Search found 1391 matches

by Theoretical
Thu Sep 20, 2018 10:42 am
Forum: Investing - Theory, News & General
Topic: In defense of Hedge Funds
Replies: 19
Views: 951

Re: In defense of Hedge Funds

The last 36 years have been a world where two asset classes have served investors well, with zero to sharply negative correlations. Stock heavy investors haven’t really been served by hedge funds since they’ve performed more like really expensive bonds. Bond heavy investors did pretty well until the...
by Theoretical
Wed Sep 19, 2018 11:57 am
Forum: Investing - Theory, News & General
Topic: TSP to Increase Stock Holdings in L Funds
Replies: 36
Views: 1540

Re: TSP to Increase Stock Holdings in L Funds

Here’s the difference. It’s asset class active management. It would be like if the fruit basket at work carried both apples and oranges. As new varieties come into market or become easier to get you add more varieties, the selections increase. If total market funds (singly or combined) are in the TD...
by Theoretical
Wed Sep 19, 2018 8:13 am
Forum: Investing - Theory, News & General
Topic: TSP to Increase Stock Holdings in L Funds
Replies: 36
Views: 1540

Re: TSP to Increase Stock Holdings in L Funds

I continue to be amazed by how actively managed TDFs are.
by Theoretical
Sun Sep 16, 2018 1:01 pm
Forum: Investing - Theory, News & General
Topic: What are the "best" factors?
Replies: 19
Views: 1118

Re: What are the "best" factors?

Value and Trend-following (Time-Series Momentum) are two of the best cases. Cross-sectional momentum has a lot of academic support and great results, but is nigh impossible to capture absent a lot of negative alpha.
by Theoretical
Thu Sep 13, 2018 8:19 pm
Forum: Investing - Theory, News & General
Topic: How is Interactive Brokers Smart Beta Portfolios different from ETFs?
Replies: 8
Views: 865

Re: How is Interactive Brokers Smart Beta Portfolios different from ETFs?

If this is what I think it is, then it’s far different than an ETF. It’s an 8 basis point separately managed account with individual stock holdings, which means you can get the benefit of tax harvesting on the loss side in addition to facing the capital gains.
by Theoretical
Thu Sep 13, 2018 10:15 am
Forum: Investing - Theory, News & General
Topic: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]
Replies: 81
Views: 4500

Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Even after the change... why IJS seems to have slightly better performance than IJS (that has higher expense ration) Say what you will about Blackrock, but they’re incredibly competent at running an index fund and doing securities lending. In fact, their skill is showing up even more since they tak...
by Theoretical
Wed Sep 12, 2018 8:25 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5057

Re: Cliff Asness: Liquid Alt Ragnarok?

grok - I have looked at TIPS, REITS, and other "standard" asset classes. TIPS do not seem to do much (though we have not gone through an inflationary environment with the current products, and I am considering them), REITS have a nice CAGR kick but at big increase in volatility (and a bunch of taxe...
by Theoretical
Wed Sep 12, 2018 4:29 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Simple Factor Investing
Replies: 46
Views: 4252

Re: Larry Swedroe: Simple Factor Investing

If I remember correctly, the special sauce is in the way the fixed income allocation is handled as part of the glide path.
by Theoretical
Wed Sep 12, 2018 10:41 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5057

Re: Cliff Asness: Liquid Alt Ragnarok?

Something I try to look for is funds using these techniques that are not run by the companies promoting the strategy via papers. Part of a strategy’s robustness is based on whether a different metric or metrics successfully accessed the premium or factor. For example, price to sales instead of price...
by Theoretical
Mon Sep 10, 2018 11:23 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5057

Re: Cliff Asness: Liquid Alt Ragnarok?

An in depth look at AQR funds performance from early 2017, well before this “2018 rough patch" https://www.ifa.com/articles/deeper_look_performance/ summary: 67% (16 funds) have underperformed their respective benchmarks since inception, having delivered a NEGATIVE alpha 33% (8 funds) have outperfo...
by Theoretical
Mon Sep 10, 2018 6:54 pm
Forum: Investing - Theory, News & General
Topic: I found this informative about the next possible crisis
Replies: 21
Views: 4080

Re: I found this informative about the next possible crisis

This is actually a very reasonable and measured item in the financial press. Frankly, I was shocked by how much smaller the big banks are post Dodd-Frank and how they’ve shifted in a depository direction. That’s good information right there. The cautions of CLOs and the interactions between this kin...
by Theoretical
Sun Sep 09, 2018 7:47 pm
Forum: Investing - Theory, News & General
Topic: 3 fund portfolio with Money Market instead of Bonds
Replies: 26
Views: 2708

Re: 3 fund portfolio with Money Market instead of Bonds

No, if you view bonds as part of your asset allocation for diversification purposes, then a Money Market fund is Cash, not a bond. Taking some term risk is required to equal a bond, but you can get a significant return boost by investing in even short term bonds as opposed to a money market fund. Fr...
by Theoretical
Sun Sep 09, 2018 6:57 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5057

Re: Cliff Asness: Liquid Alt Ragnarok?

Random, any decent liquid alt ETF funds you know of? I don't know of any and I've looked. IQ Hedge Multi-Strategy Tracker ETF (QAI) is the biggest and most famous, but it's a beta replicator that under the hood just owns long-only ETFs, has delivered no value—positive returns but negative alpha aft...
by Theoretical
Sun Sep 09, 2018 4:32 pm
Forum: Investing - Theory, News & General
Topic: Put Options
Replies: 27
Views: 1148

Re: Put Options

The problem with puts is that the market is now pricing in the black swan-type scenarios you're describing. One of the ways Nassim Taleb made bucketfuls of money was because there was a gap between tail risk protection and the cost of insurance. There was a bit of a recent lull where being long vola...
by Theoretical
Sun Sep 09, 2018 12:22 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

I don’t think it’s fair to say the DFA vector, targeted value or value funds are doing a moderate job on the long-only value factor. They’re unquestionably sound on those, with deep value loads. Otherwise, I completely agree with you on them. It’s the cost difference and the incremental gains especi...
by Theoretical
Sat Sep 08, 2018 10:36 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

As far as Larry Swedroe, my interaction with him on this forum has caused me to think about things a bit differently. It isn't like I dropped everything I was doing before and went 100% with everything he says, but he has helped refine my thinking. Agreed. Our understanding of these concepts differ...
by Theoretical
Sat Sep 08, 2018 1:17 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Precious Metals and Mining Fund is changing
Replies: 77
Views: 8794

Re: Vanguard Precious Metals and Mining Fund is changing

I love Vanguard. However, when it comes to "staying the course", that is something they tell others to do, but do not follow themselves. I am still unhappy about the change to what used to be the Tax Managed International Fund. It is no longer tax managed, but I am locked in. Me too. The ordinary d...
by Theoretical
Sat Sep 08, 2018 11:12 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

Re: performance measurement for these funds, on a long-term basis the most reasonable way I've found to do it is to consider the expected Sharpe ratio and volatility. For example, at 8% volatility with Sharpe ratio 0.7 I'd look for long term performance around 5.6% above bills. We could argue about...
by Theoretical
Fri Sep 07, 2018 7:22 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

I really wish all funds were required to report their transaction costs like they do their administrative fees.
by Theoretical
Fri Sep 07, 2018 9:37 am
Forum: Investing - Theory, News & General
Topic: What's your thoughts on VDET (Emerging Markets Government Bond)?
Replies: 9
Views: 657

Re: What's your thoughts on VDET (Emerging Markets Government Bond)?

The other problem with EM bonds (junk too) is the extremely negative return profile, with limited upside and colossal downside, along with having to pick the poison between higher credit quality and less confiscatory risk but with high currency volatility (local currency bonds) and currency stabilit...
by Theoretical
Fri Sep 07, 2018 7:39 am
Forum: Investing - Theory, News & General
Topic: What's your thoughts on VDET (Emerging Markets Government Bond)?
Replies: 9
Views: 657

Re: What's your thoughts on VDET (Emerging Markets Government Bond)?

It should be part of the equIty/risk allocation, not the bond/safety allocation.
by Theoretical
Thu Sep 06, 2018 11:22 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

Wow, that’s a really impressive fund by its prospectus. You get value, carry, and momentum in equities, bonds, currencies, and commodities, with an on-off option to include short equity volatility for an ER of 1.16% and with a targeted volatility of 8-16%. More interestingly, the find explicitly tal...
by Theoretical
Thu Sep 06, 2018 8:26 pm
Forum: Investing - Theory, News & General
Topic: Wisdom Tree
Replies: 6
Views: 737

Re: Wisdom Tree

Has anybody reviewed the Wisdom Tree ETF's claim that they are smarter than indexing? I just saw an add where they have a Wharton Professor claim that indexing is yesterday's news and that they have a system that favors the better companies within an index. It all sounds good but I went to their we...
by Theoretical
Thu Sep 06, 2018 11:06 am
Forum: Investing - Theory, News & General
Topic: Is it necessary to diversify across Factors?
Replies: 126
Views: 9527

Re: Is it necessary to diversify across Factors?

By diversifying across risk factors, I agree that one can lower stdev of overall investment. This is a simple math in a multi-factor asset pricing model. What about other risks? Ppl who advocate factor investing think risk of investment portfolio is stdev and nothing else. Correct me, if wrong. By ...
by Theoretical
Thu Sep 06, 2018 7:12 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

Taylor Larimore wrote:
Thu Sep 06, 2018 6:27 am
"We are trying to create more efficient portfolios by diversifying away from the market factor."
Dave:

Who are "we?" Are you associated with with Larry Swedroe? I notice you are often first to introduce Larry's writings?

Thank you and best wishes.
Taylor
Seconded.
by Theoretical
Wed Sep 05, 2018 9:20 pm
Forum: Investing - Theory, News & General
Topic: any free options to morningstar X-ray feature
Replies: 9
Views: 1070

Re: any free options to morningstar X-ray feature

Your local library may have a full Morningstar subscription. That’s how I get in.
by Theoretical
Wed Sep 05, 2018 12:22 pm
Forum: Investing - Theory, News & General
Topic: PDN and FNDC Huge Volumes today [RAFI Dev Mkts ex-U.S. small-mid, Schwab Fundamental Int'l small]
Replies: 6
Views: 612

PDN and FNDC Huge Volumes today [RAFI Dev Mkts ex-U.S. small-mid, Schwab Fundamental Int'l small]

Does anyone know why the RAFI international Small Cap funds have astronomical trading volume today relative to their norms, especially PDN, which already has almost 50x its normal volume and FNDC almost 10x.
by Theoretical
Wed Sep 05, 2018 8:26 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

The reason for the reference to individual stocks is because QSPIX also trades index futures as well as individual stocks. If I recall, it has several hundred individual holdings.
by Theoretical
Tue Sep 04, 2018 10:16 am
Forum: Investing - Theory, News & General
Topic: Why are you not compensated for taking unsystematic risk?
Replies: 42
Views: 2316

Re: Why are you not compensated for taking unsystematic risk?

I think the individual stock investor is compensated for that risk by having proxy votes and no overlay/management fee. However, this risk cannot be fully compensated because the risk of all stocks or all stocks in most developed and even emerging countries going to 0 is present but has a practical ...
by Theoretical
Tue Sep 04, 2018 9:39 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

Larry, that’s very helpful to provide context. Thanks!
by Theoretical
Tue Sep 04, 2018 8:55 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

@Nisiprius, The data are limited in part because AQR actually uses 16 (4x4) factors/styles, but there’s no return series available publicly for “multi-asset carry” or multi-asset defensive” so that is likely where much of the alpha is hiding. I think I also agree with you that it has a bond factor t...
by Theoretical
Mon Sep 03, 2018 3:33 pm
Forum: Investing - Theory, News & General
Topic: Does it make sense to invest in individual stocks (like Kanye West) if you stick to what you know?
Replies: 110
Views: 5530

Re: Does it make sense to invest in individual stocks (like Kanye West) if you stick to what you know?

Only if you can do insider trading, except that it’s illegal. Otherwise, it’s a fool’s game.

Extremely well-run companies can produce utter rubbish and companies that make great products can be money pits.
by Theoretical
Mon Sep 03, 2018 9:46 am
Forum: Investing - Theory, News & General
Topic: US Treasuries vs Munis in taxable
Replies: 15
Views: 2628

Re: US Treasuries vs Munis in taxable

Buy the treasuries at Fidelity, Schwab or Vanguard at auction. There’s no fee period and it’s very convenient.
by Theoretical
Mon Sep 03, 2018 9:15 am
Forum: Personal Consumer Issues
Topic: Best place to exchange dollars to euros?
Replies: 49
Views: 3538

Re: Best place to exchange dollars to euros?

The difference was that the one we used charged a separate fee and the other rolled the fee into the exchange rate as a markup.

However even adjusting the separate fee into the cost still showed the local bank ATM significantly cheaper than the international bank ATM right next to it.
by Theoretical
Mon Sep 03, 2018 8:48 am
Forum: Personal Consumer Issues
Topic: Best place to exchange dollars to euros?
Replies: 49
Views: 3538

Re: Best place to exchange dollars to euros?

ATM at the airport in Europe to get your initial money and then other ATMs in europe I have not been to Lisbon in years but in general I would be cautious about using ATMs at European airports in the arrivals areas. They are generally not run by banks (the companies have exclusive contracts with th...
by Theoretical
Mon Sep 03, 2018 8:24 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

From the AQR factor data spreadsheet: https://www.aqr.com/Insights/Datasets/Value-and-Momentum-Everywhere-Factors-Monthly This file contains monthly excess returns of long/short Value and Momentum factors using the definitions of Asness, Moskowitz and Pedersen (2013). The portfolios are an updated a...
by Theoretical
Mon Sep 03, 2018 12:32 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

As promised, both of these are for QSPIX https://bit.ly/2Q0UIUb I uploaded into PV all 8 sets of data from the AQR Value and Momentum Everywhere factors. The tickers I created should make it clear what each is. https://bit.ly/2MJzyMj This one is the multi-asset value and momentum factors. There's no...
by Theoretical
Sun Sep 02, 2018 5:00 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

AQR has multi asset data for value and momentum in the four asset classes along org ones for Time Series Momentum (trend following). I don’t think they have any for quality or carry, but it could be a start. I probably can’t do this today but I could another day pull the data and run it through port...
by Theoretical
Sat Sep 01, 2018 10:51 am
Forum: Investing - Theory, News & General
Topic: Can margin be beneficial for long-term investing?
Replies: 61
Views: 3525

Re: Can margin be beneficial for long-term investing?

Yes. Things are very different if you can have an interest rate arbitrage like that. Exploit that for all its worth.
by Theoretical
Sat Sep 01, 2018 10:30 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1435
Views: 206088

Re: QSPIX - thoughts on interesting fund

For my part, I don't really care about the periods of underperformance, especially in comparison to the S&P. I'd be more worried if it was keeping up all the time, and I personally like seeing my diversifier behave differently, even if we go into a very large run up like the late 1990s. I'm a lot mo...
by Theoretical
Fri Aug 31, 2018 7:35 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks in freefall
Replies: 6844
Views: 1494995

Re: U.S. stocks in freefall

Stock investments are negatively skewed, so there are lots of small-moderate gains and a few huge losses.
by Theoretical
Thu Aug 30, 2018 4:03 pm
Forum: Investing - Theory, News & General
Topic: Can margin be beneficial for long-term investing?
Replies: 61
Views: 3525

Re: Can margin be beneficial for long-term investing?

Margin is a horrible idea for retail investors save having a mortgage or POSSIBLY using the implied leverage in interest rate futures (at the repo rate) to hold more equities not on margin. This video explains why, because levering the stock side up amplifies the magnitude of crashes in a convergent...
by Theoretical
Wed Aug 29, 2018 12:48 pm
Forum: Investing - Theory, News & General
Topic: Small Value Premium - How Do You View It?
Replies: 113
Views: 9509

Re: Small Value Premium - How Do You View It?

1. Tracking error to the market portfolio 2. Liquidity problems in a crisis are far worse for small caps both on their balance sheets and if they need to be traded. 3. Factor crowding risks like in 2005-07 leading to the quant crash, though that is more a long/short and leveraged problem. 4. Transac...
by Theoretical
Tue Aug 28, 2018 11:30 pm
Forum: Investing - Theory, News & General
Topic: Investing in Vanguard funds via Fidelity
Replies: 16
Views: 3063

Re: Investing in Vanguard funds via Fidelity

If you're ok with buying investor shares, you can pay the 1 time fee and then do automatic investments for $5/trade.
by Theoretical
Tue Aug 28, 2018 4:08 pm
Forum: Investing - Theory, News & General
Topic: Paul Merriman and Small Cap Value
Replies: 140
Views: 16654

Re: Paul Merriman and Small Cap Value

The two most promising international SCV funds I've found are WisdomTree International SmallCp Div ETF (DLS) and Invesco FTSE RAFI Dev Mkts ex-US S/M ETF (PDN). Given their high expense ratios, though, my guess is that you'd be better off just choosing something like Schwab International Small-Cap ...
by Theoretical
Tue Aug 28, 2018 9:28 am
Forum: Investing - Theory, News & General
Topic: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard
Replies: 5
Views: 742

Re: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard

SCHC is also a fine choice, but OP is already tilting to value domestically. Also VSS is the best (only) choice if you’re going market Cap Small and including EM.

It’s been awhile since I’d checked on SCHC, and it’s trading volume has picked up. So yeah do that one instead of SCZ.
by Theoretical
Tue Aug 28, 2018 8:27 am
Forum: Investing - Theory, News & General
Topic: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard
Replies: 5
Views: 742

Re: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard

In general, iShares is a wizard at tax efficiency, so those funds are all very efficient. WisdomTree: not so much State Street: Avoid for tax inefficient management Mid-Value. I’d stick with VOE and use IJJ (much more liquid than Vanguard’s IVOV) or FNDA as a Tax Loss Harvesting partner. Small Value...
by Theoretical
Mon Aug 27, 2018 7:46 pm
Forum: Investing - Theory, News & General
Topic: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard
Replies: 5
Views: 742

Re: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard

Mid cap Value: No change, Invesco Midcap Pure Value (.39%), or the Vanguard Value Factor ETF Small Value: No change, Invesco Russell 2000 Pure Value (.39%) - PXMV, Invesco S&P 600 Pure Value (.39%) - RZV. Schwab Fundamental Small Cap (FNDA - .25%) International Small: Schwab Fundamental Internationa...
by Theoretical
Mon Aug 27, 2018 8:34 am
Forum: Investing - Theory, News & General
Topic: Placing an ETF trade on the weekend
Replies: 17
Views: 1460

Re: Placing an ETF trade on the weekend

Wouldn’t the best way to do this be a market on close order, so that you’re buying with all the mutual funds do at the most liquid time of the day and at the same price?
by Theoretical
Fri Aug 24, 2018 6:17 am
Forum: Investing - Theory, News & General
Topic: Still astonished at how much securities lending covers some Vanguard fund costs
Replies: 17
Views: 1590

Re: Still astonished at how much securities lending covers some Vanguard fund costs

fennewaldaj wrote:
Fri Aug 24, 2018 1:12 am
Do many active funds utilize securities lending to help offset there ERs?
Most sure don’t, not even the hard quant or closet index funds that have stable holdings. It’s an even worse negative.