Search found 930 matches

by packer16
Sun Apr 01, 2018 9:23 am
Forum: Investing - Theory, News & General
Topic: What are the specific "risks not reflected in volatility" of factor investing?
Replies: 10
Views: 656

Re: What are the specific "risks not reflected in volatility" of factor investing?

What is interesting about SCV since 2000, is in big stock market down years, 2000 to 2002 & 2008, SCV outperformed the S&P 500. So while the logic of SCV being more risky in a downturn may be correct, the data says something else. One risk is liquidity. Long-term investors are uniquely positioned to...
by packer16
Sun Apr 01, 2018 9:08 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Can’t Crack Inefficient Markets
Replies: 22
Views: 2840

Re: Larry Swedroe: Active Can’t Crack Inefficient Markets

Larry, Thanks for the background here. Since the portfolio was started at an earlier time with real funds not back tested data then I stand corrected. If we use 1998 as starting point (about the low point since 1995 in relative SCV/S&P 500 relative performance) the outperformance of SCV is about 4.6...
by packer16
Sat Mar 31, 2018 4:08 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Can’t Crack Inefficient Markets
Replies: 22
Views: 2840

Re: Larry Swedroe: Active Can’t Crack Inefficient Markets

Some speak of a free lunch but I have yet to see it play out in real better returns in the future for a given set of pre-defined allocations. Larry when he laid out his LP with a SCV portfolio in 2011, set up a testable hypothesis with various levels of bond & SCV versus bonds & S&P 500 & it failed ...
by packer16
Sat Mar 31, 2018 11:15 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Can’t Crack Inefficient Markets
Replies: 22
Views: 2840

Re: Larry Swedroe: Active Can’t Crack Inefficient Markets

IMO for most BHs & thinking investors this is click bait. The studies conclusion & the articles for that matter is active is less than passive on average. What additional insight does this bring that most BHs do not already know. The question you need to ask about active is where would you expect to...
by packer16
Mon Mar 26, 2018 8:31 am
Forum: Investing - Theory, News & General
Topic: Argument Supporting Strong Future Equity Returns (?)
Replies: 29
Views: 2457

Re: Argument Supporting Strong Future Equity Returns (?)

I think one thing folks need to keep in mind is what mean are folks talking about & what factors effect that mean. If you are talking about world stock market returns, then you are talking about an combination of individual country returns. Each countries returns are going to vary depending upon how...
by packer16
Sun Mar 18, 2018 11:47 am
Forum: Investing - Theory, News & General
Topic: Re-insurance risk
Replies: 11
Views: 925

Re: Re-insurance risk

IMO the insurance risk managers like Buffet, Markel & Watsa know more about re-insurance risk than some relatively inexperienced folks running SRRIX. One clue is the masters focus in area they have an edge versus trying to diworsify into areas to reduce volatility. IMO the market is becoming more e...
by packer16
Sun Mar 18, 2018 7:16 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Count Out Commodities
Replies: 51
Views: 6235

Re: Larry Swedroe: Don’t Count Out Commodities

IMO the quality of Larry's decision is dependent upon the quality of his model. He is treating financial data & processes like scientific data which is an interesting approach but may be wrong if financial markets do not act like natural processes. If he has the correct model of markets then he is c...
by packer16
Sun Mar 18, 2018 6:46 am
Forum: Investing - Theory, News & General
Topic: Re-insurance risk
Replies: 11
Views: 925

Re: Re-insurance risk

IMO the insurance risk managers like Buffet, Markel & Watsa know more about re-insurance risk than some relatively inexperienced folks running SRRIX. One clue is the masters focus in area they have an edge versus trying to diworsify into areas to reduce volatility. IMO the market is becoming more ef...
by packer16
Sat Mar 17, 2018 11:32 pm
Forum: Investing - Theory, News & General
Topic: Re-insurance risk
Replies: 11
Views: 925

Re: Re-insurance risk

The difference between the miners & the commodity is the miners have costs (so there is operational leverage) & financial leverage. So buying miners is buying leveraged exposure to a commodity with all the lenders ahead of you taking most of the return most of the time, similar to shipping companies...
by packer16
Sat Mar 17, 2018 8:22 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factor Investing Alive & Well
Replies: 11
Views: 1695

Re: Larry Swedroe: Factor Investing Alive & Well

Interesting article but I think he missed an option in the overgrazing narrative. We did see a one-time large gain in value vs. growth stocks from 1999 to 2006 and a flat or oscillating gain and loss since then. You can see this in the differences in returns between DFSVX/VSIIX and VFINX from 1999 t...
by packer16
Tue Mar 13, 2018 9:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Count Out Commodities
Replies: 51
Views: 6235

Re: Larry Swedroe: Don’t Count Out Commodities

Dave, Thanks for your narrative. I am similarly interested in the market but try to use a micro edge (focus on specifically mispriced securities) versus trying to invest where I think I have macro/asset class edge. I read the article & found it defensive & the arguments about CCF weak. If CCF is too...
by packer16
Sun Mar 11, 2018 12:34 pm
Forum: Investing - Theory, News & General
Topic: Cheap & More Liquid Ways to Get Alt Exposures
Replies: 5
Views: 636

Re: Cheap & More Liquid Ways to Get Alt Exposures

I am not sure that the stock market risk would overwhelm the reinsurance, credit card or farm risk (which comes from the same underlying assets) over a longer period of time. I never understood the stock market risk related to these assets. I do not think just because these assets (re-insurance, cre...
by packer16
Sun Mar 11, 2018 8:33 am
Forum: Investing - Theory, News & General
Topic: Cheap & More Liquid Ways to Get Alt Exposures
Replies: 5
Views: 636

Cheap & More Liquid Ways to Get Alt Exposures

I agree with the alternatives in concept but the high cost and lack of liquidity in the current fund offerings discussed here create some real issues in attempting to getting the market returns from these funds. First, the cost is high which on a portfolio % basis may be small on an absolute $ basis...
by packer16
Tue Mar 06, 2018 7:28 am
Forum: Investing - Theory, News & General
Topic: Re-insurance risk
Replies: 11
Views: 925

Re-insurance risk

I like the idea of re-insurance risk as diversifier. Therefore, I think it may make sense to holds a group of good re-insurers as diversification and return enhancing investment. I have heard some talk about SRRIX but IMO this is an expensive option that has had poor historical performance versus sk...
by packer16
Sat Mar 03, 2018 12:51 pm
Forum: Investing - Theory, News & General
Topic: Study: Population Aging and Real Interest Rates, 1960-2060
Replies: 22
Views: 3259

Re: Study: Population Aging and Real Interest Rates, 1960-2060

One way to examine the chart is in regards to capital destroying events (war, famine & epidemics) or capital retarding events (collective/auotcratic economic systems). In the late 19th century to the mid 20th century, all three of the destroyers & retarders were present. However, as the first three ...
by packer16
Sat Mar 03, 2018 8:52 am
Forum: Investing - Theory, News & General
Topic: Excellent Article On Conversion Of Human Capital To Investment Capital And Sequence Of Return Risk
Replies: 4
Views: 857

Re: Excellent Article On Conversion Of Human Capital To Investment Capital And Sequence Of Return Risk

Great article. The CFA paper linked to in the article (https://www.cfapubs.org/doi/pdf/10.2470/rf.v2007.n1.458) has some interesting ideas about quantifying human capital & putting it into an asset allocation and deals with issues such as discount rate to discount human capital dependent upon how ri...
by packer16
Thu Mar 01, 2018 8:04 am
Forum: Investing - Theory, News & General
Topic: Your Paradigm for Long-term Inflation Risk?
Replies: 29
Views: 1809

Re: Your Paradigm for Long-term Inflation Risk?

The best paradigm I have seen is based upon shortages. What causes prolonged inflation is labor shortages. These are typically caused by war, famine or epidemic or in the 20th century not participating in the world economy in a productive way (communist command economies). There is great book called...
by packer16
Tue Feb 27, 2018 8:40 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Investors Should Worry About
Replies: 118
Views: 10627

Re: Larry Swedroe: What Investors Should Worry About

Nedsaid, Thanks for putting the effort into that last post; very interesting read. Jared Kiser from Larry’s firm published a paper showing that REIT returns are really explained by the underlying factors size, value, and I think term. Based on that I’ve elected to access those factors with stocks a...
by packer16
Sun Feb 25, 2018 4:29 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Consumption’s Impact On Returns
Replies: 5
Views: 1015

Re: Larry Swedroe: Consumption’s Impact On Returns

It would be interesting to hear Larry's & others thoughts on Damodaran's forward looking ERP data based upon the 10-year bond rate, as shown on his site. The ERP is the incremental return of holding stocks versus bonds. This data overcomes some of the CAPE weaknesses like lack of normalization to in...
by packer16
Sat Feb 24, 2018 4:59 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Investors Should Worry About
Replies: 118
Views: 10627

Re: Larry Swedroe: What Investors Should Worry About

I agree they are not alternatives to stocks or bonds but the actual returns (as implemented by the recommended funds) are closer to balanced fund returns than equity. In theory they may have equity returns but since these funds have been around & recommended (2014) the average return has been 6.1% w...
by packer16
Sat Feb 24, 2018 2:05 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Investors Should Worry About
Replies: 118
Views: 10627

Re: Larry Swedroe: What Investors Should Worry About

IMO the scenario that Larry points out is pretty remote. A few items he left out include the low labor participation rate which will increase the pool of workers vs. history & the fact that wages are not rising across the board but in select sectors (high tech, drug/bio tech). I agree to get inflati...
by packer16
Sun Feb 11, 2018 8:24 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 190627

Re: QSPIX - thoughts on interesting fund

In terms of comparisons, you need to reference the dates the comments were made. If you look at performance since 9/30/2015, the story is not a clear as the chart presented implies. Since Sept 2015, QPSIX returned 4.4% per year versus 17.2% for the S&P 500 & 2.2% for SEQUX. Now SEQUX was half way t...
by packer16
Sat Feb 10, 2018 8:39 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 190627

Re: QSPIX - thoughts on interesting fund

My intent may be coming off too strong. It looks your expectation was not that QSPIX was not going to give you equity-like returns which is fine I just have a problem with characterizing these as equity like returns for less volatility. From a markets perspective, this does not make sense as the mar...
by packer16
Sat Feb 10, 2018 8:09 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 190627

Re: QSPIX - thoughts on interesting fund

As to efficiency versus alpha your definition of efficiency is what value investors do. They identify pricing descrepancies and other non-correlated factors such as holding company and voting discounts which are event driven versus market driven in terms of increasing in price. The only issue with p...
by packer16
Sat Feb 10, 2018 6:27 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 190627

Re: QSPIX - thoughts on interesting fund

What is the difference between portfolio efficiency and seeking alpha (both trying to get equity like returns for less risk or more returns for equity like risk). IMO, unless I missed something, we have had 5 years + to evaluate some of these approaches & it has yet to be shown it can be done. All f...
by packer16
Sat Feb 10, 2018 10:49 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 190627

Re: QSPIX - thoughts on interesting fund

In terms of comparisons, you need to reference the dates the comments were made. If you look at performance since 9/30/2015, the story is not a clear as the chart presented implies. Since Sept 2015, QPSIX returned 4.4% per year versus 17.2% for the S&P 500 & 2.2% for SEQUX. Now SEQUX was half way th...
by packer16
Sat Feb 10, 2018 8:37 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 190627

Re: QSPIX - thoughts on interesting fund

One interesting alternative to QSPIX is Vanguard Balanced Fund. It has provided about the same return with lower fees & thus if QSPIX's quant algos stop working then you have removed that risk. In the end I really wonder if these alternatives add anything you can get from a balanced fund. The alts ...
by packer16
Sat Feb 10, 2018 8:27 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 190627

Re: QSPIX - thoughts on interesting fund

Although Larry has some good advice & is a really nice guy, he has some weaknesses. He appears to be in the hunt for alternative assets to generate returns, just like the active managers he rails on. This quest IMO leads him to risky & expensive alternative which IMO have little or no place in a Bog...
by packer16
Sat Feb 10, 2018 8:22 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rising Rates Increase Worries
Replies: 86
Views: 13503

Re: Larry Swedroe: Rising Rates Increase Worries

Although Larry has some good advice & is a really nice guy, he has some weaknesses. He appears to be in the hunt for alternative assets to generate returns, just like the active managers he rails on. This quest IMO leads him to risky & expensive alternative which IMO have little or no place in a Bog...
by packer16
Thu Feb 08, 2018 8:45 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1255
Views: 190627

Re: QSPIX - thoughts on interesting fund

One interesting alternative to QSPIX is Vanguard Balanced Fund. It has provided about the same return with lower fees & thus if QSPIX's quant algos stop working then you have removed that risk. In the end I really wonder if these alternatives add anything you can get from a balanced fund. The alts d...
by packer16
Sun Jan 21, 2018 9:13 pm
Forum: Investing - Theory, News & General
Topic: "Why You Should Probably Just Give Up Trying To Beat The Stock Market"
Replies: 19
Views: 3261

Re: "Why You Should Probably Just Give Up Trying To Beat The Stock Market"

The one issue with the Larry Portfolio is timing risk. If you put one together after his article you would underperform & have as much volatility as a TSM/bond portfolio. It is good in theory but the shortfalls from the expected premium can be painful if you expect them to show up and they do not. P...
by packer16
Mon Jan 15, 2018 9:06 am
Forum: Investing - Theory, News & General
Topic: Individual investors, possible structural advantages
Replies: 10
Views: 824

Re: Individual investors, possible structural advantages

The structural advantage of individual investors is the long time horizon they have for some of their money. This can provide an advantage in a panic as they can provide liquidity to selling shareholders. This can also be an advantage in small niches of the market where an individual has specialized...
by packer16
Sat Jan 13, 2018 9:31 am
Forum: Investing - Theory, News & General
Topic: Skating where the puck was; e.g., commodities. Factors next?
Replies: 35
Views: 2719

Re: Skating where the puck was; e.g., commodities. Factors next?

We should expect the value to growth gap to grow over time as the market more efficiently divides stocks into growth (good stocks) & value (crappy stocks). The implicit assumption you are making when you expect the spread to have mean that is being reverted to is the market is no more efficient then...
by packer16
Wed Jan 10, 2018 8:07 am
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 211
Views: 20352

Re: Memo to those who have won the game: it's time to quit playing

Did you notice the start and end dates for your first source? It begins at a market top & ends at a bottom. It would be interesting to see the rolling average over that same period & find out what % of the time B&H did better than the timing system. In terms of holding when stocks are below the MA ...
by packer16
Tue Jan 09, 2018 7:49 am
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 211
Views: 20352

Re: Memo to those who have won the game: it's time to quit playing

As you point out, this approach doing better is based upon a sideways market. Will we have a sidewise market in the next 20 years? I do not know. Based upon the past, it is unlikely to last over 20 years. So although these are interesting observations, like IMO factors also, there use as an investm...
by packer16
Mon Jan 08, 2018 10:40 pm
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 211
Views: 20352

Re: Memo to those who have won the game: it's time to quit playing

As you point out, this approach doing better is based upon a sideways market. Will we have a sidewise market in the next 20 years? I do not know. Based upon the past, it is unlikely to last over 20 years. So although these are interesting observations, like IMO factors also, there use as an investm...
by packer16
Mon Jan 08, 2018 8:02 pm
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 211
Views: 20352

Re: Memo to those who have won the game: it's time to quit playing

I would be interested in what evidence you have that rules based market timing works. All I have seen evidence that it does not. A Damodaran has done a good piece on this as well as friend of mine at Austin Value Capital. Their conclusion, it is impossible to develop a rules-based system to get in ...
by packer16
Mon Jan 08, 2018 8:38 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6908

Re: Larry Swedroe: Patience And Diversification Crucial

One possibility here is that factor investing is more akin to active investing than passive investing. In this case, the early adopters will reap the gains until the factor premium is arbed away. The assumption made in factor investing is the underlying characteristics of firms associated with a fac...
by packer16
Mon Jan 08, 2018 8:18 am
Forum: Investing - Theory, News & General
Topic: Memo to those who have won the game: it's time to quit playing
Replies: 211
Views: 20352

Re: Memo to those who have won the game: it's time to quit playing

Is all this not market timing? How do you know market will not keep on going up? From valuation measures the market was expensing I've when Dow was 8000 points lower. I read here that nobody can time the market. Even dyed-in-the-wool Bogleheads will say that changing your AA based on your own perso...
by packer16
Sat Jan 06, 2018 9:30 am
Forum: Investing - Theory, News & General
Topic: Small cap value vs. total market?
Replies: 105
Views: 13551

Re: Small cap value vs. total market?

We appear to be back to the old debate of whether SCV adds value to a portfolio. One note SCV is not Value Investing in the Graham & Dodd tradition & to conflate the two is mlsleading. SCV is a trading strategy used by hedge fund to try to beat the market. Now some have tried to turn it into an inve...
by packer16
Fri Jan 05, 2018 8:26 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6908

Re: Larry Swedroe: Patience And Diversification Crucial

Has any one tested the premise that factor diversification adds value over time. Has a portfolio of factor based ETFs/mutual funds been tested against more market weighted benchmarks to see if this actually provides a benefit (esp, since 2012)? From the discussion I have been hearing, there is alot ...
by packer16
Mon Jan 01, 2018 10:22 pm
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2149

Re: Is Beta a distinct factor or a summation of other factors

Thanks for the replies. In terms of terminology I think the price in an efficient market is the best estimate of value. For the price to reflect this you need have a diversity of values that are independently derived. If this is the case, any other price on average is worse. There are going to be ca...
by packer16
Mon Jan 01, 2018 12:59 pm
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2149

Re: Is Beta a distinct factor or a summation of other factors

I am saying that the market will price on average the risks in stocks appropriately so, unless you have specific information about a specific security that is not incorporated into price, the best estimate of value is the market price & thus tilting will not add anything but volatility unless yon ca...
by packer16
Mon Jan 01, 2018 11:21 am
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2149

Re: Is Beta a distinct factor or a summation of other factors

I agree about knowing who you are trading against & therefore factors have little influence on my strategy. My approach is more about finding the exceptions on the edge that have type of constraint against efficiency versus a cross-sectional approach of factors that by definition you will not know w...
by packer16
Mon Jan 01, 2018 10:35 am
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2149

Re: Is Beta a distinct factor or a summation of other factors

You have to be careful on the value/growth spread. The implicit assumption there is the quality of the firms have value characteristics are the same as in the past. I would argue that it has changed over time as the market has become more efficient (ie. the value stocks compared to growth stock have...
by packer16
Mon Jan 01, 2018 10:07 am
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2149

Re: Is Beta a distinct factor or a summation of other factors

Thanks for the replies. Although the paper referenced dose have some interesting point it is dated (1995) & alot of money has flowed into factor strategies since then. One issue I am having with the factor model is the how investing in a factor way will not reduce its benefits to almost zero as the ...
by packer16
Sun Dec 31, 2017 1:50 pm
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2149

Re: Is Beta a distinct factor or a summation of other factors

The follow-up question I have is why is not the market weights the most efficient portfolio as the you have the weights of the market participants in your portfolio. It may not be right but it is the best estimate available. Is not any deviation saying you know more than the market that has put the ...
by packer16
Sat Dec 30, 2017 3:34 pm
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2149

Is Beta a distinct factor or a summation of other factors

How does one know if beta is a distinct factor versus just the summation of other factors weighted by the market at any given time? If it is distinct then it will provide diversification. If it is a summation, then factor investing is betting the market has it wrong in terms of weighting.

Packer
by packer16
Sun Nov 26, 2017 8:30 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 11133

Re: Larry Swedroe: Managing Risk With Factors

I agree that markets at times misprice securities by my main issue with factors is the assumption that to take advantage of this you use cross sectional groups of securities versus a focused group that you find mispriced. The market on average provides the best estimate of value so why would that no...
by packer16
Fri Nov 24, 2017 7:44 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 11133

Re: Larry Swedroe: Managing Risk With Factors

To be clear I have not left value investing. I still believe and a vast majority of my portfolio (90%+) is in invested in value stocks. However, the value factor is not value investing & conflating the two leads all types of confusion. Value investing can work due to a small number of misprcings. Ho...