Search found 1030 matches

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: 2743

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: 12885

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: 595

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: 595

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: 5968

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: 6099

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: 5335

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: 2633

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: 2939

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: 2939

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: 2939

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: 9394

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: 9394

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: 9394

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: 6214

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: 6214

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: 6904

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: 6214

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: 6214

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: 6214

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: 6214

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: 9992

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: 9992

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: 9992

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: 37
Views: 1645

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: 37
Views: 1645

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: 2211

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: 6281

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...
by packer16
Mon Sep 17, 2018 8:34 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Disrupted Expectations
Replies: 53
Views: 6281

Re: Larry Swedroe: Disrupted Expectations

I wish folks would give error bands around their expected return estimates then we would know when there is an issue.

Packer
by packer16
Fri Sep 14, 2018 11:38 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4618

Re: Larry Swedroe: Simple Factor Investing

The correlation is dependent upon the asset class. IMO to say value, size and the market are uncorrelated is a stretch. To say they are weakly correlated I think is more appropriate. Also, the difference in volatility between Vanguard SCV & the S&P 500 is about 1% per my calcs since 1994 & almost th...
by packer16
Wed Sep 12, 2018 3:50 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benchmark Smoke And Mirrors
Replies: 14
Views: 1203

Re: Larry Swedroe: Benchmark Smoke And Mirrors

I like the idea of the idea of using the next best alternative & the effect of substituting the subject fund with other assets in your portfolio. You can test weather the fund adds value & the effect on volatility using this approach.

Packer
by packer16
Wed Sep 12, 2018 10:36 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Benchmark Smoke And Mirrors
Replies: 14
Views: 1203

Re: Larry Swedroe: Benchmark Smoke And Mirrors

Interesting article but I have a more fundamental question of using factors as an explanatory benchmark (which IMO it was intended to do) versus an active performance benchmark (that some use it for but IMO is Monday morning quarterbacking). The issue with using it for performance benchmarking is an...
by packer16
Mon Sep 10, 2018 8:12 am
Forum: Investing - Theory, News & General
Topic: Question: Alternatives to Berkshire
Replies: 15
Views: 1501

Re: Question: Alternatives to Berkshire

I think BAM or BIP are good alternatives as they are investing in cash flowing assets using their company specific knowledge. BAM is the asset manager while BIP is the infrastructure fund. Here is a talk by Bruce Flatt the Brookfield CEO gave at Google recently: https://www.youtube.com/watch?v=vmt1L...
by packer16
Sun Sep 09, 2018 11:18 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1511
Views: 213663

Re: QSPIX - thoughts on interesting fund

IMO to say a fund is its own benchmark is marketing & self serving. The purpose of benchmarking in the first place is assess a funds performance. Its like saying I am so special I do not need grades trust me I am doing well. In any case, if worse comes to worse you can develop a benchmark of assets...
by packer16
Sun Sep 09, 2018 11:05 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1511
Views: 213663

Re: QSPIX - thoughts on interesting fund

The big assumption on value vs. growth spreads is the future growth and risk is same over time. I would expect as the market becomes more efficient the more operationally and financially leveraged firms would migrate to the value bucket & thus eliminate a portion of the value premium caused by less ...
by packer16
Sun Sep 09, 2018 8:14 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1511
Views: 213663

Re: QSPIX - thoughts on interesting fund

IMO to say a fund is its own benchmark is marketing & self serving. The purpose of benchmarking in the first place is assess a funds performance. Its like saying I am so special I do not need grades trust me I am doing well. In any case, if worse comes to worse you can develop a benchmark of assets ...
by packer16
Sat Sep 08, 2018 2:12 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1511
Views: 213663

Re: QSPIX - thoughts on interesting fund

I think a better way to find non correlated returns is to find bond-like (income generating) assets that are modestly leveraged. Some examples are investment grade triple-net lease real estate (equivalent to first lean claims that are growing every year on underlying businesses), investment grade BD...
by packer16
Sat Sep 08, 2018 7:12 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1511
Views: 213663

Re: QSPIX - thoughts on interesting fund

Given its recent performance, is the current shortfall within the range of expectations? My original understanding was the fund was going to control volatility. The implication is that with lower volatility the probability for loss would be less. If that is the case then why such a large negative de...
by packer16
Fri Sep 07, 2018 3:05 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1511
Views: 213663

Re: QSPIX - thoughts on interesting fund

QSPIX does not need to short dividend paying stocks, it has chosen a strategy that uses this to generate its return. To get other alternative asset returns you do not need to do this, thus is this cost that AQR decides to use & paid to someone else an expense? I think it is as the investor does not ...
by packer16
Wed Sep 05, 2018 6:57 am
Forum: Investing - Theory, News & General
Topic: Investment Books
Replies: 47
Views: 3503

Re: Investment Books

What do people think of Seth Klarman's Margin of Safety? I read it this summer. I thought there were some insights there. I thought it was pretty horrible. The beginning is a lot of the same "most traders lose money" stuff that you see in every investment book except with less of the rigor and cita...
by packer16
Wed Sep 05, 2018 6:45 am
Forum: Investing - Theory, News & General
Topic: Investment Books
Replies: 47
Views: 3503

Re: Investment Books

I have a mix of some Bogleheadish type books worn from use, some alternative investment books, classic value investing books & financial history books. I typically find one investment book per year which is really interesting but occasionally I will find an older book with concepts repackaged at a l...
by packer16
Tue Sep 04, 2018 7:25 am
Forum: Investing - Theory, News & General
Topic: Does it make sense to invest in individual stocks (like Kanye West) if you stick to what you know?
Replies: 110
Views: 5823

Re: Does it make sense to invest in individual stocks (like Kanye West) if you stick to what you know?

One area I think this makes sense is in areas of the market institutions do not go (smaller stocks & some regions of the world) in a contrarian manner. The edge most here are discussing is an informational edge. I agree as an individual we are at huge disadvantage here & you correct to say if this w...
by packer16
Mon Sep 03, 2018 7:18 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1511
Views: 213663

Re: QSPIX - thoughts on interesting fund

One way to benchmark this fund is to replace equal amounts of bonds & equity in a portfolio with QSPIX under the rationale that the volatility impact on the portfolio is somewhere between bonds & stocks. The actual volatility is closer to stocks but the correlation effect reduces the volatility impa...
by packer16
Sat Sep 01, 2018 9:15 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1511
Views: 213663

Re: QSPIX - thoughts on interesting fund

...They attribute the recent poor performance to the value premium in equities. I posted a chart showing that neither large-cap value nor small-cap value funds had shown any similar decline, and questioned that attribution. With regard to the value funds you mention above, they are dominated by mar...
by packer16
Thu Aug 30, 2018 7:20 am
Forum: Investing - Theory, News & General
Topic: Can margin be beneficial for long-term investing?
Replies: 61
Views: 3781

Re: Can margin be beneficial for long-term investing?

One consideration here is your personal capital & how that can be used to finance the margin (or obtain a loan in advance to make a margin call if one occurs). However if you are talking about 20% leverage and investing in a diversified portfolio, then your portfolio has to decline by 78% before a m...
by packer16
Mon Aug 20, 2018 9:24 am
Forum: Investing - Theory, News & General
Topic: Emerging Markets in Bear Territory
Replies: 65
Views: 9187

Re: Emerging Markets in Bear Territory

Since the mid 2000's, in China, you have a leader who made himself leader for life, in Russia, Putin has invaded Ukraine & made himself leader for life & the same for Turkey (leader for life). All the trends are moving in the wrong directions in those countries. As these leaders gain power, the situ...
by packer16
Mon Aug 20, 2018 8:04 am
Forum: Investing - Theory, News & General
Topic: Emerging Markets in Bear Territory
Replies: 65
Views: 9187

Re: Emerging Markets in Bear Territory

I sold all my emerging last year after holding them for 20+ years. In the last couple years I travelled to a lot of them and experienced first hand corruption, lack of transparency and lack of rules thats conducive to investing. And do you think the market is unaware there's more corruption in emer...
by packer16
Sat Aug 18, 2018 10:07 am
Forum: Investing - Theory, News & General
Topic: Do You Believe Diversification Is The Right Strategy Only If The Investment Horizon Is Long?
Replies: 28
Views: 2255

Re: Do You Believe Diversification Is The Right Strategy Only If The Investment Horizon Is Long?

The issue with diversification beyond bonds for the short term is every asset class except bonds has positive correlation with equities when they go down. There was very interesting article in the CFA Journal this month on this. They found that when a stock selloff hits, the correlation of otherwise...
by packer16
Mon Aug 13, 2018 9:33 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 14647

Re: Larry Swedroe: Valuations Too High?

What evidence do you have? Most if not all small cap value funds are diversified & thus you have no test of the few good bargains hypothesis. I have experienced and seen others who have experienced just the opposite. IMO the reason SCV funds underperform is the diluting away of the value factor & fe...
by packer16
Mon Aug 13, 2018 7:34 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Valuations Too High?
Replies: 229
Views: 14647

Re: Larry Swedroe: Valuations Too High?

I agree with Park here. You do see value at the individual security level (a cheap stock) more than you see in diversified groups of stocks. By definition this is the case. They key here is the idiosyncratic risk control. This risk control can be implemented by relative sizing based upon operational...