Search found 403 matches

by countmein
Fri Feb 12, 2016 7:14 pm
Forum: Investing - Theory, News & General
Topic: Leaving DFA advisor - should I keep DFA positions or simplify?
Replies: 21
Views: 3488

Re: Leaving DFA advisor - should I keep DFA positions or simplify?

A common misconception is that Vanguard funds are cheaper than DFA funds. In general, the opposite is true when you look at total cost (by comparing alphas). DFA manages their funds very efficiently. I would keep them for that reason alone, nevermind the factor exposure. Vanguard funds aren't alway...
by countmein
Fri Feb 12, 2016 4:42 pm
Forum: Investing - Theory, News & General
Topic: Leaving DFA advisor - should I keep DFA positions or simplify?
Replies: 21
Views: 3488

Re: Leaving DFA advisor - should I keep DFA positions or simplify?

A common misconception is that Vanguard funds are cheaper than DFA funds. In general, the opposite is true when you look at total cost (by comparing alphas). DFA manages their funds very efficiently. I would keep them for that reason alone, nevermind the factor exposure.
by countmein
Fri Feb 05, 2016 7:26 pm
Forum: Investing - Theory, News & General
Topic: Smart Beta: When the shark jumps the shark
Replies: 11
Views: 1959

Re: Smart Beta: When the shark jumps the shark

It just worries me that the whole industry seems to be trying to pile in to value and momentum. Or is that just my selection bias (interested in these things, so I find these articles)?
by countmein
Fri Feb 05, 2016 2:35 pm
Forum: Investing - Theory, News & General
Topic: Smart Beta: When the shark jumps the shark
Replies: 11
Views: 1959

Smart Beta: When the shark jumps the shark

I couldn't even get all the way through this ETF.com article: Smart Beta For Downside Protection . Smart beta has become so dumb , I don't even know what the word "irony" means anymore. What's a value/momentum investor to do? Stay the course? I guess... Or, looking at the bright side...Thank you act...
by countmein
Thu Jan 28, 2016 4:52 pm
Forum: Investing - Theory, News & General
Topic: QSPIX Nightmare - Closed Off to Retail Investors
Replies: 181
Views: 30128

Re: QSPIX Nightmare - Closed Off to Retail Investors

Some interesting developments... Scottrade received abrupt notice from AQR yesterday (Jan 27) that QSPIX/QSPNX/QMNIX were being closed effective immediately, to ALL investors, not just new investors. All orders for these funds placed Jan 27 from Scottrade were rejected by AQR. Meanwhile, strangely, ...
by countmein
Wed Jan 27, 2016 8:15 pm
Forum: Investing - Theory, News & General
Topic: Entire Portfolio Expense Ratio
Replies: 41
Views: 3445

Re: Entire Portfolio Expense Ratio

What really matters is a portfolio's alpha, as it encompasses ER and other costs. Some very low ER funds are actually expensive to own.
by countmein
Wed Jan 27, 2016 3:49 pm
Forum: Investing - Theory, News & General
Topic: AQR Style Premia Alternative (QSPIX) to close; AQR Style Premia Alternative II to open
Replies: 82
Views: 12548

Re: AQR Style Premia Alternative (QSPIX) to close; AQR Style Premia Alternative II to open

AQR site says close date is march 31.

Does anyone have the R6 shares? looks like they're available at Scottrade. Better deal than I shares?

edit: R6 shares only available to advisor-linked accounts. Sorry for the misinfo
by countmein
Sat Jan 16, 2016 8:57 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: QSPIX - thoughts on interesting fund

lacy_ey,

I think you're confusing volatility with beta. Zero beta = no correlation to beta.
by countmein
Sat Jan 16, 2016 7:04 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: QSPIX - thoughts on interesting fund

Factors in general shouldn't be assumed to be uncorrelated with each other or with market beta because they're not explicitly constructed and defined to be that way. I think you are correct re "factors with each other" but not correct re "factors with market beta". I don't have the mathematical pro...
by countmein
Sat Jan 16, 2016 5:55 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: QSPIX - thoughts on interesting fund

Isn't the zero correlation between factors and beta tautological (and thus meaningless)? You can go long/short anything and it will have zero correlation. I'm not impressed that QSPIX is uncorrelated to beta. I'm impressed that it exposes one to past sources of return (that ought to endure) in a div...
by countmein
Wed Jan 13, 2016 4:05 pm
Forum: Investing - Theory, News & General
Topic: Sigh. IlliniDave = Market Timer (VGENX) [Vanguard Energy Fund]
Replies: 58
Views: 9803

Re: Sigh. IlliniDave = Market Timer (VGENX)

I like it except for the rebalancing. When you commit to rebalancing, you are potentially opening up a black hole that sucks in more of your cash than you ever intended. I say just buy it and decide not to think about it again for 20+ years.
by countmein
Wed Jan 13, 2016 3:23 pm
Forum: Investing - Theory, News & General
Topic: Are there diminishing returns to tax loss harvesting?
Replies: 23
Views: 2989

Re: Are there diminishing returns to tax loss harvesting?

And yes, I realize that folks say, "If I had not harvested losses, then I would not have reset the cost basis lower, so that if I sold now I would have lower capital gains anyways." Yes, that can work, but since one can pick and choose which assets to sell in order to meet expenses, one can use the...
by countmein
Wed Jan 13, 2016 1:25 am
Forum: Investing - Theory, News & General
Topic: Are there diminishing returns to tax loss harvesting?
Replies: 23
Views: 2989

Re: Are there diminishing returns to tax loss harvesting?

Right, but my point is that the 3K tax deduction is the only freebie in the TLH equation. TLH'ing moves a loss onto the books, but also lowers the cost basis by the equivalent amount. If the fund rebounds, those gains offset the booked losses no better than they would the losses embedded within the ...
by countmein
Wed Jan 13, 2016 12:54 am
Forum: Investing - Theory, News & General
Topic: Are there diminishing returns to tax loss harvesting?
Replies: 23
Views: 2989

Are there diminishing returns to tax loss harvesting?

Say I have a 50 year life expectancy, $150K in carryover losses, and $20K of current losses that could be harvested. Is there any point to harvesting that $20K of losses? Seems to me that there is no utility in harvesting after a certain point, namely when carryover / life expectancy > 3000.
by countmein
Tue Dec 22, 2015 5:02 pm
Forum: Investing - Theory, News & General
Topic: Goldman is going slash-and-burn for factor investing market share
Replies: 13
Views: 2409

Re: Goldman is going slash-and-burn for factor investing market share

Important point to keep in mind is that all this money coming into "smart" beta (just gaining beta, or exposure, to other factors) isn't necessarily reducing the premium. It depends on whether this is incremental money or it's just active investors already in these factors (whether they knew it or ...
by countmein
Fri Nov 27, 2015 5:57 pm
Forum: Investing - Theory, News & General
Topic: Another example of credit risk going unrewarded
Replies: 16
Views: 3002

Re: Another example of credit risk going unrewarded

1- Even if correlation between HY and equity was 1.0, it would still be worth adding if the expected returns are higher. Grantham sets US small expected returns at -1 %, Arnott has them at 0.4%. That's small not small value, nonetheless I'm not sure how you get 9-10% (nominal I assume). Certainly th...
by countmein
Fri Nov 27, 2015 2:13 pm
Forum: Investing - Theory, News & General
Topic: Another example of credit risk going unrewarded
Replies: 16
Views: 3002

Re: Another example of credit risk going unrewarded

Larry, I'm saying use credit-risky bonds on the equity/risky side of your portfolio. PIMIX is a bond fund. Better expected returns than equities (according to Arnott and others). Clearly better Sharpe, and low correlation to both bonds and stocks (if you keep it short duration). Another source of ri...
by countmein
Thu Nov 26, 2015 7:08 pm
Forum: Investing - Theory, News & General
Topic: Another example of credit risk going unrewarded
Replies: 16
Views: 3002

Re: Another example of credit risk going unrewarded

IMO - a really important point. Often short-term corp. is looked at in isolation to justify inclusion. Here's an example: 1992-2014 - annualized return (%) /SD/Sharpe ratio 4.8 / 4.0 / 0.53 Vanguard ST Investment Grade 4.3 / 3.4 / 0.47 Vanguard ST Treasury 5.4 / 4.2 / 0.64 DFA Five Year Global 6.0 ...
by countmein
Wed Nov 25, 2015 9:15 pm
Forum: Investing - Theory, News & General
Topic: Another example of credit risk going unrewarded
Replies: 16
Views: 3002

Re: Another example of credit risk going unrewarded

I assume you don't mean short term junk such the plethora of 0-5 and 1-5 year junk etf index funds. Reading Illmanen what would be interesting is a 0-3 year junk fund. That appears to be where the best returns are at with the least risk. The problem is unless the ER is around 0.25% it's probably no...
by countmein
Wed Nov 25, 2015 5:46 pm
Forum: Investing - Theory, News & General
Topic: Another example of credit risk going unrewarded
Replies: 16
Views: 3002

Re: Another example of credit risk going unrewarded

From Illmanen, Journal of Portfolio Management, 2004: An empirical study examines the consistency of rewards for bearing various types of risks in U.S. asset markets between 1985 and early 2002. Bearing duration risk and equity market risk was amply rewarded, while bearing long-dated credit risk buy...
by countmein
Mon Nov 16, 2015 9:30 pm
Forum: Investing - Help with Personal Investments
Topic: World Stock + Total (true) Bond versus the 3 fund portfolio
Replies: 16
Views: 1770

Re: World Stock + Total (true) Bond versus the 3 fund portfolio

Just be clear that Total World does not rebalance between US and Ex-US. If you hold them separately, I presume you would rebalance them, for better or worse. I don't see why. If you wanted to hold the global market, cap-weighted, but wanted to shave a few basis points off the expense ratio, you'd b...
by countmein
Mon Nov 16, 2015 7:02 pm
Forum: Investing - Help with Personal Investments
Topic: World Stock + Total (true) Bond versus the 3 fund portfolio
Replies: 16
Views: 1770

Re: World Stock + Total (true) Bond versus the 3 fund portfolio

Just be clear that Total World does not rebalance between US and Ex-US. If you hold them separately, I presume you would rebalance them, for better or worse.
by countmein
Thu Nov 12, 2015 5:31 pm
Forum: Investing - Theory, News & General
Topic: QSPIX Nightmare - Closed Off to Retail Investors
Replies: 181
Views: 30128

Re: QSPIX Nightmare - Closed Off to Retail Investors

^ In kind, all the way. Sell-and-rebuy would not even come close to being worth it. I'm almost too bothered to go through with it as it is.
by countmein
Wed Nov 11, 2015 3:42 pm
Forum: Investing - Theory, News & General
Topic: QSPIX Nightmare - Closed Off to Retail Investors
Replies: 181
Views: 30128

Re: QSPIX Nightmare - Closed Off to Retail Investors

I'm debating whether I should move my entire portfolio from TD to Scottrade so that I can buy another 25K of QSPIX in my Roth, and collect their $1000 new account bounty while I'm at it. Also I like that their mutual fund trading fees are $17 compared to TD's $50.
by countmein
Sat Sep 19, 2015 2:39 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: QSPIX - thoughts on interesting fund

I would add that AQR guys also put their money where their mouths are an invest personally in same funds, and there is actually academic evidence that when that happens returns are higher (should be no surprise). That's interesting; did not know that. Larry, does it bother you then that nobody at B...
by countmein
Wed Aug 12, 2015 6:04 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: QSPIX - thoughts on interesting fund

1. Where does one acquire the attribution scorecard?

2. Why do the returns add up as if all 16 parts of the fund have equal weight? I thought the equity slices were supposed to weigh in at 60% of the fund.
by countmein
Tue Jul 21, 2015 11:56 am
Forum: Investing - Theory, News & General
Topic: Paul Merriman Small Cap Value "Free Lunch"
Replies: 47
Views: 6775

Re: Paul Merriman Small Cap Value "Free Lunch"

Maynard F. Speer wrote: SCV does seem a bit stretched to me at the moment - but I don't keep a close eye on US markets
How so? Compare VBR to VBK (small growth) and VTV (large value). P/B's are 1.9, 3.5, and 2.1, respectively.
by countmein
Tue Jul 21, 2015 11:44 am
Forum: Investing - Theory, News & General
Topic: The Danger of higher-yielding bond funds
Replies: 62
Views: 6123

Re: The Danger of higher-yielding bond funds

Interesting... What portfolio do you get when you optimize for best Sharpe with an asset mix that includes Intermediate Treasury, DFA ISV, DFA SV, VG EM, VG HY ? 21% High Yield 6% SCV 73% Intermediate Treasury 0% ISV 0% EM https://www.portfoliovisualizer.com/optimize-portfolio?s=y&symbol5=DFSVX&sym...
by countmein
Mon Jul 20, 2015 7:20 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman Small Cap Value "Free Lunch"
Replies: 47
Views: 6775

Re: Paul Merriman Small Cap Value "Free Lunch"

I wouldn't call it a free lunch, but even if SV has same returns as TSM over time, the tilted portfolio can benefit from improved efficiency due to less than perfect correlations. Improved efficiency reveals itself as annualized return closer to average return. Is this worth the cost? I don't know....
by countmein
Mon Jul 20, 2015 7:06 pm
Forum: Investing - Theory, News & General
Topic: The Danger of higher-yielding bond funds
Replies: 62
Views: 6123

Re: The Danger of higher-yielding bond funds

Interesting... What portfolio do you get when you optimize for best Sharpe with an asset mix that includes Intermediate Treasury, DFA ISV, DFA SV, VG EM, VG HY ? 21% High Yield 6% SCV 73% Intermediate Treasury 0% ISV 0% EM https://www.portfoliovisualizer.com/optimize-portfolio?s=y&symbol5=DFSVX&symb...
by countmein
Mon Jul 20, 2015 6:05 pm
Forum: Investing - Theory, News & General
Topic: The Danger of higher-yielding bond funds
Replies: 62
Views: 6123

Re: The Danger of higher-yielding bond funds

I think Larry is off the mark on this one. Since 1985... High Yield.... Sharpe = 0.44, Correlation to SP500 = 0.2 International Stocks....Sharpe = 0.38, Correlation to SP500 = 0.8 If high yield isn't a good enough diversifier, then how does International make the cut? Also, people really need to st...
by countmein
Mon Jul 20, 2015 4:12 pm
Forum: Investing - Theory, News & General
Topic: The Danger of higher-yielding bond funds
Replies: 62
Views: 6123

Re: The Danger of higher-yielding bond funds

I think Larry is off the mark on this one. Since 1985... High Yield.... Sharpe = 0.44, Correlation to SP500 = 0.2 International Stocks....Sharpe = 0.38, Correlation to SP500 = 0.8 If high yield isn't a good enough diversifier, then how does International make the cut? Also, people really need to sto...
by countmein
Fri Jul 10, 2015 7:40 pm
Forum: Investing - Theory, News & General
Topic: Nobel Shiller selling US stock because of valuations -- does it make sense?
Replies: 13
Views: 2643

Re: Nobel Shiller selling US stock because of valuations -- does it make sense?

The dirty secret of all sector or country rotation strategies, whether value or momentum based, is that the backtests are very sensitive to initial conditions. Meaning, a momentum rotation strategy that uses say, a 6 month lookback window might have a phenomenal result like the one posted above but ...
by countmein
Fri Jun 26, 2015 3:28 pm
Forum: Investing - Theory, News & General
Topic: What ratio are you stocks/bonds and how old are you?
Replies: 278
Views: 40252

Re: What ratio are you stocks/bonds and how old are you?

early 40s

30% equity
35% alternatives
35% FI

alternatives =
real estate
P2P lending
absolute return
global credit
private equity
by countmein
Thu Jun 25, 2015 11:45 am
Forum: Investing - Theory, News & General
Topic: AQR/Asness: Stocks, Bonds: Bleak Outlook
Replies: 108
Views: 12138

Re: AQR/Asness: Stocks, Bonds: Bleak Outlook

We see a lot said about stock market forecasts, but never factor premia forecasts... Can we not do those too? Is it because their relation to risk is dubious?
by countmein
Wed Jun 24, 2015 11:50 am
Forum: Investing - Theory, News & General
Topic: What if you could invest directly in the HML "factor?"
Replies: 18
Views: 4296

Re: What if you could invest directly in the HML "factor?"

In Larry's Advisor Perspectives article re QSPIX, he mentions 3-4x leverage. Nisi, would it be possible to augment the experiment with 3 or 4x leverage? And/or add momentum? I took french's global factor data from 1991-2014 and leveraged the factors(except momentum) to have the same volatility as t...
by countmein
Wed Jun 24, 2015 11:34 am
Forum: Investing - Theory, News & General
Topic: Vanguard Tax-Managed Small-Cap Fund
Replies: 15
Views: 2901

Re: Vanguard Tax-Managed Small-Cap Fund

I don't know whether this will sound like market timing, but I wouldn't touch US Small-Caps at the moment .. Price/earnings around 21, against growth estimates around 12 .. Even if the Small-Cap index lost 50%, I'd only just call that a buying opportunity .. Very high valuations - looks to me like ...
by countmein
Tue Jun 23, 2015 12:19 pm
Forum: Investing - Theory, News & General
Topic: Momentum across time and asset classes
Replies: 40
Views: 6525

Re: Momentum across time and asset classes

I am not sure if showing underperformance of these funds versus a growth index or total stock index shows that the momentum strategy is difficult to implement or unsuccessful or too expensive to be successful. To show an ineffective implementation, I would think one would have to compare a momentum...
by countmein
Sat Jun 20, 2015 3:04 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: QSPIX - thoughts on interesting fund

nisiprius wrote:To the people who only plan to use a small percentage allocation, such as Larry Swedroe's 3%, what, really, do you expect from this?
good question. I expect it to beat the pants off my stock investments, at least for the next decade, so any amount is good to have.
by countmein
Wed Jun 17, 2015 4:33 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: A second look at QSPIX

I decided to take another look by going to Morningstar ... QSPIX has an estimated 10-year cost of $2,944 . For comparison, Vanguard Total Stock Market Admiral (VTSAX) has an estimated 10-year cost of $64 Morningstar is a great source of information. However, the 10-year cost does not reflect the 1....
by countmein
Wed Jun 17, 2015 4:25 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: QSPIX - thoughts on interesting fund

Was just told by Scottrade rep that QSPIX is available, I class, in taxable and IRAs, $17 transaction fee, $100 minimum. Regarding the ER... I'm starting to fret...Seriously, how is it possible that it's only 1.50%? The div on short sales + other + acquired fund fees = 1.26%. The management fee is 1...
by countmein
Tue Jun 16, 2015 3:57 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 192256

Re: QSPIX - thoughts on interesting fund

3 - 4x leverage according to Swedroe.

Without some kind of performance attribution data, it's tough to do more than tiptoe into this fund. Anyone connected enough to get ahold of some kind of attribution report? Would it be illegal to post here?
by countmein
Sun Jun 14, 2015 9:58 pm
Forum: Investing - Theory, News & General
Topic: What if you could invest directly in the HML "factor?"
Replies: 18
Views: 4296

Re: What if you could invest directly in the HML "factor?"

I'm saying that "low correlation" is bogus. In order to get the benefit, you need three things: comparable return, comparable standard deviation, and low correlation. Among real long-only assets, when you get the comparable return and the comparable standard deviation you never get sufficiently low...
by countmein
Sun Jun 14, 2015 6:40 pm
Forum: Investing - Theory, News & General
Topic: Momentum across time and asset classes
Replies: 40
Views: 6525

Re: Momentum across time and asset classes

countmein wrote: Also, VUG is not comparable to a momentum fund because it has a zero momentum load. Agreed, I never claimed that VUG was attempting to use MOM or any factor techniques at all. It is merely a simple large cap growth index. The reason I compared it to the factor fund, MTUM, is that i...
by countmein
Sun Jun 14, 2015 6:22 pm
Forum: Investing - Help with Personal Investments
Topic: Value Tilt Portfolio Allocation
Replies: 11
Views: 2013

Re: Contemplating a more aggressive portfolio ?

I am contemplating a more aggressive portfolio with a tilt towards value in a taxable account. DCInvestor: In my opinion, your 100% stock portfolio is already "aggressive" (risk of losing money) enough for any investor. Experts like Mr. Bogle suggests bonds should roughly equal our age. Benjamin Gr...
by countmein
Sun Jun 14, 2015 6:12 pm
Forum: Investing - Help with Personal Investments
Topic: Value Tilt Portfolio Allocation
Replies: 11
Views: 2013

Re: Value Tilt Portfolio Allocation

Thanks all for the helpful thoughts! Based upon my reading of Trev's post, I could be looking at the following if I want to work VSS into the mix: 25% Total Stock Market (VTI...or an S&P 500 ETF instead?) 25% Small Cap Value (VBR) 25% Total International Stock (VXUS) 25% All World Ex-US Small-cap (...
by countmein
Sun Jun 14, 2015 5:29 pm
Forum: Investing - Theory, News & General
Topic: Momentum across time and asset classes
Replies: 40
Views: 6525

Re: Momentum across time and asset classes

Also, VUG is not comparable to a momentum fund because it has a zero momentum load. I thought that was exactly GarlandWhizzer's point. The fund based on the comparable asset class, but not using momentum, beat the fund that used momentum. I'm saying that the way to compare funds is by factor loadin...
by countmein
Sun Jun 14, 2015 4:45 pm
Forum: Investing - Theory, News & General
Topic: Momentum across time and asset classes
Replies: 40
Views: 6525

Re: Momentum across time and asset classes

stulz wrote: Over its existence, MTUM has beaten the market by a good amount. It also has an ER of .15%. Actually an appropriate index comparison to MTUM is VUG, Vanguard's growth index ETF. Both have similar cap weightings (mostly LC with some MC) and both specialize in the growth area rather than...
by countmein
Sun Jun 14, 2015 4:33 pm
Forum: Investing - Theory, News & General
Topic: What if you could invest directly in the HML "factor?"
Replies: 18
Views: 4296

Re: What if you could invest directly in the HML "factor?"

I have to admit that I am puzzled by Nisiprius post. If I want to invest in value, I can't just invest in that factor. I have to invest in a set of stocks that have value characteristics. Ditto for small cap. I need to actually own stocks that have smaller market capitalizations than the market as ...
by countmein
Sun Jun 14, 2015 3:38 pm
Forum: Investing - Theory, News & General
Topic: What if you could invest directly in the HML "factor?"
Replies: 18
Views: 4296

Re: What if you could invest directly in the HML "factor?"

I'm surprised this thread didn't attract more interest. It's a very interesting result. We know that SmB and HmL have positive, albeit small returns and low correlation to beta. So you'd think adding them would increase the overall portfolio efficiency. I suppose the problem is their high volatility...