Search found 2465 matches

by Robert T
Sat Feb 17, 2018 5:38 pm
Forum: Investing - Theory, News & General
Topic: GMO forecast
Replies: 17
Views: 1512

Re: GMO forecast

. I earlier set-up a portfolio (for tracking purposes) a long time ago now, that weights allocations based on GMO expected returns using all the 6 equity asset classes and 4 of the bond asset classes (cash, US government bonds, TIPS, and EM bonds) included in the GMO forecasts. An allocation is only...
by Robert T
Mon Feb 05, 2018 4:05 am
Forum: Investing - Theory, News & General
Topic: Economist - “Factor investing” gains popularity
Replies: 22
Views: 2454

Re: Economist - “Factor investing” gains popularity

. Just as there are today, there were similar debates of the merits of tilting when I started my portfolio 15 years ago, and would not be surprised to see similar debates in 15 years time. We each need to weigh these merits and make our own decisions. I had the same portfolio tilts for the past 15 y...
by Robert T
Mon Jan 08, 2018 9:20 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6429

Re: Larry Swedroe: Patience And Diversification Crucial

Robert, out if curiosity, when you run something like MTUM through a 3 factor analysis, does it still explain close to 95%? Momentum is really the only factor that disaudes me from the fama french 3 factor framework. I am indifferent to most other factors, but I have a strong belief in momentum (bo...
by Robert T
Mon Jan 08, 2018 8:42 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6429

Re: Larry Swedroe: Patience And Diversification Crucial

. The word 'multifactor' seems to have different meanings to different people, confused further by financial industry 'marketing'. Multifactor is simply more than one factor (multi = more than one). By extension - large cap value and small cap are multi-factor (exposure to two 'risk factors' each), ...
by Robert T
Thu Jan 04, 2018 9:41 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6429

Re: Larry Swedroe: Patience And Diversification Crucial

Certainly international and value investors have required patience over the last decade. For the former that patience is finally being rewarded but for the latter the waiting continues. Small value relative to market has been positive over last 10 years for both Intl and US markets. 10 year annuali...
by Robert T
Thu Jan 04, 2018 4:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Patience And Diversification Crucial
Replies: 51
Views: 6429

Re: Larry Swedroe: Patience And Diversification Crucial

. From the Fama-French paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3081101 Percent of premiums that were negative (based on simulations with uncertain expected premiums) 1 yr / 3 yr / 5 yr / 10 yr / 20 yr / 30 yr periods 36.2 / 29.1 / 24.5 / 17.8 / 11.2 / ..8.0 = Equity premium 33.2 /...
by Robert T
Tue Jan 02, 2018 7:53 am
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2009

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

. Very few people hold exactly the same portfolio. All are contributing to market clearing prices. So how can the overall market be efficient, and ‘non-market’ portfolios that aggregate to the market portfolio and the associated market clearing prices be inefficient? Why does someone choose a stock-...
by Robert T
Sun Dec 31, 2017 9:54 pm
Forum: Investing - Theory, News & General
Topic: Is Beta a distinct factor or a summation of other factors
Replies: 42
Views: 2009

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

. The Capital Asset Pricing Model (CAPM) says that the only measure of risk that matters in explaining average returns of any equity portfolio is its sensitivity to market volatility i.e. Beta. However, as research has shown, sensitivity to market volatility (beta) is not the only risk that matters....
by Robert T
Sun Dec 24, 2017 2:07 pm
Forum: Investing - Theory, News & General
Topic: Buying and Spending Bitcoin
Replies: 183
Views: 22300

Re: Buying and Spending Bitcoin

.
Interesting interview: A Sober View on Crypto

First part touches on scalability.
.
.
by Robert T
Sun Dec 24, 2017 6:45 am
Forum: Investing - Help with Personal Investments
Topic: Do you have trouble standing firm on your asset allocation?
Replies: 45
Views: 3899

Re: Do you have trouble standing firm on your asset allocation?

. Had the same stock:bond allocation, US:EAFE:EM split, and long-term factor load targets for the past 15 years. " To invest successfully over a lifetime does not require a stratospheric IQ, unusual business insights, or inside information. What's needed is a sound intellectual framework for making ...
by Robert T
Sat Dec 23, 2017 6:01 pm
Forum: Investing - Theory, News & General
Topic: The 2017 Financial Market Awards by Ben Carlson
Replies: 2
Views: 538

Re: The 2017 Financial Market Awards by Ben Carlson

.
Also did a quick check on the following for 2017.

YTD return (%)

23.5 = MSCI All Cap World Index [ACWI (NAV) = 23.9]
28.6 = MSCI All Cap World Index Diversified Multi-factor [ACWF (NAV) = 28.9]

Source: MSCI website, M*
.
by Robert T
Sat Dec 16, 2017 4:48 pm
Forum: Investing - Theory, News & General
Topic: Factor-Based Investing: The Long-Term Evidence - Dimson & Marsh
Replies: 97
Views: 5981

Re: Factor-Based Investing: The Long-Term Evidence - Dimson & Marsh

Vanguard Value Index, VIVAX, has an 0.23 loading on value, according to PortfolioVisualizer, so I think that means that if you had a perfect pure value factor long-short large-cap fund, a portfolio of 100% VIVAX, and a portfolio of 87% VIVAX/23% pure value would actually be essentially the same. Ju...
by Robert T
Sun Dec 10, 2017 6:35 pm
Forum: Investing - Theory, News & General
Topic: Do DFA Funds have lower trading costs than Index Funds?
Replies: 32
Views: 1728

Re: Do DFA Funds have lower trading costs than Index Funds?

. While the message from DFA (in the OP) sounds reasonable, the key question to ask is how significant is it. Or rather, I would pose the question this way - do DFA trading strategies significantly lower costs of simply change factor exposure? This earlier paper by Donald Keim on the DFA Microcap fu...
by Robert T
Sat Dec 09, 2017 11:18 am
Forum: Investing - Theory, News & General
Topic: 2000-09 worst decade for large cap stocks in 109 years
Replies: 44
Views: 3368

Re: 2000-09 worst decade for large cap stocks in 109 years

I agree Nisi. My guess is 29-38 is the worst "decade". Also, if this was done on a real basis, my guess is that the 70-79 period wins. Can check this in DFA matrix book https://www.ifa.com/pdf/matrix%20book%202017.pdf Worst 10-year period for US large cap stocks of any 10-year period from 1926 to 2...
by Robert T
Sat Dec 09, 2017 8:56 am
Forum: Investing - Theory, News & General
Topic: 2000-09 worst decade for large cap stocks in 109 years
Replies: 44
Views: 3368

2000-09 worst decade for large cap stocks in 109 years

. From Jim O'Shaughnessy https://pbs.twimg.com/media/DQZIgmiW4AEW6NP.jpg Diversification paid off: 2000-2009: Annualized real return (inflation-adjusted) (according to portfolio visualizer) Vanguard 500 [VFINX] = -3.47% DFA US Small Value [DFSVX] = +6.44% Vanguard EM [VEIEX] = +7.12% Vanguard Interm...
by Robert T
Fri Dec 08, 2017 4:04 am
Forum: Investing - Theory, News & General
Topic: AQR/Asness - You Can Have Your Momentum Factor and Eat it Too
Replies: 21
Views: 1839

Re: AQR/Asness - You Can Have Your Momentum Factor and Eat it Too

. The linked paper in the OP compares the live returns of the AQR Momentum Funds to the AQR Momentum Indexes maintained by S&P. Since inception on July 9, 2009 to December 2016 AQR US Large Cap Momentum: Fund – Index = +0.9% AQR US Small Cap Momentum: Funds – Index = - 1.2% AQR International Momentu...
by Robert T
Sat Dec 02, 2017 9:02 pm
Forum: Investing - Theory, News & General
Topic: Fama - Embrace passive management already
Replies: 16
Views: 2595

Re: Fama - Embrace passive management already

.
Thanks for the link.
When Dimensional started dealing with financial advisers, I said to them, “Your business model has to change because just doing portfolio management is not worth 1 percent a year
.
by Robert T
Sun Nov 26, 2017 10:30 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 10460

Re: Larry Swedroe: Managing Risk With Factors

. Just to note my above example compared two already tilted portfolios. Here are the results if we compare them to the S&P500, with bond allocations set for the portfolios to have similar returns over 1928-2016. P1 = 50:50 stock/5 yr T-notes. Stock = 33% FF Large Cap Momentum: 33% Dimensional US Lar...
by Robert T
Sat Nov 25, 2017 9:05 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 10460

Re: Larry Swedroe: Managing Risk With Factors

. FWIW - some analysis on a hypothetical question: Would it be ‘better’ to shift all equities in a portfolio to small value and correspondingly increase the bond allocation? The assumption is this would give similar/same expected return and lower volatility and tail risk. The overall answer on ‘bett...
by Robert T
Fri Nov 24, 2017 7:59 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Managing Risk With Factors
Replies: 121
Views: 10460

Re: Larry Swedroe: Managing Risk With Factors

. On the market-portfolio being mean-variance efficient (i.e. "highest return with least risk") – is true if you believe the Capital Asset Pricing Model (Sharpe). It is not true if you believe in multi-factor asset pricing models (such as the Fama-French three factor model). In a multi-factor world ...
by Robert T
Tue Nov 21, 2017 8:00 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 5628

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

.
Another point not really touched on in this thread is taxes.

According to M*, since inception of QSPIX:

Pre-tax return = 8.21%
After-tax return = 5.71%
Tax cost = 2.50%

So adding expense ratio (1.50%) + tax cost (2.50%) = 4.00%

Robert
.
by Robert T
Mon Nov 20, 2017 5:08 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 5628

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

There's also a whole lot else driving returns, or else the fund can't return 37% cumulative in four years (and double digits the institutional version did with live trading the year before the mutual fund launched) over which the value factor and momentum factor in equities were hardly having their...
by Robert T
Sun Nov 19, 2017 7:11 pm
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 5628

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

But with the AQR funds and some other alts you're getting exposures to strategies outside of equities as well. This is true, and QSPIX has performed well since inception. Would however also note the findings from the paper on Value and Momentum Everywhere by Asness et al. http://pages.stern.nyu.edu...
by Robert T
Sun Nov 19, 2017 2:44 pm
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 5628

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

Not sure I completely understood your point. Dave, Let me try a simple illustration – P1 = total market (beta load = 1, value load = 0) P2 = long only value fund (beta load of 1, value load = 0.43) P3 = long/short value fund (beta load = 0, value load = 1) P4 = t-bills Overall portfolio factor load...
by Robert T
Sun Nov 19, 2017 8:25 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 5628

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

. Stocks = Beta + non-beta factors + rf Alternatives (AQR style premia) = Non-beta factors + rf The greater your tilt to non-beta factors in stocks (such value, momentum, quality/defensive), the higher the correlation with alternatives that target a tilt to non-beta factors (such as value, momentum,...
by Robert T
Sun Nov 19, 2017 7:03 am
Forum: Investing - Theory, News & General
Topic: An hour with David Swensen at Council of Foreign Relations
Replies: 25
Views: 2885

Re: An hour with David Swensen at Council of Foreign Relations

. Thanks for sharing - always good to hear what Swensen has to say. I found the part on uncorrelated assets interesting - here's an extract from the transcript. One of the most important metrics that we look at is the percentage of the portfolio that’s in what we call uncorrelated assets. And that’s...
by Robert T
Fri Nov 17, 2017 9:35 pm
Forum: Investing - Help with Personal Investments
Topic: DFA vs Vanguard
Replies: 5
Views: 734

Re: DFA vs Vanguard

. There have often been claims that DFA can add 1-3% alpha beyond factor exposure (beyond tilts to market, size, and value …) – this is largely marketing noise. FWIW - here’s a comparison of two ex-ante “factor matched” portfolios – portfolio 1 = non-DFA funds, portfolio 2 = DFA funds. These portfol...
by Robert T
Fri Nov 17, 2017 12:55 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26554

Re: My Favorite Alternative Funds

. For those interested. Some aspects of QLEIX and VMOT are similar but there are also some major differences – the correlation between QLEIX since inception and the VMOT index has been 0.48 (where 1 is perfect correlation, and 0 is no correlation). One key difference is QLEIX takes long and short po...
by Robert T
Sun Nov 12, 2017 4:02 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26554

Re: My Favorite Alternative Funds

. Some analysis on Alpha Architect Value Momentum Trend Index (tracked by relatively new VMOT ETF) Factor loads [t-stats]: 1/1995-9/2017 0.58 [22.3] = Mkt 0.58 [11.4] = Size 0.24 [.5.1] = Value 0.24 [.7.5] = CS Momentum 0.19 [11.8] = TS Momentum 0.23 [.2.2] = Alpha All are statistically significant,...
by Robert T
Mon Oct 30, 2017 3:15 am
Forum: Investing - Theory, News & General
Topic: Bernstein's bond choice for cowards and ST IG
Replies: 28
Views: 3661

Re: Bernstein's bond choice for cowards and ST IG

. Thanks for your comments Robert. How did you arrive at intermediate Treasuries versus short term Treasuries? As a general principal – I prefer to look at my portfolio as a whole, rather than fixed income in isolation, and prefer a long-term asset allocation (rather than trying to time the duration...
by Robert T
Sun Oct 29, 2017 5:33 pm
Forum: Investing - Theory, News & General
Topic: Bernstein's bond choice for cowards and ST IG
Replies: 28
Views: 3661

Re: Bernstein's bond choice for cowards and ST IG

. Bernstein – extracts from “Rational Expectations” book. “Bonds are easier. As discussed earlier in the chapter, they’re your lifeboat and your opportunity supply— an option on the future, if you will. As we saw ... in bad times corporate bonds can take a real haircut (as can longer munis) ... Duri...
by Robert T
Sat Oct 07, 2017 6:24 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 56
Views: 7911

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

What I see that is being arbed here is the value factor (as implemented by various AM firms)... An extract from this earlier article: https://www.aqr.com/cliffs-perspective/how-can-a-strategy-still-work-if-everyone-knows-about-it "Using the Fama-French approach (data from Ken French’s website) belo...
by Robert T
Fri Oct 06, 2017 6:43 am
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 56
Views: 7911

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

. FWIW - I track two portfolios with the same/very similar factor exposure - one with DFA funds and the other with non-DFA funds. 2003 to date .... the two portfolios have the same annualized return - consistent with Fama-French research. "Over the long-haul what matters is factor exposure and expen...
by Robert T
Wed Oct 04, 2017 6:43 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 56
Views: 7911

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

. A problem with these types of comparisons often made by advisors is that they are not 'factor (risk) matched' comparisons i.e. the two portfolios have different value and size exposure, and if we believe Fama-French that these are 'risk' factors https://faculty.fuqua.duke.edu/~charvey/Teaching/Int...
by Robert T
Mon Oct 02, 2017 8:01 pm
Forum: Investing - Help with Personal Investments
Topic: Domestic SCV? [Small Cap Value]
Replies: 43
Views: 5318

Re: Domestic SCV?

Did you not look at DFSVX due to tax efficiency? The monthly alpha (residual after accounting for market, size, and value exposure) for DFSVX = 0.04 over the same period as the earlier analysis and is not statistically different from zero. https://www.portfoliovisualizer.com/factor-analysis?s=y®...
by Robert T
Sat Sep 30, 2017 6:23 pm
Forum: Investing - Help with Personal Investments
Topic: Domestic SCV? [Small Cap Value]
Replies: 43
Views: 5318

Re: Domestic SCV?

. The short answer – IJS is still a good choice Long answer … “Over the long-haul, what matters is factor exposure and expense” – Bill Bernstein Factor exposure : Since inception iShares S&P600 Value (IJS) had very similar size and value exposure as DFA TM Targeted Value (DTMVX), with the latter hav...
by Robert T
Sat Sep 09, 2017 8:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 34
Views: 4391

Re: Larry Swedroe: Digging Into 'Deep Value'

. Read the book about a year ago - was an insightful read. Very good review of investment styles of Icahn and Buffet, and acquirer''s multiple, which in my view, was stronger than the data analysis towards the end of the book - while impressive, would have preferred more text around robustness of re...
by Robert T
Sat Sep 09, 2017 7:53 am
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 3500

Re: RAFI Multi-Factor Indexes

,
For those interested - the RAFI Dynamic Multi-factor ETFs are up and running as of Sept. 1

http://www.pimcoetfs.com/Funds/Pages/MFUS.aspx
http://www.pimcoetfs.com/Funds/Pages/MFDX.aspx
http://www.pimcoetfs.com/Funds/Pages/MFEM.aspx
by Robert T
Tue Sep 05, 2017 9:55 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10713

Re: Value Factor Investing is not Value Investing

... factor investing will never generate the returns of value investing. Here’s the performance of two ‘value’ funds since the start of 2003, the year I set up my personal ‘factor-tilted’ portfolio. The two ‘value’ investors/funds highlighted below – Sequoia and Tweedy Browne - were both mentioned ...
by Robert T
Sun Sep 03, 2017 3:34 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10713

Re: Value Factor Investing is not Value Investing

In 1993, DFA opened a fund that invested in the value (aka returned challenged) factor. If we look at performance since 1993, IMO your impression of SCV will change materially. Since 1993, SCV has outperformed the S&P 500 by 0.8% per year but the swings are very large thus leading to a large timing...
by Robert T
Fri Sep 01, 2017 2:35 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 10713

Re: Value Factor Investing is not Value Investing

. May be of interest – an earlier related take on value investing https://www.bogleheads.org/forum/viewtopic.php?t=52397 Ben Graham [“Value”] = exploiting mis-pricing e.g. 'buying a dollar for 50 cents' [compensated when everyone else realizes the market got the pricing wrong], need belief that: (i)...
by Robert T
Sun Aug 27, 2017 2:55 pm
Forum: Investing - Theory, News & General
Topic: Small-Cap Value has had higher returns than Total Stock Market, with lower risk
Replies: 49
Views: 4886

Re: Small-Cap Value has higher returns than Total Stock Market, with lower risk

. Small value has higher risk: e.g. 2007-08 drawdown https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2017&lastMonth=12&endDate=08%2F26%2F2017&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0...
by Robert T
Wed Jul 26, 2017 6:07 am
Forum: Investing - Theory, News & General
Topic: Are bitcoins nonsense?
Replies: 73
Views: 6032

Re: Are bitcoins nonsense?

. Initial Coin Offerings (ICOs) https://www.bloomberg.com/news/articles/2017-07-25/bankers-ditch-fat-salaries-to-chase-digital-currency-riches Loosely akin to IPOs, ICOs have raised millions from investors hoping to get in early on the next bitcoin or ether, and their unchecked growth over the past ...
by Robert T
Tue Jul 25, 2017 10:34 am
Forum: Investing - Theory, News & General
Topic: Wes Gray on MTUM and discrepancy with Momentum
Replies: 7
Views: 1066

Re: Wes Gray on MTUM and discrepancy with Momentum

. I wouldn’t read/imply too much from 5 months of data … As the MSCI USA Momentum Index (tracked by MTUM) uses different screening criteria than the Fama-French (FF) momentum series there will be differences in the variation of returns (just as small value indexes use different screening criteria th...
by Robert T
Sat Jul 22, 2017 4:47 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: REITs Aren't Special
Replies: 106
Views: 9947

Re: Larry Swedroe: REITs Aren't Special

. Generally agree with the article – as per earlier post on the subject: https://www.bogleheads.org/forum/viewtopic.php?p=3453213#p3453213 Bottom line Adding REITs to a portfolio with similar tilts to size and value has added no/little diversification benefit (even though about half the variation in...
by Robert T
Fri Jul 21, 2017 7:03 am
Forum: Investing - Theory, News & General
Topic: Cryptocurrencies
Replies: 50
Views: 5238

Re: Cryptocurrencies

. Some have pointed to similarities of the current state of crypto-currencies and the dotcom era in 1990s. e.g. 48.40 minute mark of Bill Bernstein interview with Meb Faber http://mebfaber.com/2017/07/05/episode-60-william-bernstein-comfortable-buying-something-general-worse-investment-going/ As at ...
by Robert T
Mon Jul 17, 2017 4:00 pm
Forum: Investing - Help with Personal Investments
Topic: Why Not REIT's?
Replies: 47
Views: 5615

Re: Why Not REIT's?

. FWIW – some analysis I did on REITs that may be of interest to some. “Over the long haul, what matters is factor exposure and expense.” – Bill Bernstein [2002] Factor exposure REITs provide a smaller cap and value tilt. For example, here are the mkt, size and value exposures/tilts from the Fama-Fr...
by Robert T
Sun Jul 16, 2017 9:00 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26554

Re: My Favorite Alternative Funds

To bring it back to the thread topic, are you aware of any alternative funds focused on long short "profitability/investment". I'm aware that some of the AQR alternatives may use these factors but they don't seem focused on them. They seem more focused on momentum and value. cheers, grok No. But wo...
by Robert T
Sun Jul 16, 2017 4:16 am
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26554

Re: My Favorite Alternative Funds

Maybe to move onto something actionable... I guess the question is (at least for me), is it better to invest in a Large Cap Value fund or a Large Cap "High Profitability/Low Investment" Fund (assuming you could find one). I don't know the answer to this but I suspect that the latter might better av...
by Robert T
Sat Jul 15, 2017 4:33 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 26554

Re: My Favorite Alternative Funds

2) Fama and French don't believe in the value premium any more either. https://famafrench.dimensional.com/questions-answers/qa-what-does-it-mean-to-say-hml-is-redundant.aspx "In practical terms, since there is indeed a value premium, it is still quite legitimate for investors to target it in portfo...