Search found 909 matches

by packer16
Sun Feb 11, 2018 8:24 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1246
Views: 185835

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: 1246
Views: 185835

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: 1246
Views: 185835

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: 1246
Views: 185835

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: 1246
Views: 185835

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: 1246
Views: 185835

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: 1246
Views: 185835

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: 12921

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: 1246
Views: 185835

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: 3174

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: 753

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: 2545

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: 210
Views: 18181

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: 210
Views: 18181

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: 210
Views: 18181

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: 210
Views: 18181

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: 6432

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: 210
Views: 18181

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: 104
Views: 11070

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: 6432

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: 2010

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: 2010

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: 2010

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: 2010

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: 2010

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: 2010

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: 2010

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: 10472

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: 10472

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...
by packer16
Thu Nov 23, 2017 10:29 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 10472

Re: Larry Swedroe: Managing Risk With Factors

I have the same understanding as Taylor. If the market efficiently prices all risk including the factor risks, then would not the market weight represent the markets best estimate of the optimal risk/reward ratio? If not, then why not? IMO by factor investing at different weights than those set by t...
by packer16
Thu Nov 23, 2017 11:31 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 10472

Re: Larry Swedroe: Managing Risk With Factors

One issue with factors for diversification is timing. We have observed on average factors provide a diversification benefit but it is time dependent. OTOH, bonds provide diversification always. So when you substitute factors for bonds or have a more bonds with a higher expected return there is a hig...
by packer16
Wed Nov 22, 2017 8:25 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 10472

Re: Larry Swedroe: Managing Risk With Factors

One aspect of factors versus market beta is that some factors are not fundamentally based but based upon the price Mr. Market puts on a security & thus IMO are different. Equity beta is based upon the fundamentals of equity being subordinate the debt in firm's capital structures & thus over the long...
by packer16
Mon Nov 20, 2017 9:09 am
Forum: Investing - Theory, News & General
Topic: S&P 500 Dividend + Buyback Yield
Replies: 14
Views: 1619

Re: S&P 500 Dividend + Buyback Yield

It would be interesting to look at the S&P 500 net buyback yield. The article while interesting changes the underlying index from the S&P 500 to the total stock market which I wonder about. Why did they not just sty with same underlying index?

Packer
by packer16
Mon Oct 23, 2017 6:56 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why Do Hedge Funds Exist?
Replies: 10
Views: 1459

Re: Larry Swedroe: Why Do Hedge Funds Exist?

First, there is no definition of hedge funds. Second, although it may be fun to make fun of others mistakes, I think hedge funds used in the right way do add some value. Heck even Larry uses hedge funds (with requisite high fees also) which invest in factors, re-insurance and P-to-P lending. I think...
by packer16
Mon Oct 23, 2017 6:43 am
Forum: Investing - Theory, News & General
Topic: After Market Beta’s Long Run Do you Consider Diversifying Into Other Factors?
Replies: 31
Views: 2430

Re: After Market Beta’s Long Run Do you Consider Diversifying Into Other Factors?

The one point about the statement that factors explain 90% of security returns is true only in the past. If this was even true by significant margin over 50% in the future, the factors funds would be able to beat the pants off any other fund out there & this is not the case. Depending upon your tim...
by packer16
Sun Oct 22, 2017 4:33 pm
Forum: Investing - Theory, News & General
Topic: After Market Beta’s Long Run Do you Consider Diversifying Into Other Factors?
Replies: 31
Views: 2430

Re: After Market Beta’s Long Run Do you Consider Diversifying Into Other Factors?

I think to the question is yes but how resilient are the factors you are using. The ones that have an economic versus correlation basis IMO are the most reliable. The economic ones are bonds, stocks & re-insurance risk. I look at P-to-P as a fancy way to provide high yield credit to folks who cannot...
by packer16
Mon Oct 16, 2017 7:27 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26582

Re: My Favorite Alternative Funds

Nice description. I would like to hear suggestions for low cost access to number 2 alternatives above.

Packer
by packer16
Mon Oct 16, 2017 7:27 am
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26582

Re: My Favorite Alternative Funds

Given the comment above on bonds being the best diversifier, I think some of the alternatives that are hybirds between bonds & an asset, like NNN real estate, ship & aircraft leasing, can provide significant diversification for reasonable costs of near 1% and high single digit to low double digit re...
by packer16
Sat Oct 14, 2017 6:26 am
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26582

Re: My Favorite Alternative Funds

Dave, Clearly you are taking in higher than bond like risk in your switch. I think if you are willing to take on more risk with a portion of your bond allocation (which I think makes great sense given interest rates today), you should also consider other alternative assets which can provide higher r...
by packer16
Fri Oct 13, 2017 6:44 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26582

Re: My Favorite Alternative Funds

I do not get the attraction of lower returning non-correlated assets. These assets smooth out returns but is there value in a smoothed but lower return. If you constrained by a constant withdraw rate this is the case. However, as an individual you do not have such a constraint as you can use a varia...
by packer16
Thu Oct 12, 2017 7:06 am
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26582

Re: My Favorite Alternative Funds

You are correct, however for that $18 billion in expenses you get $18.2b in non-insurance after-tax income per year. So if those earnings earnings are capitalized at lets say 6.7% (15x P/E) you get $271.6 billion dollars. The additional value more than offsets the even small overhead Berkshire charg...
by packer16
Wed Oct 11, 2017 7:29 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26582

Re: My Favorite Alternative Funds

The bigger issue I see is there are some portions of the re-insurance market you do not want to be exposed to at any time & other times you want to load up. The real masters (Buffett, Markel & Watsa) know when and how to be in these markets. The average underwriters do not make money so I do not see...
by packer16
Wed Oct 11, 2017 7:08 pm
Forum: Investing - Theory, News & General
Topic: Offensive Valuations
Replies: 45
Views: 4639

Re: Offensive Valuations

You also have to look at the context of the time periods you are calculating your CAPE average. There is some good historical context on pg. 211 of Joel Tillinghast's new book "Big Money Thinks Small". There is chart which shows CAPE vs. interest rates. It shows CAPE to be 26 in April 2017. If you u...
by packer16
Wed Oct 11, 2017 6:53 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26582

Re: My Favorite Alternative Funds

The costs are the big issue here. You pay 2% for something you can get from some of the best insurance risk managers in the world for a few basis points. These managers are well known & have long track records. They include Warren Buffet & Ajit Jain at Berkshire, the Markel brothers at Markel and Pr...
by packer16
Sun Oct 08, 2017 8:30 am
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 56
Views: 7915

Re: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?

The problem with this analysis is context. How much cheaper should they be due to their lower growth rates & higher leverage? Has the levels of relative growth & leverage growth increased so we would expect an increase or a decrease? There is probably a theoretical amount which is not estimated. Ins...
by packer16
Sun Oct 08, 2017 8:22 am
Forum: Investing - Theory, News & General
Topic: The Stock Market Is "Fully Valued," Says Vanguard's Jack Bogle 10/7/17
Replies: 87
Views: 13180

Re: The Stock Market Is "Fully Valued," Says Vanguard's Jack Bogle 10/7/17

Changing your allocation for valuation (except at the extremes & both Buffet & Bogle say we are not at extremes) is typically a poor idea due in part to opportunity cost. At current valuations the opportunity cost of holding stocks vs. bonds is 4 to 5% per year, quite a a large price over longer str...
by packer16
Sat Oct 07, 2017 1:09 pm
Forum: Investing - Theory, News & General
Topic: Got a Question for the Experts Panel at the Bogleheads Conference?
Replies: 37
Views: 10466

Re: Got a Question for the Experts Panel at the Bogleheads Conference?

A question to all the panelist (esp. John Bogle): Warren Buffet has stated that current US valuations are reasonable if not cheap if current interest rates prevail. For those who are making forecasts of low expected are not these based upon the assumption that interest rates will rise to historical ...
by packer16
Sat Oct 07, 2017 12:53 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates: Starting Yields Matter To Future Returns
Replies: 6
Views: 955

Re: Research Affiliates: Starting Yields Matter To Future Returns

The biggest issue here is they exclude any data to the contrary. The primary data I see that contradicts this is that put together by Damodaran. He estimates, based upon current prices & forward looking data that the current ERP is 4 to 5%. So if you assume that the bonds will return 1% real you get...
by packer16
Fri Oct 06, 2017 11:34 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Evidence Of Shrinking Alpha
Replies: 5
Views: 1195

Re: Larry Swedroe: Evidence Of Shrinking Alpha

What I have observed at the micro security selection level, is the largest winners are based upon trends the consensus has wrong. These types of factors cannot be programmed into a computer or quant screen. I will give you an example. In late 2013, there were some radio & TV stocks left for dead as ...
by packer16
Fri Oct 06, 2017 11:20 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 56
Views: 7915

Re: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?

I agree the IFA pitch is marketing. As an exercise to show how unstable these relationships are go to Morningstar and graph the DFA fund vs. the Vanguard SCV over various start dates. What you find is that if you choose a date before 2003 DFA has a better return and after 2003 Vanguard does. The DFA...