Search found 112 matches

by jaab
Sat Oct 25, 2014 9:59 am
Forum: Investing - Theory, News & General
Topic: new interesting piece by Asness on hedge funds
Replies: 26
Views: 3415

Re: new interesting piece by Asness on hedge funds

Larry, there are only two problems: In the past DFA (or the like) could overcompensate their fees with securities lending or de facto market making because there was less competition, in their respective niches. This is not the case anymore to this degree, with more players fishing in the same pond....
by jaab
Sat Oct 25, 2014 9:17 am
Forum: Investing - Theory, News & General
Topic: new interesting piece by Asness on hedge funds
Replies: 26
Views: 3415

Re: new interesting piece by Asness on hedge funds

I agree that Asness has some good points, but his own (AQR) products are still way too expensive. For their equity funds only temporary fee waivers rescue the case for the next six months and the style premia fund's net fee goes through the roof already. Think of Schwab's RAFI ETFs instead with regu...
by jaab
Sat Oct 25, 2014 8:57 am
Forum: Investing - Theory, News & General
Topic: How to think about expected returns--continuing discussion
Replies: 105
Views: 11727

Re: How to think about expected returns--continuing discussi

Let's not forget that we are talking about long term to very long term forecasts here. 7/10, 20, 30+ years. In contrast to those over a few months or a few years only, which are basically useless. Even LT forecasts have a high uncertanity, but at least they are one of the better tools/ideas around, ...
by jaab
Fri Oct 24, 2014 12:47 pm
Forum: Investing - Theory, News & General
Topic: Prediction: Rise of Concentrated Funds
Replies: 20
Views: 2324

Re: Prediction: Rise of Concentrated Funds

I think OP has already given a good reason for his expectation: less concentrated funds are basically overpriced factor beta portfolios ("closet indexers"). Be it risk factors or mispricing factors. And this kind of portfolio you can buy for cheap as ETF or fund nowadays.
by jaab
Wed Oct 22, 2014 8:10 am
Forum: Investing - Theory, News & General
Topic: Regressing Term and Credit Risk for Fixed Income
Replies: 3
Views: 476

Re: Regressing Term and Credit Risk for Fixed Income

The PV site calculates the factors using Vanguard LT Gov/Corp bond funds, as I understand it. These funds have inception dates around 2009, that explains the available start date. For annual returns you can copy the data from Simba's Excel spreadsheet or from http://www.portfoliovisualizer.com/histo...
by jaab
Tue Oct 21, 2014 6:33 am
Forum: Investing - Theory, News & General
Topic: Valuations and the AA decision
Replies: 8
Views: 1125

Re: Valuations and the AA decision

staythecourse wrote:I was hoping you could put some of those returns in context to what an investor's other options might have been at those same time points in fixed income.
Have a look at http://www.alphaarchitect.com/blog/2014 ... p-markets/
by jaab
Sat Oct 18, 2014 12:45 pm
Forum: Investing - Theory, News & General
Topic: Thoughts on Paul Merriman's Portfolio
Replies: 71
Views: 20739

Re: Thoughts on Paul Merriman's Portfolio

This kind of micromanagement has been the reason for DFA's core and vector funds. :mrgreen:
by jaab
Sat Oct 11, 2014 2:59 pm
Forum: Investing - Theory, News & General
Topic: Global vs S&P 500 or Total Stock Market Returns
Replies: 5
Views: 998

Re: Global vs S&P 500 or Total Stock Market Returns

Yes, I have noticed this too. The 404 already came up some weeks ago, but then the link started working again. Anyway, apparently Google has a cached version: https://docs.google.com/viewer?url=http://w.texpers.org/documents/conferences/presentations/2012/tuesday/Dimensional-A%2520Century%2520of%252...
by jaab
Sat Oct 11, 2014 2:46 pm
Forum: Investing - Theory, News & General
Topic: Global vs S&P 500 or Total Stock Market Returns
Replies: 5
Views: 998

Re: Global vs S&P 500 or Total Stock Market Returns

You can go to http://www.msci.com/products/indexes/country_and_regional/dm/performance.html and download country indexes starting in 1970 in Excel format. Just click on a row and a download menu will pop up. There is also a DFA PDF summarizing the 1900-2010 Dimson/Marsh/Stanton (DMS) data, but the s...
by jaab
Thu Oct 09, 2014 11:21 am
Forum: Investing - Theory, News & General
Topic: Morningstar: Doing the Rope-a-Dope
Replies: 1
Views: 604

Re: Morningstar: Doing the Rope-a-Dope

The printed article is based on two out of three of Rekenthaler's online posts. Here is the third one:

Active Versus Passive Is the Wrong Question
The cost is what counts.
http://news.morningstar.com/articlenet/ ... ?id=662733
by jaab
Wed Oct 08, 2014 7:17 pm
Forum: Investing - Theory, News & General
Topic: What evidence would prove the Boglehead mentality wrong?
Replies: 212
Views: 22663

Re: What evidence would prove the Boglehead mentality wrong?

Cullen Roche (the blogger) has a point that lots of people going around dissing "active management" do not invest in in a global market cap weighted portfolio and lever it up or down (CAPM like) - what he would call "passive". I think this is a reasonable argument. Most BHs, Jack Bogle himself or La...
by jaab
Wed Oct 08, 2014 2:43 pm
Forum: Investing - Theory, News & General
Topic: A close look at factors in real world,
Replies: 18
Views: 3446

Re: A close look at factors in real world,

Here is another link, with the finalized layout: http://faculty.chicagobooth.edu/tobias.moskowitz/research/2242_Final_TM_RI_oneComment.pdf Is "value" here defined as B/P? Haven't we established that B/P is the only metric for which there is no large-cap value premium; other value metrics do exhibit ...
by jaab
Wed Oct 08, 2014 9:47 am
Forum: Investing - Theory, News & General
Topic: AA Testing Tools
Replies: 8
Views: 935

Re: AA Testing Tools

You will only find the best portfolio in hindsight, true. Still there are some known differences between portfolios, it's not just lottery. Some asset allocations (AA) are better suited when inflation and your future purchasing power is the major concern, others when it is deflation or you have to p...
by jaab
Mon Oct 06, 2014 3:44 am
Forum: Investing - Theory, News & General
Topic: Four-Factor-Only Portfolio?
Replies: 30
Views: 4332

Re: Four-Factor-Only Portfolio?

1989-2013 - annualized return/standard deviation 10.2%/14.9 = MSCI Minimum volatility 10.3%/14.7 = 80% to the 4x25% portfolio above: 20% T-bills 12.1%/14.4 = 45% RAFI Pure Small Value:25% MSCI Momentum:30% T-bills Robert, can you compare some measure of downside tail risk for the three options? Wor...
by jaab
Sat Oct 04, 2014 10:39 am
Forum: Investing - Theory, News & General
Topic: Best book on Finance I ever read, Ben Graham's Intelligent I
Replies: 35
Views: 9000

Re: Best book on Finance I ever read, Ben Graham's Intellige

Interesting, because we now have Sharpe's definition of passive and Graham's. The former is based on mcap market portfolios <> deviation from that. Ultimately the tradeable and nontradeable global capital market. Because every dollar deviating - for good or bad reasons, more/less risk or a free lunc...
by jaab
Fri Oct 03, 2014 1:45 pm
Forum: Investing - Theory, News & General
Topic: Optimum # of Funds in a Portfolio ?
Replies: 17
Views: 2149

Re: Optimum # of Funds in a Portfolio ?

I don't think the way you have set up the question is that useful. It does not separate between an investment strategy and available fund options. I don't think people strive to increase their number of funds. Your first checkbox for example, 1 fund. You call it "TSM". Okay, but what about 1 because...
by jaab
Fri Oct 03, 2014 6:25 am
Forum: Investing - Theory, News & General
Topic: Cramer's sane moment on Gross' exit
Replies: 24
Views: 4107

Re: Cramer's sane moment on Gross' exit

5-10 stocks is a good idea for active stock pickers. I am talking about people who really want to bet on company specific influences. If the bets work out is the big question, obviously. :D Otherwise you will end up more and more with a portfolio of systematic factors, bascially late Graham's "value...
by jaab
Fri Oct 03, 2014 5:04 am
Forum: Investing - Theory, News & General
Topic: Active Manager Marketing Quote of the Day
Replies: 32
Views: 5233

Re: Active Manager Marketing Quote of the Day

I think "telltale" is just a fancy name for excess returns of asset 1 over asset 2. HDPMX over VEXMX. If the linie is going down it means HDPMX' returns are lower. Parallel lines = they return the same. Upward sloping line = HDPMX has better returns.
by jaab
Thu Oct 02, 2014 7:19 am
Forum: Investing - Theory, News & General
Topic: Minimum volatility - simply factor exposure
Replies: 45
Views: 5781

Re: Minimum volatility - simply factor exposure

Can you define the word "load" and how you arrived at the numerical values in your post? There are two easy to read articles by Samuel Lee about it. The first one explains the idea of factors as drivers of returns in general (with inflation, growth, liquidity as examples). The second explains the c...
by jaab
Wed Oct 01, 2014 7:17 am
Forum: Investing - Theory, News & General
Topic: Stock Dividend Yields & Share Buybacks — A Surprise
Replies: 76
Views: 10117

Re: Stock Dividend Yields & Share Buybacks — A Surprise

2) I don't happen to be a member of the cult of dividend stocks, but it's curious to me that there seems to be a) a cult of dividend stocks, b) a cheering section for buybacks, yet I haven't run across people advocating tilts toward "high-buyback stocks," adding them as a portfolio slice, or anythi...
by jaab
Tue Sep 30, 2014 9:18 am
Forum: Investing - Theory, News & General
Topic: Minimum volatility - simply factor exposure
Replies: 45
Views: 5781

Re: Minimum volatility - simply factor exposure

Why has Vanguard 1/3 or so of AuM in active funds? :mrgreen: Don't think this thread says it's a bad idea. If it is a good one is another question, let alone if it is a superior or unique one.
by jaab
Tue Sep 30, 2014 7:26 am
Forum: Investing - Theory, News & General
Topic: [Poll] Eurozone Investors and Home Bias
Replies: 5
Views: 738

Re: [Poll] Eurozone Investors and Home Bias

So I think the Eurozone is about 10% of global stock market capitalization. Market cap in million USD: MSCI EMU IMI*: 4,480,654.23 MSCI ACWI+FM IMI**: 44,078,582.78 Checks out. :D That said, regarding currencies it's more about the (unhegded) internal cashflows of the underlying companies, not the ...
by jaab
Tue Sep 30, 2014 4:34 am
Forum: Investing - Theory, News & General
Topic: Minimum volatility - simply factor exposure
Replies: 45
Views: 5781

Re: Minimum volatility - simply factor exposure

[...]His argument is that risk is and is perceived to be relative. Happiness comes from being better off than your friends/neighbors etc. not from reaching some absolute level of accomplishment. In investing, this means that "risky" = failure to beat to the market. To avoid this risk, one must pick...
by jaab
Mon Sep 29, 2014 4:54 pm
Forum: Investing - Theory, News & General
Topic: Does market cap weighted indexing logically follow from EMH?
Replies: 17
Views: 1884

Re: Does market cap weighted indexing logically follow from

I haven't heard this one before, source? Just put something like joint hypothesis problem efficient market hypothesis into Google. "EMH implies CAPM" is not true. The CAPM is only one of many asset pricing models that have been proposed over the decades. Also note that there are several variants/ex...
by jaab
Mon Sep 29, 2014 8:13 am
Forum: Investing - Theory, News & General
Topic: Minimum volatility - simply factor exposure
Replies: 45
Views: 5781

Re: Minimum volatility - simply factor exposure

But low vol is advertised by Falkenstein and others as unique and free lunch (others make mistakes) trading strategy. It then showing time varying factor exposures that in the longer run end in a mix of lower market beta, value, duration, quality, ... with no significiant alpha makes it look not so ...
by jaab
Mon Sep 29, 2014 5:08 am
Forum: Investing - Theory, News & General
Topic: Does market cap weighted indexing logically follow from EMH?
Replies: 17
Views: 1884

Re: Does market cap weighted indexing logically follow from

Lee, there is a difference between the market portfolio beeing (multi factor) efficient - or not - and beeing CAPM efficient - or not. CAPM is just a very simpe model with strong assumptions. I agree however that only a small part of market participants can "tilt" in the same direction (e.g. SV + MO...
by jaab
Mon Sep 29, 2014 4:49 am
Forum: Investing - Theory, News & General
Topic: Minimum volatility - simply factor exposure
Replies: 45
Views: 5781

Re: Minimum volatility - simply factor exposure

I like low. vol. because it basically offers the market return with lower risk. Lower volatility yes - if there are lower drawdowns is a different question as I understand? see http://ibd.morningstar.com/article/article.asp?id=599843&CN=brf295 for example: One is that the lunch might not in fact be...
by jaab
Sun Sep 28, 2014 7:57 pm
Forum: Investing - Theory, News & General
Topic: Minimum volatility - simply factor exposure
Replies: 45
Views: 5781

Re: Minimum volatility - simply factor exposure

Not a problem, quite the opposite. For decision making this is good news, because it keeps things simpler. Many mathematical portfolio optimizations seem to end up in the well known factor exposures, not just LowVol. There was a thread about this in 2013: http://www.bogleheads.org/forum/viewtopic.ph...
by jaab
Sun Sep 28, 2014 6:18 pm
Forum: Investing - Theory, News & General
Topic: 'Play Money' - why 5%?
Replies: 42
Views: 2597

Re: 'Play Money' - why 5%?

[...] to burn up to 5% of your holdings. I have a question about the term "gambling" itself, as it is used in this thread: Are we talking about the highly speculative idea of going to Graham & Doddsville here? :) Or about max levered daytrading of commodities for 5 hours a day? I mean, what a BH ca...
by jaab
Sun Sep 28, 2014 5:30 am
Forum: Investing - Theory, News & General
Topic: Minimum volatility - simply factor exposure
Replies: 45
Views: 5781

Re: Minimum volatility - simply factor exposure

I am wondering about quality/profitability and the F/F term/duration risk factor. In at least one study pushed out by Hsu (RAFI) and his co-authors there seems to be a duration exposure for LovVol. They did not include PMU or QMJ however, if I remember correctly. You also have the duration factor ex...
by jaab
Sat Sep 27, 2014 7:04 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman: DFA Better Than Vanguard
Replies: 13
Views: 3755

Re: Paul Merriman: DFA Better Than Vanguard

I have a semi-related question. Not about DFA's returns, but about it's transparency for individual investors. The DFA website does not have much details about what they really do, e.g. what they track (HML?) or want to deliever, the momentum screen and hold ranges, not buying extreme SG stocks at a...
by jaab
Sat Sep 27, 2014 2:20 pm
Forum: Investing - Theory, News & General
Topic: Emerging Markets Index
Replies: 20
Views: 1765

Re: Emerging Markets Index

But even if the ETF is denominated in CAD rather than USD, this wouldn't cause its returns to differ. True, but your data provider has to get the currency conversion right. For example, in the following chart CWO.TO is what Yahoo Finance delivers. CWO.USD is what it looks like after applying the CA...
by jaab
Fri Sep 26, 2014 5:58 pm
Forum: Investing - Theory, News & General
Topic: Cliff Notes (new post from Asness) IMO very well worth readi
Replies: 20
Views: 3204

Re: Cliff Notes (new post from Asness) IMO very well worth r

John Rekenthaler of M* has announced an upcoming paper by Ibbotson and Idzorek, by the way. Which seems to deal with the question why there is return for X (e.g. premia): There's More to Expected Return Than Risk Rethinking investment convention. http://news.morningstar.com/articlenet/article.aspx?i...
by jaab
Fri Sep 26, 2014 3:10 pm
Forum: Investing - Theory, News & General
Topic: a look at technical indicators
Replies: 19
Views: 2738

Re: a look at technical indicators

Couldn't the exact same thing be said about the small, value and momentum premiums? Larry did an article about that some months ago: http://www.cbsnews.com/news/can-past-performance-predict-future-performance/ I agree however that Larry tends to include some, uh, let's call it sloppy statements in ...
by jaab
Fri Sep 26, 2014 11:21 am
Forum: Investing - Theory, News & General
Topic: a look at technical indicators
Replies: 19
Views: 2738

Re: a look at technical indicators

But what about Astrology? You mean something like this? :D Predictive regressions find that the party of the U.S. President, the weather in Manhattan, global warming, the El Nino phenomenon, sunspots, and the conjunctions of the planets all have significant power predicting the performance of popul...
by jaab
Thu Sep 25, 2014 12:21 pm
Forum: Investing - Theory, News & General
Topic: Cliff Notes (new post from Asness) IMO very well worth readi
Replies: 20
Views: 3204

Re: Cliff Notes (new post from Asness) IMO very well worth r

Browser, the proposed "solution" to the MVO problem is risk parity (RP) itself. You simply ignore returns (the M in MVO) and just start planning with some risk measure (the V, but can be anything; SD, downside SD, drawdown, ...). Some RP people use correlations too, but this is not a must and less r...
by jaab
Thu Sep 25, 2014 9:34 am
Forum: Investing - Theory, News & General
Topic: Factor exposure and (Markowitz) diversification
Replies: 8
Views: 1103

Re: Factor exposure and (Markowitz) diversification

Sure - aside from the turnover thing, which is not "very high" for SV. And there is another difference: Low beta seems to be a riskfree anomaly that should no be there. SV at least has some risk component which cannot be arbitraged away, though returns may be lower going forward. It also can be over...
by jaab
Thu Sep 25, 2014 9:06 am
Forum: Investing - Theory, News & General
Topic: Factor exposure and (Markowitz) diversification
Replies: 8
Views: 1103

Re: Factor exposure and (Markowitz) diversification

Browser, I think is a short term artefact, MOM of LowVol strategies. Have a look at Table 5 here: http://goo.gl/GlFcMJ Or at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2298117 Abstract: This paper replicates various low volatility strategies and examines their historical performance using U....
by jaab
Thu Sep 25, 2014 5:32 am
Forum: Investing - Theory, News & General
Topic: Cliff Notes (new post from Asness) IMO very well worth readi
Replies: 20
Views: 3204

Re: Cliff Notes (new post from Asness) IMO very well worth r

Why these two choices? It seems his default mode of operation is to take more risk. Another alternative would be to cut your expenses now, save more and plan for a less expensive retirement. I don't think this article has personal financial life planning in mind, it's just about portfolio managemen...
by jaab
Wed Sep 24, 2014 2:49 pm
Forum: Investing - Theory, News & General
Topic: Can Active Fund Strategy Beat Vanilla Index Fund?
Replies: 26
Views: 3296

Re: Can Active Fund Strategy Beat Vanilla Index Fund?

The fund has been a good one. You can throw so called factors (to explain the return differences) at him as much as you want, the manager still shows signs of outperformance ("alpha"). It is small (~0.2%/year) and statistically one cannot tell it apart from random outcome though ("not significiant")...
by jaab
Wed Sep 24, 2014 9:16 am
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 189
Views: 24930

Re: Due diligence on RAFI Pure Small Value

I think focusing on factor loads gives one more sense of control and that's probably why most favor them. Psych 101. I tend to agree with this. I am guilty myself. :happy It's pretty noisy reverse engineering. Unless maybe you have access to full blown commercial analysis with reliable data (e.g. F...
by jaab
Tue Sep 23, 2014 5:33 pm
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 189
Views: 24930

Re: Due diligence on RAFI Pure Small Value

I find it hard to accept that those numbers have a lot of value. This seems to be a general problem with those funds and quality/profitability regressions, regardless if done with PMU or QMJ. Because with PMU it's the same: I am much less certain that the (Novy-Marx) profitability loads give meanin...
by jaab
Tue Sep 23, 2014 4:19 pm
Forum: Investing - Theory, News & General
Topic: Hedge Funds & Diversification
Replies: 14
Views: 1126

Re: Hedge Funds & Diversification

Here is an easy to read blog article about the co-movement of hedgefunds with stocks and bonds. Don't skip until you reach the table at the end. http://www.multifactorworld.com/Lists/Posts/Post.aspx?List=3b285530-ccfa-416a-ba3b-de55213abe17&ID=141 I am pretty sure, if the author had included emergin...
by jaab
Tue Sep 23, 2014 8:34 am
Forum: Investing - Theory, News & General
Topic: Does Equity Risk Decrease over Time?
Replies: 51
Views: 4021

Re: Does Equity Risk Decrease over Time?

Well, this is Siegel's story for decades now and there is even a BH wiki article about it :happy http://www.bogleheads.org/wiki/Mean_reversion But DFA in their "century of global returns" PDF* did only find mixed results in non-US countries and concluded: "cannot reject random walk". As far as I und...
by jaab
Tue Sep 23, 2014 4:19 am
Forum: Investing - Theory, News & General
Topic: Due diligence on RAFI Pure Small Value
Replies: 189
Views: 24930

Re: Due diligence on RAFI Pure Small Value

Portfolio Visualizer doesn't incorporate profitability (PMU): Nowadays you can select the Frazzini/Pedersen data set, not just F/F research and benchmark. Then you get two additional options; QMJ (Asness) and BAB (low beta). QMJ seems to be a better idea (multiple metrics), for similar reasons as f...
by jaab
Tue Sep 23, 2014 3:10 am
Forum: Investing - Theory, News & General
Topic: Southwest Airlines Engulfing, Reversal Candle Signals Downside
Replies: 55
Views: 6577

Re: Southwest Airlines Engulfing, Reversal Candle Signals Do

You can buy the part of technical analysis which has stood out under "grilling" with products like the MTUM ETF (0.15% ER). Relative price momentum a.k.a. the fourth factor from French's data library. Jegadeesh/Titman, Carhart and so on. At Jason Hsu's website there is a short intro in one of his co...
by jaab
Sun Sep 21, 2014 8:15 am
Forum: Investing - Theory, News & General
Topic: A look at the large value premium
Replies: 16
Views: 2755

Re: A look at the large value premium

As I understand it's a UK/Ireland based ETF only, at the moment: http://www.invescopowershares.co.uk/portal/site/ukprops/template.PAGE/ouretfs/fullrange/ftserafiall-world3000ucitsetf It seems to use swaps for (synthetic) replication(?) <- No, false data at M* You can have a look at the MSCI ACWI (IM...
by jaab
Sat Sep 20, 2014 8:35 pm
Forum: Investing - Theory, News & General
Topic: Another take on "rising equity glidepath" in retirement
Replies: 19
Views: 3198

Re: Another take on "rising equity glidepath" in retirement

Jared Kizer (BAM, as Larry) also did some tests, it seems: http://www.multifactorworld.com/Lists/Posts/Post.aspx?ID=148 [...] As we saw with the success rate analysis, nothing in these results indicates the rising glidepath approach is superior to the declining glidepath approach. The 5th percentile...