Search found 6627 matches

by lack_ey
Fri Dec 28, 2018 11:18 am
Forum: Investing - Help with Personal Investments
Topic: Teasury Bill, Notes & Bonds Fund Question
Replies: 3
Views: 277

Re: Teasury Bill, Notes & Bonds Fund Question

First off, I believe you mean to make the distinction between short term, intermediate term, and long term rather than bills, notes, and bonds specifically (which as described above really just map to the maturity range on issuance, not present maturity). What you're suggesting is basically trying t...
by lack_ey
Wed Dec 26, 2018 2:57 pm
Forum: Investing - Help with Personal Investments
Topic: what mix of VXUS & VTI = VT?
Replies: 12
Views: 673

Re: what mix of VXUS & VTI = VT?

someone correct me if wrong but i thought to replicate VT you needed VTI + VEU or VTI + VEA + VWO. VXUS i do not think holds China A shares like VT does. I could be wrong, but I believe VT, VXUS, VEU, and VSS do not include China A shares. VWO does. VXUS (total international) ≈ [VEU (large cap) + V...
by lack_ey
Wed Dec 26, 2018 11:24 am
Forum: Investing - Help with Personal Investments
Topic: what mix of VXUS & VTI = VT?
Replies: 12
Views: 673

Re: what mix of VXUS & VTI = VT?

Looks like ticker symbols for Vanguard total international stock, total (US) stock, total world stock. Are you trying to target those specific ETFs or those markets (more closely the indexes that they follow)? Vanguard's website and other providers would have monthly updated data, which is unusual i...
by lack_ey
Sun Dec 16, 2018 1:29 pm
Forum: Investing - Theory, News & General
Topic: Do Factor Tilts, Such As Small Value, Increase Idiosyncratic Risk?
Replies: 52
Views: 2399

Re: Do Factor Tilts, Such As Small Value, Increase Idiosyncratic Risk?

Factor tilts in most implementations should have little impact on idiosyncratic risk, especially through basically any passive or psuedo-passive DFA-type mutual fund or ETF. These run widely diversified, not concentrated allocations. Concentrating in certain parts of the market will increase risk, b...
by lack_ey
Sun Dec 09, 2018 12:50 pm
Forum: Investing - Help with Personal Investments
Topic: 0% Long Term Capital Gain rate?
Replies: 22
Views: 3051

Re: 0% Long Term Capital Gain rate?

No, the bottom income ranges prior to 2018 also had a 0% long term capital gains tax rate (for federal income tax; state treatment could be different). What's changed is the exact breakpoints for paying 0% as opposed to 15% or 20%. Though really, those breakpoints used to change every year anyway, p...
by lack_ey
Mon Dec 03, 2018 8:41 pm
Forum: Personal Finance (Not Investing)
Topic: Do you get a year end bonus?
Replies: 78
Views: 5287

Re: Do you get a year end bonus?

My bonus is at end of fiscal year based on the role and the company performance, with potential subtractions for bad behavior (infractions requiring discipline and training) I think. In a technical role straight out of grad school with no other experience, my bonus is 0-20% of base salary in cash de...
by lack_ey
Sat Dec 01, 2018 10:05 am
Forum: Investing - Theory, News & General
Topic: [Understanding volatility in ultrashort bond funds]
Replies: 51
Views: 5674

Re: Ultrashort bond funds in freefall

Your point and graph are totally valid. These are low risk stable investments (though not that Fidelity one nisiprius posted earlier). BUT they're not quite as safe and stable as me and others may have thought. We've seen pretty stable times, not huge jumps in rates or credit spreads as of late. We...
by lack_ey
Fri Nov 30, 2018 6:59 pm
Forum: Investing - Theory, News & General
Topic: [Understanding volatility in ultrashort bond funds]
Replies: 51
Views: 5674

Re: Ultrashort bond funds in freefall

So an "ultrashort bond fund" made of floating rate bonds and one made of fixed rate bonds are completely different animals? Not really. It's just that floating-rate bonds have duration much lower than maturity. Maturity is just the time at which a floating-rate bond pays you back the principal. The...
by lack_ey
Thu Nov 29, 2018 7:22 pm
Forum: Investing - Theory, News & General
Topic: What kinds of market conditions could cause a loss of principal in a MMA?
Replies: 4
Views: 638

Re: What kinds of market conditions could cause a loss of principal in a MMA?

That's a ticker symbol for a money market fund , which is not the same thing as a money market account . The latter product offered by a bank would be FDIC insured like a savings account. Fidelity Government Money Market (SPAXX) is safer than some other money market funds because its holdings are is...
by lack_ey
Mon Nov 19, 2018 10:30 pm
Forum: Investing - Help with Personal Investments
Topic: MSCI ACWI ex USA IMI Index
Replies: 7
Views: 544

Re: MSCI ACWI ex USA IMI Index

The actual index has over 6,400 stocks. They're both missing stocks, some small caps in these countries. https://www.msci.com/documents/10199/3588d896-0a28-4762-b355-3844c8c81ff8 It's commonplace for all-cap type index funds not to own all the stocks in the actual indexes, especially for those with ...
by lack_ey
Sun Nov 18, 2018 11:52 am
Forum: Investing - Theory, News & General
Topic: Where do you get your information? Favorite blogs/sites/resources?
Replies: 25
Views: 2691

Re: Where do you get your information? Favorite blogs/sites/resources?

Well, you can definitely expect asset managers to put their own spin on understandings or "understandings" if you will sometimes, perhaps based on faulty assumptions or models, and be biased to a certain philosophy. That said, they can have some decent material, sometimes good. I don't know if I'd g...
by lack_ey
Sun Nov 18, 2018 11:13 am
Forum: Investing - Theory, News & General
Topic: POV on Vanguard's Global Wellington Fund Admiral Shares (VGWAX)
Replies: 12
Views: 1763

Re: POV on Vanguard's Global Wellington Fund Admiral Shares (VGWAX)

For reference, EUR/USD exchange rate is 1.1414 now (1 EUR = 1.1414 USD). But a forward contract to exchange 1 EUR for USD in a month gets you about 1.1440 USD, owing to the difference in short-term rates available, netting a lift of about 2.8% annualized. I don't see the number of stocks as much of ...
by lack_ey
Sat Nov 17, 2018 1:35 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1608
Views: 223372

Re: QSPIX - thoughts on interesting fund

I wouldn’t use qspix in taxable. It trades tax inefficient categories like commodities, bonds, currencies, etc. it does have equities so it would have higher correlation to the market than a bond fund. The key is diversification. I don’t think judging that benefit since 2014 makes sense. If we get ...
by lack_ey
Thu Nov 15, 2018 10:20 pm
Forum: Investing - Theory, News & General
Topic: Press Release--Vanguard Continues To Expand Active Fixed Income Offerings With Proposed Global Credit Bond Fund
Replies: 19
Views: 2367

Re: Press Release--Vanguard Continues To Expand Active Fixed Income Offerings With Proposed Global Credit Bond Fund

For the uniformed (e.g. me), what is a credit bond? Credit bonds are basically bonds that aren't (U.S.) government bonds and thus have some (more) credit risk associated with them. So that's corporate bonds plus other things such as bonds from foreign agencies, governments, local municipalities, ta...
by lack_ey
Thu Nov 15, 2018 9:20 pm
Forum: Investing - Theory, News & General
Topic: AQR fund family's performance relative to its benchmarks
Replies: 36
Views: 2974

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

By way of comparison, Vanguard's multifactor fund. If you run it through factor analysis on portfolio visualizer, even with its very short lifetime, you get a near perfect R2. That means the factors included in the model explain the performance of the fund. For the AQR funds, I don't think the resu...
by lack_ey
Thu Nov 15, 2018 9:09 pm
Forum: Investing - Theory, News & General
Topic: Do BHs care about real asset value or stay in course?
Replies: 13
Views: 1288

Re: Do BHs care about real asset value or stay in course?

In the context of the next sentence mentioning a bubble, I interpret "real asset value" as some type of real or fundamental asset value, rather than a value of [real assets]. I care about value in multiple senses, even for traded financial assets, but value is a very weak (poor, ineffective) market ...
by lack_ey
Thu Nov 15, 2018 8:41 pm
Forum: Investing - Theory, News & General
Topic: Vanguard's Quantitative Equity Group Losing Talent
Replies: 61
Views: 4270

Re: Vanguard's Quantitative Equity Group Losing Talent

I guess the most important thing they do currently is manage Vanguard's new line of actively managed ETFs. They also manage the Vanguard Alternative Strategies Fund and the Vanguard Market Neutral Fund, VMNFX; these seem to be there only for the purpose of supporting the Vanguard Managed Payout Fun...
by lack_ey
Tue Nov 13, 2018 11:05 pm
Forum: Investing - Help with Personal Investments
Topic: Long-term bond index vs Total bond
Replies: 3
Views: 782

Re: Long-term bond index vs Total bond

When analyzing past returns you need to understand the context of the environment over that past period and what has changed since. Yields are not what they once were, and some of the change has resulted in tailwinds for long-term bonds relative to intermediate-term bonds. https://i.imgur.com/26F9Ox...
by lack_ey
Tue Nov 13, 2018 10:48 pm
Forum: Investing - Theory, News & General
Topic: AQR fund family's performance relative to its benchmarks
Replies: 36
Views: 2974

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

Thanks for running the numbers here. I think everybody is just taking the numbers they want to fit their existing narrative, so if you'll allow me as well... :wink: The main divide I see is actually between the long funds and the market neutral / alt funds. Basically all the long equity funds lost (...
by lack_ey
Mon Nov 12, 2018 10:31 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: 51
Views: 5917

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

Do you know if any of these models have had a decent predictive value? I don't think so, not really. Is this a practical exercise or just of academic interest? Note I'm not being critical just wondering if there is anything here I should employ in my investments. More just interest, but might have ...
by lack_ey
Sun Nov 11, 2018 9:35 pm
Forum: Investing - Help with Personal Investments
Topic: Permanent Portfolio - Interested in Bogleheads thoughts
Replies: 13
Views: 1724

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: 51
Views: 5917

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: 1608
Views: 223372

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: 2097

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: 712
Views: 116640

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: 1044

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: 638

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: 4993

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: 4993

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: 3773

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: 1261

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: 1261

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: 1154

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: 559

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: 1795

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: 2246

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: 469

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: 5499

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: 5499

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: 5499

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: 5499

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: 5499

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: 5289

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: 1608
Views: 223372

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: 1608
Views: 223372

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: 1608
Views: 223372

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: 1608
Views: 223372

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: 1608
Views: 223372

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: 1608
Views: 223372

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: 1608
Views: 223372

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...