Search found 2543 matches

by Robert T
Thu Dec 13, 2018 11:43 am
Forum: Investing - Theory, News & General
Topic: What Happened to you during the Financial crisis of 2007–2008
Replies: 247
Views: 18842

Re: What Happened to you during the Financial crisis of 2007–2008

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75/25 stock/bond, stayed the course. Was happy to have 25% bonds for exactly this purpose.

I am also reminded of this tread at that time.
viewtopic.php?t=31483
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by Robert T
Sat Dec 01, 2018 7:44 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4992

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

I don't understand the following from the article - Larry writes that over the period studied, VFITX returned 5.2% per year, underperforming VFICX’s return of 5.8% per year. Yet when he ran a portfolio with VINIX at 60% with each of the above bond funds at 40% using portfolio analyzer, there were i...
by Robert T
Fri Nov 30, 2018 6:44 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4992

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

. Data from an earlier post https://www.bogleheads.org/forum/viewtopic.php?p=322862#p322862 2008 - YTD returns to end October. Returns (%) to October 31, 2008 -32.88 = MSCI US Broad Mkt -43.54 = MSCI EAFE -53.18 = MSCI EM +6.55 = LB 3-7yr Treasury -9.31 = LB US Intermediate Credit -17.28 = iBoxx $ L...
by Robert T
Fri Nov 30, 2018 5:11 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Are Corp Bonds Worth Risk?
Replies: 59
Views: 4992

Re: Larry Swedroe: Are Corp Bonds Worth Risk?

. FWIW - reasons that I don't include corporate bonds • Already get exposure to default/credit risk in equities. No need to hold same companies on stock and bond side. • Default/credit risk provides poor diversification for equity-oriented portfolios in financial crises, when needed most (e.g. 2008)...
by Robert T
Sun Nov 25, 2018 4:44 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11201

Re: Small Value: 15 years of underperforming

I agree with this completely. Robert T is a very knowledgeable and honest student of the market and a true believer in factor approaches. Personally, I am skeptical that factor approaches will produce superior results going forward for investors, but it is possible that they will. I therefore hedge...
by Robert T
Sun Nov 25, 2018 4:16 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11201

Re: Small Value: 15 years of underperforming

Andrew Ang, who went from writing the best book on factors to manage Blackrock's factor division writes: regarding the behavioral underpinnings of the value factor: Maybe not enough institutions have sufficiently long horizons to effectively practice value investing. The value effect documented her...
by Robert T
Sun Nov 25, 2018 2:58 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11201

Re: Small Value: 15 years of underperforming

. These types of discussion are similar to those 6 years ago, 10 years ago, and 15 years ago, and would not be surprised to see similar discussion in 6 years, 10 years, and 15 years time. As a practitioner (investing my own resources) I have simply stayed the course - same factor load targets over t...
by Robert T
Sun Nov 25, 2018 12:13 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11201

Re: Small Value: 15 years of underperforming

Isn't this the problem then with relying on FF research and data, which is more and more looking like an academic excercise while real implementations are nowhere near whether the funds are called value, growth, or blend. Based on this, one could conclude that funds that are labeled value, growth, ...
by Robert T
Sun Nov 25, 2018 5:46 am
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11201

Re: Small Value: 15 years of underperforming

Would it be fair to say small growth as it appears in mutual funds is much better investment than small growth as defined by FF? It seems like none of the funds are really investing in the black hole stocks that make FF SG look so bad. Yes - index funds that call themselves "small growth" (as well ...
by Robert T
Sat Nov 24, 2018 4:32 pm
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11201

Re: Small Value: 15 years of underperforming

. Here are some related results. DFA International Small Company includes both value and growth stocks (4,545 stocks). DFA International Small Cap Value includes a subset of the these stocks that meet the value sort criteria (2,093 stocks) Annualized return over the past 15 years: 11/2003 – 10/2018 ...
by Robert T
Sat Nov 24, 2018 12:15 am
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11201

Re: Small Value: 15 years of underperforming

The discussion points on this thread are taking on an eerie resemblance to the "Final, Definitive" thread on this subject... https://www.bogleheads.org/forum/viewtopic.php?t=96441 And that thread was about 6.5 years ago ... with many many more similar threads in between. And with all the negativity...
by Robert T
Fri Nov 23, 2018 8:36 am
Forum: Investing - Theory, News & General
Topic: Small Value: 15 years of underperforming
Replies: 142
Views: 11201

Re: Small Value: 15 years of underperforming

. "What matters over the long-haul is factor exposure and expense" - not fund names. Focus on factor exposure not on what a fund is named (the latter confuses the discussion IMO). The "Vanguard Small Growth fund" had a positive value load . i.e. not a value fund in the FF sense, on average, over thi...
by Robert T
Sat Nov 17, 2018 3:33 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1594
Views: 220377

Re: QSPIX - thoughts on interesting fund

I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental. Dave If we add taxes to inclusion considerations: Annualized returns since inception of QSPIX (according to M*): Before tax = 4.85% After tax = 2.34% Tax ha...
by Robert T
Sun Nov 11, 2018 8:35 am
Forum: Investing - Theory, News & General
Topic: Factor Momentum (a new toy/target?)
Replies: 8
Views: 820

Re: Factor Momentum (a new toy/target?)

... I don't think they include 'factor momentum'. From the quote you posted from the prospectus - my underline The Underlying Index dynamically allocates to each factor (value, low volatility, quality and momentum) at each quarterly rebalance. Dynamic allocation starts with an equal weighting to ea...
by Robert T
Sun Nov 11, 2018 5:31 am
Forum: Investing - Theory, News & General
Topic: Factor Momentum (a new toy/target?)
Replies: 8
Views: 820

Re: Factor Momentum (a new toy/target?)

. PIMCO has RAFI funds they already include 'factor momentum" [Inception date of funds was Sept 7, 2017] See the PIMCO RAFI Dynamic Multi‑Factor ETFs For US markets: MFUS For Intl Developed markets: MFDX For EM markets: MFEM https://www.pimco.com/en-us/insights/investment-strategies/strategy-spotlig...
by Robert T
Sat Nov 10, 2018 3:53 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 172
Views: 13432

Re: A reminder: Stay away from AQR

Thanks Robert T. I noticed you wrote something similar on the earlier MTUM/Gray thread. What is peculiar to me is that when one uses Portfolio Visualizer to look at the factor loadings they are nothing like what you list for its index. I mean I know you say it has higher tracking error but the diff...
by Robert T
Sat Nov 10, 2018 1:32 am
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 172
Views: 13432

Re: A reminder: Stay away from AQR

Well, that's because MTUM is hardly momentum at all. It's just MARKETING as you are so fond of pointing out. Wes Gray broke it all down. 1. The underlying series to MTUM had a momentum load not too dissimilar to the AQR Momentum Index series and the Fama-French Large Cap Momentum series. From an ea...
by Robert T
Sun Nov 04, 2018 3:14 am
Forum: Investing - Theory, News & General
Topic: David Swensen Unconventional Success
Replies: 99
Views: 8882

Re: David Swensen Unconventional Success

. Swensen's first book "Pioneering Portfolio Management" (2000) had a significant influence on my fixed income allocation. I also liked his "Unconventional Success" book. He presented one 'sample' portfolio together with his detailed rationale for inclusion of each asset class. He has made one chang...
by Robert T
Tue Oct 23, 2018 8:56 pm
Forum: Investing - Theory, News & General
Topic: DFA small value... acitve management?
Replies: 103
Views: 6277

Re: DFA small value... acitve management?

. Thanks grok87. Yes - looks like the 'momentum' screens cost DFSVX in 2016 relative to the Dimensional US Small Value Index. Interestingly DFA added the momentum screens in 2003, as I recall, and the relatively large negative momentum in 2003, 2009, and 2016 put a drag on DFSVX returns in those yea...
by Robert T
Mon Oct 22, 2018 6:55 pm
Forum: Investing - Theory, News & General
Topic: DFA small value... acitve management?
Replies: 103
Views: 6277

Re: DFA small value... acitve management?

. On “Dimensional Indexes” - the DFA Matrix Book 2018 includes many of them https://www.fplcapital.com/wp-content/uploads/2018/06/Matrix-Book-2018.pdf For example it has something called the “Dimensional US Small Cap Value Index”. One would think that this is what is broadly tracked by the DFA US Sm...
by Robert T
Tue Oct 16, 2018 10:19 pm
Forum: Investing - Theory, News & General
Topic: "Why Jack Bogle Doesn't Own Non-U.S. Stocks"
Replies: 203
Views: 11442

Re: "Why Jack Bogle Doesn't Own Non-U.S. Stocks"

. 04/1998 to 9/2018 (since inception of DFA Emerging Markets Value) - over the past 20+ years Annualized return/ Sharpe Ratio ..9.7% / 0.47 = DFA US Small Value ..9.2% / 0.49 = DFA International Small Value 10.1% / 0.44 = DFA Emerging Markets Value 10.1% / 0.52 = 50:37:13 DFA US Small Value:DFA Intl...
by Robert T
Fri Oct 12, 2018 1:34 pm
Forum: Investing - Theory, News & General
Topic: Does international really buy you diversification?
Replies: 43
Views: 4635

Re: Does international really buy you diversification?

. Just had a quick look at my returns over past 15 years (2003-2017) Returns on international stock allocation > returns on US sock allocation in 8 of the years Returns on US stock allocation > returns on international stock allocation in 7 of the years Buying the "haystack" to me includes internati...
by Robert T
Fri Oct 12, 2018 12:47 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: How A Multi-factor Portfolio Is Constructed Matters
Replies: 5
Views: 524

Re: Larry Swedroe: How A Multi-factor Portfolio Is Constructed Matters

. Larry also makes this qualification in the article: Of course, the issue is not entirely black and white, and there is room for debate depending on how the analysis is conducted. For example, Alpha Architect has a research piece that examines more concentrated characteristics-focused portfolios an...
by Robert T
Fri Sep 28, 2018 8:26 am
Forum: Investing - Theory, News & General
Topic: A quick peek at a RAFI Fundamental Large-Cap Index Fund, ten years later
Replies: 22
Views: 1705

Re: A quick peek at a RAFI Fundamental Large-Cap Index Fund, ten years later

. The funds have performed as expected. From the Fundamental Index book (pg 103): "Because a Fundamental Index portfolio has a value tilt relative to a cap-weighted market, a growth market will help the cap-weighted market relative to a Fundamental Index portfolio" From pg. 264 of the book. During 1...
by Robert T
Sun Jul 01, 2018 6:14 am
Forum: Investing - Theory, News & General
Topic: Do Advisers Add $$$ Value?
Replies: 74
Views: 6934

Re: Do Advisers Add $$$ Value?

. Costs matter (no matter what anyone tells you), they are guaranteed. A 1% advisor fee can account for 25% of your withdrawal rate. Putting it another way, in this case, for every $100 you withdraw, $25 goes to the pocket of the advisor, $75 goes to you. Perhaps you speak to the advisor once a year...
by Robert T
Sat Jun 23, 2018 6:16 am
Forum: Investing - Theory, News & General
Topic: Factor Investing Makes Someone Money, But Maybe Not You
Replies: 126
Views: 9909

Re: Factor Investing Makes Someone Money, But Maybe Not You

. Just had a look at the differences between my actual returns (P1 = actual in table below) and two portfolios: (i) a three fund portfolio with a similar stock:bond and US:non-US split in equities (37.5:37.5:25 Vanguard total stock market (VTSMX):Vanguard total international stock fund (VGTSX):Vangu...
by Robert T
Fri Jun 22, 2018 5:07 am
Forum: Investing - Theory, News & General
Topic: Factor Investing Makes Someone Money, But Maybe Not You
Replies: 126
Views: 9909

Re: Factor Investing Makes Someone Money, But Maybe Not You

. From this Fama-French 1993 article : Risk factors in equities = exposure to market, value, and size; in bonds = exposure to term and default risk. “Factor investing” is often discussed as if exposure to the market is not a risk factor, while it is the largest of those in the Fama-French article. E...
by Robert T
Sat Jun 16, 2018 12:58 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Rediscovering The Size Effect
Replies: 36
Views: 3847

Re: Larry Swedroe: Rediscovering The Size Effect

. Using 1927-2017 data from Ken French’s website. On the magnitude of small cap return differences Annualized return / Growth in $1 ..9.8% / $4,849 = Large caps (Largest 30%) 12.0% / $30,484 = Small Caps (Smallest 30%) Small cap stocks outperformed large cap stocks. The average return difference was...
by Robert T
Fri Jun 08, 2018 6:19 pm
Forum: Investing - Theory, News & General
Topic: The Psychology of Money - A Blog Post
Replies: 67
Views: 10673

Re: The Psychology of Money - A Blog Post

. Great article. “… the first rule of compounding is to never interrupt it unnecessarily.” “Don’t do anything,” are the most powerful words in finance. ‘..the person with enough room for error in part of their strategy to let them endure hardship in the other part of their strategy has an edge…’
by Robert T
Fri Jun 01, 2018 7:08 pm
Forum: Investing - Theory, News & General
Topic: "How To Stay-The-Course and Stick With Your Investment Plan"
Replies: 4
Views: 1310

Re: "How To Stay-The-Course and Stick With Your Investment Plan"

.
Stay the course. No matter what happens, stick to your program. I've said "stay the course" a thousand times, and I meant it every time. It is the most important single piece of investment wisdom I can give you." - John Bogle
Too few people take this advice seriously.
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by Robert T
Thu May 31, 2018 8:19 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness - The Hedgie in Winter
Replies: 40
Views: 4096

Re: Cliff Asness - The Hedgie in Winter

. I agree with Asness on this point. Many of the comparisons made are apples to oranges (i.e they do not compare factor matched portfolios). That being said, Bernstein had a nice analysis of hedge fund returns in his book on Skating Where the Puck Was. The analysis was based on the HRF Global Return...
by Robert T
Thu May 31, 2018 7:47 pm
Forum: Investing - Theory, News & General
Topic: To be or not to be complex, that is the question
Replies: 146
Views: 13499

Re: To be or not to be complex, that is the question

. Generally I like simplification - and in this respect I particularly liked and benefited from the earlier book by Jane Quinn https://www.amazon.com/Smart-Simple-Financial-Strategies-People/dp/0743269950 . Simple vs. complex are not binary but a continuum. Owning only one stock is arguably simpler ...
by Robert T
Mon May 28, 2018 6:48 am
Forum: Investing - Theory, News & General
Topic: Factor Investing?
Replies: 20
Views: 2004

Re: Factor Investing?

@Robert T, thanks for pointing to the DFA Balanced strategy and link to Portvolio Visualizer. That's quite a lot of DFA funds in the DFA strategy, so I put in a third portfolio consisting of DGSIX (DFA 60/40 Global) and DGEIX (DFA 100 Global) in a ratio of 68/32 to get a 75/25 portfolio and took a ...
by Robert T
Mon May 28, 2018 4:47 am
Forum: Investing - Theory, News & General
Topic: Factor Investing?
Replies: 20
Views: 2004

Re: Factor Investing?

@Robert T, since you keep excellent records I wonder if you plugged your portfolio into Portfolio Visualizer if it would tell you a performance number that matches or achieves your actual real-world experience. My guess is that Portfolio Visualizer results would not even come close because it canno...
by Robert T
Sun May 27, 2018 4:26 pm
Forum: Investing - Theory, News & General
Topic: Factor Investing?
Replies: 20
Views: 2004

Re: Factor Investing?

. Based on retrospective analysis (e.g. Fama-French 1993 , books by Bernstein, Swedroe, Swensen etc) set up a portfolio in 2003 (75:25 stock:bond portfolio with tilt to smaller cap and value). Have kept the same asset allocation/factor load targets over last 15+ years. Prospective (expected long-ter...
by Robert T
Fri May 25, 2018 3:28 am
Forum: Investing - Theory, News & General
Topic: Fact, Fiction, and the Size Effect
Replies: 84
Views: 7411

Re: Fact, Fiction, and the Size Effect

So, Robert T, are you making any changes to your investment policy based on this research, and why or why not? Kevin No need to make any changes. Historical evidence (over multiple time frames) and actual returns indicate that my allocation/combination of factor load targets are not simply leverage...
by Robert T
Tue May 22, 2018 6:56 pm
Forum: Investing - Theory, News & General
Topic: Fact, Fiction, and the Size Effect
Replies: 84
Views: 7411

Fact, Fiction, and the Size Effect

. Interesting read from AQR - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3177539 The facts we present include: that the size effect diminished shortly after its discovery and publication; that it is dominated by a January seasonal effect; that it is not applicable or does not work for other...
by Robert T
Mon May 21, 2018 6:41 pm
Forum: Investing - Theory, News & General
Topic: Does your value fund own the wrong value stocks?
Replies: 25
Views: 3407

Re: Does your value fund own the wrong value stocks?

we have to take into account that this period starts in 2000, the year the tech bubble which was largely LCG burst. Weightings in that LCG segment were huge in TSM which suffered greatly in 2000 - 2003, while LCG was non-existent in DFLVX. If instead we choose the last 10 years to compare the two, ...
by Robert T
Mon May 21, 2018 1:04 am
Forum: Investing - Theory, News & General
Topic: Does your value fund own the wrong value stocks?
Replies: 25
Views: 3407

Re: Does your value fund own the wrong value stocks?

Now it no longer has worked in retrospect even on a cost-free basis for 18 years. DFA uses P/B as a value metric. Over the last 18 years: 2000-2017: Annualized Returns / Growth in $10,000 8.85% / $46,035 = DFA Large Value Fund [DFLVX] 5.76% / $27,398 = Vanguard Total Stock Market [VTSMX] https://ww...
by Robert T
Sun May 20, 2018 11:25 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: No Need For Corp Bonds?
Replies: 38
Views: 4413

Re: Larry Swedroe: No Need For Corp Bonds?

Why are you choosing such a high equity allocation (75%)? That is my equity allocation. Why is it assumed to be that you must have only one or the other? As just one example, could have 50% stocks, 25% treasuries, and 25% corporates...or perhaps better for individuals, who have tax advantaged accou...
by Robert T
Sun May 20, 2018 8:39 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: No Need For Corp Bonds?
Replies: 38
Views: 4413

Re: Larry Swedroe: No Need For Corp Bonds?

Do you have access to data exploring short-term corporate and treasuries, intermediate-term corporate and treasuries, and total corporate and total government bond results? Just curious. I wouldn't recommend restricting yourself to long-term anything, corporate or government. Similar result with sh...
by Robert T
Sat May 19, 2018 6:51 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: No Need For Corp Bonds?
Replies: 38
Views: 4413

Re: Larry Swedroe: No Need For Corp Bonds?

. 2003-2017: Annualized Return (%) / SD Long-term corporate bonds = 6.9 / 6.6 Long-term government bonds = 6.0 / 12.3 Some may look at this data and say long-term corporate bonds were ‘better’ because they had 0.9% higher return with almost half the volatility (double the Sharpe ratio). This is true...
by Robert T
Fri May 18, 2018 6:20 pm
Forum: Investing - Theory, News & General
Topic: Does your value fund own the wrong value stocks?
Replies: 25
Views: 3407

Re: Does your value fund own the wrong value stocks?

. Reminds me of this earlier article - Three Value Investors Met in a Bar I would just note that according to the data on Ken French's website the difference in annualized returns across different value sort metrics (price-to-book, price-to-earnings, price-to-cash flow) has been smaller in small cap...
by Robert T
Thu May 17, 2018 12:38 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Value Premium Lives!
Replies: 39
Views: 3491

Re: Larry Swedroe: Value Premium Lives!

Just because something has growth in its name doesn't mean it is the opposite of value. For example the S&P 600 Growth ETF has in fact had a positive and significant 'value tilt Robert: I would highly recommend the paper that JoMoney linked (and that we originally discussed a few years back in this...
by Robert T
Wed May 16, 2018 7:16 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Value Premium Lives!
Replies: 39
Views: 3491

Re: Larry Swedroe: Value Premium Lives!

, Just because something has growth in its name doesn't mean it is the opposite of value. For example the S&P 600 Growth ETF has in fact had a positive and significant 'value tilt'. https://www.portfoliovisualizer.com/factor-analysis?s=y®ressionType=1&symbols=IJS+IJT&endDate=05%2F16%2F2018&factor...
by Robert T
Thu May 10, 2018 7:38 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness (AQR) on Bloomberg discussing Fixed Income
Replies: 15
Views: 2051

Re: Cliff Asness (AQR) on Bloomberg discussing Fixed Income

. Why more complex measures of 'value' in bonds? Simple measures didn’t work. This raises questions on the robustness of a ‘value premium’ in bonds as it seems sensitive to definition used. For example, from the earlier paper on Value and Momentum Everywhere http://docs.lhpedersen.com/ValMomEverywhe...
by Robert T
Thu May 10, 2018 9:51 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Ignore Investor Noise
Replies: 4
Views: 1144

Re: Larry Swedroe: Ignore Investor Noise

.
I like this ...
Most of all, have a well-developed, written investment plan. Develop the discipline to stick to it, rebalancing when needed and harvesting losses as opportunities present themselves.
by Robert T
Thu May 10, 2018 6:09 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness (AQR) on Bloomberg discussing Fixed Income
Replies: 15
Views: 2051

Re: Cliff Asness (AQR) on Bloomberg discussing Fixed Income

. A difference in complexity. FF equity value = Highest book-to-market AQR fixed income value = "For corporate bonds we compare credit option adjusted spreads against two fundamental anchors designed to capture the ‘risk’ that the company may migrate to a poorer credit quality. Our first fundamental...
by Robert T
Sun May 06, 2018 2:46 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factors In Fixed Income
Replies: 30
Views: 3182

Re: Larry Swedroe: Factors In Fixed Income

. Here's the Journal of Portfolio Management version of the AQR paper on Style Investing in Fixed Income - https://www.aqr.com/Insights/Research/Journal-Article/Style-Investing-in-Fixed-Income. AQR now has a bond mutual fund that "applies fundamental drivers of fixed income returns such as Value, Mo...