Search found 1331 matches

by Theoretical
Mon Aug 20, 2018 7:44 am
Forum: Investing - Theory, News & General
Topic: 2 Q's to factor investors
Replies: 8
Views: 510

Re: 2 Q's to factor investors

For that you’re looking for a long-short factor fund, specifically of a market neutral type. The Vanguard market neutral fund includes value along with several other factors. AQR has one as well but it excludes the size factor, whereas VG mostly plays in the mid-small space. There’s no pure long sma...
by Theoretical
Sun Aug 19, 2018 6:43 pm
Forum: Investing - Theory, News & General
Topic: 2 Q's to factor investors
Replies: 8
Views: 510

Re: 2 Q's to factor investors

I use IJS (iShares S&P 600 Value) to access them Domestically. For foreign small value, I use a mix of PDN (Invesco RAFI FTSE 1500 Small-Mid), FNDC (Schwab Fundamental International Small Cap), and DLS (WIsdomTree International Small Cap Dividend). For Emerging Markets, I use mostly FNDE (Schwab Fun...
by Theoretical
Sun Aug 19, 2018 6:38 pm
Forum: Investing - Theory, News & General
Topic: According to BKM, value and small firms may do worse in economic downturn
Replies: 22
Views: 864

Re: According to BKM, value and small firms may do worse in economic downturn

Small caps and value, esp. small value have a lot higher individual risks company to company. With the big guys, there's the risk of one of them being a large and influential part of the market and blowing up a la Enron, Merrill or the like due to an accounting scandal. It's not that the small/scv c...
by Theoretical
Sun Aug 19, 2018 2:02 pm
Forum: Investing - Theory, News & General
Topic: According to BKM, value and small firms may do worse in economic downturn
Replies: 22
Views: 864

Re: According to BKM, value and small firms may do worse in economic downturn

Larry has mentioned that large growth can be a rational position for a more risk-averse investor, which is why most target date funds are blend or slightly growthy. Similarly, it’s why the Larry Portfolio type fund has a LOT of bonds to offset the greater risk in the equities. I read something to th...
by Theoretical
Fri Aug 17, 2018 12:21 am
Forum: Investing - Theory, News & General
Topic: Here's what has happened to value since FF 3-factor
Replies: 6
Views: 779

Re: Here's what has happened to value since FF 3-factor

That chart is slightly deceptive (though still relevant) in that it is missing the 2016-17 Value boom.
by Theoretical
Thu Aug 16, 2018 3:42 pm
Forum: Investing - Theory, News & General
Topic: Take your canes out in Emerging Markets
Replies: 23
Views: 2775

Re: Take your canes out in Emerging Markets

The valuations are reaching stupidly low levels again for EM value, but 1, I have large capital gains in them so I’m not going to sell and 2, I’m not going to catch a falling knife needlessly to buy more beyond the current auto 401k purchases The Economist "The contrarian case for emerging markets"...
by Theoretical
Thu Aug 16, 2018 12:10 pm
Forum: Investing - Theory, News & General
Topic: Workers on Corporate Boards - Principal-Agent Problem
Replies: 14
Views: 804

Re: Workers on Corporate Boards - Principal-Agent Problem

Also, some of the worst financial scandals ever were caused by companies obsessed to an extreme degree with boosting their share price, size, and profits at all costs. There may be downsides to the dual mandate but that doesn’t mean the single mandate is risk free. Or look at performance bonuses bas...
by Theoretical
Wed Aug 15, 2018 5:35 pm
Forum: Investing - Theory, News & General
Topic: Take your canes out in Emerging Markets
Replies: 23
Views: 2775

Re: Take your canes out in Emerging Markets

The valuations are reaching stupidly low levels again for EM value, but 1, I have large capital gains in them so I’m not going to sell and 2, I’m not going to catch a falling knife needlessly to buy more beyond the current auto 401k purchases Where do you get your (current, I hope, updated daily/we...
by Theoretical
Wed Aug 15, 2018 4:17 pm
Forum: Investing - Theory, News & General
Topic: Take your canes out in Emerging Markets
Replies: 23
Views: 2775

Re: Take your canes out in Emerging Markets

The valuations are reaching stupidly low levels again for EM value, but 1, I have large capital gains in them so I’m not going to sell and 2, I’m not going to catch a falling knife needlessly to buy more beyond the current auto 401k purchases
by Theoretical
Wed Aug 15, 2018 1:52 pm
Forum: Investing - Theory, News & General
Topic: The Case for Multifactor Funds
Replies: 17
Views: 1139

Re: The Case for Multifactor Funds

Re: the AQR funds. So far it’s shown itself by producing some really serious negative alpha, especially when you add Quality and BAB to the mix. Interestingly, though we only have daily data, the new Vanguard mutifactor fund has extremely deep loads on value and a modest to moderate momentum but has...
by Theoretical
Tue Aug 14, 2018 8:20 pm
Forum: Investing - Theory, News & General
Topic: The Bigger Story: Fidelity Expense Ratios
Replies: 91
Views: 8381

Re: The Bigger Story: Fidelity Expense Ratios

Based on my portfolio and your table I would save about $250 on expenses alone by switching from VG to Fido. However there would be capital gains on the after tax piece that would swamp the savings. In addition I would have to get to know the Fidelity culture, which by the posts I see on this site ...
by Theoretical
Mon Aug 13, 2018 1:59 pm
Forum: Investing - Theory, News & General
Topic: "Don't Obsess About Expense Ratios"
Replies: 240
Views: 20169

Re: "Don't Obsess About Expense Ratios"

It is funny though how this discussion changes. Want to buys some SV fund with .1% ER? Why pay 2x as much as TSM? Want to buy some fund with a cheaper ER? ER doesn't matter. This. All the way. Fidelity has done investors a real service, especially dropping the minimums and ERs on a bunch of other f...
by Theoretical
Sat Aug 11, 2018 12:24 am
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 114
Views: 6102

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

From what I've read, treasury futures only require something like 3% margin, which for the 60% bonds means they've got a margin requirement of about 1.8% of total assets, meaning the fund is overcollateralized by over 5.5x before it hits a margin call. This is why it is so important that this fund i...
by Theoretical
Fri Aug 10, 2018 11:34 am
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 114
Views: 6102

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

Something else to consider is that this is a very tax-efficient way to go for people or trusts in the top tax bracket, particularly trust beneficiaries. Their white papers explicitly talk about tax efficiency on deferring the capital gains on equities and taking advantage of futures rates on the bon...
by Theoretical
Fri Aug 10, 2018 12:51 am
Forum: Investing - Theory, News & General
Topic: Evaluating Munis beyond rating
Replies: 11
Views: 879

Re: Evaluating Munis beyond rating

1. State of issuance is huge. A Tennessee or Nebraska bond of the same rating and sector is usually going to be qualitatively superior to an Illinois or New Jersey one, and you’ll be able to tell by the difference in yield. 2. So is the sector. State GO bonds are safest historically, and so are road...
by Theoretical
Fri Aug 10, 2018 12:16 am
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 114
Views: 6102

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

So here's a comparison using live funds as follows: Fund 1 is the standard Vanguard S&P 500 Fund 2 is PIMCO's Stocks Plus Institutional Class fund. This fund combines S&P 500 futures with their active bond strategy. More importantly, it's been live since the early 1990s Fund 3 is 90% Vanguard S&P; 6...
by Theoretical
Wed Aug 08, 2018 9:14 pm
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 114
Views: 6102

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

This is IMO a really solid approach to take and is not excessively risky, given treasury collateral that's about 5x higher than is typically required for a futures contract. PIMCO has done this for years with their witch's brew of bonds and their Stocks Plus Funds, though they've gone with futures/s...
by Theoretical
Wed Aug 08, 2018 11:36 am
Forum: Investing - Theory, News & General
Topic: If it were March, 2000, would you still allocate 50% to Stocks?
Replies: 94
Views: 4293

Re: If it were March, 2000, would you still allocate 50% to Stocks?

The real problem here with your thinking is that you’re viewing this as a black-white problem where you’re betting all 50% on one particular market and its current high price. Markets can always go higher when they’re expensive and can always go lower when they’re depressed and cheap. A diversified ...
by Theoretical
Wed Aug 08, 2018 10:54 am
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 5
Views: 394

Re: Tail Risk Protection

No, it’s not a good strategy any more because the risk of crashes/black swans is now priced into those out of the money puts, and they’re very expensive, on the order of 1.5-2%+. Worse still, you’re only rewarded for the risk if the actual volatility exceeds the priced in implied volatility. Even wi...
by Theoretical
Mon Aug 06, 2018 11:13 pm
Forum: Investing - Theory, News & General
Topic: "Don't Obsess About Expense Ratios"
Replies: 240
Views: 20169

Re: "Don't Obsess About Expense Ratios"

I’m actually more thrilled by the fact their treasury indexes are dirt cheap at 3 bps AND no minimum.
by Theoretical
Mon Aug 06, 2018 6:43 pm
Forum: Investing - Theory, News & General
Topic: "Don't Obsess About Expense Ratios"
Replies: 240
Views: 20169

Re: "Don't Obsess About Expense Ratios"

He's so right. I'm almost afraid that this zero expense ratio thing might be a bait and switch. I don’t think it’s bait and switch. The funds pAy for themselves with securities lending rather than a management fee. They are very upfront about this. The downside is that the fund is taking a small am...
by Theoretical
Mon Aug 06, 2018 6:03 pm
Forum: Investing - Theory, News & General
Topic: Treasury Bonds are the Only Bonds You Need
Replies: 123
Views: 12359

Re: Treasury Bonds are the Only Bonds You Need

. Different investors have very different needs. Agreed, different hopes, for different dopes. And compared to the market, I admit that I'm a dope No. 1. :wink: Well what I mean by that is that an insurance company buying for a nominal future liability does not care about the return and certainly d...
by Theoretical
Mon Aug 06, 2018 3:27 pm
Forum: Investing - Theory, News & General
Topic: Treasury Bonds are the Only Bonds You Need
Replies: 123
Views: 12359

Re: Treasury Bonds are the Only Bonds You Need

A market may be priced efficiently, but that doesn’t mean it’s a good investment for the risk that investor is undertaking. Different investors have very different needs.
by Theoretical
Mon Aug 06, 2018 2:01 pm
Forum: Investing - Theory, News & General
Topic: How do you think about your mortgage in relation to your stock/bond portfolio?
Replies: 32
Views: 2434

Re: How do you think about your mortgage in relation to your stock/bond portfolio?

I would treat it as a negative bond and convert my safety-bond/liquidity reserve holdings to cash to make the AA Long Equity -short Bonds + long Cash
by Theoretical
Mon Aug 06, 2018 8:52 am
Forum: Investing - Theory, News & General
Topic: Behavioral Finance paper on assessing risk
Replies: 6
Views: 622

Re: Behavioral Finance paper on assessing risk

The paper had a surprising conclusion that people are risk averse in relation to gains but risk seeking in relation to losses. I would expect the opposite. This is consistent with the kind of behavior trend followers observe and try to exploit. It’s the risk of being too early in contrarianism - “f...
by Theoretical
Mon Aug 06, 2018 7:52 am
Forum: Investing - Theory, News & General
Topic: Bloomberg commodities index still in contango
Replies: 82
Views: 6946

Re: Bloomberg commodities index still in contango

This one is the one you’re looking for. Index futures and active collateral. .29%

BCI
by Theoretical
Mon Aug 06, 2018 5:34 am
Forum: Investing - Theory, News & General
Topic: Bloomberg commodities index still in contango
Replies: 82
Views: 6946

Re: Bloomberg commodities index still in contango

Yes, because what it does to avoid being a commodity pool is (1) actively manage the collateral and (2) hold the commodities in question in a Cayman sub. The commodity part is pretty-strictly index.
by Theoretical
Mon Aug 06, 2018 4:38 am
Forum: Investing - Theory, News & General
Topic: Bloomberg commodities index still in contango
Replies: 82
Views: 6946

Re: Bloomberg commodities index still in contango

DBC is actively managed, they adjust for contango? http://www.etf.com/DBC not sure i trust the idea of active management. and the e.r. is 0.88% The better one is PDBC which is actively managed on the collateral and uses a wholly owned Cayman sub to make it a ‘40 Act fund with no K-1. It’s .59 now. ...
by Theoretical
Mon Aug 06, 2018 4:10 am
Forum: Investing - Theory, News & General
Topic: Using puts in portfolio
Replies: 4
Views: 580

Re: Using puts in portfolio

I would be much more likely to sell puts than to buy. Puts seem quite pricey to me and they've gotten more expensive recently as Theoretical mentioned. If your goal is tax efficient derisking and not market timing, you might be better off selling a futures contract. And you could obviously just sel...
by Theoretical
Sun Aug 05, 2018 11:13 pm
Forum: Investing - Theory, News & General
Topic: Using puts in portfolio
Replies: 4
Views: 580

Re: Using puts in portfolio

Pre-GFC, there was a gap in the implied volatility and the effects of tail risk-level volatility losses. This is part of Nassim Taleb’s great trading success. He’s since written that options are being priced to account for fat tails, so there’s a nasty volatility risk premium you have to pay now. Mo...
by Theoretical
Sun Aug 05, 2018 8:10 pm
Forum: Investing - Theory, News & General
Topic: WSJ - How Brokers Make More On Your Cash Than You Do.
Replies: 28
Views: 4004

Re: WSJ - How Brokers Make More On Your Cash Than You Do.

There's a fintech startup that is relevant to this space: Jiko would allow you to earn treasury yields on cash savings. I guess a brokerage which cared about its customers could buy it or make something similar to provide a full integrated platform for personal finance; not sure how much money it w...
by Theoretical
Sun Aug 05, 2018 2:20 pm
Forum: Personal Finance (Not Investing)
Topic: Dear BH, what are non-BH [financial] actions you do?
Replies: 71
Views: 4576

Re: Dear BH, what are non-BH actions you do?

1. A sizable static allocation investment in managed futures funds.
2. Managing duration on the bond/CD portion of the portfolio (using Larry's guidelines of 20 bps per additional year).
by Theoretical
Thu Aug 02, 2018 8:44 pm
Forum: Investing - Theory, News & General
Topic: Interactive Brokers Stock Lending Yield for ICSH and SHV
Replies: 8
Views: 580

Re: Interactive Brokers Stock Lending Yield for ICSH and SHV

Long t bills or Eurodollar LIBOR and short commercial paper? Bet on negative credit??
by Theoretical
Thu Aug 02, 2018 12:43 pm
Forum: Investing - Theory, News & General
Topic: Is schwab TSM index fund serving 2 masters?
Replies: 29
Views: 3149

Re: Is schwab TSM index fund serving 2 masters?

Ah yes, the oft repeated Vanguard fan boy mantra. Vanguard is a knight on a while horse while all the others are wolves in sheeps clothing ready to eat your lunch when you turn your back. The trend of Fidelity and Schwab for offering industry leading low cost funds along side full service offerings...
by Theoretical
Mon Jul 30, 2018 7:53 pm
Forum: Investing - Theory, News & General
Topic: Inflation indexing of capital gains
Replies: 7
Views: 717

Re: Inflation indexing of capital gains

3 questions:

1. How many holdings total?
2. What percentage of your total assets is each stock?
3. Are there any individual positions worth more than 2-3% of your total assets?
by Theoretical
Sun Jul 29, 2018 7:47 pm
Forum: Investing - Theory, News & General
Topic: Peak Oil, Reloaded?
Replies: 45
Views: 3755

Re: Peak Oil, Reloaded?

I consider the risk of high gas prices to be a major risk of the exurbs and distant suburbs of the DFW metroplex where we live. As a result, I deal with it by living in a smaller residence in uptown and going for shorter commutes. Like any insurance, we pay for it, but an extended $4-5/gallon spat w...
by Theoretical
Sun Jul 29, 2018 1:01 pm
Forum: Investing - Theory, News & General
Topic: Invest in Tesla?
Replies: 330
Views: 23557

Re: Invest in Tesla?

For those that have opinions on Tesla as a company to invest in (or to avoid due to its lack of future prospects, not because it is non BH), what are you opinions or thoughts on the energy aspects of its product offerings? I have little hope to fully comprehend such things but the future seems posi...
by Theoretical
Sun Jul 29, 2018 12:26 pm
Forum: Investing - Theory, News & General
Topic: Any reason to hold junk bond fund?
Replies: 50
Views: 4370

Re: Any reason to hold junk bond fund?

EM Bonds are kind of weird in that the riskiness line between sovereigns and corporates is much blurrier. In addition, you have the dilemma of the less volatile but higher default risk USD bonds and the more volatile but lower default risk of local currency bonds. A local currency version of Invesco...
by Theoretical
Sat Jul 28, 2018 6:02 pm
Forum: Investing - Theory, News & General
Topic: Vgd alt strategies fund (vasfx) open to retail investors?
Replies: 23
Views: 1841

Re: Vgd alt strategies fund (vasfx) open to retail investors?

So they are benchmarking to t-bills plus 4%. Tbills have historically low to no correlation to the returns of bonds and stocks. No correlation doesn’t mean negative, so it’s entirely possible it goes negative when stocks or bonds go negative. Considering the era where alts first arrived on the scene...
by Theoretical
Sat Jul 28, 2018 12:31 pm
Forum: Investing - Theory, News & General
Topic: Vgd alt strategies fund (vasfx) open to retail investors?
Replies: 23
Views: 1841

Re: Vgd alt strategies fund (vasfx) open to retail investors?

A different type of return stream from that of stocks and bonds. It’s a mix of factors, commodities, and I think some merger arbitrage and currency stuff. These have risk but somewhat different risks than just straight stocks and bonds. Being a Vanguard fund, the expenses are way lower than a lot of...
by Theoretical
Fri Jul 27, 2018 12:44 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Precious Metals and Mining Fund is changing
Replies: 61
Views: 5608

Re: Vanguard Precious Metals and Mining Fund is changing

Invesco’s PSAU is the next best alternative that’s a pure PME.
by Theoretical
Thu Jul 26, 2018 8:11 pm
Forum: Investing - Theory, News & General
Topic: Any reason to hold junk bond fund?
Replies: 50
Views: 4370

Re: Any reason to hold junk bond fund?

The other reason to value fallen angels over original issue junk is because the fallen angels likely have superior bond covenants, given that they were originally investment grade.
by Theoretical
Thu Jul 26, 2018 1:27 am
Forum: Investing - Theory, News & General
Topic: Invest in Tesla?
Replies: 330
Views: 23557

Re: Invest in Tesla?

Naked shorts are extremely dangerous, especially on a stock as volatile as Tesla. Better would be buying puts on the stock in bear territory. Yes, you’ll lose the volatility risk premium but you’re not risking unlimited losses. Or just eat the reservation cost and walk away. The sunk cost fallacy is...
by Theoretical
Thu Jul 26, 2018 1:08 am
Forum: Investing - Theory, News & General
Topic: FCA stock drops 15% following Marchionne's death: another argument against market cap weighting?
Replies: 45
Views: 3646

Re: FCA stock drops 15% following Marchionne's death: another argument against market cap weighting?

Here's a nice cheap way to get it: http://portfolios.morningstar.com/fund/holdings?t=SPMD®ion=usa&culture=en-US - SPDR Portfolio Mid Cap - It's the S&P 1000, which is cap weighted mid and small cap. The single largest holding is .48% of the fund. If you want to see how it did historically, use 70...
by Theoretical
Thu Jul 26, 2018 12:58 am
Forum: Investing - Theory, News & General
Topic: Heresy: is using a SP500 index still a valid strategy ?
Replies: 28
Views: 4580

Re: Heresy: is using a SP500 index still a valid strategy ?

Yes, for several reasons. One, it's a bargain basement cheap way to access US stocks. Costs matter. Two, even with the FAANGs, you've still got plenty of other conglomerates in the picture. It's not like some countries where one stock is 40% of the market cap. Three, the correlation between differen...
by Theoretical
Wed Jul 25, 2018 12:44 am
Forum: Investing - Theory, News & General
Topic: Any reason to hold junk bond fund?
Replies: 50
Views: 4370

Re: Any reason to hold junk bond fund?

Yeah Junk is one of those assets that’s rather easy to time, perhaps not in a way to pick the right points, but most definitely on the “now’s a bad time” or the “even if it is a falling knife, I’m STILL getting a killer deal” category as long as you’re diversified. I also think there’s a highly prac...
by Theoretical
Sun Jul 22, 2018 8:49 pm
Forum: Investing - Theory, News & General
Topic: Short versus Intermediate Term Bond
Replies: 57
Views: 5188

Re: Short versus Intermediate Term Bond

Given that at one point in the not so distant past, long bonds were referred to as "certificates of confiscation," I suspect that there is more to the story than your post would lead one to believe. :) People have all sorts of feelings about bonds. I prefer to make my investment decisions based on ...
by Theoretical
Sat Jul 21, 2018 10:20 pm
Forum: Investing - Theory, News & General
Topic: Value Stocks and Margin Loans as Inflation Hedges
Replies: 12
Views: 964

Re: Value Stocks and Margin Loans as Inflation Hedges

I think that Managed futures funds could do extremely well in the 1970s inflationary spike situation, one because the majority of the collateral is in ultrashort cash-type instruments, and two because in a bad inflationary spot, you could see some major trends develop in currencies, commodities, and...
by Theoretical
Fri Jul 20, 2018 8:23 pm
Forum: Investing - Theory, News & General
Topic: Why Take Risk on Equity Side?
Replies: 78
Views: 5528

Re: Why Take Risk on Equity Side?

Ishares has a Barclays aggregate that includes far more types - including high yield - its IUSB.