Search found 6607 matches

by lack_ey
Sun Nov 11, 2018 9:35 pm
Forum: Investing - Help with Personal Investments
Topic: Permanent Portfolio - Interested in Bogleheads thoughts
Replies: 11
Views: 1085

Re: Permanent Portfolio - Interested in Bogleheads thoughts

Gold had a very good run in the 1970s, and it's not done well since 2012. Behavior in the 1970s was probably significantly driven by one-time events relating to the collapse of the Bretton Woods system. Getting over 4.5% above inflation from gold over 1972-2012 is probably something of an anomaly. A...
by lack_ey
Sun Nov 11, 2018 5:05 pm
Forum: Investing - Theory, News & General
Topic: Treasury term premium estimate: negative in most of 2017, now 2018 too (NY Fed Adrian, Crump, Moench model)
Replies: 46
Views: 5161

Re: Treasury term premium estimate: negative in most of 2017, now 2018 too (NY Fed Adrian, Crump, Moench model)

I haven't updated this in a while so I thought I might as well. New graph up top. No actual analysis here, just basically graphing the available info. ACM model still does not think much of current pricing in bonds (still thinks a negative term premium is priced in), even with all rates up since las...
by lack_ey
Sun Nov 11, 2018 4:50 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

Nisiprius, I think it’s fair to say the expected return is about 6-7%, equity like. But actual equity returns are rarely similar to the long term expected return. So I wouldn’t get too stuck on comparing the performance to a specific equity index, fund, or stock/bond portfolio over any given time f...
by lack_ey
Wed Nov 07, 2018 11:53 pm
Forum: Investing - Theory, News & General
Topic: China Still An Emerging Market?
Replies: 24
Views: 1907

Re: China Still An Emerging Market?

Some of the MSCI docs were posted above. For reference, here is FTSE's assessment of quality of markets for Asia-Pacific: https://www.ftse.com/products/downloads/Asia-Pacific_latest.pdf (Keep in mind the difference between the non-A shares Chinese market, mostly those H shares in Hong Kong and some ...
by lack_ey
Tue Nov 06, 2018 8:11 am
Forum: Personal Finance (Not Investing)
Topic: High Earners - What's Your Profession?
Replies: 696
Views: 111657

Re: High Earners - What's Your Profession?

I'm a dirty commoner plebian by board standards, whatever those are. Now making a starting salary for first job out of school of $95k base plus $6k stock plus $0-19k bonus based on company performance (this year will be in the upper part of range unless things crater soon). I'm a data scientist for ...
by lack_ey
Mon Oct 29, 2018 8:13 pm
Forum: Investing - Theory, News & General
Topic: Dividend yields
Replies: 7
Views: 1019

Re: Dividend yields

The lower dividend yields that have presented themselves in recent years are a function of lower rates of return on alternative investments (notably bonds). This results in the market bidding up equity prices, which means investors are accepting a lower "earnings yield". (Earnings yield is the inve...
by lack_ey
Fri Oct 19, 2018 3:47 am
Forum: Investing - Theory, News & General
Topic: Thoughts on consumer staples funds?
Replies: 9
Views: 586

Re: Thoughts on consumer staples funds?

How do these typically perform historically? As stocks, but mostly lower beta, a bit less risk and probably less return. Are they typically negatively correlated with funds such as Vanguard Total Stock Market Index? Extremely not. If you have some kind of simplified mental model of "does something ...
by lack_ey
Sat Oct 13, 2018 5:21 am
Forum: Investing - Theory, News & General
Topic: Is EMH a tautology?
Replies: 108
Views: 4885

Re: Is EMH a tautology?

We only talk about EMH under the understanding that it is a model that is not 100% correct anyway. No models of this type in markets are supposed to describe the world perfectly, just potentially in some or many contexts, usefully enough. Yes, my claim was precisely that it is not a model. A model ...
by lack_ey
Sat Oct 13, 2018 5:05 am
Forum: Investing - Theory, News & General
Topic: Is EMH a tautology?
Replies: 108
Views: 4885

Re: Is EMH a tautology?

I haven't seen the prior discussion, but the issues with EMH and joint hypothesis problem I thought were well known here, and I've seen mentions of that many times. A person invoking EMH should also describe the pricing model they are envisioning, where relevant. That said, for practical purposes fo...
by lack_ey
Tue Oct 09, 2018 9:15 pm
Forum: Investing - Theory, News & General
Topic: Diversifying with a zero-correlation, zero-return volatile asset
Replies: 66
Views: 3647

Re: Diversifying with a zero-correlation, zero-return volatile asset

Ex-ante both sides are adding more risk (more volatility) while not changing expected return. So harmful, unless the non-coinflip assets are negative expected return. As for realized returns, one would come out ahead in terms of earning money at the expense of the other, though with higher vol than ...
by lack_ey
Sat Oct 06, 2018 8:22 pm
Forum: Investing - Theory, News & General
Topic: Vanguard's Shtekman and Xu beat Asness: Alt. Strategies (VASFX) vs. AQR (QSPIX)!
Replies: 18
Views: 1166

Re: Vanguard's Shtekman and Xu beat Asness: Alt. Strategies (VASFX) vs. AQR (QSPIX)!

Since inception of Vanguard Alt Strategies, looks like AQR Style Premia is up more but with higher vol (less than 3 years history, doesn't say much)? thanks. can you post your figures please? one of the reasons for my post is that VASFX now has a 3 year history (which is what i did the comparison o...
by lack_ey
Sat Oct 06, 2018 2:45 pm
Forum: Investing - Theory, News & General
Topic: Vanguard's Shtekman and Xu beat Asness: Alt. Strategies (VASFX) vs. AQR (QSPIX)!
Replies: 18
Views: 1166

Re: Vanguard's Shtekman and Xu beat Asness: Alt. Strategies (VASFX) vs. AQR (QSPIX)!

Since inception of Vanguard Alt Strategies, looks like AQR Style Premia is up more but with higher vol (less than 3 years history, doesn't say much)? I haven't looked at the Vanguard fund in a while. Is it accessible to retail investors anywhere yet? From the annual report the Vanguard fund targets ...
by lack_ey
Sun Sep 30, 2018 1:45 pm
Forum: Investing - Help with Personal Investments
Topic: ST bond funds
Replies: 8
Views: 1116

Re: ST bond funds

Closest Vanguard fund you could readily use instead with respect to risk profile would be Vanguard Short-Term Bond Index Fund Admiral Shares (VBIRX). Probably very slightly higher credit quality, very slightly higher term risk.
by lack_ey
Sun Sep 30, 2018 11:42 am
Forum: Investing - Theory, News & General
Topic: Good place for bond total return charts
Replies: 8
Views: 540

Re: Good place for bond total return charts

I would very rarely want to see non-logarithmic graphs for longer-term returns. It's too hard to get a sense of relative returns across different periods otherwise. If you don't need granularity to daily level there are some other decent resources like portfoliovisualizer (backtest a single fund), w...
by lack_ey
Sun Sep 23, 2018 3:32 pm
Forum: Personal Consumer Issues
Topic: vacation in the Ozarks
Replies: 15
Views: 1755

Re: vacation in the Ozarks

If you're going through Arkansas, there's Eureka Springs as mentioned above. If you like art museums / curated outdoors trails and exhibits, stop by Crystal Bridges Museum in Bentonville. That Walton family money went into something, that's for sure. And if you want a break from nature to watch a bl...
by lack_ey
Fri Sep 21, 2018 9:16 pm
Forum: Investing - Theory, News & General
Topic: AQR podcast: stocks are not real assets and do not hedge against inflation risk
Replies: 25
Views: 2204

Re: AQR podcast: stocks are not real assets and do not hedge against inflation risk

Sorry, didn't listen to the podcast, but IIRC the argument from the AQR camp is that stocks have historically not been priced as if they are real assets (prices don't respond to changes in inflation or inflation expectations that would follow if they were real assets, unlike some other assets). So i...
by lack_ey
Sat Sep 15, 2018 6:44 am
Forum: Investing - Help with Personal Investments
Topic: Vanguard Form ADV mentions some Cayman Islands hedge funds. What are they?
Replies: 3
Views: 451

Re: Vanguard Form ADV mentions some Cayman Islands hedge funds. What are they?

ASF Private Fund is a wholly owned subsidiary of Vanguard Alternative Strategies Fund (VASFX) used to do some of the commodities futures (maybe some other commodity-related derivatives as well? but probably futures) trading as a component of that fund. Likewise, MPF Private Fund is a wholly owned su...
by lack_ey
Tue Sep 11, 2018 7:00 am
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5396

Re: Cliff Asness: Liquid Alt Ragnarok?

I think your last two sentences are key. It would be interesting to look at a portfolio of say cash and us stocks that targets a certain level of volatility based on the vix and how that would have performed through say the 1987 crash and the global financial crisis. As opppsed to say a fixed 60/40...
by lack_ey
Mon Sep 10, 2018 9:19 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5396

Re: Cliff Asness: Liquid Alt Ragnarok?

How can there be a benchmark, when they don’t even tell you the specifics of the investments: https://funds.aqr.com/our-funds/alternative-investment-funds/style-premia-alternative-fund I guess folks are just supposed to have faith in their proprietary management choices. A sane investor would deman...
by lack_ey
Mon Sep 10, 2018 6:04 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5396

Re: Cliff Asness: Liquid Alt Ragnarok?

I think your last two sentences are key. It would be interesting to look at a portfolio of say cash and us stocks that targets a certain level of volatility based on the vix and how that would have performed through say the 1987 crash and the global financial crisis. As opppsed to say a fixed 60/40...
by lack_ey
Sun Sep 09, 2018 9:21 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5396

Re: Cliff Asness: Liquid Alt Ragnarok?

well to state the obvious, then in low volatility times positions are larger. and then volatility spikes and one is forces to liquidate some of one's positions at the worst possible time. sounds like long term capital management to me. Frequently vol spikes prior to the large losses. But even if no...
by lack_ey
Sun Sep 09, 2018 6:44 pm
Forum: Investing - Theory, News & General
Topic: Cliff Asness: Liquid Alt Ragnarok?
Replies: 80
Views: 5396

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 lack_ey
Sun Sep 09, 2018 10:30 am
Forum: Investing - Theory, News & General
Topic: Commodities have never been cheaper - time to buy?
Replies: 46
Views: 5169

Re: Commodities have never been cheaper - time to buy?

It's hard to understand commodities prices in terms of fundamentals. We're just looking at total returns over past periods, or relative to certain other assets (the latter in the graph shown). I don't know that a low price really means we should expect higher forward returns. Haven't really looked a...
by lack_ey
Sun Sep 09, 2018 10:18 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

I have no problem accepting DFA funds as their own benchmarks, as I understand the methodology behind them. I have owned four DFA funds (SV, LV, Intl Small, and EMV) for more than 10-12 years now through retirement / college plans, and watched their behavior to have enough confidence in their strat...
by lack_ey
Sun Sep 09, 2018 9:50 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

Lack ey If the whole market comes to agreement on some of these alts, then we don't want them anymore as the return would be gone by then. That just is not right. All can agree I think that reinsurance demands a risk premium as does VRP and as does consumer and small business lending. These are all...
by lack_ey
Sun Sep 09, 2018 9:10 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

I am not even that concerned about the costs alone, it is the nature of the strategy and the models they rely on that I am concerned about, or to put it another way, I am not convinced the models will work in all market scenarios and until they have been tested through various cycles and accepted b...
by lack_ey
Sun Sep 09, 2018 8:44 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

IMO to say a fund is its own benchmark is marketing & self serving. The purpose of benchmarking in the first place is assess a funds performance. Its like saying I am so special I do not need grades trust me I am doing well. In any case, if worse comes to worse you can develop a benchmark of assets...
by lack_ey
Sat Sep 08, 2018 1:40 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

Unfortunately, the likely reality is going to be a lot of losses over the years, as the strategy continues to fail and ER keeps further eroding whatever minuscule returns, and in the end you get nothing for holding it. This type of fund is very profitable for the fund companies and the financal adv...
by lack_ey
Sat Sep 08, 2018 7:26 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

Given its recent performance, is the current shortfall within the range of expectations? Yes, everything within about let's say -15% to 25% in a year should be typical, with I'm guessing maybe 10+% of the time outside that. Target vol on average is about 10% annualized based on position sizes (whic...
by lack_ey
Fri Sep 07, 2018 6:47 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

For years Morningstar listed the figure without dividends on short sales for the expense ratio for funds like these, including Vanguard Market Neutral. As a matter of consistency, it doesn't make sense to me that this would be included in the expense ratio. It's more along the lines of brokerage exp...
by lack_ey
Tue Sep 04, 2018 9:23 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

An eyebrow raised because Larry mentioned individual stocks. As the late Senator Ernest Hollings might have said, "There is too much stock pickin' goin' on out they-a." My long position in Value oriented individual stocks didn't do so bad. Didn't generate alpha but certainly less negative alpha tha...
by lack_ey
Tue Sep 04, 2018 7:09 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

Look again at the confidence intervals for the regression coefficients. That and the R^2. None of the figures are really reliable from a statistical point of view. And then loading significantly on value at the same time as momentum is difficult because they tend to be in opposite stocks to an exten...
by lack_ey
Sun Sep 02, 2018 3:16 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

It is a sensible idea [to look at the difference between large blend vs. large value, small blend vs. small value]* but for this particular fund this one component is not a large enough piece such that this ends up not telling us much. *the fund doesn't use small caps FWIW, just large/mid, to try to...
by lack_ey
Sun Sep 02, 2018 2:22 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1464
Views: 210153

Re: QSPIX - thoughts on interesting fund

That's why I made a second posting showing the difference between large blend and large value, and between small blend and small value, The difference between the two is the same as going long on one and short on the other. Value in U.S. equities is a pretty small component of the fund. It runs val...
by lack_ey
Sat Aug 25, 2018 12:55 pm
Forum: Investing - Theory, News & General
Topic: bond fund yield relates to risk - comparing two treasury funds
Replies: 6
Views: 412

Re: bond fund yield relates to risk - comparing two treasury funds

The active fund could be barbelled a bit more, which would increase convexity (favorable) at the cost of a little bit of yield. It also might be in relatively more liquid issues and losing some small bp yield there. I don't actually know and haven't actually checked. In general I would say that high...
by lack_ey
Fri Aug 24, 2018 7:04 am
Forum: Investing - Theory, News & General
Topic: In a single factor world, why is TSM M-V efficient? [Mean-Variance]
Replies: 20
Views: 1086

Re: In a single factor world, why is TSM M-V efficient?

The issue is that those assumptions are definitely necessary to make TSM be mean-variance efficient. So if you don't want to go through them, there will be unexplained holes. Just say that with enough people looking at the market, in the aggregate, they buy up the value of anything so undervalued th...
by lack_ey
Tue Aug 14, 2018 9:37 pm
Forum: Investing - Theory, News & General
Topic: Anyone see any benifit to CEFs (close end funds)?
Replies: 17
Views: 1043

Re: Anyone see any benifit to CEFs (close end funds)?

The potential advantage is in not having to deal with on-demand flows from investors into and out of the fund every day, unlike open-end funds. That can help especially when the holdings are less liquid, perhaps more concentrated. So it can be a more appropriate vehicle for some things, assuming you...
by lack_ey
Sun Jul 29, 2018 1:44 am
Forum: Investing - Theory, News & General
Topic: Vgd alt strategies fund (vasfx) open to retail investors?
Replies: 23
Views: 2041

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

A lot of times at some brokerages you can probably buy in at less than the stated minimum. I haven't checked here. This is not a fund I've looked at in any level of detail, but another thing of quick note is that the correlation to stocks and bonds may not be as low as some are thinking or expecting...
by lack_ey
Thu Jul 26, 2018 6:48 am
Forum: Investing - Help with Personal Investments
Topic: Low Cost Commodities Investments?
Replies: 7
Views: 645

Re: Low Cost Commodities Investments?

What are you trying to invest in and why? Depending on your aims, there may not be anything really available or possible. And definitely nothing will be particularly low cost, nothing from Vanguard. You could invest in the stocks of agriculture-related companies that may generally be sensitive to ag...
by lack_ey
Wed Jul 25, 2018 8:53 pm
Forum: Investing - Theory, News & General
Topic: The volatility explosion of 1933?
Replies: 32
Views: 2095

Re: The volatility explosion of 1933?

I've noticed it at times in the past. I mean, whether you look at loss of value, vol, etc., the Great Depression / market collapse around that time was the king of U.S. left tail events. Weird things happening. Bad things happening. Markets are different now, but only by so much, and who knows what ...
by lack_ey
Thu Jul 19, 2018 10:15 am
Forum: Personal Consumer Issues
Topic: sams club - new member
Replies: 22
Views: 1782

Re: sams club - new member

Sam's Clubs are, in my experience, highly specific to the area they serve. Accordingly, the products sold at your local Sam's Club are likely representative of the consumer demand and demographics of your area; likewise be aware that Sam's Club has historically (and originally) catered to small bus...
by lack_ey
Wed Jul 18, 2018 1:18 pm
Forum: Investing - Help with Personal Investments
Topic: Why Does Vanguard Emerging Markets not Tie to Market Caps?
Replies: 7
Views: 918

Re: Why Does Vanguard Emerging Markets not Tie to Market Caps?

You're not looking at free float, are you?

Most stock indexes intended for investment adjust weights for float.
by lack_ey
Tue Jul 17, 2018 8:57 pm
Forum: Investing - Theory, News & General
Topic: Titans of Junk: Behind the Debt Binge That Now Threatens Markets [Bloomberg article]
Replies: 14
Views: 2448

Re: Titans of Junk: Behind the Debt Binge That Now Threatens Markets [Bloomberg article]

... but Vanguard's site indicates that all of the corporate bonds are investment-grade. So I'd say no. Authors seem to imply that the securities are AAA rates: Not at all. I specifically said "investment-grade." AAA is not the only bond grade labeled as investment-grade. An investment grade is a ra...
by lack_ey
Mon Jul 16, 2018 9:12 pm
Forum: Investing - Theory, News & General
Topic: Classifying CDs as Bonds or Short Term assets
Replies: 12
Views: 1258

Re: Classifying CDs as Bonds or Short Term assets

Brokered CDs = Bonds Bank CDs = Cash That doesn't make any sense. Surely maturity is far more important when deciding how to classify fixed income instruments. "Cash" is short-term fixed income like money market and short-term bonds. I don't think that's unreasonable. With respect to investment beh...
by lack_ey
Fri Jul 13, 2018 8:32 am
Forum: Investing - Help with Personal Investments
Topic: expense ratio in a fund containing funds
Replies: 9
Views: 839

Re: expense ratio in a fund containing funds

Expense ratios from holdings should show up in "acquired fund fees and expenses" or something similar I think for investment trusts. At least in mutual fund land the amount quoted includes and accounts for the expense ratios of the underlying holdings. I'm fairly sure it works the same here. These u...
by lack_ey
Wed Jul 11, 2018 8:15 am
Forum: Investing - Theory, News & General
Topic: VMMXX and inflation/interest rates
Replies: 7
Views: 1171

Re: VMMXX and inflation/interest rates

Over the last 100+ years in the U.S., Treasury bill returns have beaten inflation by a bit over half a percent a year on average. But that includes about a 50-year period of cumulative losing to inflation. Note that the country was growing faster over this period than it is now, with respect to popu...
by lack_ey
Mon Jul 09, 2018 9:53 pm
Forum: Investing - Theory, News & General
Topic: 50/50 blend of VWENX+VUSUX provides ridiculous risk adjusted return vs 100% stocks
Replies: 22
Views: 2901

Re: 50/50 blend of VWENX+VUSUX provides ridiculous risk adjusted return vs 100% stocks

Wellington has underperformed its composite index over the past 10 years, a classic case of a fund becoming too big to outperform ($100 billion in assets) and turning into a closet index fund. Another example of recency bias and skating to where the puck was. Or is it, perhaps, at least partly beca...
by lack_ey
Mon Jul 09, 2018 1:46 pm
Forum: Investing - Theory, News & General
Topic: 50/50 blend of VWENX+VUSUX provides ridiculous risk adjusted return vs 100% stocks
Replies: 22
Views: 2901

Re: 50/50 blend of VWENX+VUSUX provides ridiculous risk adjusted return vs 100% stocks

Basically backtesting the last 30+ years using long-term Treasuries looks really good as the term premium was heavily rewarded—there was a risk premium priced in and then conditions turned favorable with with inflation dropping and yields falling, and they helped in market declines especially aroun...
by lack_ey
Mon Jul 09, 2018 10:13 am
Forum: Investing - Theory, News & General
Topic: 50/50 blend of VWENX+VUSUX provides ridiculous risk adjusted return vs 100% stocks
Replies: 22
Views: 2901

Re: 50/50 blend of VWENX+VUSUX provides ridiculous risk adjusted return vs 100% stocks

First of all, the URL you linked doesn't include the results. You need to click on the "Link" link next to Portfolio Analysis Results for that. Secondly, I think you generally want to use the Investor share classes rather than Admiral to get a longer history with Vanguard funds. Sure, the ERs will b...
by lack_ey
Sun Jul 08, 2018 8:52 pm
Forum: Investing - Theory, News & General
Topic: Silver ETF [How does it track the spot price?]
Replies: 17
Views: 1100

Re: Silver ETF [How does it track the spot price?]

Technically the legal structure for SIVR is a grantor trust and not a fund in the strict sense. There's no relationship or mechanism directly tying the price to spot silver price or something close to it. It's just that the value of one share is a fractional ownership of the structure, so effectivel...