Search found 895 matches

by exeunt
Fri Apr 08, 2016 1:34 am
Forum: Investing - Theory, News & General
Topic: Review of AQR Equity Market Neutral & Long-Short Equity
Replies: 44
Views: 5103

Re: Review of AQR Equity Market Neutral & Long-Short Equity

The underlying point is that one has delivered a lot of CAPM alpha while the other has not, despite theoretically loading on largely the same factors over largely the same universe of stocks. Why and how did this happen, and is it more likely than not to continue on average in the future? The autho...
by exeunt
Sun Jan 17, 2016 8:11 pm
Forum: Personal Consumer Issues
Topic: Bank of America disses older clients
Replies: 24
Views: 2883

Re: Bank of America disses older clients

Don't take it personally. Lots of surveys that target specific demographics.
by exeunt
Sat Nov 21, 2015 12:26 am
Forum: Investing - Help with Personal Investments
Topic: [Keep DFA funds and Advisor, or go with Three-fund portfolio?]
Replies: 8
Views: 1238

Re: [Keep DFA funds and Advisor, or go with Three-fund portfolio?]

Depends on what your advisor is charging and what other services he provides. If you're paying anywhere close to 1%, I'd get rid of him.
by exeunt
Fri Sep 18, 2015 4:18 am
Forum: Investing - Theory, News & General
Topic: Time Series Momentum (TSMOM) calculation?
Replies: 1
Views: 434

Re: Time Series Momentum (TSMOM) calculation?

It's simple. TSMOM is usually calculated as 12 month total return minus the risk-free rate. If the resulting value is positive, go long. If not, go short or "flat" (into cash). So take the 12-month trailing total return of a fund (easily obtainable through Yahoo Finance, Morningstar, and G...
by exeunt
Wed Sep 02, 2015 2:46 pm
Forum: Investing - Theory, News & General
Topic: Low Vol on "Black Monday" (ETF.com)
Replies: 1
Views: 275

Re: Low Vol on "Black Monday" (ETF.com)

Dumb article. SPLV (and many other ETFs) gapped down on Monday morning because market makers pulled liquidity, creating huge but temporary discounts. It was a repeat of the flash crash, nothing inherent in the low-volatility construction of the portfolio.
by exeunt
Thu Aug 27, 2015 10:21 pm
Forum: Personal Finance (Not Investing)
Topic: What would YOU want from a financial advisor?
Replies: 38
Views: 4782

Re: What would YOU want from a financial advisor?

Brains, expertise, ethics, rapport, and a low fee.
by exeunt
Mon Aug 10, 2015 10:33 pm
Forum: Investing - Theory, News & General
Topic: The line between Active vs Passive is blurring: When does chasing risk factors end?
Replies: 44
Views: 3252

Re: The line between Active vs Passive is blurring: When does chasing risk factors end?

While I appreciate the whole terminology discussion, perhaps we could move on to the real topic for this post, which is when do these risk factor chasing strategies becomes no better than your typical active fund? Um, this entire thread is a terminology discussion. Your query: When is a factor stra...
by exeunt
Mon Aug 10, 2015 9:42 pm
Forum: Investing - Theory, News & General
Topic: The line between Active vs Passive is blurring: When does chasing risk factors end?
Replies: 44
Views: 3252

Re: The line between Active vs Passive in blurring: When does chasing risk factors end?

All DFA is doing is using a simple quantitative trading strategy that focuses on stocks with low P/B and not too much negative momentum (OK, they did recently add a profitably signal). It may be systematic, it may require no human input, but it is still at heart a quantitative trading strategy. In f...
by exeunt
Mon Aug 10, 2015 9:20 pm
Forum: Investing - Theory, News & General
Topic: The line between Active vs Passive is blurring: When does chasing risk factors end?
Replies: 44
Views: 3252

Re: The line between Active vs Passive in blurring: When does chasing risk factors end?

It's active investing as soon as you start adding tilts. That's why they're called tilts! Adding REITs is an active decision. So is favoring U.S. stocks over international stocks. Any portfolio that deviates from the global market portfolio is macro-inconsistent--meaning each dollar overweight must ...
by exeunt
Tue Aug 04, 2015 6:26 pm
Forum: Investing - Theory, News & General
Topic: PIMCO PTTRX now a long-short bond fund
Replies: 7
Views: 1086

Re: PIMCO PTTRX now a long-short bond fund

They've always used shorting and derivatives. None of this is new.
by exeunt
Mon Aug 03, 2015 8:20 pm
Forum: Investing - Theory, News & General
Topic: Arbitrage opportunity when commodities futures rise over time?
Replies: 13
Views: 1051

Re: Arbitrage opportunity when commodities futures rise over time?

This is an arbitrage many institutions take advantage of. You can try it, but it's probably not cost effective.
by exeunt
Mon Aug 03, 2015 8:17 pm
Forum: Investing - Theory, News & General
Topic: VWO and 4% Dividend?
Replies: 3
Views: 1735

Re: VWO and 4% Dividend?

Ignore the distribution yield of the fund. The underlying yield of the EM index is around 2.6%, according to MSCI.
by exeunt
Mon Aug 03, 2015 5:12 pm
Forum: Investing - Theory, News & General
Topic: Financial Advisor v. Bogle Approach?
Replies: 33
Views: 3876

Re: Financial Advisor v. Bogle Approach?

They're ripping you off. 1.5% is egregious.
by exeunt
Sun Aug 02, 2015 12:43 pm
Forum: Investing - Help with Personal Investments
Topic: Does Vanguard Have It's Own Stock?
Replies: 6
Views: 1172

Re: Does Vanguard Have It's Own Stock?

Fidelity and Vanguard do not have publicly traded stock. Fidelity is owned by the Johnson family; Vanguard is owned by investors in the fund like you and me.
by exeunt
Fri Jul 31, 2015 2:39 pm
Forum: Investing - Help with Personal Investments
Topic: Advisor Self Interest?
Replies: 15
Views: 1181

Re: Advisor Self Interest?

What's the advisor charging? If it's more than 0.5%, you're getting ripped off.

The red flag in that portfolio is the individual bond ladder. You are much better off with a low-cost mutual fund, active or passive, as the transaction costs for small bond portfolios tend to be high.
by exeunt
Fri Jul 31, 2015 2:33 pm
Forum: Investing - Help with Personal Investments
Topic: Schwab vs. Fidelity vs. Vanguard for Advisor Custodian Account
Replies: 15
Views: 2315

Re: Schwab vs. Fidelity vs. Vanguard for Advisor Custodian Account

Your advisor wants you in the Schwab account because it is most convenient for him. Most advisors deal with a single custodian that allows them to manage and bill all their accounts through one interface. Advisor custodial accounts tend to be more expensive than individual investor accounts. For exa...
by exeunt
Wed Jul 22, 2015 6:07 am
Forum: Personal Finance (Not Investing)
Topic: Does my estate planning attorney need to know net worth?
Replies: 16
Views: 3305

Re: Does my estate planning attorney need to know net worth?

Yes. How else is he going to do his job?
by exeunt
Sun Mar 29, 2015 2:06 am
Forum: Investing - Help with Personal Investments
Topic: Looking for adviser
Replies: 8
Views: 1356

Re: Looking for adviser

Vanguard offers low-cost advice through several options. The cheapest is Vanguard Personal Advisor Services, which charges 0.30% and requires only $100K.
by exeunt
Tue Mar 17, 2015 10:34 pm
Forum: Investing - Theory, News & General
Topic: Looking for dirt cheap commissions on DFA funds
Replies: 27
Views: 4735

Re: Looking for dirt cheap commissions on DFA funds

Here's an alternative: Once an initial DFA allocation is set, let it drift, and use ETFs to rebalance. In truth, most DFA funds just offer some size + value exposure on top of market beta. You can get pretty close with lots of ETFs out there. In any case, the volatility of market beta is much more s...
by exeunt
Tue Mar 17, 2015 12:13 am
Forum: Investing - Theory, News & General
Topic: Is MicroCap on sale?
Replies: 11
Views: 1756

Re: Is MicroCap on sale?

IWC's performance is marred by the same problem Russell 2000 index funds face: front-running. IWC has experienced -3% annualized alpha since inception!
by exeunt
Sat Mar 14, 2015 12:08 am
Forum: Investing - Theory, News & General
Topic: PXSV has changed indexes
Replies: 131
Views: 17435

Re: PXSV has changed indexes

Gross. The Russell 2000 is a terrible, flawed index. It loses 1% or more a year to arbitrageurs front-running the trades of funds tracking it.
by exeunt
Sun Mar 08, 2015 7:21 pm
Forum: Investing - Theory, News & General
Topic: Barry Ritholtz view of Market Valuations
Replies: 2
Views: 706

Re: Barry Ritholtz view of Market Valuations

This article was surprisingly incoherent, because it mixes two distinct but related ideas: valuation ratios that explain the returns of the overall market, and valuation ratios that best explain the relative returns of individual stocks. The two papers he cites to support his selection of EV/EBITDA ...
by exeunt
Sat Feb 07, 2015 3:01 am
Forum: Investing - Theory, News & General
Topic: "Out-Bogleing [Jack] Bogle"
Replies: 9
Views: 2085

Re: "Out-Bogleing [Jack] Bogle"

Wealthfront has historically used unrealistic estimates or projections to make its services look a lot better than a conservative accounting would suggest. Its estimated returns from "tax alpha" are much too high. Independent papers have found the true benefits of tax-loss-harvesting to be...
by exeunt
Sat Jan 31, 2015 5:58 pm
Forum: Investing - Theory, News & General
Topic: Are there skilled investors and managers?
Replies: 25
Views: 2142

Re: Are there skilled investors and managers?

Yes. 1) Grossman-Stiglitz points out markets can't be perfectly efficient because there has to be some reward for expending resources to obtain new information. 2) Even Fama and French believe there are skilled investors, but think that it's all-but-impossible to identify them in advance. 3) Virtual...
by exeunt
Fri Jan 30, 2015 3:17 pm
Forum: Investing - Theory, News & General
Topic: Barry Ritholtz - Breaking with Bogle
Replies: 12
Views: 3158

Re: Barry Ritholtz - Breaking with Bogle

It's funny how Ritholtz advocates low-cost index investing when his firm charges 2% on the first $500k in assets.

You can see his firm's fee schedule here: http://www.adviserinfo.sec.gov/Iapd/Con ... _ID=267903
by exeunt
Fri Jan 30, 2015 1:18 am
Forum: Investing - Theory, News & General
Topic: Thoughts on DFA equities?
Replies: 19
Views: 2527

Re: Thoughts on DFA equities?

DFA is great for getting deep value tilts. However, the firm's value proposition has eroded over time as cheap value + size funds have proliferated. DFA is one of the few companies to offer international small value funds and they've recently added profitability to their funds.
by exeunt
Tue Jan 27, 2015 12:59 am
Forum: Investing - Theory, News & General
Topic: Renaissance tech vs EMH
Replies: 46
Views: 4577

Re: Renaissance tech vs EMH

Renaissance Technologies almost certainly is "beating the market."

Even Gene Fama doesn't subscribe to the rather extreme view that no one can beat the market or that no one is skilled.
by exeunt
Mon Jan 26, 2015 4:24 pm
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 62
Views: 9150

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

.... Yes, my letter to the National Enquirer just got printed last month. Took them a while to admit that the whole Jennifer Aniston / Alien Abduction thing could be explained by the 5-factor model. It may be non-linear, we have not really looked for that, interesting. But I'd describe it even more...
by exeunt
Mon Jan 26, 2015 1:18 pm
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 62
Views: 9150

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

This is awesome. I love how Cliff will comment almost anywhere. Is it fair to describe the revived small-firm effect as a quality non-linearity effect? A small quality firm that has similar metrics as a large quality firm probably has a lot more runway to invest incremental capital at above-market r...
by exeunt
Sat Jan 17, 2015 4:04 pm
Forum: Investing - Theory, News & General
Topic: Why no cult/theory/strategy of US regional stock investing?
Replies: 21
Views: 2072

Re: Why no cult/theory/strategy of US regional stock investi

The functional equivalent is sector investing, which is common.

You've hit upon a good point: The way we divide and assess stocks is based on somewhat arbitrary conventions.
by exeunt
Sun Jan 11, 2015 3:07 am
Forum: Investing - Theory, News & General
Topic: Performance of fundamental indexes
Replies: 21
Views: 2794

Re: Performance of fundamental indexes

As others noted, this is a shoddy piece of analysis. If you extend the period back to the PowerShares FTSE RAFI US 1000's inception, the fund handily outperforms the DFA fund. The better comparison would be to measure each fund's Fama-French alphas and loadings. Nelson could have criticized the fund...
by exeunt
Tue Dec 23, 2014 3:52 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates article on size premium
Replies: 42
Views: 5113

Re: Research Affiliates article on size premium

Understood. If I compare the Russell 3000 and the Russell 1000 I also see virtually identical annualized returns over the period 1979-2013. It was my understanding that the poor performance of the Russell 2000 index was due to front-running of stocks moving into and out of the 2000 index. Since the...
by exeunt
Tue Dec 23, 2014 3:14 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates article on size premium
Replies: 42
Views: 5113

Re: Research Affiliates article on size premium

Interesting. I went back and compared the Russell 1000 and Russell 2000 for the period 1979-2013 and found the same result, namely no meaningful difference in annualized returns between large and small stocks for the last 35 years. The R2K is a flawed index that has lost about 1% to 2% a year to it...
by exeunt
Tue Dec 09, 2014 8:50 am
Forum: Investing - Theory, News & General
Topic: CD ladder vs accepting EWP and getting a new CD
Replies: 4
Views: 638

Re: CD ladder vs accepting EWP and getting a new CD

A reasonable rule: When the yield on a new CD is at least as high as the yield on the current CD + the EWP amortized over the expected life the CD.
by exeunt
Sun Nov 16, 2014 6:59 am
Forum: Investing - Theory, News & General
Topic: Warren Buffett:Stocks Are In a Zone of Reasonable
Replies: 5
Views: 2105

Re: Warren Buffett:Stocks Are In a Zone of Reasonable

I suspect he's not declaring stocks overvalued because interest rates are so low, meaning the spread between equity expected returns and bond expected returns is still quite reasonable.
by exeunt
Mon Oct 20, 2014 4:49 am
Forum: Investing - Theory, News & General
Topic: Just curious: What if markets were open 24/7
Replies: 8
Views: 1543

Re: Just curious: What if markets were open 24/7

Technically, they are. You can trade stocks 24/7 in different venues.
by exeunt
Sun Oct 19, 2014 3:03 am
Forum: Investing - Theory, News & General
Topic: How is PSPTX outperforming VFIAX?
Replies: 4
Views: 687

Re: How is PSPTX outperforming VFIAX?

PIMCO's "PLUS" funds offer 100% exposure to equities and 100% exposure to bonds. They do this by entering into swaps that offer levered exposure to an index and investing the leftover money (the collateral) in a bond portfolio.
by exeunt
Fri Oct 10, 2014 12:33 pm
Forum: Investing - Theory, News & General
Topic: is anything 'cheap' out there?
Replies: 82
Views: 13591

Re: is anything 'cheap' out there?

European and EM value stocks.
by exeunt
Wed Oct 08, 2014 8:19 pm
Forum: Investing - Theory, News & General
Topic: Accuracy of Morningstar's chart?
Replies: 4
Views: 789

Re: Accuracy of Morningstar's chart?

In 1999, small- and mid-cap stocks were part of the loathed "old economy" and their valuations hit historic relative lows. When the dotcom bubble popped, small-cap and value stocks did extraordinarily well for the next four years or so.
by exeunt
Sat Oct 04, 2014 6:41 pm
Forum: Investing - Theory, News & General
Topic: Why is this Bond fund performing so well?
Replies: 14
Views: 1675

Re: WHy is this Bond fund performing so well?

If you don't understand why the fund is doing so well, you should not own it.
by exeunt
Thu Oct 02, 2014 12:43 pm
Forum: Investing - Theory, News & General
Topic: The power of compounding - at a rate of 3% per day
Replies: 12
Views: 2083

Re: The power of compounding - at a rate of 3% per day

It's possible to have indefinite exponential equity growth with declining GDP as long as enough of the return is consumed.
by exeunt
Sat Aug 16, 2014 10:08 pm
Forum: Investing - Theory, News & General
Topic: Is earnings yield real or nominal
Replies: 6
Views: 904

Re: Is earnings yield real or nominal

Equity earnings are generally considered real. In theory, cost increases can be passed on to consumers, leaving real earnings unchanged. However, this process can take a while and even then can lead to real losses to the owners of capital (examples include sticky prices and weak negotiating position...
by exeunt
Fri Aug 08, 2014 4:46 pm
Forum: Investing - Theory, News & General
Topic: ITOT vs FSTMX/FSTVX
Replies: 3
Views: 1502

Re: ITOT vs FSTMX/FSTVX

FSTMX is up 1.1%.
by exeunt
Thu Aug 07, 2014 5:24 am
Forum: Investing - Theory, News & General
Topic: Finding Smart Beta in the Factor Zoo
Replies: 35
Views: 3867

Re: Finding Smart Beta in the Factor Zoo

exeunt I don't believe either of your two statements are accurate for example, 1970-4/14 EAFE returned 10.0 and international small returned 15.1 (dimensional small cap index, longest one I know) Sorry but Fama and French never made the claim about higher risk adjusted returns and re delisting bias...
by exeunt
Wed Aug 06, 2014 4:41 pm
Forum: Investing - Theory, News & General
Topic: Finding Smart Beta in the Factor Zoo
Replies: 35
Views: 3867

Re: Finding Smart Beta in the Factor Zoo

Few quick thoughts First Banz found that small caps for his period studied had higher risk adjusted returns. No one else, certainly not FF, has said that, just higher returns. You don't need higher risk-adjusted returns to have a factor with a premium. So that part of the paper IMO is just plain wr...
by exeunt
Fri Jul 18, 2014 8:36 pm
Forum: Investing - Theory, News & General
Topic: recent brokered CD fluctuation
Replies: 13
Views: 1193

Re: recent brokered CD fluctuation

What do you mean by "up 4.65%"? Also, for comparison, according to Samuel Lee (M*), the duration of a current 5-year CD is at most, 1.7 years, by his calculations. So, do you actually know the duration of your 10-year CD? The article was talking about bank CDs, which can be withdrawn with...
by exeunt
Wed Jun 11, 2014 3:26 pm
Forum: Investing - Theory, News & General
Topic: Which Vanguard Short Treasury Fund
Replies: 38
Views: 4511

Re: Which Vanguard Short Treasury Fund

Look into a CD or a HY savings account. Some banks are offering 1% to 2% yields on their FDIC-insured savings products.
by exeunt
Tue Jun 10, 2014 4:18 pm
Forum: Investing - Theory, News & General
Topic: RAFI SV/AQR SC Momentum vs AQR Core (PXSV/ASMOX vs QSMLX)
Replies: 23
Views: 2468

Re: RAFI SV/AQR SC Momentum vs AQR Core (PXSV/ASMOX vs QSMLX

Side question... who is AQR by the way? I've never even heard of them before all the momentum threads started popping up. It's a big hedge fund shop that's pushed into mutual funds over the past 5 years. They have some of the best financial economists on their pay roll. Think of them as DFA, but no...
by exeunt
Mon Jun 09, 2014 11:18 am
Forum: Investing - Theory, News & General
Topic: RAFI SV/AQR SC Momentum vs AQR Core (PXSV/ASMOX vs QSMLX)
Replies: 23
Views: 2468

Re: RAFI SV/AQR SC Momentum vs AQR Core (PXSV/ASMOX vs QSMLX

^ Do you think the equity risk premium is going to be cut in half because people know about it? No, but I think its equilibrium value has fallen. Besides, it's hard to attribute value and profitability/quality to purely rational forces when value and quality are both negative correlated with each o...

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