Search found 1421 matches

by Theoretical
Mon Nov 12, 2018 7:14 pm
Forum: Investing - Theory, News & General
Topic: AQR fund family's performance relative to its benchmarks
Replies: 9
Views: 609

Re: AQR fund family's performance relative to its benchmarks

As a hedge fund investor, you want to pay performance fees so they actually have an incentive to try. Otherwise you get stuck with an under-performing asset gatherer like AQR. This is precisely the justification behind one of the oldest CTAs, Dunn Capital Management, which has a 0/25% cost structur...
by Theoretical
Sat Nov 10, 2018 10:31 pm
Forum: Investing - Theory, News & General
Topic: "Rules-Based Risk Management System" = Market Timing = Momentum/Trend Following?
Replies: 52
Views: 2069

Re: "Rules-Based Risk Management System" = Market Timing = Momentum/Trend Following?

I guess one of the dangers is letting your 12-month trend following strategy turn into a 30-month strategy when you finally capitulate on an asset class. IIRC, there are no momentum effects on timescales longer than about 12 months. (If anything, mean reversion.) That's actually one of the more int...
by Theoretical
Mon Oct 15, 2018 9:29 pm
Forum: Investing - Theory, News & General
Topic: Huge drops in VTXVX and VTHRX [Vanguard Target Date Funds]
Replies: 54
Views: 4937

Re: Huge drops in VTXVX and VTHRX [Vanguard Target Date Funds]

This is why it’s good to only check in on your portfolio occasionally. You miss stuff like this :sharebeer I think it’s more obvious that Vanguard is seriously cheaped out on the financial technology and it’s going to really bite them and a lot of people some day. There are a lot of these kind of e...
by Theoretical
Sun Oct 14, 2018 4:47 am
Forum: Investing - Theory, News & General
Topic: DGS: Own it? Opinions on it? [WisdomTree Emerging Mkts SmallCap Dividend]
Replies: 25
Views: 1767

Re: DGS: Own it? Opinions on it?

It's fine and doesn't really have a competitor but the ER is high. Yeah, the expenses bother me too. Really the only fault I can find with it. Once you get used to Vanguard everything else looks way too expensive. Expenses are the only thing we can control and I fear that a small value tilt may not...
by Theoretical
Fri Oct 05, 2018 8:16 pm
Forum: Investing - Theory, News & General
Topic: Yale's 'Warren Buffett' places big bets on cryptocurrency funds
Replies: 36
Views: 2641

Re: Yale's 'Warren Buffett' places big bets on cryptocurrency funds

This seems more like a venture capital rather than private equity deal, with some majorly positively skewed returns on the docket. Blockchain is an emerging, bleeding edge technology. I’d suspect this fund is going for “stick your fingers in lots of pies” approach and one or two could be absolute ja...
by Theoretical
Thu Oct 04, 2018 4:22 pm
Forum: Investing - Theory, News & General
Topic: When does a stock become a bond before moving back to a stock again
Replies: 47
Views: 2343

Re: When does a stock become a bond before moving back to a stock again

The problem with this combo of pension, stock and employment is called convergent risk, and this has tons of it.

https://m.youtube.com/watch?v=6vcxsJVBqIo
by Theoretical
Thu Oct 04, 2018 3:53 pm
Forum: Investing - Theory, News & General
Topic: When does a stock become a bond before moving back to a stock again
Replies: 47
Views: 2343

Re: When does a stock become a bond before moving back to a stock again

Would your consider posting your 401k fund options, or are these restricted stock options?
by Theoretical
Thu Oct 04, 2018 3:42 pm
Forum: Investing - Theory, News & General
Topic: A simple moving average timing model using stocks and treasuries
Replies: 40
Views: 2671

Re: A simple moving average timing model using stocks and treasuries

The problem with buy-and-hold is the deep drawdowns. This is hard for many to stomach. Even if their stock holding are 'just' 50% of their portfolio, seeing that get cut in half is something that some investors want to avoid. This is correct, and this board (usually) helps people stomach those temp...
by Theoretical
Wed Oct 03, 2018 5:52 pm
Forum: Investing - Theory, News & General
Topic: A simple moving average timing model using stocks and treasuries
Replies: 40
Views: 2671

Re: A simple moving average timing model using stocks and treasuries

If you want to do this, listen to systematic traders first. What they describe is VERY different. Fiddling is known as curve-fitting and is a deadly sin for either buy-and-hold or trend or any investment strategy. Their systems are more about controlling for risk, have a lot of small losses, and ten...
by Theoretical
Wed Oct 03, 2018 11:53 am
Forum: Investing - Theory, News & General
Topic: "Multialternative mutual fund returns"
Replies: 15
Views: 1624

Re: "Multialternative mutual fund returns"

What is the purpose of multialternative fund? Diversity of risk? My take is that these funds are trying to be what bonds used to be. The diversification benefits of bonds are greater when yields are 6% rather than 2%, simply because at 2% yields don't have as far to fall. Not only that, but at 2% y...
by Theoretical
Wed Oct 03, 2018 7:03 am
Forum: Investing - Theory, News & General
Topic: Is an emergency fund just about market timing?
Replies: 103
Views: 5697

Re: Is an emergency fund just about market timing?

Given that equities are perfectly liquid nowadays and generally free to trade (or at the very least, functionally free), what is the rationale for keeping an emergency fund when you can just sell investments to meet any expenses? They get a lot less liquid at the times people are most likely to los...
by Theoretical
Tue Oct 02, 2018 11:08 am
Forum: Investing - Theory, News & General
Topic: Is an emergency fund just about market timing?
Replies: 103
Views: 5697

Re: Is an emergency fund just about market timing?

This strikes me as yet another symptom of a bull market. An E fund is for the fact that life is full of uncertainty, including personal, local, and national/global black swans. I might also add that Stay-the-Course investing requires an iron stomach and a lot of discipline, and having sufficient res...
by Theoretical
Fri Sep 28, 2018 9:22 pm
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 29
Views: 3157

Re: Tail Risk Protection

Quotes from the article in Alpha Architect by Aaron Brask on strategies to achieve tail risk protection. TRH strategies are very complex and will often end up with polarized results. As highlighted in the disclaimer above, it is important to understand these strategies are speculative in nature. Ac...
by Theoretical
Fri Sep 28, 2018 6:54 am
Forum: Investing - Theory, News & General
Topic: SEC charges Musk with Fraud!
Replies: 117
Views: 10794

Re: SEC charges Musk with Fraud!!!

One takeaway I had....Avoid stocks where the CEO is a prolific social media user. This aspect really has not been commented upon. Guess what? Social media posts can and will be used in a court of law. I sometimes wonder if people actually get that or not. In Mr. Musk's case, evidently not. I might ...
by Theoretical
Thu Sep 27, 2018 9:41 am
Forum: Investing - Theory, News & General
Topic: A quick peek at a RAFI Fundamental Large-Cap Index Fund, ten years later
Replies: 22
Views: 1653

Re: A quick peek at a RAFI Fundamental Large-Cap Index Fund, ten years later

Just to add some more context to the discussion. It's impressive the fundamental US large cap index has kept up with the S&P 500, given the fact the Fundamental index significantly underweights the technology sector due to their high valuations. The Fundamental index overweighted financials after t...
by Theoretical
Thu Sep 27, 2018 8:02 am
Forum: Investing - Theory, News & General
Topic: Research Affiliates: Alternative Risk Premia
Replies: 37
Views: 1642

Re: Research Affiliates: Alternative Risk Premia

The difference between the two types is that both get hurt by a reversal (where prices go up after having fallen previously), but cross-sectional stays in the red when the stocks that have been doing the worst are now the best and vice versa. Declining prices in both assets: LS Cross sectional Mom: ...
by Theoretical
Thu Sep 27, 2018 12:49 am
Forum: Investing - Theory, News & General
Topic: Research Affiliates: Alternative Risk Premia
Replies: 37
Views: 1642

Re: Research Affiliates: Alternative Risk Premia

The author makes a point that I had intuitively believed in the past, but he adds a lot of credence to it. In the footnotes “As the central limit theorem of statistics establishes, mixing together non-normal distributions moves the combined result toward a more normal-looking distribution; that is,...
by Theoretical
Wed Sep 26, 2018 12:32 pm
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 29
Views: 3157

Re: Tail Risk Protection

It’s a Swedroe approach, not a Ferri one.

One justification is that small Value stocks tend to have a lot of internal leverage, and if you plot them vs the 500 at 1.5x -50% cash, you get similar results overall both in return and standard deviation.
by Theoretical
Tue Sep 25, 2018 4:22 pm
Forum: Investing - Theory, News & General
Topic: Total Treasuries Market vs Intermediate Treasuries vs Total Bond Market
Replies: 111
Views: 6669

Re: Total Treasuries Market vs Intermediate Treasuries vs Total Bond Market

The switch from TBM -> Intermediate Treasuries was driven by the desire to hold the "risk free" asset (Treasuries) and take the majority of my risk on the equity side, excising corporate bonds from the asset allocation. This is not very radical (although not so common among Bogleheads, for some rea...
by Theoretical
Tue Sep 25, 2018 3:02 pm
Forum: Investing - Theory, News & General
Topic: Total Treasuries Market vs Intermediate Treasuries vs Total Bond Market
Replies: 111
Views: 6669

Re: Total Treasuries Market vs Intermediate Treasuries vs Total Bond Market

Fidelity has 3 $0 minimum treasury funds with an ER of .03% now. Set the allocation once to match GOVT’s characteristics, reinvest dividends, and you’re good to go. Furthermore, unlike ETFs, you can put exact amounts into each fund. The tax benefits of ETFs for stocks don’t really Also, the Vanguard...
by Theoretical
Tue Sep 25, 2018 10:11 am
Forum: Investing - Theory, News & General
Topic: PIMCO PTY
Replies: 2
Views: 247

Re: PIMCO PTY

Leverage, junk bonds, being at a discount to NAV, and return of capital can all play a role. The fact this fund has those kind of yields and is selling at a 20% premium scares the daylights out of me.
by Theoretical
Tue Sep 25, 2018 9:44 am
Forum: Investing - Theory, News & General
Topic: Vanguard New Factor Funds Portfolio Statistics
Replies: 192
Views: 26578

Re: Vanguard New Factor Funds Portfolio Statistics

I am guessing limit orders are still advisable for these funds? I just transferred assets from an adviser and will be buying ~15k vfmf and ~10k vfva later this week. I doubt you’d need it. You can expect instantaneous execution at the prevailing ask price regardless of quantity. Almost certainly. I...
by Theoretical
Mon Sep 24, 2018 10:38 pm
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 29
Views: 3157

Re: Tail Risk Protection

There's also this Alpha Architect article by a guest poster on the subject: https://alphaarchitect.com/2018/04/05/t ... anagement/
by Theoretical
Mon Sep 24, 2018 10:36 pm
Forum: Investing - Theory, News & General
Topic: Are Government Back Bonds or FDIC Insured accounts more at risk of Default?
Replies: 33
Views: 1793

Re: Are Government Back Bonds or FDIC Insured accounts more at risk of Default?

Buffett repeated the same thing, back around 2012 when news stories focused on the credit rating of the US government dropping from AAA to AA. Buffett pointed out that Euro-zone countries are in a different situation, because the individual countries issue their own debt but not their own currency ...
by Theoretical
Mon Sep 24, 2018 3:11 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factors Persist In Emerging Markets
Replies: 31
Views: 2377

Re: Larry Swedroe: Factors Persist In Emerging Markets

Yes. To say certain factor has provided a risk premium is perfectly fine. To say this factor provides a premium is definitive meaning it ALWYS provides a premium. That cannot be known. Are there really that many people confusing that distinction? The same could be said for just stocks in general to...
by Theoretical
Mon Sep 24, 2018 2:00 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Factors Persist In Emerging Markets
Replies: 31
Views: 2377

Re: Larry Swedroe: Factors Persist In Emerging Markets

Rick Ferri wrote:
Mon Sep 24, 2018 1:39 pm
Yes. To say certain factor has provided a risk premium is perfectly fine. To say this factor provides a premium is definitive meaning it ALWYS provides a premium. That cannot be known.
That’s not to mention that a premium can be negative. It’s an integer, not just a positive number.
by Theoretical
Mon Sep 24, 2018 9:36 am
Forum: Investing - Theory, News & General
Topic: Are Government Back Bonds or FDIC Insured accounts more at risk of Default?
Replies: 33
Views: 1793

Re: Are Government Back Bonds or FDIC Insured accounts more at risk of Default?

Default risk is not zero for either but with debt it’s as much about the amount of liquidity as it is the debt burden. Most US debt is nominal, so in the worst case, you get inflation rather than default. This is the (up/down)side of a fiat money system, unlike in WWI (entente powers) or the Depress...
by Theoretical
Sat Sep 22, 2018 6:23 pm
Forum: Investing - Theory, News & General
Topic: Buying Put Options on the S&P 500
Replies: 22
Views: 2147

Re: Buying Put Options on the S&P 500

OP - Traders buy put options. Traders consider that insurance if the short term trade does not work out. Long term buy/hold investors usually don't buy put options. There is no need for a long term investor to do it - because a long term investor is never trying to time the market. A long term inve...
by Theoretical
Thu Sep 20, 2018 8:03 pm
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 29
Views: 3157

Re: Tail Risk Protection

Ditto and buy tail hedges so that you’re selling stuff near the money and buying for the black swan.
by Theoretical
Thu Sep 20, 2018 7:45 pm
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 29
Views: 3157

Re: Tail Risk Protection

That’s Swedroe not Ferri. And the bonds are treasuries.
by Theoretical
Thu Sep 20, 2018 10:42 am
Forum: Investing - Theory, News & General
Topic: In defense of Hedge Funds
Replies: 20
Views: 1293

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: 49
Views: 2819

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: 49
Views: 2819

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: 23
Views: 1997

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: 967

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: 201
Views: 10358

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: 5397

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: 4599

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: 5397

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: 5397

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: 22
Views: 4754

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: 2886

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: 5397

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: 39
Views: 2623

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: 1466
Views: 210361

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: 1466
Views: 210361

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: 84
Views: 11729

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: 1466
Views: 210361

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: 1466
Views: 210361

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: 715

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...