Search found 1218 matches

by Theoretical
Wed Apr 18, 2018 7:45 am
Forum: Investing - Theory, News & General
Topic: Unimpressive category averages of managed futures, multialternative, market neutral, etc.
Replies: 82
Views: 5039

Re: Unimpressive category averages of managed futures, multialternative, market neutral, etc.

...The raison d'etre of CTAs (commodity trading advisors, i.e. managed futures) has always been crisis alpha... Well, look at the chart. Both the index and the category average existed in 2008-2009. What do you mean by "crisis alpha?" If you mean that they stayed level instead of plunging in 2008-2...
by Theoretical
Sat Apr 14, 2018 8:11 pm
Forum: Investing - Theory, News & General
Topic: Unimpressive category averages of managed futures, multialternative, market neutral, etc.
Replies: 82
Views: 5039

Re: Unimpressive category averages of managed futures, multialternative, market neutral, etc.

Something else about alternatives is that while you may not be able to determine in advance funds that will do well, you most certainly CAN determine that funds that are on shaky ground or are going to be terrible investments: Examples: 1. 2%/20% hedge fund nonsense or 3% fees 2. Something with extr...
by Theoretical
Sat Apr 14, 2018 10:32 am
Forum: Investing - Theory, News & General
Topic: 2-year AA Munis at Vanguard and Fidelity Today
Replies: 91
Views: 5289

Re: 2-year AA Munis at Vanguard and Fidelity Today

Also, road, school, water & sewer, and other essential infrastructure type revenue bonds are very good choices as well.
by Theoretical
Wed Apr 11, 2018 1:34 am
Forum: Investing - Theory, News & General
Topic: Large cap ETF with negative cash flow growth
Replies: 2
Views: 290

Re: Large cap ETF with negative cash flow growth

Not necessarily. What you've listed is a deep value ETF. If Value is what you're wanting, that one has it in spades.
by Theoretical
Sat Apr 07, 2018 11:26 pm
Forum: Investing - Theory, News & General
Topic: Swedroe: Look Beyond 60/40 Portfolio
Replies: 237
Views: 14802

Re: Swedroe: Look Beyond 60/40 Portfolio

The other concern, as someone open to these alts, I have with respect to the Stone Ridge products is that I really do not think the retail investors are getting nearly the bang for their buck they should for the serious liquidity sacrifice they're making in an interval fund structure. This is especi...
by Theoretical
Sat Apr 07, 2018 1:49 am
Forum: Investing - Theory, News & General
Topic: Swedroe: Look Beyond 60/40 Portfolio
Replies: 237
Views: 14802

Re: Swedroe: Look Beyond 60/40 Portfolio

Shortening duration into cash (money market) would be ex-ante smart if it we did face rising rates and inflation.

Whether it ends up being the right call is another thing entirely.
by Theoretical
Fri Apr 06, 2018 7:57 am
Forum: Investing - Theory, News & General
Topic: Bill Bernstein, new podcast
Replies: 56
Views: 5851

Re: Bill Bernstein, new podcast

The 1940s underperformance was because the government capped interest rates in the wake of post-WWII inflation. It was an artificial cap. Is it important that the cap was artificial? Investors in T bills lost real value. We’re in a different time now and perhaps a rate cap is unlikely. But... we’re...
by Theoretical
Thu Apr 05, 2018 9:25 pm
Forum: Investing - Theory, News & General
Topic: Bond Portfolio for High Net Worth Individuals - Different Rules?
Replies: 67
Views: 7367

Re: Bond Portfolio for High Net Worth Individuals - Different Rules?

I had lunch with a wealthy older guy this week. He's a retired lawyer and MBA. What he does and advises is 2 years expenses in cash and 100% of the rest in a S&P 500 fund. "No bonds?" I asked. "No bonds," he confirmed. He has non-stock market investments, too, though. I don't know what percentage o...
by Theoretical
Thu Apr 05, 2018 8:22 pm
Forum: Investing - Theory, News & General
Topic: Bill Bernstein, new podcast
Replies: 56
Views: 5851

Re: Bill Bernstein, new podcast

How exactly are t-bills a risky asset long-term, when they historically have kept up with inflation? There's no guarantee they will keep up with inflation, unlike TIPS. And have they really tracked inflation that well in the past? It looks like they fell behind quite a bit in the 40s, a little in t...
by Theoretical
Mon Apr 02, 2018 9:18 pm
Forum: Investing - Theory, News & General
Topic: Anyone hold any defensive funds in their portfolio?
Replies: 41
Views: 3441

Re: Anyone hold any defensive funds in their portfolio?

Also, everyone and their dog has been piling into them, so they're unusually expensive stocks right now. In general, don't expect stocks of any type to help you in a recession. They may offset some of the worst losses, but even the hallmark example small value still had a big decline in 2002. Stocks...
by Theoretical
Mon Apr 02, 2018 8:38 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Alternative Approach To Alts
Replies: 22
Views: 2896

Re: Larry Swedroe: Alternative Approach To Alts

For options that retail investors can access: Columbia Alternative Beta, Class A (NTF/Load Waived at Fidelity) - CLAAX - (0.5%) Janus Henderson Diversified Alternatives, Class T (NTF/Load Waived at Fidelity, Ameritrade, and Schwab) - JDATX - +0.2% Goldman Sachs Alternative Premia Fund - (NTF/Load Wa...
by Theoretical
Sat Mar 31, 2018 12:10 am
Forum: Investing - Theory, News & General
Topic: Muni bonds and WSJ article.
Replies: 12
Views: 1483

Re: Muni bonds and WSJ article.

I agree to a point, but you really need several hundred thousand in the bond portion in taxable to go individual OR you do something like 50-50 muni fund and several $10-15K blocks to amp up the overall credit quality, but you really have to be only buying at new issue and having no intention to sel...
by Theoretical
Fri Mar 30, 2018 7:18 pm
Forum: Investing - Theory, News & General
Topic: The "American companies I invest in already have international exposure" argument --- valid or not?
Replies: 139
Views: 10057

Re: The "American companies I invest in already have international exposure" argument --- valid or not?

jhfenton wrote:
Fri Mar 30, 2018 6:56 pm
It's an argument. At least one person I respect makes it.

I find it completely unconvincing.
Ditto.

Honda, Toyota, Sony, and etc... all had enormous international exposure while being Japanese companies. It has not worked out too well for Japan only investors by the same logic.
by Theoretical
Thu Mar 29, 2018 5:01 pm
Forum: Investing - Theory, News & General
Topic: Muni bonds and WSJ article.
Replies: 12
Views: 1483

Re: Muni bonds and WSJ article.

This is where market cap bond weighting becomes nasty, because there are a lot of states with crippling debt obligations like this. The ratings agencies are also pulling wool over people's eyes by rating many of these bonds AAA. However, because active bond funds, almost without fail reach for yield...
by Theoretical
Thu Mar 29, 2018 1:33 am
Forum: Investing - Theory, News & General
Topic: Anyone hold any defensive funds in their portfolio?
Replies: 41
Views: 3441

Re: Anyone hold any defensive funds in their portfolio?

High quality intermediate muni bonds (BMBIX)
Brokered CDs
TIPS
Trend Following Managed Futures
Paid off home
by Theoretical
Tue Mar 27, 2018 4:53 pm
Forum: Investing - Theory, News & General
Topic: VWO ex-Russia?
Replies: 19
Views: 1372

Re: VWO ex-Russia?

The killing is figurative, but the shorting costs will be very significant relative to the investment, especially on a thinly traded etf and that's not counting the retail borrowing rate.

It means the ER of the VWO ex RSX will likely be significantly higher.
by Theoretical
Tue Mar 27, 2018 7:48 am
Forum: Investing - Theory, News & General
Topic: VWO ex-Russia?
Replies: 19
Views: 1372

Re: VWO ex-Russia?

Why would you want to short the Russian market? It's one of the most deep value markets out there, even by its low standards, and even taking the corruption into account. If you want to do this, then what you need to do is identify the dollar amount that will be your EM allocation and divide it by ....
by Theoretical
Mon Mar 26, 2018 11:27 pm
Forum: Investing - Theory, News & General
Topic: So... What bond fund or bond-like instrument do you use?
Replies: 68
Views: 7487

Re: So... What bond fund or bond-like instrument do you use?

A CD is a bond with FDIC protection and in the case of a direct bank cd, a put option. It is completely legitimate to use them as part of a bond allocation.
by Theoretical
Mon Mar 26, 2018 11:25 pm
Forum: Investing - Theory, News & General
Topic: Seven-Year Investor Old Beats Harvard’s Endowment Fund
Replies: 21
Views: 2776

Re: Seven-Year Investor Old Beats Harvard’s Endowment Fund

This is fundamentally a stacked deck, because dad picked a set of funds, enforced diversification, and weeded out crazy gimmicks. Imagine if he'd instead printed off 15 random funds with ten year histories from Morningstar and let the girls decide their asset allocations. So sorry, you have invested...
by Theoretical
Mon Mar 26, 2018 8:38 am
Forum: Investing - Theory, News & General
Topic: Could black swan be a 10%-one-time tax on wealth ?
Replies: 12
Views: 1897

Re: Could black swan be a 10%-one-time tax on wealth ?

There have been proposals, similar to what Greece did, of collecting the tax on 401k balances. As this is a very large source of potential tax revenue for a potentially cash starved government, I'd say it's not a black swan, though the timing and speed would likely be. A wealth tax on post tax wealt...
by Theoretical
Sun Mar 25, 2018 9:37 pm
Forum: Investing - Theory, News & General
Topic: Vulture Investing - Liens
Replies: 3
Views: 903

Re: Vulture Investing - Liens

I think I'd sooner be caught naked in Times Square than play this game of roulette as an investment . As a vocation and career , it could be extremely rewarding. As a passive alternative investment, I'd be very afraid. Let's put it this way, just about at the top of my list of worst gifts to give a ...
by Theoretical
Sat Mar 24, 2018 5:22 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Everywhere, Including Factors
Replies: 6
Views: 795

Re: Larry Swedroe: Momentum Everywhere, Including Factors

Here's what I mean: MTUM has basically paralleled a large growth index while having a definite negative value load. The AQR, Bridgeway, and now Alpha Architect momentum funds have some nasty negative alphas, especially on the smaller funds, but are at least neutral on value. Negative alphas of -2.5 ...
by Theoretical
Sat Mar 24, 2018 4:12 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Momentum Everywhere, Including Factors
Replies: 6
Views: 795

Re: Larry Swedroe: Momentum Everywhere, Including Factors

Disclaimer: I haven't read the article yet. I'm with Robert T on this one. It's good to get cross-sectional momentum neutral, but I think it's almost a unicorn or rainbow chasing to capture long-only (and with horrifying downside long-short).
by Theoretical
Thu Mar 22, 2018 12:00 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe’s New Book Available: Reducing Risk Of Black Swans
Replies: 127
Views: 12299

Re: Larry Swedroe’s New Book Available: Reducing Risk Of Black Swans

High quality Short term bonds (and tbills) are basically uncorrellated to anything, so they are excellent diversifiers to equities regardless of economic conditions. Long treasuries historically have been moderately positively correlated to equity returns; however for the last 30-odd years, they've ...
by Theoretical
Tue Mar 20, 2018 11:04 am
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 88
Views: 10265

Re: Vanguard New Factor Funds Portfolio Statistics

Probably worse in a usual recession, since these are risk factors being tilted towards. A massive bubble a la the tech bubble means its value tilt will do well but a liquidity crisis will not help these at all. An inflationary recession would be an open question. I do think there is a premium associ...
by Theoretical
Mon Mar 19, 2018 12:25 am
Forum: Investing - Theory, News & General
Topic: Incredibly sleazy Northwestern Mutual cold caller
Replies: 78
Views: 7706

Re: Incredibly sleazy Northwestern Mutual cold caller

I have had not one, not two, but three NW Mutual agents from the same office pull this kind of trick on me of saying they were referred by one of my Linkedin contacts, which when I reached out to them later was completely false. They used all of these tactics and even more, where they were so obnoxi...
by Theoretical
Sat Mar 17, 2018 5:32 pm
Forum: Investing - Theory, News & General
Topic: Question for Robert T/ people familiar with factor analysis.
Replies: 10
Views: 1199

Re: Question for Robert T/ people familiar with factor analysis.

In my opinion, you left off the very best one of them all, IJS/VIOV - .25/.20 respectively. It's a really well constructed take on small value, especially because the underlying value-blend/growth index has a persistent value tilt, even in the growth index . So even though it has more than half the ...
by Theoretical
Tue Mar 13, 2018 3:54 pm
Forum: Investing - Theory, News & General
Topic: Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others
Replies: 31
Views: 3269

Re: Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others

One set of funds I'd be really curious about are the fundamental index funds, especially with the recent PowerShares rebalance.

PRF, PRFZ, FNDX, FNDB, and FNDA
by Theoretical
Mon Mar 12, 2018 10:34 pm
Forum: Investing - Theory, News & General
Topic: Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others
Replies: 31
Views: 3269

Re: Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others

This is so incredibly impressive. What I'm seeing here is that the Quant Equity Group is producing some really impressive portfolios for the factor crowd, and that are sharper and smaller-cap tilts than their peers with iShares and especially the John Hancock ETFs. They have embraced the tracking er...
by Theoretical
Mon Mar 12, 2018 9:27 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 88
Views: 10265

Re: Vanguard New Factor Funds Portfolio Statistics

That really sounds like a multi metric DFA, especially since the Value Factor etf looks fairly neutral on momentum and with the daily re-evaluation.
by Theoretical
Mon Mar 12, 2018 5:15 pm
Forum: Investing - Theory, News & General
Topic: Drunk investor [Liability for uncovered account?]
Replies: 16
Views: 2895

Re: Drunk investor [Liability for uncovered account?]

The more interesting legal question would be in the situation of involuntary intoxication (allergic reaction or being forced/accidentally taking a mind altering drug (say a delivery of pot brownies with lsd from a regular bakery) or a gun being placed to your or a family member's head.
by Theoretical
Mon Mar 12, 2018 1:45 am
Forum: Investing - Theory, News & General
Topic: Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others
Replies: 31
Views: 3269

Re: Momentum and P/E vs. Market Cap visualizations for new Vanguard factor ETFs and others

I'm loving this data. One question I had was how the value fund shakes out for momentum and momentum fund for value.

Also, price to sales (cash flow too) is really looking like the uber-value play these days. 4 dollars of sales per dollar of price is absolutely crazy.
by Theoretical
Sun Mar 11, 2018 2:36 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 88
Views: 10265

Re: Vanguard New Factor Funds Portfolio Statistics

I'd add SFENX, SFILX, SFNNX (EM Large Value, International Small Blend-Value, and International Large Value) to the mix.
by Theoretical
Sun Mar 11, 2018 1:42 pm
Forum: Investing - Theory, News & General
Topic: Cheap & More Liquid Ways to Get Alt Exposures
Replies: 5
Views: 607

Re: Cheap & More Liquid Ways to Get Alt Exposures

https://alphaarchitect.com/2018/03/07/are-long-short-equity-strategies-worth-the-fees/ This Alpha Architect article suggests a favorable comparison to Long-Short funds being a 60/40 VTI/EDV mix. It'd get killed in inflation whereas the long-short fund gets killed in deflationary/panic times. Also, ...
by Theoretical
Fri Mar 09, 2018 8:27 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 88
Views: 10265

Re: Vanguard New Factor Funds Portfolio Statistics

Very Awesome work jhfenton. Thanks for putting in the time. Let's keep these threads going until the volume improves. I imagine we'll see exponential growth in these funds, especially the multifactor fund/ETF barring a market crash. As much as I respect Larry Swedroe, he'll be saying, "for Christ's...
by Theoretical
Fri Mar 09, 2018 8:18 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 88
Views: 10265

Re: Vanguard New Factor Funds Portfolio Statistics

For what it's worth, IJS has 40-50% turnover and has never distributed a capital gain. Vanguard is just as good as Blackrock in the tax management game. It might in its first year if there's a huge run up in the market, but is pretty unlikely to do so. If you read how they explain active, this is a ...
by Theoretical
Thu Mar 08, 2018 10:26 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 88
Views: 10265

Re: Vanguard New Factor Funds Portfolio Statistics

How'd you calculate the combined style box, @Angst?
by Theoretical
Thu Mar 08, 2018 9:16 pm
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 88
Views: 10265

Re: Vanguard New Factor Funds Portfolio Statistics

In terms of the value fund, it is more valuey and has similar size characteristics to a 50-50 DFA Large Cap Value and DFA Small Cap Value.

I am extremely impressed.
by Theoretical
Wed Mar 07, 2018 6:13 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: How Correlations Are Influenced
Replies: 30
Views: 2223

Re: Larry Swedroe: How Correlations Are Influenced

What I think the fairly consistent message that's coming out here over the last few months, admittedly biased in a "hire us to help with this" is watch out for stagflationary risk. I think several things come into play here: 1. Widespread inadequate retirement savings leading to a need for high retu...
by Theoretical
Sun Mar 04, 2018 1:37 pm
Forum: Investing - Theory, News & General
Topic: Is Cash Trash? The Purpose of Cash
Replies: 178
Views: 17771

Re: Is Cash Trash? The Purpose of Cash

People often ask what purpose cash has in a portfolio. We're probably dinosaurs, but we've always kept a 5% allocation to cash in our retirement portfolios, even through the low interest rates of the past decade. Other advantages to a cash allocation not mentioned by Rick: • Instant Liquidity (no w...
by Theoretical
Sun Mar 04, 2018 3:49 am
Forum: Investing - Theory, News & General
Topic: Vanguard's U.S. Total Stock Market Index fund (VTSAX) and Fidelity's TSM (FSTVX) considered "substantially identical"?
Replies: 24
Views: 2795

Re: Vanguard's U.S. Total Stock Market Index fund (VTSAX) and Fidelity's TSM (FSTVX) considered "substantially identical

They're essentially the same. No the IRS hasn't made a ruling on it, but I think it's asking for trouble. Just use a large cap fund or Schwab's broad market fund that doesn't have microcaps.
by Theoretical
Sat Mar 03, 2018 4:01 pm
Forum: Investing - Theory, News & General
Topic: Treasury Money Market Funds
Replies: 12
Views: 1988

Re: Treasury Money Market Funds

You could also buy a couple of ETFs.

SPDRs BIL at .12% is a 1-3 month t-bill fund and ishares has SHV at .15 for 1-12 and there's few newer ones as well.
by Theoretical
Sat Mar 03, 2018 2:04 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Active Fails In Fixed Income
Replies: 25
Views: 2805

Re: Larry Swedroe: Active Fails In Fixed Income

The Vanguard Tax-Exempt "active" funds are hard to really describe as active, as they have miniscule turnover, sometimes lower even than the Muni Index, and they have twice as many holdings.

At most, by their behavior, they do a bit of yield curve positioning, but are still closet index funds.
by Theoretical
Sat Mar 03, 2018 1:13 pm
Forum: Investing - Theory, News & General
Topic: Goodbye Emergency Fund (sorta)
Replies: 34
Views: 3948

Re: Goodbye Emergency Fund (sorta)

I think your overall strategy is fine but I think you should increase the hobby fund size by whatever amount would be the largest single or multipart hobby purchase you would do at one time - say for the quarter. So if it's a potential for a $3,000 expense, then you should have $10-11,000 in your co...
by Theoretical
Sat Mar 03, 2018 12:39 pm
Forum: Investing - Help with Personal Investments
Topic: Derisking my Portfolio with a Leveraged Mutual Fund
Replies: 38
Views: 2100

Re: Derisking my Portfolio with a Leveraged Mutual Fund

Since you posted, there's also this fund that's coming: http://www.etf.com/sections/daily-etf-watch/wisdomtree-plans-active-etf?nopaging=1 It's a 90/60 Large Cap/Treasury Futures fund, which could be very interesting, especially for taxable accounts. One thing to be cautious of RE: the PIMCO Plus fu...
by Theoretical
Mon Feb 26, 2018 9:50 pm
Forum: Investing - Theory, News & General
Topic: Warren Buffett Dislikes Bonds
Replies: 57
Views: 6762

Re: Warren Buffett Dislikes Bonds

Big talk for a guy whose company is sitting on $100 billion in cash. :D Cash is a different asset class altogether from bonds. It may be a debt security but it behaves a lot differently than even an intermediate term bond. Especially if you add the credit exposure of money market funds to it, there...
by Theoretical
Sun Feb 25, 2018 11:26 pm
Forum: Personal Consumer Issues
Topic: Rome-Florence-Venice-Prague summer vacation
Replies: 54
Views: 3262

Re: Rome-Florence-Venice-Prague summer vacation

Use this service to get between the cities in Italy and then Prague, and you'll be very pleasantly surprised: www.mydaytrip.com. It's a Czech-owned private driver service tailored towards American and Australian tourists. Our two drivers, from Venice to Salzburg and Salzburg to Vienna absolutely roc...
by Theoretical
Fri Feb 23, 2018 10:58 pm
Forum: Investing - Theory, News & General
Topic: The Emerging Markets "lost decade" is over
Replies: 81
Views: 12555

Re: The Emerging Markets "lost decade" is over

Also, considering the scope of both Enron+ scandals and the grotesquely fraudulent housing bubble that nearly collapsed the global economy, I find it very curious how quickly we like to point fingers at other, even more corrupt markets. Also, we too have petty or not so petty bribery in this country...
by Theoretical
Fri Feb 23, 2018 10:52 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: What Investors Should Worry About
Replies: 118
Views: 10493

Re: Larry Swedroe: What Investors Should Worry About

. Interesting article (extract below): “Due to the low correlation of the four strategies, we estimate a portfolio of the four would have volatility of only about 5%, similar to that of an intermediate bond portfolio, while providing an expected, forward-looking return of about 7.5%.” Thus, relativ...