing - Theory, News & General
Topic: Re-insurance risk
Replies: 22
Views: 2277

Re: Re-insurance risk

I think Larry once mentioned something like his firm had looked into buying the stocks of reinsurers and shorting the equity market so that an investment would have no or little net equity market exposure but retain significant exposure to the characteristics specific to reinsurance. This sounds si...
by ClosetIndexer
Thu Oct 18, 2018 5:38 pm
Forum: Investing - Theory, News & General
Topic: Forever Stamps as an Investment?
Replies: 32
Views: 3756

Re: Forever Stamps as an Investment?

Let's say you invest $1000 in stamps and $1000 in the Vanguard Total Stock Market, which one do you think will be worth more in 20 years? There are plenty of reasons not to do this, but this isn't one. The goal is to provide a low risk inflation hedge, so the appropriate comparison would be a real ...
by ClosetIndexer
Wed Feb 07, 2018 3:49 pm
Forum: Investing - Theory, News & General
Topic: Being a Disciplined Investor - How do you avoid temptations?
Replies: 41
Views: 3216

Re: Being a Disciplined Investor - How do you avoid temptations?

I was really tempted to short a bit of Kodak when it jumped 300% on news that they were doing something blockchain-y. Didn't, although it looks like I would've gotten lucky. Very occasionally I'll buy (or even more occasionally short) something individual, but I strictly keep it to < 5% of portfolio.
by ClosetIndexer
Tue Jun 13, 2017 2:54 am
Forum: Investing - Theory, News & General
Topic: Favorite Feature of Vanguard Website?
Replies: 67
Views: 8707

Re: Favorite Feature of Vanguard Website?

Don't have a favorite feature, but do have a least favorite unfortunately. Unpredictable ex-dividend dates, announced only 1-2 days in advance. I like to plan my rebalancing around dividends to minimize taxes, and it would be really handy to have more notice of dividend dates.
by ClosetIndexer
Thu Feb 16, 2017 6:04 am
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 7233

Re: Please list value funds you currently use

Domestic small: SLYV
Domestic large: VTV
Foreign small: FNDC
Foreign large: FNDF
by ClosetIndexer
Wed Dec 21, 2016 6:18 am
Forum: Investing - Theory, News & General
Topic: Is VBR a no-brainer over IJS?
Replies: 47
Views: 8576

Re: Is VBR a no-brainer over IJS?

First of all, I would look at SLYV over IJS. Same index, lower fee. Second, I would argue that dividend yield is irrelevant, unless your jurisdiction gives you more favorable tax treatment on US dividends than on capital gains. If two funds both have the same factor loading and one has higher divide...
by ClosetIndexer
Mon Jun 06, 2016 6:42 pm
Forum: Investing - Theory, News & General
Topic: How to choose FF Factor Weightings
Replies: 46
Views: 10394

Re: How to choose FF Factor Weightings

Well, I can only speak for myself, but my approach was basically to look at the Sharpe ratios of a range of theoretical historical portfolios with various weightings, and pick the point at which the marginal expected benefit of increasing the tilt decreased. It wasn't a particularly scientific proce...
by ClosetIndexer
Thu Mar 10, 2016 4:27 am
Forum: Investing - Theory, News & General
Topic: As promised, my follow up to Nisiprius' comments on the GurusFocus top fund managers
Replies: 9
Views: 3016

Re: As promised, my follow up to Nisiprius' comments on the GurusFocus top fund managers

Larry, I especially found the linked "Does GMO Add Value for Investors?" interesting. It's been a few years since I delved deeply into this stuff, so I'm a bit behind on the current state of the art. A bit of googling got me to this, which provided a good update: https://www.aqr.com/cliffs-perspecti...
by ClosetIndexer
Fri Jan 29, 2016 8:07 pm
Forum: Investing - Theory, News & General
Topic: Gene Fama Video from Fiduciary Investors Symposium
Replies: 7
Views: 1302

Re: Gene Fama Video from Fiduciary Investors Symposium

Sounds like he's for passive investing, but anything other than cap weight requires the judgment calls of an active manager? Why does he say a value tilt pays you for taking risk. Risk of what? I thought his data showed that value does better. Value stocks return more than growth stocks because of ...
by ClosetIndexer
Fri Jan 29, 2016 7:13 pm
Forum: Investing - Theory, News & General
Topic: French-Fama 2x3, 10x10, mid-caps... Help?
Replies: 27
Views: 3825

Re: French-Fama 2x3, 10x10, mid-caps... Help?

What are you trying to accomplish exactly? If you want to use the FF factor data, it would really make sense to learn how to do basic regressions. camontgo's screencast and my basic script here would be a good start: https://www.bogleheads.org/wiki/Fama-French_three-factor_model_analysis#R First tho...
by ClosetIndexer
Fri Jan 29, 2016 7:06 pm
Forum: Investing - Theory, News & General
Topic: Fun with the Fama-French 'Bond Factors'
Replies: 16
Views: 6461

Re: Fun with the Fama-French 'Bond Factors'

Just saw these messages! PMs sent. Basically Fama and French used the Ibbotson long-term government and corporate bond indexes to generate their TERM and DEF factors. Those indexes weren't publicly available when I checked back in 2012, but I managed to get my hands on a copy. Any long-term governme...
by ClosetIndexer
Fri Jan 29, 2016 4:25 am
Forum: Investing - Theory, News & General
Topic: Michael Burry (The Big Short) recommends Canadian bank accounts
Replies: 30
Views: 6995

Re: Michael Burry (The Big Short) recommends Canadian bank accounts

For what it's worth, it is possible to have a bank account based in Canada, but denominated in USD. All the major Canadian banks (and probably most of the small credit unions as well) offer USD accounts. Some of these are held with their partner or subsidiary banks in the US, which wouldn't be what ...
by ClosetIndexer
Fri Nov 27, 2015 6:59 pm
Forum: Investing - Theory, News & General
Topic: Rich Man, Poor Man
Replies: 15
Views: 4761

Re: Rich Man, Poor Man

FYI, here's a fixed link to the original post: http://dowtheoryletters.com/Content_Free/2494.aspx
by ClosetIndexer
Wed Apr 08, 2015 12:03 am
Forum: Investing - Theory, News & General
Topic: MSCI Diversified Multi-Factor Index
Replies: 43
Views: 11881

Re: MSCI Diversified Multi-Factor Index

I'm more interested in the international options than the US ones honestly, given the relative lack of alternatives. These both look potentially interesting: iShares MSCI Global Multi-Factor ETF iShares MSCI Emerging Multi-Factor ETF Unfortunately I don't have the free time to look into this right n...
by ClosetIndexer
Wed Apr 01, 2015 3:45 pm
Forum: Investing - Theory, News & General
Topic: Sell American Funds for Vanguard ones?
Replies: 24
Views: 4439

Re: Sell American Funds for Vanguard ones?

I think it makes sense to take the hit now. But whether "now" means in 2015 or spread over 2 tax years or possibly even 3 tax years, I don't know. But I feel sure that TaxCaster will help you decide this. Free on the internet - incredibly easy to use. Throw that extra $125k in with your known incom...
by ClosetIndexer
Wed Apr 01, 2015 2:12 am
Forum: Investing - Theory, News & General
Topic: Sell American Funds for Vanguard ones?
Replies: 24
Views: 4439

Re: Sell American Funds for Vanguard ones?

Can you list the specific American Funds funds you own and in what amounts? That would help with the comparison. Also relevant is the length of your investment horizon. (The further you are from retirement, the more benefit you get from the lower fees of the Vanguard funds.)
by ClosetIndexer
Wed Apr 01, 2015 12:43 am
Forum: Investing - Theory, News & General
Topic: Would Robo Advisor replace index fund and passive investment
Replies: 17
Views: 2432

Re: Would Robo Advisor replace index fund and passive invest

Some people may missed my point. I said it may be 30 years from now, the robo advisor may be able to figure out the badly run companies which may be failing and kick those companies out of the total index. Instead 6000 companies, the index includes may be only 5000 companies. I am not suggesting da...
by ClosetIndexer
Mon Mar 30, 2015 2:07 am
Forum: Investing - Theory, News & General
Topic: An alternative to alternative investments [QSPIX]
Replies: 334
Views: 64987

Re: An alternative to alternative investments [QSPIX]

I feel like people in this thread are looking too much at the behavior of this fund (return, SD, costs) in isolation. What really matters is how it mixes in a portfolio. What a potential addition to a portfolio contributes depends on its returns, volatility, and correlations to other portfolio comp...
by ClosetIndexer
Fri Mar 06, 2015 10:48 pm
Forum: Investing - Theory, News & General
Topic: A Jim Cramer Analysis.
Replies: 7
Views: 1480

Re: A Jim Cramer Analysis.

For a short time I did alright with fun money by shorting his recommendations at opening bell the following day, holding about a week, and then covering. Once the 2008 bear market started though, it counter-intuitively became less productive, since the spikes got smaller. (Also probably other trader...
by ClosetIndexer
Mon Dec 29, 2014 2:50 am
Forum: Investing - Theory, News & General
Topic: Asness response to value redundancy
Replies: 47
Views: 8046

Re: Asness response to value redundancy

In this video Fama and Asness both say that they would tilt toward value. Whole video is great but part I am referencing starts around 8 minutes. Asness: "Both the Professor and I, I believe would tilt toward value stocks." Fama "That's true." http://www.bloomberg.com/video/professor-fama-explains-...
by ClosetIndexer
Sun Dec 28, 2014 3:56 am
Forum: Investing - Theory, News & General
Topic: Asness response to value redundancy
Replies: 47
Views: 8046

Re: Asness response to value redundancy

Thanks Robert; very interesting.
by ClosetIndexer
Wed Nov 05, 2014 4:10 am
Forum: Investing - Theory, News & General
Topic: 27 yr old reaches $1m net worth [Update: With lies.]
Replies: 56
Views: 15342

Re: 27 yr old reaches $1m net worth

LFKB wrote:I (we) actually achieved the same goal at 27 ... through duel income
That does sound like it could be lucrative, but too high risk for me! :wink:
by ClosetIndexer
Wed Nov 05, 2014 4:07 am
Forum: Investing - Theory, News & General
Topic: 27 yr old reaches $1m net worth [Update: With lies.]
Replies: 56
Views: 15342

Re: 27 yr old reaches $1m net worth

If he can double it every 10 years which is an entirely reasonable goal, he'll be sitting on $10 million when he reaches 60. Nominal doubling every 10 years is reasonable; probably not real doubling. That said, at 5% real CAGR he's still at 5 million 2014 dollars by age 60, which is obviously still...
by ClosetIndexer
Thu Oct 23, 2014 1:34 pm
Forum: Investing - Theory, News & General
Topic: How to get Fama-French EAFE Factors, with results
Replies: 40
Views: 10295

Re: How to get Fama-French EAFE Factors, with results

Just visited the Fama-French Data Library to update the www.fundfactors.com website and noticed there's a new dataset for the Global Ex-Us Factors . I wonder how long it's been available for and how it compares to these factor returns? EAFE + Canada shouldn't be too different from EAFE. New to me! ...
by ClosetIndexer
Thu Jul 03, 2014 2:27 am
Forum: Investing - Theory, News & General
Topic: If you wouldn't buy (stocks), then you must sell
Replies: 32
Views: 3908

Re: If you wouldn't buy (stocks), then you must sell

I would be uncomfortable buying at this level, but I would be even more uncomfortable sitting on cash playing a guessing game. (Or similarly, having a higher percentage of my portfolio in fixed income.) My allocation is based on my risk tolerance, which was established in a more analytical manner th...
by ClosetIndexer
Wed Jun 18, 2014 4:15 am
Forum: Investing - Theory, News & General
Topic: Reading Bernstein: Is value overvalued?
Replies: 38
Views: 4924

Re: Reading Bernstein: Is value overvalued?

Don't have much to add; just wanted to say this was an interesting post, and I like the way you think! :)
by ClosetIndexer
Mon Dec 16, 2013 5:14 am
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 189
Views: 25160

Re: Due diligence on RAFI Pure Small Value

Interesting discussion! I just wanted to quickly jump in and comment on this tangent: Here is a paper of Jason Hsu (of RAFI) + others, on style indexes - http://www.jasonhsu.org/uploads/1/0/0/7 ... ndices.pdf And if interested, he has some Fundamental Index series available on his website (US, Globa...
by ClosetIndexer
Sun Dec 01, 2013 4:12 pm
Forum: Investing - Theory, News & General
Topic: of bitcoins, money & Byzantium
Replies: 78
Views: 6693

Re: of bitcoins, money & Byzantium

There are only 21 million possible Bitcoins. Suppose you loan your Bitcoins to an organization called a "bank." This would involve transferring specific, numbered Bitcoins to the bank. The bank loans out the Bitcoins; that is, they transfer the Bitcoins to someone, in exchange for a promise to pay ...
by ClosetIndexer
Thu Nov 21, 2013 3:50 am
Forum: Investing - Theory, News & General
Topic: "Slice and Dicers"
Replies: 39
Views: 3818

Re: "Slice and Dicers"

Probably more information than you were looking for, but I gave an extremely comprehensive overview of my process last year. You can find it here: http://www.financialwebring.org/forum/viewtopic.php?f=29&t=115400 I enjoy this stuff, so certainly did more analysis than necessary. It was also a year a...
by ClosetIndexer
Mon Nov 18, 2013 10:10 pm
Forum: Investing - Theory, News & General
Topic: Want 18% returns?
Replies: 43
Views: 8464

Re: Want 18% returns?

Closet & Bill -- read more closely: " If I buy the mortgage from the original lender at a discount, my yield has nothing to do with the interest rate the borrower is paying." Abe is buying say a 8% mortgage note AT A BIG DISCOUNT so that HIS INTERNAL RATE OF RETURN is 14%. The mortgagee is STILL pa...
by ClosetIndexer
Sun Nov 17, 2013 12:30 am
Forum: Investing - Theory, News & General
Topic: Want 18% returns?
Replies: 43
Views: 8464

Re: Want 18% returns?

Risks and effort aside, what about the people taking out these 18%+ loans? I can't imagine a situation where a person would be better off getting a mortgage at that level compared to renting, so is this not just taking advantage of people who don't know better? Certainly no one is forcing them, but ...
by ClosetIndexer
Mon Nov 11, 2013 6:04 pm
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 20587

Re: "There is a rebalancing bonus ... false"

Now the problem is apparent. You are attributing losses that come from your allocation (having money invested in something that lost money) to rebalancing. I'm assuming I invest in two assets that have the same mean and expected return. The assets follow a random walk...so they aren't guaranteed to...
by ClosetIndexer
Sun Nov 10, 2013 6:18 am
Forum: Investing - Theory, News & General
Topic: "There is a rebalancing bonus ... false"
Replies: 188
Views: 20587

Re: "There is a rebalancing bonus ... false"

In this day, people invest a fixed amount per period. So, let's say you invest $100 per month. Guess what: Your average price will be less than $10 per share! This is not magic. It is not an investment strategy. It is an artifact of the arithmetic True, but it is a great way to get people excited a...
by ClosetIndexer
Thu Nov 07, 2013 6:36 pm
Forum: Investing - Theory, News & General
Topic: Website to perform Fama-French regressions automatically
Replies: 39
Views: 4341

Re: Website to perform Fama-French regressions automatically

Hey guys, I just wanted to let y'all know about a similar website I've been developing over the past month. I've deployed it at http://www.fundfactors.com/ and its focus is primarily French-Fama regressions. Please check it out and let me know of any feedback you guys might have. Hope y'all find it...
by ClosetIndexer
Sun Oct 27, 2013 2:00 am
Forum: Investing - Theory, News & General
Topic: Can a purely deflationary currency last? [bitcoin]
Replies: 83
Views: 8853

Re: Can a purely deflationary currency continue to exist?

Can I use bitcoins to buy milk and eggs at the grocery store? Realistically will I ever be able to? If not than the assumption that they will one day be widely accepted as currency seems flawed in my simplistic mind. The fact that only a limited number of bitcoins can exist and that over time their...
by ClosetIndexer
Mon Oct 21, 2013 12:30 am
Forum: Investing - Theory, News & General
Topic: How to compare two funds' past performance with costs?
Replies: 9
Views: 1116

Re: How to compare two funds' past performance with costs?

To do a basic performance comparison, you'll want to look at "total return" charts, which include dividends, as opposed to just price charts. This one seems to work: http://stockcharts.com/freecharts/perf.php?DODGX,VIVAX Costs are taken into account automatically because they make up part of the fun...
by ClosetIndexer
Sat Oct 19, 2013 3:22 pm
Forum: Investing - Theory, News & General
Topic: Website to perform Fama-French regressions automatically
Replies: 39
Views: 4341

Re: Website to perform Fama-French regressions automatically

Thanks for the update! Glad to see the factor loading on Bridgeway's funds. :happy PS I found the definitions given in this article more informative. http://www.cbsnews.com/8301-505123_162-57413875/how-the-four-stock-premiums-work/ While the value premium is defined as the return of the top 30 perc...
by ClosetIndexer
Fri Oct 18, 2013 8:17 pm
Forum: Investing - Theory, News & General
Topic: Grok Tip 15 You're doing it wrong: Figuring stock/bond split
Replies: 156
Views: 20204

Re: Grok Tip 15 You're doing it wrong: Figuring stock/bond s

These are great tips, and I really agree with all of them. I was actually just discussing the inflated value of tax-deferred investments in a Canadian context here . I think you raise a point of distinction. Grok87 is discussing how to modify your asset allocation based on taxation. Take a look at ...
by ClosetIndexer
Fri Oct 18, 2013 6:36 pm
Forum: Investing - Theory, News & General
Topic: Grok Tip 15 You're doing it wrong: Figuring stock/bond split
Replies: 156
Views: 20204

Re: Grok Tip 15 You're doing it wrong: Figuring stock/bond s

Fresh off the Bogleheads 12 convention, the very topic of "should I include Social Security in my bond allocation?" was extensively discussed in the Expert Panel Q & A session. There were some disagreements, but I believe the majority opinion is that Social Security is like a defined benefit (pensi...
by ClosetIndexer
Fri Oct 18, 2013 4:05 pm
Forum: Investing - Theory, News & General
Topic: Website to perform Fama-French regressions automatically
Replies: 39
Views: 4341

Re: Website to perform Fama-French regressions automatically

By global, I meant he has factors for countries all around the globe, regional factors and, yes, an international factor. Oh wow, ya. That is very cool. Do you know how closely their factors match the ones published by French, for the markets where they both have data? I'm interested to see how wel...
by ClosetIndexer
Fri Oct 18, 2013 4:01 pm
Forum: Investing - Theory, News & General
Topic: Schwab's new Fundamental ETFs
Replies: 64
Views: 13550

Re: Schwab's new Fundamental ETFs

I just noticed something else odd about these ETFs. Posted about it on the Canadian forum , then did a bit more digging. According to Schwab's website, these ETFs don't have any allocation to Canada, even though the indexes they're based upon clearly do. See for example: Russell Fundamental Develop...
by ClosetIndexer
Fri Oct 18, 2013 3:53 pm
Forum: Investing - Theory, News & General
Topic: Schwab's new Fundamental ETFs
Replies: 64
Views: 13550

Re: Schwab's new Fundamental ETFs

Perhaps some of it, but I think most is simply luck / random variation. IIRC PDN, among other funds, benefited from a single very lucky rebalance early on that skewed its alpha. (And you can see the alpha estimate is much less dramatic in the regression starting in 2010.) Also, PDN has higher alpha...