Search found 1052 matches

by packer16
Sun Dec 09, 2018 9:27 am
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5151

Re: Ignored Risks of Factor Investing

IMO market pricing based factors (like value & momentum) are different than fundamental/economics based factors (like term, credit spread, re-insurance & market beta). The former are dependent upon the market pricing the securities that have exposure to the factors versus the later which depend upon...
by packer16
Fri Dec 07, 2018 4:21 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5151

Re: Ignored Risks of Factor Investing

I agree that the most diversified portfolio may not be the efficient portfolio. Is not the goal of diversification to get an efficient portfolio with the highest risk adjusted return (Sharpe ratio)? What is the point of getting a more diversified portfolio if it provides you less risk-adjusted retur...
by packer16
Fri Dec 07, 2018 3:33 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5151

Re: Ignored Risks of Factor Investing

But by using factor weightings vs. what the market provides as weightings, you are stating that these factor weights provide a more efficient portfolio than what the market weight is telling you. One of the beauties of market weights is the use of the market mechanism to incorporate information into...
by packer16
Fri Dec 07, 2018 2:29 pm
Forum: Investing - Theory, News & General
Topic: Ignored Risks of Factor Investing
Replies: 104
Views: 5151

Re: Ignored Risks of Factor Investing

The point of a SCV/TSM being more diversified is where I miss the train. This implies that the market pricing set by alot of market participants is not providing a diversified weighting of stocks but you have to use historical construct (factors) to provide you a more diversified portfolio. Does thi...
by packer16
Sat Dec 01, 2018 6:59 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4971

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

It looks like correlation is the reason for the longer period referenced in the article (1927 to 2017). My confusion was Larry did make a reference earlier to a period of time (1969 to 2008) where he stated that treasuries did better but this was IMO a worse case and only applicable to those who wer...
by packer16
Fri Nov 30, 2018 7:32 pm
Forum: Investing - Theory, News & General
Topic: What do bogleheads think of small cap value?
Replies: 37
Views: 3214

Re: What do bogleheads think of small cap value?

Is there a real time test to see if the idea of diversifying across factors works as advertised? If you compare a real world tilted portfolio to a non-tilted or market cap weighted portfolio should you not see increased returns for a given level of risk or the same return for a lower level of risk? ...
by packer16
Thu Nov 29, 2018 6:41 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4971

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

^ Packer, You're comparing apples and oranges to some extent. In that time period, many people were re-balancing a lot. Without going back and really re-calculating the math, I remember re-balancing every 30 days or so in order to tax-loss harvest and add more equity shares as best as I could. At o...
by packer16
Thu Nov 29, 2018 4:20 pm
Forum: Investing - Theory, News & General
Topic: How Do You Evaluate A New Potential Portfolio Addition?
Replies: 14
Views: 828

Re: How Do You Evaluate A New Potential Portfolio Addition?

My recent additions have been bond-like instruments (typically first lien access to cash flows) which provide returns in the low teens. These include things like NNN real estate, selected specialty lending situations (underwriting teams who have a commercial banking risk tolerance with a proven unde...
by packer16
Thu Nov 29, 2018 3:28 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4971

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

But how much rebalancing are you going to be doing? If you have a $50/$50 portfolio & you have a monster bear market that goes down 50% then you are buying (using 2008 numbers) $15.5 equity with treasuries & $14 with corps (It is higher for treasuries because they did not fall as much as corps). In ...
by packer16
Thu Nov 29, 2018 1:52 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4971

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

On the first point, the issue is having a fixed value when you need it & what is the difference between corp & treasury bonds will be when you need the fixed value (under the assumption that you need it to provide income for retirement). So the question is will you recover any credit losses from cor...
by packer16
Thu Nov 29, 2018 12:37 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4971

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

But you also need to ask the question how many cash-like bonds do you need to have. If you have a 12 month cash cushion then you have 12 months for the recovery. Using long-term averages gives a better sense of return as you are investing/redeeming across these periods of time not just at the worst ...
by packer16
Wed Nov 28, 2018 9:54 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4971

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

The issue I see here is that you can invest in inv grade corps or diversified bonds vs. treasury & get the average yield pick up & unless you need to withdraw all your funds at the panic point I think you will be ahead in the end. It would be interesting to see if the treasuries/stock combos really ...
by packer16
Mon Nov 26, 2018 9:03 pm
Forum: Investing - Theory, News & General
Topic: AQR/Liquid Alt Performance
Replies: 60
Views: 2816

Re: AQR/Liquid Alt Performance

Dave, If you & Larry think these alts are going to generate balanced types of returns, why not say so. The statement equity like returns just makes you look you are an advocate versus objective providers of information. You both are really appreciated here so I see no harm if that is what you really...
by packer16
Sat Nov 24, 2018 3:29 pm
Forum: Investing - Theory, News & General
Topic: Advisor Perspectives Article: Are You Paying For Liquidity You Don’t Need?
Replies: 45
Views: 3295

Re: Advisor Perspectives Article: Are You Paying For Liquidity You Don’t Need?

This is a good point but with liquidity to include it as a premium you need to know when discount for lack of marketability (DLOM) will go away. If you buy & sell with the same DLOM, it will add nothing. I respectfully disagree as less liquid securities have a higher carry return. For example if yo...
by packer16
Sat Nov 24, 2018 11:58 am
Forum: Investing - Theory, News & General
Topic: Advisor Perspectives Article: Are You Paying For Liquidity You Don’t Need?
Replies: 45
Views: 3295

Re: Advisor Perspectives Article: Are You Paying For Liquidity You Don’t Need?

This is a good point but with liquidity to include it as a premium you need to know when discount for lack of marketability (DLOM) will go away. If you buy & sell with the same DLOM, it will add nothing. I respectfully disagree as less liquid securities have a higher carry return. For example if yo...
by packer16
Sat Nov 24, 2018 10:15 am
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11158

Re: Small Value: 15 years of underperforming

How that happened was the dessert was all eaten in the US market & is now eaten overseas so absent another tech/growth bubble, the indexed versions of growth & value should be about the same. Given the differences in FF returns and index returns, I wonder if the not a majority of the FF SCV premium ...
by packer16
Fri Nov 23, 2018 9:23 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11158

Re: Small Value: 15 years of underperforming

I agree on size but IMO it is related to liquidity which only adds value if the security becomes more liquid over time or has fixed date where cash flows will be received. If the security is as illiquid or more so when you sell it than when you buy it, then it will return a negative liquidity premiu...
by packer16
Fri Nov 23, 2018 8:58 pm
Forum: Investing - Theory, News & General
Topic: Advisor Perspectives Article: Are You Paying For Liquidity You Don’t Need?
Replies: 45
Views: 3295

Re: Advisor Perspectives Article: Are You Paying For Liquidity You Don’t Need?

This is a good point but with liquidity to include it as a premium you need to know when discount for lack of marketability (DLOM) will go away. If you buy & sell with the same DLOM, it will add nothing. Combining a cheap asset with a DLOM which you know will decline over time due to an event is a n...
by packer16
Fri Nov 23, 2018 8:23 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11158

Re: Small Value: 15 years of underperforming

I see a difference between equity exposure & factors as equity exposure has a deductive reason to expect a higher return, a lower claim in firm's capital structure than debt vs. the rationale for higher return for the value factor (and most other factors) is inductive. The inductive rationale for hi...
by packer16
Fri Nov 23, 2018 5:12 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11158

Re: Small Value: 15 years of underperforming

I guess what I'm saying is that investing in small cap value funds is probably NOT a strategy that will feel very rewarding for an investor who favors consistency over excitement. One can target a desired expected return, and compared to a TSM/TBM portfolio with given target return, create a SV/TBM...
by packer16
Fri Nov 23, 2018 1:56 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11158

Re: Small Value: 15 years of underperforming

One thing I think folks miss is factors are correlations not causes of returns. As with any correlation they can change. The cause of the return (an under or over valuation) is correlated with factors but the cause can be determined by doing a more detailed valuation or appraisal. Active manager do ...
by packer16
Fri Nov 23, 2018 12:16 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11158

Re: Small Value: 15 years of underperforming

What I have observed in factor investing like overall investing, the more complex you make it, the more probability of it not working. IMO opinion if you want factor exposure, stick to a few simple factors passively implemented, like SCV for example, that you think you have an edge over the market. ...
by packer16
Sat Nov 17, 2018 10:47 am
Forum: Investing - Theory, News & General
Topic: AQR fund family's performance relative to its benchmarks
Replies: 36
Views: 2891

Re: AQR fund family's performance relative to its benchmarks

They've (AQR) been accused of being asset gatherers. Funny from a board named after the guy who founded a firm with $5 trillion in....assets! https://about.vanguard.com/what-sets-vanguard-apart/why-ownership-matters/ You find out the importance of ownership when you follow the money. Typical invest...
by packer16
Sun Nov 11, 2018 3:39 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 172
Views: 13417

Re: A reminder: Stay away from AQR

My issue with replacing a bond fund with QSPIX is you increase volatility from bonds at 3 to 4% to 10% with QSPIX. If this is what you intended then there are other 10% vol securities out there that have returned double digits & are easier to understand than QSPIX. Just look at TSLX or some NNN leas...
by packer16
Sat Nov 03, 2018 3:31 pm
Forum: Investing - Theory, News & General
Topic: iShares ETFs vs. Vanguard's Inv Grade Bond Index Funds
Replies: 4
Views: 603

Re: iShares ETFs vs. Vanguard's Inv Grade Bond Index Funds

Thanks. The equivalent funds are roughly the same. The Vanguard equivalents to the ishares are VSTBX, VCIBX & VUBRX.

Packer
by packer16
Sat Nov 03, 2018 12:57 pm
Forum: Investing - Theory, News & General
Topic: iShares ETFs vs. Vanguard's Inv Grade Bond Index Funds
Replies: 4
Views: 603

iShares ETFs vs. Vanguard's Inv Grade Bond Index Funds

I was looking at bond alternatives. The ishares appear to have higher yields than equivalent duration Vanguard Inv Grade Bond funds. Has anyone found reasons why the ishares have higher risk than the duration equivalent vanguard investment grade bond funds. The specific tickers I have been looking a...
by packer16
Sat Nov 03, 2018 11:57 am
Forum: Investing - Theory, News & General
Topic: WSJ: Sometimes, It’s Bonds For the Long Run
Replies: 72
Views: 6113

Re: WSJ: Sometimes, It’s Bonds For the Long Run

One thing to remember that that in the 19th century, the USA was an emerging market. In EMs, bonds do not provide investors as much protection against downfalls as in developed markets. I do not interpret this as bonds will do as well as stocks in developed markets but bonds in EMs have risks closer...
by packer16
Sun Oct 28, 2018 11:59 am
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 51
Views: 6156

Re: Expanding on The Rewards Of Multiple Asset Class Investing

The major questions in mind is how much will diversifying across factors/alternatives cost you. If it no cost then it is a no brainer but typically there is a cost. Re-insurance I think is a good example. It really provides diversification but what is the cost? You have multiple factors effecting th...
by packer16
Sat Oct 27, 2018 2:37 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Two Articles On Reinsurance
Replies: 56
Views: 5420

Re: Larry Swedroe: Two Articles On Reinsurance

I am not too sure that net returns to bonds may not be better than re-insurance these days. The since inception returns for SRRIX have been in the neighborhood of 3.8% (about 5 years) but you can get intermediate term (6 year avg duration) bonds the yield 4.25% from Vanguard Intermediate Term Corpor...
by packer16
Sat Oct 27, 2018 9:33 am
Forum: Investing - Theory, News & General
Topic: Beware of Interval Funds
Replies: 18
Views: 2666

Re: Beware of Interval Funds

For SRRIX & LENDX, you can get total returns including dividends on Seeking Alpha. Here is SRRIX: https://seekingalpha.com/symbol/SRRIX/dividends/no_dividends_history and LENDX: https://seekingalpha.com/symbol/LENDX. The reason for the gradual increase & spike down is the accretion of premiums durin...
by packer16
Fri Oct 26, 2018 9:11 am
Forum: Investing - Theory, News & General
Topic: Is emerging markets investable?
Replies: 51
Views: 2987

Re: Is emerging markets investable?

The presence of insiders acting on private information doesn't necessarily make markets totally inefficient, especially if the behavior of this insiders is observable. That may be true but it makes the valuation process of stocks, that is reliant on good timely data to set prices, not work. No, it ...
by packer16
Fri Oct 26, 2018 7:32 am
Forum: Investing - Theory, News & General
Topic: Is emerging markets investable?
Replies: 51
Views: 2987

Re: Is emerging markets investable?

One of the premises of market efficiency is correct widely disclosed information. The presence of insiders acting on private information doesn't necessarily make markets totally inefficient, especially if the behavior of this insiders is observable. That may be true but it makes the valuation proce...
by packer16
Thu Oct 25, 2018 5:30 pm
Forum: Investing - Theory, News & General
Topic: Is emerging markets investable?
Replies: 51
Views: 2987

Re: Is emerging markets investable?

One of the premises of market efficiency is correct widely disclosed information. If that does not exist then you have guesses from the outsiders (primarily investors like us) and knowledge from insiders. These insiders can fleece the outsiders if the government allows this. In places like Russia & ...
by packer16
Thu Oct 25, 2018 12:42 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why International Diversification Works
Replies: 119
Views: 9537

Re: Larry Swedroe: Why International Diversification Works

One useful frameworks for markets are networks as the effects of good network increase its value more than a linear expectation. I would argue the Anglo/Dutch influenced markets are better networks than other markets. In these networks the rewards are given to the shareholders & on the edges the gov...
by packer16
Thu Oct 25, 2018 10:50 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why International Diversification Works
Replies: 119
Views: 9537

Re: Larry Swedroe: Why International Diversification Works

The way I look at international markets is as follows. If companies make similar returns in both countries but one has propensity to institute taxes or regulations on business vs. another one who is pro-business, you would expect the pro-business country to sell at a higher multiples. Now the relati...
by packer16
Thu Oct 25, 2018 9:11 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why International Diversification Works
Replies: 119
Views: 9537

Re: Larry Swedroe: Why International Diversification Works

What the pro-international diversification folks miss is there is some downside to diversifying into asset classes that have lower returns, higher risk & high correlation. In the special case of the US, diversification has a smaller benefit (if it has one) versus other nations in part because a larg...
by packer16
Mon Oct 22, 2018 9:51 am
Forum: Investing - Theory, News & General
Topic: DFA small value... acitve management?
Replies: 103
Views: 6270

Re: DFA small value... acitve management?

Dave, You do not think human judgement is involved in factor or DFA funds? How do they decide if the active trading strategy is worth it to do it or not for a given stock? How do they decide the weighting of each stock in the portfolio? In each case human judgement. The only difference in quant inve...
by packer16
Mon Oct 22, 2018 9:24 am
Forum: Investing - Theory, News & General
Topic: DFA small value... acitve management?
Replies: 103
Views: 6270

Re: DFA small value... acitve management?

Dave, Is not the smart trading you mention an active trading strategy? If they are doing this how can this be passive? I agree it is formulaic but passive IMO means no or little trading (only when the index constituents change, not when they think they can gain a trading advantage). It appears to be...
by packer16
Mon Oct 22, 2018 8:15 am
Forum: Investing - Theory, News & General
Topic: Do Advisers Add $$$ Value?
Replies: 74
Views: 6930

Re: Do Advisers Add $$$ Value?

There is a nice summery of this topic in Wade Pfau's How Much Can I Spend in Retirement. Chapter 9 talks about the value of Good Financial Decision Making, this IMO is where an adviser can add the most value. In Chapter 9, the Vanguard Alpha & Morningstar Gamma are described and associated value-add...
by packer16
Sun Oct 21, 2018 12:14 pm
Forum: Investing - Theory, News & General
Topic: DFA small value... acitve management?
Replies: 103
Views: 6270

Re: DFA small value... acitve management?

The power of the market is a powerful mechanism & on average is right more than any alternative, so choosing to be active in any form, including factors, is stating you know more than market. Packer I don’t think passive factor investing is at all “saying you know more than the market”. I think it ...
by packer16
Sun Oct 21, 2018 9:17 am
Forum: Investing - Theory, News & General
Topic: DFA small value... acitve management?
Replies: 103
Views: 6270

Re: DFA small value... acitve management?

The real question here is what is passive vs. active. The pure passive is market weighted non-tilted index funds. The pure active is individual stock selection & weighting based upon some strategy like value investing. Factor funds are somewhere in the middle. Another difference is how much judgemen...
by packer16
Sat Oct 20, 2018 1:20 pm
Forum: Investing - Theory, News & General
Topic: DFA small value... acitve management?
Replies: 103
Views: 6270

Re: DFA small value... acitve management?

Both factor & index funds are based upon rules but IMO the key difference is the weighting system. In Index funds the weights are determined by capitalization so you are using the market mechanism to weight these stocks. On average IMO this is the best approach. OTOH, factor funds do 2 different thi...
by packer16
Sat Oct 20, 2018 7:59 am
Forum: Investing - Theory, News & General
Topic: DFA small value... acitve management?
Replies: 103
Views: 6270

Re: DFA small value... acitve management?

I think the best way to characterize factor funds is quantitatively active. I think a good test for an active vs. passive fund is how much does the fund rely on the market mechanism to determine appropriate weighting (the result of the market becoming more efficient on average) versus its own weight...
by packer16
Wed Oct 17, 2018 10:02 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Prepare For The Bear
Replies: 74
Views: 10066

Re: Larry Swedroe: Prepare For The Bear

Larry, I agree with you on re-insurance & equity premiums being similar but IMO the biggest difference is fees. You can gain access to the equity market at 10bp while access to re-insurance markets is closer to 200bp. I agree that there is some illiquidity premium on quota share but how much is it w...
by packer16
Wed Oct 17, 2018 8:58 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Prepare For The Bear
Replies: 74
Views: 10066

Re: Larry Swedroe: Prepare For The Bear

You are correct about a spike & I do not how these will perform in a credit tightening event, we don't have the data. The one thing about a spike is the loans are amoritizing so you have a pretty good idea of when defaults are happening & the visibility into loss rates is pretty robust (i.e. the dat...
by packer16
Wed Oct 17, 2018 8:40 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Prepare For The Bear
Replies: 74
Views: 10066

Re: Larry Swedroe: Prepare For The Bear

Larry has done a good job at communicating how the market price has reduced future returns for stock & bonds but has not provided similar data for some of the alternatives. IMO you need to look at these alternatives similarly. The data in some cases are hard to come by however for alternative lendin...
by packer16
Wed Sep 26, 2018 4:00 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates: Alternative Risk Premia
Replies: 39
Views: 1929

Re: Research Affiliates: Alternative Risk Premia

How is this any different than active investing? You need manager skill & expertise to weight and time the factor exposure to generate these returns, no? How has this worked out with QSPIX? Not too good in generating equity like returns IMO because of the large amount of expertise & timing required...
by packer16
Wed Sep 26, 2018 2:14 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates: Alternative Risk Premia
Replies: 39
Views: 1929

Re: Research Affiliates: Alternative Risk Premia

Although the article is interesting it is nothing but "click-bait" for more sophisticated investors IMO. The first big issue is believing expected return expectation can be estimated based upon valuation factors independent of interest rates. This is similar the GMO type analyses that have been done...
by packer16
Fri Sep 21, 2018 7:29 pm
Forum: Investing - Theory, News & General
Topic: AQR podcast: stocks are not real assets and do not hedge against inflation risk
Replies: 25
Views: 2227

Re: AQR podcast: stocks are not real assets and do not hedge against inflation risk

The biggest difference between stocks and commodities & EM currency is stock generate cash flows which can & will grow with economic development while commodities & EM currencies do not generate cash flows. The bet with stocks is productive asset growth & with commodities & EM currencies is a bet on...
by packer16
Mon Sep 17, 2018 11:49 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Disrupted Expectations
Replies: 53
Views: 6308

Re: Larry Swedroe: Disrupted Expectations

I agree a shift to the left may have occurred but it is happened as inflation has shifted to the left also so the effects may be muted. The question IMO is what asset classes can you rely on to generate reliable above bond-like rates of return. I think you are left with equities which you can get ex...