Search found 1473 matches

by Theoretical
Thu Jun 27, 2019 10:01 pm
Forum: Investing - Theory, News & General
Topic: Ex DFA CIO launches competitor which will also have ETFs
Replies: 157
Views: 16250

Re: Ex DFA CIO launches competitor which will also have ETFs

That explicitly ISV fund could get a bunch of assets quickly if it undercuts DFA.
by Theoretical
Tue Jun 18, 2019 11:56 pm
Forum: Investing - Theory, News & General
Topic: SCV tilt advocates, please suggest a percentage for me to use in a backtest
Replies: 31
Views: 2008

Re: SCV tilt advocates, please suggest a percentage for me to use in a backtest

I think 25/25/50 is about right. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1999&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&endDate=06%2F18%2F2019&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=...
by Theoretical
Mon May 20, 2019 9:52 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Trend Following As Insurance
Replies: 110
Views: 5820

Re: Larry Swedroe: Trend Following As Insurance

It's not a perfect correlation, but there are retail funds that use a swap arrangement to access the underlying hedge/CTA in the managed futures space. https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2019&lastMonth=12&calendarAligned=true&e...
by Theoretical
Mon May 13, 2019 11:55 pm
Forum: Investing - Theory, News & General
Topic: Imperfect market timing still works -- if you stick with it
Replies: 149
Views: 11697

Re: Imperfect market timing still works -- if you stick with it

This is a good resource: https://www.toptradersunplugged.com/res ... ket-score/

It's oriented towards a traditional managed futures type trend following portfolio, and it's run by a guy who works at one of the earliest Managed Futures shops - Dunn Capital, with about a 40 year history.
by Theoretical
Sun Apr 07, 2019 11:03 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Performance Of State Pension Plans
Replies: 46
Views: 5319

Re: Larry Swedroe: Performance Of State Pension Plans

Oh sure, I quite agree that they're not truly AAA (or are only AAA in relation to the class as a whole). My concern is that AAA ends up looking more like A- or even BBB+, A as BB and so on down the line, in multiple states at the same time, precisely because the demographic issues are nationwide due...
by Theoretical
Thu Apr 04, 2019 6:45 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Performance Of State Pension Plans
Replies: 46
Views: 5319

Re: Larry Swedroe: Performance Of State Pension Plans

My other concern is that unquestionably safe bonds from municipalities with none of the problems of their mismanaged/overdrawn municipalities and regions are vulnerable to things like tax increases or schemes that change the underlying quality of the municipality, especially if its a General obliga...
by Theoretical
Thu Apr 04, 2019 12:31 am
Forum: Investing - Theory, News & General
Topic: The Case for Multifactor Funds
Replies: 28
Views: 3175

Re: The Case for Multifactor Funds

I have a question about Multifactor Funds. How are the stocks selected? For example, if a single fund is aiming at 4 factors, do they have 1/4 of their assets in each factor? I have seen one fund that targets multiple factors with a stock that is large caps and not valuey, but fits into the quality...
by Theoretical
Wed Apr 03, 2019 10:39 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Performance Of State Pension Plans
Replies: 46
Views: 5319

Re: Larry Swedroe: Performance Of State Pension Plans

My other concern is that unquestionably safe bonds from municipalities with none of the problems of their mismanaged/overdrawn municipalities and regions are vulnerable to things like tax increases or schemes that change the underlying quality of the municipality, especially if its a General obligat...
by Theoretical
Tue Apr 02, 2019 2:26 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Performance Of State Pension Plans
Replies: 46
Views: 5319

Re: Larry Swedroe: Performance Of State Pension Plans

https://www.mercatus.org/statefiscalrankings

This is a great resource for evaluating the fiscal health of various states.
by Theoretical
Mon Apr 01, 2019 10:08 pm
Forum: Investing - Theory, News & General
Topic: Best Fund/ETF for Diversified Commodities Today...
Replies: 15
Views: 1417

Re: Best Fund/ETF for Diversified Commodities Today...

One thing I think that's a bit of an issue with commodities is that every single future has an inherently long and short side, unlike a stock or bond, which can have a short, but does not have to in order to exist. Therefore, it's not going to have the same characteristics as a stock or bond fund. T...
by Theoretical
Sun Mar 31, 2019 7:12 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Patented a Way to Avoid Taxes on Mutual Funds"
Replies: 140
Views: 9750

Re: How ETFs use "Heartbeats" to wash-out gains

They would hedge with futures contracts to a near-net 0 exposure, more or less, while they have the holdings.

It’s harder for specialized or sector funds, but a perfect fit isn’t that crucial.
by Theoretical
Wed Mar 27, 2019 12:28 am
Forum: Investing - Theory, News & General
Topic: Market timers thread
Replies: 223
Views: 16770

Re: Market timers thread

Something else that’s a factor is that market timing as talked about as a feeling, perception or “it can’t go lower/higher” is ultimately a completely discretionary form of investing that is extremely likely to underperform simply because of the amount of emotion involved, even if the signals were 1...
by Theoretical
Tue Mar 26, 2019 11:51 pm
Forum: Investing - Theory, News & General
Topic: DGS: Own it? Opinions on it? [WisdomTree Emerging Mkts SmallCap Dividend]
Replies: 65
Views: 4915

Re: DGS: Own it? Opinions on it? [WisdomTree Emerging Mkts SmallCap Dividend]

In my view, the other big thing DGS brings to the table, especially if paired with a fundamental ETF like FNDE/PXH is much lower concentration and fewer sector bets, with some country weighting adjustments. The other thing is that you basically can’t measure the factors a la fama French with the com...
by Theoretical
Fri Mar 22, 2019 9:42 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 229
Views: 39999

Re: My Favorite Alternative Funds

Arrow Managed Futures Class I (Dunn WMA) - MFTNX +1.92%

Equinox Chesapeake Strategy Class I - EQCHX -0.45%

Nataxis Managed Futures Class A - AMFAX - -.11
by Theoretical
Wed Mar 13, 2019 8:26 pm
Forum: Investing - Theory, News & General
Topic: Best Fidelity Money Market Account to Hold Cash?
Replies: 56
Views: 18427

Re: Best Fidelity Money Market Account to Hold Cash?

If you need the full 30K to be a true cash withdrawal, then SPRXX is really the only choice. In a mutual fund wrapper (next day availability), use FCONX - mostly ultrashort corporate bonds or take some duration risk and use the short term bond mutual fund with a duration around 2 years. If you can s...
by Theoretical
Mon Mar 11, 2019 12:57 pm
Forum: Investing - Theory, News & General
Topic: Large Lump Sum ($1M) into an ETF at Once
Replies: 37
Views: 3496

Re: Large Lump Sum ($1M) into an ETF at Once

This may be a time when you want to do a broker assisted transaction, because a better execution will more than make up for potential slippage.

If you self execute, you should do it in the last hour of trading when liquidity is highest.
by Theoretical
Sun Mar 10, 2019 12:33 am
Forum: Investing - Theory, News & General
Topic: Nationwide financial breakdowns - they can't happen in the US, can they?
Replies: 11
Views: 2050

Re: Nationwide financial breakdowns - they can't happen in the US, can they?

Yes it definitely could. Imagine if the reactions and interventions of the Fed and Treasury in 2008 freaked the market out instead of calming them. Or if they’d done very little and that blew up too. We might still be digging out of that mess 10 years later. Or for an older example, what if Volckeri...
by Theoretical
Sun Mar 10, 2019 12:24 am
Forum: Investing - Theory, News & General
Topic: After ten years, most of the record of the crash is gone
Replies: 41
Views: 6507

Re: After ten years, most of the record of the crash is gone

“Exciting returns” and bonds are what got the financial crisis going (more complicated I know but it’s a part) At the end of the day, you’re using a limited upside instrument in conjunction with an unlimited up and downside instrument (stocks), so you don’t want your bonds to also be hemorrhaging wh...
by Theoretical
Sat Mar 09, 2019 5:35 pm
Forum: Investing - Theory, News & General
Topic: My name is _____, & I am a MARKET TIMER.
Replies: 109
Views: 7999

Re: My name is _____, & I am a MARKET TIMER.

The real key to investing, in my opinion, has less to do with a chosen strategy so much as it does with how you execute. Namely, are you systematic or discretionary? Are you following the rules for your portfolio or shifting around based on the news and/or emotions? Passive definitely is a systemati...
by Theoretical
Sun Mar 03, 2019 4:15 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 250
Views: 43575

Re: Vanguard New Factor Funds Portfolio Statistics

Sure: Here's the monthly loads (AQR 6 factor): https://www.portfoliovisualizer.com/factor-analysis?s=y®ressionType=1&symbols=VFMF+VFVA+VFMO+VFLQ+LRGF+VLUE+MTUM&endDate=03%2F02%2F2019&sharedTimePeriod=true&factorDataSet=2&marketArea=0&factorModel=4&useHMLDevFactor=false&includeQualityFactor=true&i...
by Theoretical
Sun Mar 03, 2019 4:03 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 250
Views: 43575

Re: Vanguard New Factor Funds Portfolio Statistics

The good news: these factor funds are dead-on with their factor loadings, with super-high R^2s for their attributions. The bad news: awful negative alphas, though admittedly not statistically significant. https://bit.ly/2VAblIh Includes ishares comparisons for the time period. Daily does look better...
by Theoretical
Sun Mar 03, 2019 3:57 pm
Forum: Investing - Theory, News & General
Topic: BIL, puzzling T-bill ETF: why have people put $7.9 billion into it?
Replies: 24
Views: 3963

Re: BIL, puzzling T-bill ETF: why have people put $7.9 billion into it?

Something else to consider is that if you're trading it's hyperliquid, in some ways even more than the underlying assets because it's a basket of ultraliquid assets. Mutual funds and money market funds have transaction costs - they're just hidden in the NAV changes. If you're moving huge amounts of ...
by Theoretical
Sat Feb 23, 2019 2:46 pm
Forum: Investing - Theory, News & General
Topic: Do A share front loads continue to be charged as the fund grows?
Replies: 12
Views: 826

Re: Do A share front loads continue to be charged as the fund grows?

These days there should be no excuse for paying front loads at ALL, as you should only buy the funds in question at brokers that have them commission-free. Ideally, it's even more worth it to pay a 1 or 2 time commission and do a systematic purchase of institutional shares offered at lower minimums.
by Theoretical
Sat Feb 16, 2019 7:24 pm
Forum: Investing - Theory, News & General
Topic: Low risk, high return portfolio idea - Is this crazy?
Replies: 23
Views: 3056

Re: Low risk, high return portfolio idea - Is this crazy?

The problem with levering only 2 assets (and effectively levering short a 3rd) is that you get left holding the bag badly in a big drawdown. I mean the short VIX ETN just up and died in a single day. These things can really blow up quickly, and the management/swap fees are downright punitive. Thoug...
by Theoretical
Sat Feb 16, 2019 6:55 pm
Forum: Investing - Theory, News & General
Topic: Low risk, high return portfolio idea - Is this crazy?
Replies: 23
Views: 3056

Re: Low risk, high return portfolio idea - Is this crazy?

I think the problem here is that the asset that's leveraged has extremely negative skewness, and leverage acts as a multiplier of that. In trader parlance, you eat like a bird and lose it like an elephant. The best form of leverage is in the futures market, because you can customize your exposure si...
by Theoretical
Sat Feb 16, 2019 6:22 pm
Forum: Investing - Theory, News & General
Topic: Two-Fund & Three-Fund Not Diversified Enough for Large Investments?
Replies: 26
Views: 3462

Re: Two-Fund & Three-Fund Not Diversified Enough for Large Investments?

In fact, it's the thing they have the most capacity for. It's not infinite, but for just about anyone, including most billionaires, those funds have the capacity to handle these strategies with a minimum of transaction costs or trading slippage. Commodities, metals, small value, concentrated factors...
by Theoretical
Sun Feb 03, 2019 1:37 pm
Forum: Investing - Theory, News & General
Topic: Unconventional investment choices
Replies: 86
Views: 7748

Re: Unconventional investment choices

Monday morning I will be moving my entire Vanguard account ($100k) into a risk parity strategy using 3x leveraged ETFs (at M1 Finance, since Vanguard thinks they know what’s good for me). How’s that for unconventional? What is your specific risk parity implementation? Found a guy talking about the ...
by Theoretical
Tue Jan 29, 2019 11:26 pm
Forum: Investing - Theory, News & General
Topic: Opportunity Cost of [Holding] an Emergency Fund [in Cash/Bonds]
Replies: 60
Views: 4301

Re: Opportunity Cost of an Emergency Fund

Try getting multi five-figure legal and financial expenses in the span of the last 5 months for a family crisis that's hurting work performance, causing enormous anxiety, and the like. Not having to sell stocks right now is an absolute godsend. We could take (and can take) a hell of a punch financia...
by Theoretical
Mon Jan 28, 2019 11:33 am
Forum: Investing - Theory, News & General
Topic: Have you heard of active-managed funds refunding management fees (expense ratio) when they don't beat the S&P 500?
Replies: 14
Views: 1189

Re: Have you heard of active-managed funds refunding management fees (expense ratio) when they don't beat the S&P 500?

There are some PerformanceFee funds from AllainzGI (the parent of PIMCO) where you've got a management fee of like .75% and it can go up .75 or down .75, depending on the performance of the fund.
by Theoretical
Sun Jan 27, 2019 11:59 pm
Forum: Personal Investments
Topic: TIAA retirement Advisor tool: the Ultimate Slice and Dice tool..
Replies: 3
Views: 534

Re: TIAA retirement Advisor tool: the Ultimate Slice and Dice tool..

What a hot mess. So much overlap it makes the head hurt.
by Theoretical
Wed Jan 23, 2019 3:23 pm
Forum: Investing - Theory, News & General
Topic: Do you pay commission reinvesting dividends?
Replies: 16
Views: 1547

Re: Do you pay commission reinvesting dividends?

No, but you need to be really careful about not selling (or Tax Loss Harvesting) the fund during the NTF time period (if it's a no transaction fee/fund). Then, you definitely will get charged for the sale.
by Theoretical
Sun Jan 20, 2019 4:17 pm
Forum: Investing - Theory, News & General
Topic: The Value "Premium" has been ZERO for 30 years
Replies: 198
Views: 16997

Re: The Value "Premium" has been ZERO for 30 years

For what it's worth, even at 0, being zero-correlated to the market factor is a plus in its favor. Long-only, the factors are a lot more correlated (something like .7-.9 if I heard correctly).
by Theoretical
Wed Jan 16, 2019 10:59 pm
Forum: Investing - Theory, News & General
Topic: John Bogle has died at age 89
Replies: 856
Views: 57236

Re: John Bogle has died at age 89

Thank you Jack.

Rest in peace, sir.
by Theoretical
Tue Dec 25, 2018 4:03 am
Forum: Investing - Theory, News & General
Topic: Is there a Nassim Taleb portfolio?
Replies: 38
Views: 6602

Re: Is there a Nassim Taleb portfolio?

Pure trend-following (especially on a broad array of assets), options-buying, and being long-VIX come to mind, as those are positively skewed. Venture capital, but not private equity or small value also would fit the mold. Re: small value - Swedroe's approach takes a bunch of sharply negative-skewed...
by Theoretical
Mon Dec 24, 2018 5:12 pm
Forum: Investing - Theory, News & General
Topic: What will be the low for the S&P 500?
Replies: 87
Views: 8600

Re: What will be the low for the S&P 500?

1750 - about a 40% drawdown from the peak. Trend following is going to be a big winner, again.
by Theoretical
Thu Dec 20, 2018 1:05 am
Forum: Investing - Theory, News & General
Topic: Bluerock TIPRX
Replies: 9
Views: 452

Re: Bluerock TIPRX

This is an real estate interval fund that is invested in a mix of public REITs and Institutional real estate funds (also REITs). It's a mutual fund structure, so you have 40 Act protections; however, it has daily investments in at NAV and quarterly withdrawals between 5 and 25% of assets. The shares...
by Theoretical
Sat Dec 15, 2018 12:05 am
Forum: Investing - Theory, News & General
Topic: Investing in Vanguard funds via Fidelity
Replies: 40
Views: 8271

Re: Investing in Vanguard funds via Fidelity

Admiral shares can now be held at Fidelity. There is still a $75 fee to purchase new shares, but there is no charge to redeem. For those in the decumulation phase, holding these funds at Fidelity could be an option. And if you enroll in the automatic investments, you can invest up to monthly and as...
by Theoretical
Thu Dec 06, 2018 10:52 pm
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 325
Views: 34364

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

This fund is not complicated and is potentially very useful to investors who want a portfolio a little more sophisticated than a straight market-cap weighted approach. Bogleheads: “Simplicity is the ultimate sophistication.” -- Leonardo da Vinci In my opinion, and more importantly, in the opinion o...
by Theoretical
Thu Dec 06, 2018 5:16 pm
Forum: Investing - Theory, News & General
Topic: Preferred stock vs. cd vs. common
Replies: 4
Views: 493

Re: Preferred stock vs. cd vs. common

Preferred stocks get you the limited upside of bonds without the significant debtor covenants. If you strictly want income, I'd strongly prefer junk bonds over preferreds, all things being equal, especially the fallen angel types that have more covenants.
by Theoretical
Thu Dec 06, 2018 5:05 pm
Forum: Investing - Theory, News & General
Topic: Why are market corrections "healthy"?
Replies: 27
Views: 2287

Re: Why are market corrections "healthy"?

It boils down to the fact that negative/downside volatility is ultimately healthy for a robust system, and especially to keep the market from getting hyper-overleveraged. I'm very Taleb-ian on these sorts of things, but if you don't take risk, high returns are suspect and you might just be a sucker....
by Theoretical
Wed Dec 05, 2018 1:19 pm
Forum: Investing - Theory, News & General
Topic: Any thoughts about defined outcome ETFs?
Replies: 12
Views: 1172

Re: Any thoughts about defined outcome ETFs?

Any thoughts about so-called Defined Outcome ETFs that are tied to a particular index and designed to shield investors from drops up to a specified amount in that index, with capped upside returns should the index go up. Three examples: Innovator S&P Buffer (BJUL), Innovator S&P Power Buffer (PJUL)...
by Theoretical
Wed Dec 05, 2018 12:20 pm
Forum: Investing - Theory, News & General
Topic: Daniel Kahneman: Your Intuition Is Wrong, Unless These 3 Conditions Are Met
Replies: 14
Views: 3745

Re: Daniel Kahneman: Your Intuition Is Wrong, Unless These 3 Conditions Are Met

And the third condition is immediate feedback. Kahneman said that “you have to know almost immediately whether you got it right or got it wrong.”
I think this one in particular separates the gut from the accurate snap judgement.
by Theoretical
Sun Dec 02, 2018 1:49 pm
Forum: Investing - Theory, News & General
Topic: Best Multifactor Funds to use for Tilting/Replacement?
Replies: 28
Views: 3497

Re: Best Multifactor Funds to use for Tilting/Replacement?

The Hartford multi-factor ETFs, iShares multi-factor ETFs, USAA Value Momentum Blend ETFs, and Franklin Templeton multi-factor ETFs all look compelling. Don't forget the John Hancock multi-factor ETFs. They are managed by some yahoos going by the name Dimensional Fund Advisors. Are they worth 30-50...
by Theoretical
Sat Dec 01, 2018 12:00 am
Forum: Investing - Theory, News & General
Topic: [Understanding volatility in ultrashort bond funds]
Replies: 51
Views: 6648

Re: Ultrashort bond funds in freefall

That ICSH looks pretty sweet. High credit quality, low duration, good yield, low expenses, tradeable, non-crashy (so far). Yep, I like it quite a bit as well. The main thing to watch out is that it's not commission free anywhere, so you if you're using it as a cash/savings account substitute, somet...
by Theoretical
Wed Nov 28, 2018 12:10 am
Forum: Investing - Theory, News & General
Topic: A bubble of corporate debt.
Replies: 31
Views: 3244

Re: A bubble of corporate debt.

What really is unbelievable is that much of this debt was used to finance buybacks (a practice that was outlawed in the 1930s for obvious reasons until being legalized in the 1980s) which has given the US equity markets the boost not seen in the rest of the world markets. So corporations are exchan...
by Theoretical
Sat Nov 24, 2018 5:19 pm
Forum: Investing - Theory, News & General
Topic: Penalty Free CD
Replies: 4
Views: 859

Re: Penalty Free CD

There's likely some caveat/wiggle language that allows them to restrict redemptions in way that should not ever happen with a money market fund.
by Theoretical
Sat Nov 24, 2018 11:06 am
Forum: Investing - Theory, News & General
Topic: Advisor Perspectives Article: Are You Paying For Liquidity You Don’t Need?
Replies: 45
Views: 3465

Re: Advisor Perspectives Article: Are You Paying For Liquidity You Don’t Need?

I think my biggest concern with explicitly targeting the illiquid is that illiquidity has a bad habit of going from merely illiquid to permafrost. As in you get rewarded for taking the premium in good times but get hurt even ore than you bargain for in the bad.
by Theoretical
Sat Nov 24, 2018 12:30 am
Forum: Investing - Theory, News & General
Topic: Fidelity Adds More iShares ETFs Commission Free
Replies: 3
Views: 1254

Re: Fidelity Adds More iShares ETFs Commission Free

My bad, I'd not seen it with the Zero announcement. Still, it's nice to have.
by Theoretical
Fri Nov 23, 2018 8:24 am
Forum: Investing - Theory, News & General
Topic: Fidelity Adds More iShares ETFs Commission Free
Replies: 3
Views: 1254

Fidelity Adds More iShares ETFs Commission Free

Now Fidelity is up to 239 iShares ETFs from the previous 70. https://research2.fidelity.com/pi/etf-screener#theme/300 Notable additions include the asset allocation etfs (like AOM and AOK), the silver and gold trusts (SLV and IAU), the iBonds target maturity muni and corporate ETFs, and the Single C...
by Theoretical
Thu Nov 22, 2018 6:38 pm
Forum: Investing - Theory, News & General
Topic: Managed Futures Fund...If you must
Replies: 2
Views: 693

Re: Managed Futures Fund...If you must

+1 The other problem with AQR is asset bloat, particularly in the commodities side. Since these are so expensive, you really don't want something managed at a 5-10% volatility, because you have to have a bunch to provide the diversification. Here's 2 others. Jerry Parker is one of the original turtl...