Search found 2429 matches

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: 3457

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: 2973

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: 8866

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: 8866

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: 8866

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: 4167

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: 4771

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: 799

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: 8645

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: 45
Views: 3399

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: 4774

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: 143
Views: 13055

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: 143
Views: 13055

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: 143
Views: 13055

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...
by Robert T
Mon Jul 10, 2017 8:20 am
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 143
Views: 13055

Re: My Favorite Alternative Funds

. On momentum: Long/short: the -82.91% return in 2009 was driven by loses on the short side - so would be hesitant of long/short momentum due to negative skewness. Long only (large caps): the largest one year loss 1927-2016 = -36.74% (according to FF data). 1926-2016: Annualized return (%)/SD/Sharpe...
by Robert T
Sat Jun 24, 2017 3:10 pm
Forum: Investing - Theory, News & General
Topic: Your Favorite Portfolio Tilts
Replies: 86
Views: 7252

Re: Your Favorite Portfolio Tilts

. FWIW – I had the same portfolio tilts (reflected in earlier post) over past 14.4 years. What have these tilts added over this period relative to an indicative ‘market portfolio’ reflected in my earlier post? +0.8% from greater equity orientation +0.7% from greater EM allocation* +1.0% from value a...
by Robert T
Thu Jun 22, 2017 4:29 pm
Forum: Investing - Theory, News & General
Topic: Your Favorite Portfolio Tilts
Replies: 86
Views: 7252

Re: Your Favorite Portfolio Tilts

. Using an indicative ‘market portfolio’ of: 30% US stocks 25% non-US stocks 23% US bonds 22% Non-US bonds (re: pg 22 of Bill Sharpe’s online book m) My preferred long-term tilts are: Equities (75% relative to 55% in ‘market portfolio’) Value (target long-term load = 0.4) Small (target long-term loa...
by Robert T
Sat May 20, 2017 6:57 am
Forum: Investing - Theory, News & General
Topic: "Why Value Stocks Have Disappointed"
Replies: 42
Views: 6046

Re: "Why Value Stocks Have Disappointed"

. Interest and inflation rates, and not a new story, if we believe Bernstein's earlier article - "Who Killed Value?" on the 15 years of value underperformance from mid 1980s. From the article - "So, value enthusiasts, rejoice, investing in cheap stocks has not gone the way of John Cle...
by Robert T
Thu Apr 20, 2017 5:19 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe says "Goodbye."
Replies: 336
Views: 41050

Re: Larry Swedroe says "Goodby."

. I am a better investor from having read Larry Swedroe’s posts (both at vanguard diehards, in the earlier days; and at bogleheads). His contributions have been immense – both in volume and substance. Much appreciated and needed in a time when individuals increasingly need to take responsibility for...
by Robert T
Sun Apr 16, 2017 12:04 pm
Forum: Investing - Help with Personal Investments
Topic: Allocation Decisions: LENDX, SRRIX and QSPIX
Replies: 48
Views: 4581

Re: Allocation Decisions: LENDX, SRRIX and QSPIX

. FWIW - some due diligence on LENDX (just my take) • Credit risk (the same or different?) : LENDX is essentially exposure to credit risk (plus leverage). Its not exactly the same credit risk as corporate bonds, and may provide added diversification if using corporate bonds i.e. instead of investing...
by Robert T
Fri Mar 17, 2017 9:05 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 7012

Re: What do you expect to achieve with your Tilt?

Do you re-balance ? What is your rationale? and if you do: what are your bands? Have you determined what your return would have been if you would not have re-balanced? Wildebeest, Yes I rebalance, to rebalance risk. I have long-term targets for allocations to stocks:bonds, US:EAFE:EM; and exposure ...
by Robert T
Tue Mar 14, 2017 4:33 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 7012

Re: What do you expect to achieve with your Tilt?

But, Robert, what was your targeted result? The OP suggested at least the expected mean and expected SD, the usefulness of SD being a point for discussion. The point is that all results are only one instance from a possible distribution and we plan portfolios based on the expected distribution. The...
by Robert T
Sun Mar 12, 2017 6:42 am
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 7012

Re: What do you expect to achieve with your Tilt?

. Target = 75:25 stock:bond portfolio, with 0.2/0.4 size/value load in equities, and 0.5 term load in bonds. Actual performance over last 14 years in comparison to two 'market' portfolios with the same stock:bond split 2003-2016: Annualized return / 2008 return 9.3% / -28.7 = Actual portfolio 7.5% /...
by Robert T
Fri Feb 24, 2017 8:36 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard versus Dimensional
Replies: 22
Views: 2924

Re: Vanguard versus Dimensional

As I understood it DFA didn't start screening for momentum and profitability until the 2000s but it's also true that BAM and Larry use BOSVX now for domestic scv. Just looking at the AQR 4 factor regression for DFSVX, IJS, and VISVX. DFSVX is a higher load on value and size but IJS is a bit higher ...
by Robert T
Thu Feb 23, 2017 10:39 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard versus Dimensional
Replies: 22
Views: 2924

Re: Vanguard versus Dimensional

. DFA is just more efficient at getting it and has added benefits with their screens and patient trading. Seeking Alpha had a good comparison that accounts for the difference in returns: m It would be nice if DFA did add significant alpha beyond factor exposure, as some have claimed, but there is li...
by Robert T
Tue Feb 21, 2017 7:20 pm
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 40
Views: 8775

Re: Question for RobertT

I take it you don't lend too much credence to the thought that the value premium also exhibits nonlinearity with respect to dependence on size? Because then you would want VBR to maximize efficient capture of the premia. Here is some data on value returns by size. 1927-2014: Annualized returns Larg...
by Robert T
Tue Feb 21, 2017 9:23 am
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 40
Views: 8775

Re: Question for RobertT

..9% iShares S&P600 Value ..5% Bridgeway Small Co. Mkt Robert T, What does each of these two holdings give you that the other one doesn't? In other words: couldn't you as well simpkyfy by having 14% iShares S&P600 Value or 14% Bridgeway Small Co. Mkt? Thank you. Its important to go back to ...
by Robert T
Mon Feb 20, 2017 5:17 pm
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 5892

Re: Please list value funds you currently use

Thanks! Just to be clear: SFENX/FNDE = Russell Fundamental EM Large Cap Index and PXH = FTSE RAFI EM Index, correct? They've changed their names a couple of times...I think the Russell fund FNDE is now called the Russell RAFI fund or something like that. Yes. Russell Fundamental EM Large Cap Index ...
by Robert T
Mon Feb 20, 2017 5:07 am
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 40
Views: 8775

Re: Question for RobertT

Hi Robert T. What is your view these days on a portfolio comprising: 30% MTUM 40% VOE 30% PXSV or FNDA Thanks, duffer Duffer, I prefer FNDA over PXSV since the latter changed to track the Russell 2000 Pure Value Index. Factor exposure If you are targeting a long-term 0.15/0.40 size and value load t...
by Robert T
Sun Feb 19, 2017 8:12 am
Forum: Investing - Help with Personal Investments
Topic: Emerging Markets Allocation
Replies: 35
Views: 5045

Re: Emerging Markets Allocation

. In deciding on an EM allocation an investor seems to need to make a decision on wether s/he views South Korea as a "developed" or "developing" country. Here are two EM funds that view South Korea as "developed" : - Vanguard Emerging Market (VWO) - Powershares FTSE RAF...
by Robert T
Sat Feb 18, 2017 1:26 pm
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 5892

Re: Please list value funds you currently use

So wouldn't PXH try to perform like the "17.8% = FTSE RAFI Emerging Markets Index" you showed? Does it? M* shows it only going back to 2007 - so I can't compare your results. Although from PXH inception on 9/27/2007 to date PXH closely resembles DFEVX. m However, TLTE outperforms both PXH...
by Robert T
Sat Feb 18, 2017 3:51 am
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 5892

Re: Please list value funds you currently use

Does anybody know much about TLTE? m From Figure 1 in the above link: Annualized returns (%) 2002-2013 13.9% = Morningstar Emerging Markets Factor Tilt Index Here are some others over same time period for comparison 13.1% = MSCI Emerging Markets Index 17.8% = Dimensional Emerging Markets Value Inde...
by Robert T
Tue Feb 14, 2017 2:51 pm
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 2973

Re: RAFI Multi-Factor Indexes

Theoretical wrote:Has AQR released any information WRT backtested data for the new relaxed constraint funds?

Related:
by Robert T
Tue Feb 14, 2017 8:16 am
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 2973

Re: RAFI Multi-Factor Indexes

Just to add this re long-short funds. The tail risk is there if it's ONLY an equity MOM fund. It is reduced dramatically if you are long short stocks, bonds, commodities, and currencies as the correlations are very low among them. Larry Agreed. It is also significantly reduced in equity only portfo...
by Robert T
Mon Feb 13, 2017 4:49 pm
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 2973

Re: RAFI Multi-Factor Indexes

When you're shorting "losers" that rise 156% in 3 months and your "winners" rise by only 6.5% as was the case in March-May 2009, you lose your shirt. I had a MOM investor friend, a very smart doctor who made so much money on very aggressively trading MOM that he was able to reti...
by Robert T
Sun Feb 12, 2017 7:49 pm
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 2973

Re: RAFI Multi-Factor Indexes

. Just some points on momentum. At the end of the tech bubble if you had purchased MOM, the winning factor for the previous decade, you would have gotten killed in the next 3 years as MOM significantly underperformed not only other factors but also beta. Interestingly the momentum premium in the thr...
by Robert T
Sat Feb 11, 2017 4:32 pm
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 2973

Re:

My understand is that one of the main goals of the multi-factor strategy is to also minimize tracking error vs. a market strategy. Within this goal, although two portfolios may have the same returns and volatility, people may prefer the one that accomplishes this with the lower tracking error. Some...
by Robert T
Sat Feb 11, 2017 5:39 am
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 2973

RAFI Multi-Factor Indexes

. RAFI seems to be more explicitly getting into the “multi-factor” space with a suite of new indexes m RAFI Multi-factor Indices RAFI Dynamic Multi-factor Indices RAFI Value Factor Index RAFI Quality Factor Index RAFI Low Volatility Index RAFI Size Factor Index (which equally allocates to value, low...
by Robert T
Thu Feb 09, 2017 1:01 pm
Forum: Investing - Theory, News & General
Topic: Vanguard's Wellesley Income fund is incredible
Replies: 112
Views: 23777

Re: Vanguard's Wellesley Income fund is incredible

. Here are the factor loads of Vanguard Wellington over the same time period as the earlier estimates for Vanguard Wellesley. With again thanks to Alec for the data from 1970-2004, which I extended to 2014. 8/1970 to 12/2014 -0.01 = Alpha +0.65 = Mkt -0.13 = Size +0.15 = Value +0.17 = Term +0.16 = D...
by Robert T
Wed Feb 08, 2017 9:18 pm
Forum: Investing - Theory, News & General
Topic: Vanguard's Wellesley Income fund is incredible
Replies: 112
Views: 23777

Re: Vanguard's Wellesley Income fund is incredible

Where on the AQR website are the term and default factors? Here they are: m DEF = CORP_XS: Ibbotson's U.S. Long-Term Corporate Bond Total Return minus empirical-duration-matched long-term government bonds from Ibbotson's U.S. Long-Term Government Bond Total Return. TERM = GOVT_XS: Ibbotson's U.S. L...
by Robert T
Wed Feb 08, 2017 5:52 pm
Forum: Investing - Theory, News & General
Topic: Vanguard's Wellesley Income fund is incredible
Replies: 112
Views: 23777

Re: Vanguard's Wellesley Income fund is incredible

They've got something good. They have a large value tilt (and no alpha beyond factor exposure). Here are the factor loads of Vanguard Wellesley. With thanks to Alec for the data from 1970-2004, which I extended to 2014. 8/1970 to 12/2014 0.03 = Alpha +0.30 = Mkt -0.08 = Size +0.16 = Value +0.35 = T...
by Robert T
Sun Feb 05, 2017 7:23 am
Forum: Investing - Theory, News & General
Topic: Is a total market fund the most diversified
Replies: 157
Views: 15752

Re: Is a total market fund the most diversified

Bogleheads: I doubt if any of us know exactly what is the most diversified portfolio. Nevertheless, I think we can agree that total market index funds are very diversified. Hi Taylor, Its also important to clarify which “market”. For example - is a portfolio with 80% of its holdings in 10 stocks (a...
by Robert T
Thu Feb 02, 2017 7:42 am
Forum: Investing - Theory, News & General
Topic: Does credit risk show up at the wrong time? [A look at 89 years of corporate bond data]
Replies: 42
Views: 3734

Re: Does credit risk show up at the wrong time? [A look at 89 years of corporate bond data]

. Few thoughts. Findings from Fama-French 1993 paper using data from 1963-1991 - m . When looked at in isolation: “Default” load in stocks (Table 3, t-stats in parenthesis) 0.78 (3.60) = large growth 1.52 (5.45) = small value Message : there is ‘default’ risk already embedded in all stocks, more so ...
by Robert T
Tue Jan 31, 2017 8:20 am
Forum: Investing - Theory, News & General
Topic: 4-Factor Regression of an AQR fund
Replies: 4
Views: 880

Re: 4-Factor Regression of an AQR fund

.
Factor loads from the simulated multi-style series. I note the absence of QmJ which shows up in the alpha estimate.

Image

Source: AQR (2013): A New Core Equity Paradigm (annex C). Available online.
.
by Robert T
Mon Jan 30, 2017 4:00 pm
Forum: Investing - Theory, News & General
Topic: Factor-Diversified Portfolio
Replies: 175
Views: 16581

Re: Factor-Diversified Portfolio

Robert T, Let me play Devil's Advocate: Are you confusing strategy with outcome when you decide not to go with a 50:50 stock:bond portfolio with stocks 100% tilted to small value based on those 15 yrs of under-performance? Thank you LC, There is an ex-ante expectation of tracking error. The more yo...
by Robert T
Sat Jan 28, 2017 8:06 pm
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4720

Re: PXSV is now super valuey (even more than RZV)

Well, the expected returns of 2000 PV fund should be higher than the Russell Fundamental US Small Company Index yet the latter has higher backtested returns. Just lucky? Or does the strategy of fundamental indexes capture some of that 3% of the market returns that is not currently explained by know...
by Robert T
Fri Jan 27, 2017 7:01 pm
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4720

Re: PXSV is now super valuey (even more than RZV)

The R2K in both cases looks better doing a December 2006-2016, since the 2007 Russell reconstitution was the first with buffer zones. But the biggest source of that negative alpha is the horrendous performance in 2008-2009 caused by the index only weighting on P/B, which meant it was loaded with ba...
by Robert T
Fri Jan 27, 2017 3:48 pm
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4720

Re: PXSV is now super valuey (even more than RZV)

. Some additional numbers From 8/1998 to 12/2016 Annualized returns (%) / SD .9.7 / 19.0 = S&P 600 Value Index 10.0 / 26.1 = S&P 600 Pure Value Index .9.2 / 18.5 = Russell 2000 Value Index .7.9 / 21.0 = Russell 2000 Pure Value Index 12.8 / 18.9 = Russell Fundamental US Small Company Index Fa...
by Robert T
Fri Jan 27, 2017 2:54 pm
Forum: Investing - Theory, News & General
Topic: Swedroe's guidelines to Bonds
Replies: 113
Views: 9789

Re: Swedroe's guidelines to Bonds

.
FWIW - my earlier take on the paper. viewtopic.php?p=2412589#p2412589
by Robert T
Fri Jan 27, 2017 5:37 am
Forum: Investing - Theory, News & General
Topic: Factor-Diversified Portfolio
Replies: 175
Views: 16581

Re: Factor-Diversified Portfolio

. Just to note that the portfolio comparisons in the earlier post are not an apples-to-apples comparison https://www.bogleheads.org/forum/viewtopic.php?p=3206305#p3206305 From 2003 to 2016 – annualized return 70 percent bonds with global small value for equity allocation = 6.7%. m 75 percent stocks ...