Search found 678 matches

by Theoretical
Sat Feb 25, 2017 2:41 pm
Forum: Investing - Theory, News & General
Topic: Why not hedge using futures?
Replies: 19
Views: 1061

Re: Why not hedge using futures?

So do you simply stop buying if you are trying to "rebalance" or just let equities drop in value to get you back in balance? I'm not really sure about how buying more helps in a scenario where you are 100% stocks. If someone is 100% stocks and 0% bonds, how does one "rebalance" ...
by Theoretical
Fri Feb 24, 2017 10:23 pm
Forum: Investing - Theory, News & General
Topic: AP: Americans buy existing homes at fastest pace in a decade
Replies: 20
Views: 1956

Re: AP: Americans buy existing homes at fastest pace in a decade

I predict that this won't end well. :( Yeah, people buying homes is pretty tragic really. Given what happened a decade ago...it's not that people are buying homes, It's that they're potentially creating yet another real estate bubble. For example, my friend in the mortgage industry has talked about...
by Theoretical
Fri Feb 24, 2017 10:00 pm
Forum: Investing - Theory, News & General
Topic: Factor based investing
Replies: 3
Views: 399

Re: Factor based investing

It is interesting. Two points do seem in order here. One is that he conveniently did not appear to measure his own dual momentum's trading capacity. Two is that I think an argument could be made that the factors' non-correlation (and oppositeness in the case of value/momentum - especially HML-Devil)...
by Theoretical
Thu Feb 23, 2017 2:33 am
Forum: Investing - Theory, News & General
Topic: How efficiently are my investments working?
Replies: 15
Views: 781

Re: How efficiently are my investments working?

I'd say you had a portfolio of RZV and PXH, with some mining stocks but even then, those aren't enough to push it all the way.
by Theoretical
Wed Feb 22, 2017 1:18 am
Forum: Investing - Theory, News & General
Topic: The case against small cap value
Replies: 79
Views: 13738

Re: The case against small cap value

Well, I think it is an active strategy designed to beat TSM, but you've chosen to implement it passively by tracking an index that is constituted of more or less active decisions (such as which value index to use, what market capitalizations to set, etc...). But I think it's a valid active strategy ...
by Theoretical
Wed Feb 22, 2017 12:26 am
Forum: Investing - Help with Personal Investments
Topic: Is 60/40 too conservative for 31 year old?
Replies: 56
Views: 4551

Re: Is 60/40 too conservative for 31 year old?

With that amount pouring in, I think 60/40 is more than fine. The sheer amount of money you're putting in alone should do the trick, and faster than you think, given your joint expenses. If you don't need to take the risk, don't.
by Theoretical
Tue Feb 21, 2017 5:23 pm
Forum: Investing - Theory, News & General
Topic: Combining Wellesley and the Larry Portfolio
Replies: 37
Views: 2039

Re: Combining Wellesley and the Larry Portfolio

Well, in this case, it's actually real diversification because Wellesley only has 60 stocks and very little international or treasury exposure.
by Theoretical
Tue Feb 21, 2017 4:09 pm
Forum: Investing - Theory, News & General
Topic: Combining Wellesley and the Larry Portfolio
Replies: 37
Views: 2039

Re: Combining Wellesley and the Larry Portfolio

I think it's actually a rather elegant approach to slicing and dicing, including in an area where indexing does not necessarily reward the investor (corporate bonds). 50% Wellesley 50% LP breaks down to 15% Large Value 3% Large International Value 7.5% Small Cap Value 5.5% Developed Small Value 2.0%...
by Theoretical
Tue Feb 21, 2017 2:01 pm
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 37
Views: 6572

Re: Question for RobertT

Robert, that's absolutely shocking long-term tracking, better than a lot of major index funds not named Vanguard or iShares.
by Theoretical
Tue Feb 21, 2017 11:59 am
Forum: Investing - Theory, News & General
Topic: Extreme Valuations, and why you should reconsider
Replies: 183
Views: 10202

Re: Extreme Valuations, and why you should reconsider

I think that's part of why I like the move/focus on sales, cashflows, and shareholder yield rather than earnings or book values (or at least not exclusively) of some of the newer value funds. Still fudge-able, but they seem less vulnerable to this kind of thing.
by Theoretical
Mon Feb 20, 2017 10:30 pm
Forum: Investing - Theory, News & General
Topic: VGK, VPL, VWO, & VSS vs VXUS?
Replies: 9
Views: 719

Re: VGK, VPL, VWO, & VSS vs VXUS?

This is going to be a longer-term set of data, but it still bears out that all of these are stock. The one DFA fund is included because it's accurate to other small blend funds since (like SCZ). https://www.portfoliovisualizer.com/asset-correlations?s=y&symbols=VEURX+VPACX+VEIEX+DFISX+VGTSX&...
by Theoretical
Sun Feb 19, 2017 3:01 pm
Forum: Investing - Theory, News & General
Topic: Combining Wellesley and the Larry Portfolio
Replies: 37
Views: 2039

Re: Combining Wellesley and the Larry Portfolio

It has significant promise, I'll give it that:

http://bit.ly/2kBZtYh

At that small of slices, and with Wellesley having a majority US holding I'd probably just 5% each of the three slices.
by Theoretical
Sun Feb 19, 2017 2:43 pm
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 37
Views: 6572

Re: Question for RobertT

..8% iShares US Momentum - ER .15 11% Vanguard MidCap Value - ER .08 19% Schwab Fundamental US Small Company - ER .25 17% Powershares RAFI Developed Market Non-US - ER .25 11% Powershares RAFI Developed Market Non-US small cap - ER .5 10% Powershares RAFI Emerging Markets - ER .47 25% iShares 3-7 yr...
by Theoretical
Sun Feb 19, 2017 1:28 pm
Forum: Investing - Theory, News & General
Topic: I think some criticisim of active management is wrong.
Replies: 22
Views: 1979

Re: I think some criticisim of active management is wrong.

I think it's costs (both expense ratio and turnover) that really highlight active management's weaknesses. This especially shows in the areas where markets are less efficient or less covered (like microcaps and emerging/frontier markets), where active should slaughter passive. But, for the most part...
by Theoretical
Sun Feb 19, 2017 10:14 am
Forum: Investing - Theory, News & General
Topic: Fresh Look at the "Larry Portfolio" from Portfolio Charts
Replies: 115
Views: 9871

Re: Fresh Look at the "Larry Portfolio" from Portfolio Charts

From playing with the numbers, especially the 1940-1980 period, it looks like 1LP equity unit = 1.5 TSM/Intermediate Treasuries in terms of return and standard deviation. So a 30/70 is a lot closer to a 45/55, a 50/50 LP is more or less an 80/20, and a 100% LP would presumably be about a 150% TSM po...
by Theoretical
Thu Feb 16, 2017 6:38 pm
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 4642

Re: Please list value funds you currently use

Well, their dividend tilt is a bit different than a run of the mill tilt. It's more of a fundamental weighting, because it's based on the total payout, not the yield. This makes it more to where it's a weighting (at least for DLS and DGS) based on something close to shareholder yield, since foreign...
by Theoretical
Thu Feb 16, 2017 12:01 pm
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 4642

Re: Please list value funds you currently use

Well, their dividend tilt is a bit different than a run of the mill tilt. It's more of a fundamental weighting, because it's based on the total payout, not the yield. This makes it more to where it's a weighting (at least for DLS and DGS) based on something close to shareholder yield, since foreign ...
by Theoretical
Wed Feb 15, 2017 10:31 pm
Forum: Investing - Theory, News & General
Topic: C corp investment strategy
Replies: 11
Views: 634

Re: C corp investment strategy

ITOT is a suboptimal choice because of the Apple holdings (largest holding=Apple). Try IUSV (Large Value) or IJH (midcap) instead. As to the dilemma, I think it's something a fee-only investment advisor should be consulted about it as to the best action. Put options are obvious but have real downsid...
by Theoretical
Wed Feb 15, 2017 12:48 am
Forum: Investing - Theory, News & General
Topic: Net Worth Diversification Concern
Replies: 10
Views: 1772

Re: Net Worth Diversification Concern

Personally, the diversification I'd go for in your situation is having a second custodian for some of your assets. Convert some of the Admiral shares to ETFs if necessary (it can be done tax-free through Vanguard). Then park those assets over at Ameritrade and call it a day, transferring dividends a...
by Theoretical
Tue Feb 14, 2017 1:46 pm
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 21
Views: 1767

Re: RAFI Multi-Factor Indexes

That's interesting how much the 30% short adds to the factor loadings, and I am surprised by the lack of additional/worse skewness. Has AQR released any information WRT backtested data for the new relaxed constraint funds?
by Theoretical
Tue Feb 14, 2017 12:47 pm
Forum: Investing - Help with Personal Investments
Topic: Beta
Replies: 9
Views: 528

Re: Beta

The treasuries I was recommending more because of the Equity-ish exposure in the EM bonds. I personally like them, but BND is fine.

I think the simplification of your portfolio will help you in the long run.
by Theoretical
Tue Feb 14, 2017 1:31 am
Forum: Investing - Help with Personal Investments
Topic: Beta
Replies: 9
Views: 528

Re: Beta

Investment grade bonds are how you reduce beta. Your real asset allocation is a lot closer to 70/30 because of the Emerging Markets bonds having betaish risks. Here's one option that takes you to 60/40 (62/38 when taking the EM Bonds into account) Due to a lack of data, I substituted an Institutiona...
by Theoretical
Mon Feb 13, 2017 11:30 pm
Forum: Investing - Help with Personal Investments
Topic: Switching portfolio - 3-fund with slight tilt to Larry Porfolio
Replies: 15
Views: 1209

Re: Switching portfolio - 3-fund with slight tilt to Larry Porfolio

If you make half of the treasuries 30 year TIPS or I Bonds and do 2:1 DM-EM Small caps, then I'd say you're in better shape. Stagflation would utterly murder long-term treasuries, and there's far fewer places for the interest rates to go than up. I'd do something like 25% VISVX (I personally prefer ...
by Theoretical
Mon Feb 13, 2017 6:39 pm
Forum: Investing - Theory, News & General
Topic: Vanguard leaves crumbs for active fund managers
Replies: 21
Views: 2593

Re: Vanguard leaves crumbs for active fund managers

At this rate, Vanguard will eat the world of mutual funds. Am I alone in thinking that investors should consider putting money into index funds from Schwab, Fidelity or Blackrock, at least when they are competitive with Vanguard on price? Is it not good for the industry to have several major fund c...
by Theoretical
Mon Feb 13, 2017 6:29 pm
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 4642

Re: Please list value funds you currently use

Those here that tilt to domestic and/or international value rather large, mid or small caps: Please list the funds you currently use for your value tilt. Example desired reply format listing tickers used, rather called a value fund or simply falling in the category based on the morningstar style bo...
by Theoretical
Mon Feb 13, 2017 3:48 pm
Forum: Investing - Theory, News & General
Topic: How Much To Tilt To Small Value?
Replies: 213
Views: 22720

Re: How Much To Tilt To Small Value?

For 2016, Value clobbered Growth, especially Small Value.

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
by Theoretical
Mon Feb 13, 2017 2:55 pm
Forum: Investing - Theory, News & General
Topic: S&P up over 20% in the last 12 months
Replies: 19
Views: 1618

Re: S&P up over 20% in the last 12 months

If you think that's crazy, FNDE (Schwab Emerging Value) is up 57.6% since this time last year.
by Theoretical
Thu Feb 09, 2017 12:23 pm
Forum: Investing - Theory, News & General
Topic: Vanguard's Wellesley Income fund is incredible
Replies: 112
Views: 18435

Re: Vanguard's Wellesley Income fund is incredible

They're similar strategies, but not quite identical. Wellesley has about half the number of companies and is a bit more focused on dividend Income than Wellington. Bond-wise, I'd imagine they're very similar.
by Theoretical
Wed Feb 08, 2017 11:55 am
Forum: Investing - Theory, News & General
Topic: Multifactor Funds Use
Replies: 13
Views: 841

Re: Multifactor Funds Use

Yes that is correct, and could be a very good strategy. But one has to determine if it would be better to simply to get more size and value exposure by adding more SCV to ones large cap blend to achieve their desired factor loadings. iShares multifactor US large cap has a .25% expense ratio, 45% tu...
by Theoretical
Tue Feb 07, 2017 5:24 pm
Forum: Investing - Theory, News & General
Topic: A Wellesley alternative
Replies: 93
Views: 7298

Re: A Wellesley alternative

TagamoreClock's has a 21 year history, and from factor regressions it has lower weightings on value and a positive weighting on size (as opposed to Wellesley's negative size loading). With large and midcaps in particular, this seems to be a fairly clear approach to take.
by Theoretical
Mon Feb 06, 2017 7:31 pm
Forum: Investing - Theory, News & General
Topic: A Wellesley alternative
Replies: 93
Views: 7298

Re: A Wellesley alternative

For the equity portion, I'd consider either American Funds Investment Company of America or Vanguard's own Equity Index fund.

For the bonds, I'd go with a cheap active corporate fund focused on high quality bonds.
by Theoretical
Mon Feb 06, 2017 6:37 pm
Forum: Investing - Theory, News & General
Topic: How Much To Tilt To Small Value?
Replies: 213
Views: 22720

Re: How Much To Tilt To Small Value?

willthrill, The value premium looks pretty much the same in all the high B/M portfolios (value portfolios) of the 25 Fama French portfolios formed on size and B/M. Hardly any difference in HML loadings due to changes in ME (market equity, or size). See my previous post. Any differences in portfolio...
by Theoretical
Mon Feb 06, 2017 1:55 pm
Forum: Investing - Theory, News & General
Topic: Is a total market fund the most diversified
Replies: 157
Views: 13353

Re: Is a total market fund the most diversified

I'm not Larry, but this is that you're taking more risk (high volatility and risk of going to 0) for overall less returns (lots of these go to 0) with these types of microcap stocks.
by Theoretical
Sun Feb 05, 2017 9:58 pm
Forum: Investing - Theory, News & General
Topic: Is a total market fund the most diversified
Replies: 157
Views: 13353

Re: Is a total market fund the most diversified

:shock: Those are startlingly concentrated, Robert T.
by Theoretical
Sun Feb 05, 2017 1:24 pm
Forum: Investing - Theory, News & General
Topic: Fresh Look at the "Larry Portfolio" from Portfolio Charts
Replies: 115
Views: 9871

Re: Fresh Look at the "Larry Portfolio" from Portfolio Charts

I think my greatest concern with the Larry portfolio is the risk of an extended Bond bear like happened between 1941 and 1982, especially during the low inflation periods. TIPS and Broker CDs can help alleviate that but it still seems a bit vulnerable to that side of the equation.
by Theoretical
Sun Feb 05, 2017 11:52 am
Forum: Investing - Theory, News & General
Topic: Vanguard Total Stock Index is not TOTAL?
Replies: 19
Views: 1840

Re: Vanguard Total Stock Index is not TOTAL?

What's missing are the pink sheet specials only traded over the counter. Be glad it's not a "totsl" market.
by Theoretical
Sun Feb 05, 2017 11:46 am
Forum: Investing - Theory, News & General
Topic: How Much To Tilt To Small Value?
Replies: 213
Views: 22720

Re: How Much To Tilt To Small Value?

The value premium is a lot bigger in small caps than large caps, which is the main reason it's worth using blend for the larges and value for the smalls.
by Theoretical
Sat Feb 04, 2017 12:59 pm
Forum: Investing - Theory, News & General
Topic: Anyone have a tilt portfolio similar to this
Replies: 22
Views: 1900

Re: Anyone have a tilt portfolio similar to this

I'd do something like this

30% Total Stock Market
30% Small Value (IJS, VBR, or FNDA are all good options)

20% Developed Markets (VEA or IEFA)
10% International Small Cap (FNDC, PDN or SCHC)
10% Emerging Markets Value (FNDE or TLTE or DGs or a 50/50 combo of FNDE and DGS)
by Theoretical
Fri Feb 03, 2017 8:48 pm
Forum: Investing - Theory, News & General
Topic: Schwab reduces index mutual fund ER and trade commission
Replies: 43
Views: 3496

Re: Schwab reduces index mutual fund ER and trade commission

Something I think ironic on this board is that one of the all-time favorite financial products to pan (usually with good reason) is whole life insurance, which is often sold by mutually-owned, policy-owner life insurance companies like NY Life or Northwestern Mutual. It's clearly highly beneficial t...
by Theoretical
Thu Feb 02, 2017 11:37 pm
Forum: Investing - Theory, News & General
Topic: PSA: IUSV Core Russell US Value ETF index change
Replies: 8
Views: 891

Re: PSA: IUSV Core Russell US Value ETF index change

The S&P indices changed at the December 2005 rebalance to include more than just Price to Book in the index, from Barra to Citigroup, so the accurate live fund data is from January 2006 to the present for the operating funds. Fama French 4 Factor - http://bit.ly/2jDOywO AQR 4 Factor+QMJ - http:/...
by Theoretical
Thu Feb 02, 2017 10:48 pm
Forum: Investing - Theory, News & General
Topic: Schwab reduces index mutual fund ER and trade commission
Replies: 43
Views: 3496

Re: Schwab reduces index mutual fund ER and trade commission

I think the fundamental ones are here to stay, because there's just too much competition from other smart beta products to not make it a cost rush to the bottom. For what it's worth, they could have probably dropped the ER by 2-3 points more than they did, based on the annual report information.
by Theoretical
Thu Feb 02, 2017 2:35 pm
Forum: Investing - Theory, News & General
Topic: Schwab reduces index mutual fund ER and trade commission
Replies: 43
Views: 3496

Re: Schwab trading/fund fee changes

https://www.csimfunds.com/public/csim/home/nn/lower-costs-announcement.html

The Fundamental indexes also get drops of around 7 points and holders of the existing regular index funds will be ecstatic about the huge fee reductions for them.
by Theoretical
Wed Feb 01, 2017 4:26 pm
Forum: Investing - Theory, News & General
Topic: PSA: IUSV Core Russell US Value ETF index change
Replies: 8
Views: 891

Re: PSA: IUSV Core Russell US Value ETF index change

http://bit.ly/2kSDnR8 - Fama/French 4 Factor

http://bit.ly/2jEpxg2 - AQR 4 Factor+QMJ

Its clone fund is about 90% S&P 500 Value and 10% S&P 400 Value.
by Theoretical
Tue Jan 31, 2017 11:56 pm
Forum: Investing - Theory, News & General
Topic: Thoughts on the S&P 400, 600 indexes?
Replies: 6
Views: 926

Re: Thoughts on the S&P 400, 600 indexes?

You can get IJR (Ishares S&P 600) for an 0.07% ER now, and the securities lending brings it down to about .03%. It's super-tax efficient.
by Theoretical
Tue Jan 31, 2017 1:08 pm
Forum: Investing - Theory, News & General
Topic: Kitces' "bond tent" to protect against sequence risk
Replies: 16
Views: 2873

Re: Kitces' "bond tent" to protect against sequence risk

https://www.kitces.com/blog/understanding-sequence-of-return-risk-safe-withdrawal-rates-bear-market-crashes-and-bad-decades/ Unless the bond tent is TIPS, and in light of the sequence of returns stuff in this article for extended drab returns, this seems somewhat contradictory. However, I do in gen...
by Theoretical
Fri Jan 27, 2017 4:46 pm
Forum: Investing - Theory, News & General
Topic: Asset Allocation - considering a change
Replies: 18
Views: 1554

Re: Asset Allocation - considering a change

If you go 40% stocks, I'd put some of the bonds in TIPS.
by Theoretical
Fri Jan 27, 2017 4:27 pm
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4189

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 F...
by Theoretical
Fri Jan 27, 2017 12:09 pm
Forum: Investing - Theory, News & General
Topic: PXSV is now super valuey (even more than RZV)
Replies: 31
Views: 4189

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

With PXSV, you have to use data from March 2015 to the present because of the change in indexes. Also FTSE Russell has the historical data available for regressions/backtesting. The biggest flaw of PXSV's new index is that it grossly missed the rebound in March-June 2009 in addition to hemorrhaging ...
by Theoretical
Wed Jan 25, 2017 11:50 am
Forum: Investing - Theory, News & General
Topic: Factor-Diversified Portfolio
Replies: 175
Views: 14207

Re: Factor-Diversified Portfolio

SFILX has been using the new index since November 2012. [url] https://www.portfoliovisualizer.com/factor-analysis?s=y&regressionType=1&symbols=SFILX&startDate=12%2F01%2F2012&endDate=01%2F24%2F2017&factorDataSet=0&marketArea=1010&factorModel=4&useHMLDevFactor=false&...

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