Search found 882 matches

by packer16
Sun Nov 26, 2017 8:30 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 9583

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: 9583

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: 9583

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: 9583

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: 9583

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: 1431

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: 1341

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: 2182

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: 2182

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: 185
Views: 22546

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: 185
Views: 22546

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: 185
Views: 22546

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: 185
Views: 22546

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: 185
Views: 22546

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: 185
Views: 22546

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: 4399

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: 185
Views: 22546

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: 7601

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: 12662

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: 10218

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: 909

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: 1110

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: 7601

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...
by packer16
Fri Oct 06, 2017 11:04 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Evidence Of Shrinking Alpha
Replies: 5
Views: 1110

Re: Larry Swedroe: Evidence Of Shrinking Alpha

What I find ironic is the approaches recommended by factor investors are as active as active management assuming by weighting some types of stocks over others you will create excess return or a better risk/return relationship that can be offered by standard index funds. IMO one unstated BH assumptio...
by packer16
Tue Oct 03, 2017 7:21 am
Forum: Investing - Theory, News & General
Topic: Factors are not characteristics but correlations
Replies: 13
Views: 1262

Re: Factors are not characteristics but correlations

One test to see if non-characteristics factors are useful or even truely represent underlying forces associated with security prices is to test factor based strategies against market cap weighted indicies since the widespread use of factors (post 2009). In these test, factors have failed pretty bad ...
by packer16
Sun Oct 01, 2017 6:43 pm
Forum: Investing - Theory, News & General
Topic: Buffett's idea of risk vs risk as in the formula: 'willingness, ability and need'
Replies: 50
Views: 2771

Re: Buffett's idea of risk vs risk as in the formula: 'willingness, ability and need'

IMO one to look at this question is how risk averse are you. If you are risk averse, then the the willingness, ability & need framework is applicable if you are not then Buffett's framework is more applicable. As to folks using math to prove stocks are more volatile than bonds over the long-term are...
by packer16
Thu Sep 21, 2017 7:27 am
Forum: Investing - Theory, News & General
Topic: Factors are not characteristics but correlations
Replies: 13
Views: 1262

Re: Factors are not characteristics but correlations

IMO non-characteristic factors are given too much credit which is amplified by the Wall Street marketing machine. The problem with out of sample tests is they are made to estimate constants or constant relationships which non-characteristic factors are not. What we can say are that factors are histo...
by packer16
Wed Sep 20, 2017 9:58 pm
Forum: Investing - Theory, News & General
Topic: Factors are not characteristics but correlations
Replies: 13
Views: 1262

Re: Factors are not characteristics but correlations

You bring up a good point. I agree some of the factors are underlying characteristics & thus real vs. other that are invented primarily the ones dependent upon the price of a security. IMO a simple test for an invented factor is one that can change over time with no change in the underlying fundamen...
by packer16
Wed Sep 20, 2017 6:31 pm
Forum: Investing - Theory, News & General
Topic: Factors are not characteristics but correlations
Replies: 13
Views: 1262

Re: Factors are not characteristics but correlations

I am referring to the more recent past as data driven analysis has led to more emperical results not tied to theory. In the past, the data analysis capability was not available so folks developed a theory that was confirmed by data results. Now emperical data results (factors) are being developed wi...
by packer16
Wed Sep 20, 2017 6:13 pm
Forum: Investing - Theory, News & General
Topic: Rewards of Multiple Asset Class Investing
Replies: 22
Views: 3412

Re: Rewards of Multiple Asset Class Investing

I agree that there is a reward but you have to count the cost. Is reducing portfolio volatility really worth reducing expected return when you can use withdraw strategies to do this for you? You really need to look at the whole picture accumulation/withdraw strategies in combination with asset retur...
by packer16
Wed Sep 20, 2017 6:03 pm
Forum: Investing - Theory, News & General
Topic: Factors are not characteristics but correlations
Replies: 13
Views: 1262

Factors are not characteristics but correlations

I think many are confused that factors are different asset classes & they are not. An asset class has a different fundamental characteristics (bonds are senior to stocks in the capital stack thus are a different asset class), factors do not, they are invented constructs that have correlation with re...
by packer16
Thu Sep 14, 2017 8:38 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

What I am trying to convey with this thread that what Buffet did in stock selection had nothing to do with factors. To conflate the two is what good factor marketers have done and some have taken the whole thing hook, line & sinker. Factors are historical artifacts not a stock selection system alth...
by packer16
Wed Sep 13, 2017 3:29 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

I think there is some confusion on what value factor investing is and is not. Value factor investing is a trading strategy based upon buying stocks the market attributes low multiples to due to in most part to their high leverage and low margins (reflecting a poor competitive position) across a wid...
by packer16
Wed Sep 13, 2017 3:10 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

What I am trying to convey with this thread that what Buffet did in stock selection had nothing to do with factors. To conflate the two is what good factor marketers have done and some have taken the whole thing hook, line & sinker. Factors are historical artifacts not a stock selection system alth...
by packer16
Mon Sep 04, 2017 11:18 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

By causation, I mean that a value investor determines an intrinsic value & the market price should in theory should be in some band around intrinsic value. When it is significantly below the band then a purchase is made. Over time the values should converge if the assumptions in the apprasial are co...
by packer16
Mon Sep 04, 2017 7:18 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

The biggest difference between Buffet/Value investing & factor investing, is value investing is the basis for the causation of changes in value and factor investing is based upon just the correlation between the changes of value and some factor. Correlation does not equal causation and thus factor i...
by packer16
Sun Sep 03, 2017 4:27 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

The difference is the time period where there has been material investment in each of the index strategy (since the 1960 or before) and the SCV strategy (1993). For the index strategy we have gone through a few cycles with cash invested in the strategy for the SCV we have not. The pre-2005 SCV perfo...
by packer16
Sun Sep 03, 2017 3:06 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

It is a matter of opinion but when guys like AQR have papers claiming that have found the reasons for why Buffet outperformed and happen to have funds that use the same factors, I would call it piggy backing. Maybe others do not do the same but I think it is telling in the Fama interview referenced ...
by packer16
Sun Sep 03, 2017 2:49 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

What I am trying to convey with this thread that what Buffet did in stock selection had nothing to do with factors. To conflate the two is what good factor marketers have done and some have taken the whole thing hook, line & sinker. Factors are historical artifacts not a stock selection system altho...
by packer16
Sun Sep 03, 2017 2:39 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

I used the Vanguard 500 and Vanguard SCV from 2012 (Larry's article as published in late 2011) to date & Vanguard Total Bond for the bond portion. Here are the returns by year: Year 50/50 LP 60/40 TSM 2012 11.1% 11.1% 2013 8.6% 18.4% 2014 8.2% 10.4% 2015 -2.2% 0.9% 2016 13.7% 8.1% 2017 (YTD) 2.7% 8....
by packer16
Sun Sep 03, 2017 2:21 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

Pat Dorsey had a recent podcast that describes the difference between a positional and search cost brand & the value of a brand as being able to get a premium price. If you cannot get a premium price the brand is not worth much. Podcast: http://investorfieldguide.com/dorsey/

Packer
by packer16
Sun Sep 03, 2017 2:07 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

I understand the factor argument but I think many have been sold a story/narrative & have not pushed back. Factors are historical artifacts that describe the past but not the future. If these purveyors of factors found the Buffet's real secret sauce, they would be able to recreate in real-time his r...
by packer16
Sun Sep 03, 2017 9:47 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

Thanks Robert T. for posting the definitions especially the interview. Clearly Fama is talking about something different than value investing as described by B. Graham. I think the use of the term value for the "return challenged" firms is confusing as even the interviewer is confused and Fama does ...
by packer16
Fri Sep 01, 2017 8:23 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

Dave, IMO the key word is your statement is should. Also as shown above many of the risk/behavioral explanations are not explanations but rationalization of why factors have disappointed & why you should hang in there with this strategy despite its weaknesses. IMO I think it is important for folks t...
by packer16
Fri Sep 01, 2017 7:31 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

Thanks for the continued insight. Another difference between the two is the question each is trying to answer. Value investing per Graham is trying to answer the question of what makes a low risk high return investment and factors answer the question of what has driven difference in returns cross se...
by packer16
Thu Aug 31, 2017 8:18 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Re: Value Factor Investing is not Value Investing

Do you know if the quality screens are derived using a similar technique as the value factor, namely deriving a factor based upon historical returns. If so it is subject to the same issues as value in that there is no independent determination of value just what has provided high returns in the past...
by packer16
Thu Aug 31, 2017 7:15 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10071

Value Factor Investing is not Value Investing

I think there is some confusion on what value factor investing is and is not. Value factor investing is a trading strategy based upon buying stocks the market attributes low multiples to due to in most part to their high leverage and low margins (reflecting a poor competitive position) across a wide...
by packer16
Mon Aug 28, 2017 6:18 am
Forum: Investing - Theory, News & General
Topic: factor based investing
Replies: 43
Views: 3038

Re: factor based investing

Good points. One idea is to have a different approach for arbing away factors (such as value & mom), namely focusing on markets where this may less of an implemented strategy, such as EM or other markets flows into and out of the markets are dictated by factors other than valuation. This is more of ...
by packer16
Sun Aug 27, 2017 8:25 pm
Forum: Investing - Theory, News & General
Topic: factor based investing
Replies: 43
Views: 3038

Re: factor based investing

I am questioning the validity of the whole factor frame work because it is empirically based & not fundamentally based. Now this framework can work for trading strategies where you use what works until it no longer works but long-term investment strategies should be built upon factors that work mos...
by packer16
Sun Aug 27, 2017 8:07 pm
Forum: Investing - Theory, News & General
Topic: factor based investing
Replies: 43
Views: 3038

Re: factor based investing

I am questioning the validity of the whole factor frame work because it is empirically based & not fundamentally based. Now this framework can work for trading strategies where you use what works until it no longer works but long-term investment strategies should be built upon factors that work mos...