Search found 110 matches

by Fryxell
Sat Nov 09, 2019 12:48 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 427
Views: 46308

Re: Small Cap Value heads Rejoice !!!

The R^2 on IJS is atrocious. Not sure what's up with that. The factors loadings themselves are almost identical to portfolio visualizer's numbers That’s strange. I can’t get it to be that bad on Portfolio Visualizer. It’s hard to tell from what you posted. It looks like you’re looking at the adjust...
by Fryxell
Thu Nov 07, 2019 12:29 am
Forum: Investing - Theory, News & General
Topic: Why ever buy & hold a LT treasury?
Replies: 60
Views: 2973

Re: Why ever buy & hold a LT treasury?

But is that representative of buying a LT bond in 1969 and holding to maturity until 1999? No, it wouldn’t be representative of holding that treasury until maturity. I think what Larry did was to use a 30-year treasury, and then sell it and reinvest into a new 30-year treasury the next year, becaus...
by Fryxell
Thu Nov 07, 2019 12:00 am
Forum: Investing - Theory, News & General
Topic: Why ever buy & hold a LT treasury?
Replies: 60
Views: 2973

Re: Why ever buy & hold a LT treasury?

I'm not saying stocks will ALWAYS outperform LT bonds over the life of the bond itself. But so far they always have. So the odds are stacked against buying and holding LT bonds. Is your statement that so far equities have always outperformed over the life of the bond? If so, that wouldn’t quite be ...
by Fryxell
Wed Nov 06, 2019 12:46 am
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 54
Views: 16092

Re: Question for RobertT

. FWIW - here are some simulated returns that I have just updated of the earlier portfolio in this thread compared to some DFA and market portfolios. Obviously no guarantees. No sure why the table is so blurry. You may want to double-check the S&P500 return from 1990 through 2018. Pretty sure it wa...
by Fryxell
Sun Nov 03, 2019 12:58 am
Forum: Investing - Theory, News & General
Topic: ETF combo that approximates Wellesley?
Replies: 5
Views: 895

Re: ETF combo that approximates Wellesley?

You can get pretty close with something like: 31% VTV, 6% EFV, 53% BIV, 10% BLV. That delivers very close factor loads to Wellesley’s.

A rougher, but simpler approximation would be 65% BIV, 35% VTV.
by Fryxell
Sat Nov 02, 2019 2:55 pm
Forum: Investing - Theory, News & General
Topic: ETF Education vs Marketing from Vanguard
Replies: 14
Views: 996

Re: ETF Education vs Marketing from Vanguard

Thanks Lucere for responding. Interesting how similar our questions were, and yet, for me, the question still remains. I don't buy into the potential litigation issue and believe there must be some benefit for Vanguard for promoting ETFs to MF holders. It is funny how "suspicious" folks are about t...
by Fryxell
Sat Sep 14, 2019 11:23 pm
Forum: Investing - Theory, News & General
Topic: How is it possible that VFWAX and VFSAX have outperformed VTIAX over the past decade?
Replies: 4
Views: 1343

Re: How is it possible that VFWAX and VFSAX have outperformed VTIAX over the past decade?

I believe VTIAX used to be composed of underlying international funds, such as VPACX and VEURX. I’m not sure if the compositional change happened during that time frame.
by Fryxell
Thu Aug 15, 2019 8:04 pm
Forum: Investing - Theory, News & General
Topic: [Larry Swedroe: Small Value Stocks are Cheap, Factor Investing Works]
Replies: 673
Views: 29180

Re: Larry Swedroe: Small Value Stocks are Cheap

Larry laid out what you have to believe for factor investing, and I belive he himself choose not to go after trend. Are you berating Larry for not choosing trend? (he is trend neutral, so he also doesn't want to short it) Or would you encourage others to think for themselves? If you want to try for...
by Fryxell
Thu Aug 15, 2019 8:02 pm
Forum: Investing - Theory, News & General
Topic: Problem understanding Port Visualizer factor regression
Replies: 10
Views: 913

Re: Problem understanding Port Visualizer factor regression

[/quote] Interesting. Can you remember what metric is most indicative of the value premium? [/quote] I’m not sure about that. They all seem to work. Larry Swedroe likes to argue for using several, or for price to cash flow if you are going to pick just one. But I’m not very familiar with the researc...
by Fryxell
Wed Aug 14, 2019 11:40 pm
Forum: Investing - Theory, News & General
Topic: [Larry Swedroe: Small Value Stocks are Cheap, Factor Investing Works]
Replies: 673
Views: 29180

Re: Larry Swedroe: Small Value Stocks are Cheap

I like Bogleheads. But with all due respect their continued infatuation with Total Stock Market Index after 30 years of underperformance relative to long term treasuries from 1982-2012 reminds me of the description of people getting married for third or fourth time, a triumph of hope over experienc...
by Fryxell
Sat Aug 10, 2019 1:38 am
Forum: Investing - Theory, News & General
Topic: Problem understanding Port Visualizer factor regression
Replies: 10
Views: 913

Re: Problem understanding Port Visualizer factor regression

YRT70 wrote:
Fri Aug 09, 2019 9:06 am
By Morningstar data it is small value, as far as I understand.

FYI: The Morningstar methodology for determining value vs growth puts a 5/8th weight on price to earnings metrics.
by Fryxell
Sat Aug 10, 2019 12:37 am
Forum: Investing - Theory, News & General
Topic: Trying to hit Robert T's factor targets in a three fund portfolio
Replies: 19
Views: 1860

Re: Trying to hit Robert T's factor targets in a three fund portfolio

Taylor Larimore wrote:
Tue Feb 19, 2019 11:00 am
Coato:

Read the wisdom of Jack Bogle:
We ignore the real diamonds of simplicity, seeking instead the illusory rhinestones of complexity."
Best wishes.
Taylor
Taylor, I hope you realize that factor tilted portfolios can be very simple. I actually use a three-fund portfolio.
by Fryxell
Fri Aug 09, 2019 1:34 am
Forum: Investing - Theory, News & General
Topic: Problem understanding Port Visualizer factor regression
Replies: 10
Views: 913

Re: Problem understanding Port Visualizer factor regression

If you run the regression using the full-blown AQR model, you get zero value loads (or at least not statistically significant) for all the funds, using a common time period. At least that’s better than negative. https://www.portfoliovisualizer.com/factor-analysis?s=y®ressionType=1&symbols=PDN%2CF...
by Fryxell
Fri Aug 09, 2019 1:22 am
Forum: Investing - Theory, News & General
Topic: Problem understanding Port Visualizer factor regression
Replies: 10
Views: 913

Re: Problem understanding Port Visualizer factor regression

I don't have great understanding of factor regression. These are all small int'l value funds. My understanding is that SMB of >0.5 implies small and HML of >0.3 implies value (think I got that from a Fama Jr article). All these HMLs are showing negative numbers. Can anyone help me understand this? ...
by Fryxell
Mon Aug 05, 2019 11:03 am
Forum: Investing - Theory, News & General
Topic: Factors, tilting, and efficient markets
Replies: 55
Views: 3629

Re: Factors, tilting, and efficient markets

My biggest confusion about factors is their implications for the efficient market hypothesis (EMH). If you accept that factor tilts are real and increase returns in a portfolio, is that a rejection (at least implicitly) of EMH? It depends on the factor. Some factors have mostly risk-based explanati...
by Fryxell
Sun Aug 04, 2019 11:06 pm
Forum: Investing - Theory, News & General
Topic: Adding momentum to a small cap value portfolio. Does it make sense?
Replies: 33
Views: 1858

Re: Adding momentum to a small cap value portfolio. Does it make sense?

The fly in the ointment in this case is negative ALPHA. XSLV had a annualized negative ALPHA of 3.97%/yr. Alpha is defined as return per unit of risk, that is to say that XSLV's factor weights which looked so good on paper there was hidden risk in combining all these factors so carefully. Almost 4%...
by Fryxell
Fri Jul 26, 2019 11:09 pm
Forum: Investing - Theory, News & General
Topic: Investing in Vanguard funds via Fidelity
Replies: 40
Views: 8486

Re: Investing in Vanguard funds via Fidelity

Why don't you want ITOT? I find this thread funny....brand loyalty is something. They are identical products.....any discussion of difference is purely theoretical, not practical. Have no idea why someone would pay a commission for one vs the other. Even if they track the same index they may not pr...
by Fryxell
Mon Jul 15, 2019 2:32 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

But that has nothing to do with "arbitraging" any premiums away. You can arbitrage between two substantially identical classes. If two different share classes of Royal Dutch Shell were trading at a meaningful difference on an after-tax basis (RDS.A vs RDS.B), you could and people do arbitrage the d...
by Fryxell
Mon Jul 15, 2019 2:20 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

The other possibility is that the market correctly understands something about black swans, and is recognizing that equity risk is more than is exhibited by model X. That is a possibility, however, that would imply that there really isn’t an equity premium, but that the extremely-low-probability ap...
by Fryxell
Sun Jul 14, 2019 6:04 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

Are you saying that you see a reasonable possibility of the 10 year treasury yielding -13%? That’s extremely unlikely, but could theoretically happen under a regime of sustained deflation. If deflation was sustained and averaged around -15%/year then a treasury at -13%/year would be providing a rea...
by Fryxell
Sun Jul 14, 2019 5:55 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

Interest rates have dropped over the past 30 years from a high of 15%. This cannot repeat starting from today's rates. What you say about interest rates is true. But the decline in interest rates, according to economic theory, should also cause stock valuations to rise for the same reason that it c...
by Fryxell
Sun Jul 14, 2019 5:51 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

This is not correct. A bond is a promise to pay out a fixed amount of cash at pre-determined times for a pre-determined duration. The return that you will get if you hold it to maturity is known and fixed. The coupons don't increase. Equities are fractional interests in businesses that can get more...
by Fryxell
Sat Jul 13, 2019 5:03 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

This is a great point. But taken to the logical conclusion, there's also no way to be sure that investing in stocks is right. Is has been, historically, in many countries. Will that be true for the next 10, 100, 1000 years? Yep, that’s my point. We can’t be sure the equity premium is still there. E...
by Fryxell
Fri Jul 12, 2019 8:55 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

If it’s really like that, why are folks getting charged a 1% management fee with DFA? Maybe it’s more lucrative to sell maps to El Dorado than it is to go there yourself. And yes, even some DFA funds have underperformed and continue to do so: https://www.wsj.com/articles/dfa-funds-are-booming-but-t...
by Fryxell
Fri Jul 12, 2019 8:47 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

This analogy of SCV premium to the ERP IMO is misleading due to the fact that the SCV premium can be arbitraged & has been in the past & the ERP is not arbitraged due to its pure risk basis. We do not know what portion of the SCV premium is due to mispricing or risk. As the market becomes more effi...
by Fryxell
Fri Jul 12, 2019 12:46 am
Forum: Investing - Theory, News & General
Topic: Small-Cap Value Funds: Then And Now
Replies: 74
Views: 9532

Re: Small-Cap Value Funds: Then And Now

That’s recency bias. Over the last 20 years, long-term treasuries have outperformed equities, and with less volatility. So perhaps I should start a thread titled: “Total Market Funds: Then And Now.” And then look at the last 20 years. During the same time, small value stocks also outperformed the to...
by Fryxell
Fri Jul 12, 2019 12:41 am
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

Perhaps market's aren't as efficient at pricing "risk premiums" as some would hypothesize, leading to the "equity premium puzzle" which has puzzled them for some time. Maybe investors have preferences that differ from theory, or maybe it never existed to begin with and was an anomaly biased by the ...
by Fryxell
Thu Jul 11, 2019 11:51 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

D'oh :oops: You don’t even have to go back that far. From July 1999 to June 2019, long-term treasuries outperformed the US stock market, and with less volatility. That’s 20 years of equity under-performance. It’s even worse in risk-adjusted terms. The Sharpe ratio for equities was 0.37 compared to ...
by Fryxell
Thu Jul 11, 2019 10:56 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

If the goal of factor investing is to beat the market, why would Larry and other professionals advertise the trade strategy and risk crowding out the trade? Why do Bogleheads advocate tilting to stocks to get greater returns? Why would they advertise the strategy and risk crowding out the equity pr...
by Fryxell
Thu Jul 11, 2019 10:50 pm
Forum: Investing - Theory, News & General
Topic: Why factor investing isn't working
Replies: 484
Views: 27048

Re: Why factor investing isn't working

If factor investors really have found a map to El Dorado, why would you share it with everyone? Investing is a zero-sum (or market sum) game. Every new factor investor diminishes the return of existing investors. There’s only a limited amount of gold, or market return. Well, it’s not El Dorado. It’...
by Fryxell
Tue Jul 02, 2019 9:58 pm
Forum: Personal Finance (Not Investing)
Topic: Brokerages with respectable cash sweep
Replies: 6
Views: 1121

Re: Brokerages with respectable cash sweep

bberris wrote:
Sat Jun 29, 2019 2:35 pm
TDAmeritrade. You have to call them once to set it up and choose a money market fund.
Which ones do they let you pick from?
by Fryxell
Thu Jan 24, 2019 3:08 pm
Forum: Investing - Theory, News & General
Topic: The Value "Premium" has been ZERO for 30 years
Replies: 198
Views: 17260

Re: The Value "Premium" has been ZERO for 30 years

Bonds promise a future income stream, whether this be in the form of coupon payments or only the return of principal and interest at maturity. They make no promise of capital gain, and the expected NAV change from issue to maturity is zero. There are at least partial legal remedies if the bond issu...
by Fryxell
Wed Jan 23, 2019 3:28 pm
Forum: Investing - Theory, News & General
Topic: The Value "Premium" has been ZERO for 30 years
Replies: 198
Views: 17260

Re: The Value "Premium" has been ZERO for 30 years

The 1999 book "Dow 36,000, " by James Glassman and Kevin Hassett said "A sensible target date for Dow 36,000 is early 2005, but it could be reached much earlier." That’s a good one to bring up. It may be a coincidence, but it is precisely since 2000, right after that book was published, that equiti...
by Fryxell
Wed Jan 23, 2019 3:23 pm
Forum: Investing - Theory, News & General
Topic: The Value "Premium" has been ZERO for 30 years
Replies: 198
Views: 17260

Re: The Value "Premium" has been ZERO for 30 years

People think this way because, no matter how many times it is claimed that "beta is just another factor", the equity risk premium is qualitatively different than factor premia. That is undoubtedly why people view the equity premium differently. But are they correct to think this way? Both stocks an...
by Fryxell
Wed Jan 23, 2019 12:58 am
Forum: Investing - Theory, News & General
Topic: The Value "Premium" has been ZERO for 30 years
Replies: 198
Views: 17260

Re: The Value "Premium" has been ZERO for 30 years

It is important to keep in mind that the equity premium has also underperformed for extended periods of time. From 1980 to 2008 equities underperformed long-term treasuries. Long-term treasuries also had lower volatility and drawdowns. That’s a long 29 year period. Link: https://www.portfoliovisuali...
by Fryxell
Fri Jan 18, 2019 1:49 am
Forum: Investing - Theory, News & General
Topic: Vanguard will use blockchain to share index data
Replies: 72
Views: 10464

Re: Vanguard will use blockchain to share index data

aristotelian wrote:
Wed Dec 13, 2017 7:14 am
Does this mean Vanguard is going to invest in Bitcoin? :mrgreen: :greedy :shock:
Better question: When will Vanguard open the VBITX and VBITC funds, along with the VBIT etf? :twisted:
by Fryxell
Fri Jan 18, 2019 12:05 am
Forum: Investing - Theory, News & General
Topic: Google Sheets S&P 500 Index Price
Replies: 8
Views: 2128

Re: Google Sheets S&P 500 Index Price

I just looked and .INX is not working, but SPX is. On a similar note, for a while now, the Return13/52 etc. parameters dont seem to be working right (and stopped working entirely for money market funds).
by Fryxell
Thu Jan 17, 2019 2:01 am
Forum: Investing - Theory, News & General
Topic: John Bogle has died at age 89
Replies: 856
Views: 58048

Re: John Bogle has died at age 89

Rest In Peace, Mr. Bogle.
by Fryxell
Tue Jan 15, 2019 2:41 am
Forum: Investing - Theory, News & General
Topic: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]
Replies: 145
Views: 10598

Re: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]

Someone on Reddit who claims to be an ex-employee of Vanguard says the real reason they're doing this is because the people who were using these ended up being high volume customers and their system cannot handle more than 10k trades per year per account. Any more than 10k and their employees have ...
by Fryxell
Tue Jan 15, 2019 2:34 am
Forum: Investing - Theory, News & General
Topic: Any thoughts on the role of Gold in your portfolio?
Replies: 103
Views: 6915

Re: Any thoughts on the role of Gold in your portfolio?

The problem with gold in a portfolio is that its performance and correlation with stocks since 1972 are largely a fluke caused by the US abandoning the gold standard in the early 70s. You could not even legally use gold in a portfolio until 1975. If you do your backtest starting in 1975 you’ll find ...
by Fryxell
Thu Jan 10, 2019 4:20 pm
Forum: Investing - Theory, News & General
Topic: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]
Replies: 145
Views: 10598

Re: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]

This is the most likely explanation, but assuming that leveraged and inverse ETFs cost Vanguard the same to execute as individual stocks and regular ETFs, why would Vanguard care whether I am a speculator or a long-term investor? Do speculators call up Vanguard support more often, adding back offic...
by Fryxell
Thu Jan 10, 2019 2:50 pm
Forum: Investing - Theory, News & General
Topic: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]
Replies: 145
Views: 10598

Re: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]

It just occurred to me that Vanguard may have noticed that short-to-mid-term traders were using their free ETFs excessively and that these short-term traders were often using the leveraged and inverse ETFs. That is to say, Vanguard’s free ETFs may have drawn in short-term speculators and this may be...
by Fryxell
Thu Jan 03, 2019 3:24 am
Forum: Investing - Theory, News & General
Topic: Social Security for Millennials
Replies: 234
Views: 30345

Re: Social Security for Millennials

:!: So I'm either Gen Y, X, Millennial, or a cusper. I'm so confused. I do factor SS into my retirement. The Millennial and Gen-X cutoff is ill-defined. If it was based on the birthrate, millennials should’ve started in 1975-76, since that is when the birthrate started to increase after the baby bus...
by Fryxell
Sun Oct 29, 2017 3:35 pm
Forum: Investing - Theory, News & General
Topic: Momentum Loadings on Small Value Funds
Replies: 4
Views: 1104

Momentum Loadings on Small Value Funds

It is often said that RZV (Guggenheim S&P SmallCap 600 Pure Value) may not be a good choice for Small Value because it has negative momentum. I went to PortfolioVisualizer and compared several small value funds to obtain the factor loadings. I started in October 2012 because that is when Vanguard sw...
by Fryxell
Thu Oct 26, 2017 11:39 pm
Forum: Investing - Theory, News & General
Topic: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]
Replies: 210
Views: 13912

SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

I was looking at the historical returns of the SLYV and IJS etfs. They both track the S&P Smallcap 600 Value Index. I noticed some discrepancies in their historical returns: Year IJS SLYV 2001 12.6 12.5 2002 -14.7 -2.7 2003 39.8 43.0 2004 23.0 18.1 2005 5.9 5.8 2006 19.3 19.7 2007 -5.7 -4.3 2008 -29...
by Fryxell
Wed Aug 09, 2017 10:26 pm
Forum: Investing - Theory, News & General
Topic: Factor crowding
Replies: 19
Views: 2256

Re: Factor crowding

PrivateFarmer: You seem to be assuming that smart beta investing is equivalent to small value investing. Smart beta includes strategies such as dividends, low volatility, momentum, etc. In fact, dividend strategies are the most popular smart beta strategy, followed by low volatility, equal weight an...
by Fryxell
Fri Jul 21, 2017 1:01 pm
Forum: Investing - Theory, News & General
Topic: Bogle is pro-SCV!
Replies: 36
Views: 5272

Re: A Good Investor is Skeptical

I don't see how factor is based on past performance. I believe everything about the robustness and pervasiveness of academic factors has been made very clear in Larry's book, which, I believe, many Bogleheads know about. And Larry himself had stated this again and again in this forum. Yet those who...
by Fryxell
Sat Jul 15, 2017 5:23 pm
Forum: Investing - Theory, News & General
Topic: The Modified (Golden) Butterfly
Replies: 14
Views: 4939

Re: The Modified (Golden) Butterfly

TIPS do not offer inflation protection per se, they are just denominated in inflation-adjusted dollars . That is inflation protection. What if real interest rates rise along with rising inflation? Then, the value of the bonds goes down during the inflationary period. That is not what people have in...
by Fryxell
Sat Jul 15, 2017 4:32 pm
Forum: Investing - Theory, News & General
Topic: The Modified (Golden) Butterfly
Replies: 14
Views: 4939

Re: The Modified (Golden) Butterfly

For these investors who want to implement a similar strategy but dislike gold for the aforementioned reasons, like me, here's my approach to it: replace the 20% in gold with 10% in Real Estate (REIT) and 10% in TIPS. Together, they not only offer yield and inflation protection (moderate in REITs, s...