Search found 6330 matches

by lack_ey
Tue Apr 24, 2018 11:30 am
Forum: Investing - Theory, News & General
Topic: Vanguard factor funds slow to catch on
Replies: 50
Views: 3873

Re: Vanguard factor funds slow to catch on

On WisdomTree multifactor funds Hedging less than 100% doesn't add any more costs than hedging 100% (it's less), I figure that hedging adds costs, and dynamic hedging would make estimating total costs especially difficult. I'm surprised at a skeptical stance I feel that for a fund where I can’t est...
by lack_ey
Mon Apr 23, 2018 11:57 pm
Forum: Investing - Help with Personal Investments
Topic: Managed Beating Index?
Replies: 19
Views: 1284

Re: Managed Beating Index?

So what's the asset allocation you're getting with this manager? What kind of stocks are they using? You're mirroring their international position too? They have bonds too? What does that look like? 5 years is also a bit short. Investing returns are pretty random, with luck playing a significant role.
by lack_ey
Mon Apr 23, 2018 8:18 pm
Forum: Investing - Theory, News & General
Topic: Bond prices and "expected" interest rate changes
Replies: 12
Views: 1156

Re: Bond prices and "expected" interest rate changes

Though there aren't Treasury auctions every day, just frequently. When Treasury yields are quoted, that's usually looking at pricing on the secondary market.
by lack_ey
Mon Apr 23, 2018 6:35 pm
Forum: Investing - Theory, News & General
Topic: Vanguard factor funds slow to catch on
Replies: 50
Views: 3873

Re: Vanguard factor funds slow to catch on

Interestingly it looks like WisdomTree is looking to launch international factor ETFs also without indexes, nominally actively managed. http://www.etf.com/sections/daily-etf-watch/wisdomtree-plans-factor-approach .... dynamic currency hedging Some international and especially EM funds have fallen b...
by lack_ey
Mon Apr 23, 2018 6:16 pm
Forum: Investing - Theory, News & General
Topic: Bond prices and "expected" interest rate changes
Replies: 12
Views: 1156

Re: Bond prices and "expected" interest rate changes

Bond yields, Yield to Maturity, YTM, are set by the marketplace. Thanks so much. I think this is the key principle I haven't grasped yet. For a given bond (at least the more common types), bond yield (yield to maturity) tells you the same thing as price. One can be computed from the other. The coup...
by lack_ey
Mon Apr 23, 2018 1:30 pm
Forum: Investing - Theory, News & General
Topic: Vanguard factor funds slow to catch on
Replies: 50
Views: 3873

Re: Vanguard factor funds slow to catch on

Interestingly it looks like WisdomTree is looking to launch international factor ETFs also without indexes, nominally actively managed. http://www.etf.com/sections/daily-etf-watch/wisdomtree-plans-factor-approach WisdomTree Global Multifactor Fund WisdomTree International Multifactor Fund WisdomTree...
by lack_ey
Mon Apr 23, 2018 11:45 am
Forum: Investing - Theory, News & General
Topic: Vanguard factor funds slow to catch on
Replies: 50
Views: 3873

Re: Vanguard factor funds slow to catch on

Part of the post above: For reference, iShares Edge MSCI USA Value Factor ETF (VLUE) launched in 2013 has $3.4 billion AUM. Vanguard U.S. Value Factor ETF (VFVA) is still under $8 million. The Goldman Sachs U.S. multifactor was a late entry (2016?) and still got above $3 trillion. Maybe that sucked...
by lack_ey
Mon Apr 23, 2018 11:31 am
Forum: Investing - Theory, News & General
Topic: Why is the SEC yield the one that Vanguard displays?
Replies: 39
Views: 3677

Re: Why is the SEC yield the one that Vanguard displays?

Right, the prompt does not matter. If the yield increases, that is equivalent to saying the price dropped. Very clear as usual Kevin. If rates (say ten year Treasury) are expected to increase one percent in one year and they do, does this mean that the share price (return) of the fund should not be ...
by lack_ey
Mon Apr 23, 2018 10:50 am
Forum: Investing - Theory, News & General
Topic: Vanguard factor funds slow to catch on
Replies: 50
Views: 3873

Re: Vanguard factor funds slow to catch on

Technically I posted this four days ago, but that thread got no responses so no reason to merge the two. I'll just quote myself. https://www.bogleheads.org/forum/viewtopic.php?t=247524 Part of the post above: For reference, iShares Edge MSCI USA Value Factor ETF (VLUE) launched in 2013 has $3.4 bill...
by lack_ey
Sun Apr 22, 2018 9:32 pm
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 137
Views: 8050

Re: I’m still not a fan of international bond funds

True, in DM now currency hedging costs aren't high. TBM Admiral has an expense ratio of 0.05% while ITBM is .11%, not a big difference. Hedging costs are not part of the expense ratio, in case some were reading the above incorrectly. (And I guess we're talking about costs relative to some hypotheti...
by lack_ey
Sun Apr 22, 2018 9:14 pm
Forum: Investing - Help with Personal Investments
Topic: Individual bonds versus bond funds.
Replies: 11
Views: 773

Re: Individual bonds versus bond funds.

iShares have iBonds and Invesco has BulletShares. I don't feel a need to buy only from Vanguard. Yeah, and one of my criticisms in the past was the expense ratios but recently iShares moved the investment-grade corporate corporate series to 0.10% and munis to 0.18%, and Powershares just followed su...
by lack_ey
Sun Apr 22, 2018 7:09 pm
Forum: Investing - Help with Personal Investments
Topic: Individual bonds versus bond funds.
Replies: 11
Views: 773

Re: Individual bonds versus bond funds.

Many advisors like individual bonds over bond funds in part so they can manage and justify advisory fees. Some have strong opinions on particular risk exposures they want and no fund captures what they're looking for, so they run their bond portfolios according to that specification. Some could be m...
by lack_ey
Sun Apr 22, 2018 5:39 pm
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 137
Views: 8050

Re: I’m still not a fan of international bond funds

Here's my take. None of what I've read so far, in the current topic, had prepared me to this outcome. I don't see US bonds magically transformed into Canadian bonds. I don't see a magical hedge return. And, I do see a mostly-unfavorable tracking error between VBU and BND . Past performance is no gu...
by lack_ey
Sun Apr 22, 2018 4:33 pm
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 137
Views: 8050

Re: I’m still not a fan of international bond funds

Isn't it also credit risk? Buying the Bund (German for 3rd party readers) is equivalent to buying the UST. Buying the Italian government bond (the largest bond market in Europe) is most assuredly not-- as the difference in yield of something over 100 basis points v. the German tells you. There coul...
by lack_ey
Sun Apr 22, 2018 4:13 pm
Forum: Investing - Theory, News & General
Topic: How can Bond Funds perform better than yield
Replies: 35
Views: 3824

Re: How can Bond Funds perform better than yield

Dear Lack_ey, I think if we look at cumulative returns, we should probably look at the ratio of end values. That's a typical argument used by high-cost mutual fund managers who don't like investors to see the ravaging impact of investment fees on their returns. I'm quite surprised to see such a sug...
by lack_ey
Sun Apr 22, 2018 3:38 pm
Forum: Investing - Theory, News & General
Topic: How can Bond Funds perform better than yield
Replies: 35
Views: 3824

Re: How can Bond Funds perform better than yield

Kevin, Just for fun, let's look at SEC yield of VICSX on 12/31/2014, since post was made about this fund on 12/24/2014 (and I want to use PV to just look at full month returns). SEC yield on 12/31/2014 was 3.17%, and return for Jan 2015 through March 2018 was 2.78%. So over about 3.25 years, about ...
by lack_ey
Sun Apr 22, 2018 3:19 pm
Forum: Investing - Theory, News & General
Topic: How can Bond Funds perform better than yield
Replies: 35
Views: 3824

Re: How can Bond Funds perform better than yield

This is an opinion that past statistical relations will hold in the future . Unfortunately, I see no mathematical proof along with it. I agreed with you that you can call models opinions, and I never suggested these were mathematical proofs. As I said, I don't base my investment decisions on the op...
by lack_ey
Sun Apr 22, 2018 2:31 pm
Forum: Investing - Theory, News & General
Topic: How can Bond Funds perform better than yield
Replies: 35
Views: 3824

Re: How can Bond Funds perform better than yield

This is all opinions . When I see a mathematical proof, I'll start paying attention. I don't base my investing decisions on opinions . I've provided what's called a counter-example. It's an example which suffices to prove that a statement is false . In other words, it's a mathematical proof that th...
by lack_ey
Sun Apr 22, 2018 2:08 pm
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 137
Views: 8050

Re: I’m still not a fan of international bond funds

I totally agree with Rick and see no use in adding international bonds to a diversified US bond portfolio. US bonds historically have been if not the safest, certainly among the safest in the world. They are denominated in dollars the currency we spend. Currency exchange increases costs and adds cu...
by lack_ey
Sun Apr 22, 2018 1:58 pm
Forum: Investing - Theory, News & General
Topic: How can Bond Funds perform better than yield
Replies: 35
Views: 3824

Re: How can Bond Funds perform better than yield

To a certain degree, a very upwards sloping yield curve that stays static is something of an assumption of a mispricing or an unusual outcome (a lucky outcome for bondholders, additive to returns). Yields at different maturities are different on the basis of expectations of changing short rates in a...
by lack_ey
Sun Apr 22, 2018 11:28 am
Forum: Investing - Help with Personal Investments
Topic: Buying T-bills ..help needed
Replies: 17
Views: 1794

Re: Buying T-bills ..help needed

Can someone address the 2 questions under #3: how to sell t-bill before maturity? I have always held to maturity, but in the current rising yield environment, it may be wise to sell and replace with better yield new issues. But how to calculate the tradeoffs? If yields around that maturity range go...
by lack_ey
Sat Apr 21, 2018 8:21 pm
Forum: Investing - Help with Personal Investments
Topic: Is mid/small cap necessary
Replies: 15
Views: 2058

Re: Is mid/small cap necessary

Necessary? No, unless you define necessary diversification as including them. In terms of performance, risk, etc. you can do without.
by lack_ey
Sat Apr 21, 2018 3:26 pm
Forum: Investing - Theory, News & General
Topic: CAPE mean reversion: country specific or to the global average?
Replies: 23
Views: 1583

Re: CAPE mean reversion: country specific or to the global average?

Number 1 says use it to predict nominal, not real, returns. But I only care about real returns. I'd rather have a mediocre quality prediction of real returns than a good quality prediction of nominal returns. In that case, we will have to somehow come up with an inflation forecast as well. Then adj...
by lack_ey
Sat Apr 21, 2018 2:21 pm
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 137
Views: 8050

Re: I’m still not a fan of international bond funds

Okay, if that truly changed between the editions then that's interesting, especially if Rick himself doesn't remember the old recommendation. The second edition of the book is already eight years old by this point... I guess that's an "oops" on the "never"? That said, "international bond funds" in t...
by lack_ey
Sat Apr 21, 2018 2:07 pm
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 137
Views: 8050

Re: I’m still not a fan of international bond funds

I'm quoting from your book. The book you wrote. Are you making a distinction between emerging market debt and emerging market bonds? BobK Your quote doesn't show any EE bonds. Looks like you flubbed the copy/paste. Looks like it's edited now to include EM but I don't remember Rick ever recommending...
by lack_ey
Fri Apr 20, 2018 7:29 pm
Forum: Investing - Theory, News & General
Topic: I’m still not a fan of international bond funds
Replies: 137
Views: 8050

Re: I’m still not a fan of international bond funds

Rick, have you evaluated what the hedge return is doing a weighted average over the currency forwards used in these funds? We can't exactly evaluate local-currency yields in a vacuum and leave it at that. Citing SEC yield without even a mention of this seems pretty misleading to me. For example curr...
by lack_ey
Fri Apr 20, 2018 7:11 pm
Forum: Investing - Theory, News & General
Topic: How good are Vanguard bond funds?
Replies: 52
Views: 4859

Re: How good are Vanguard bond funds?

If you are strictly looking at performance results matched to the fund duration, 15 years doesn't make a lot of sense. Since I invest in VFSTX, which is an actively managed fund, I'm interested in the manager's performance over the long term. Considering the duration of VFSTX, I'm concerned about i...
by lack_ey
Fri Apr 20, 2018 3:22 pm
Forum: Investing - Help with Personal Investments
Topic: How do you compare VNQ vs SP500?
Replies: 18
Views: 915

Re: How do you compare VNQ vs SP500?

I think people are trying to make a point about not reading too much into short-term (single digits years is short term as far as markets go) relative performance, in particular saying not to extrapolate. The idea I suppose is that asset allocation should be made on a much broader basis, including t...
by lack_ey
Fri Apr 20, 2018 11:44 am
Forum: Investing - Theory, News & General
Topic: How good are Vanguard bond funds?
Replies: 52
Views: 4859

Re: How good are Vanguard bond funds?

Bond index funds are typically mid-packers at best because indexing puts your biggest positions in "biggest debtor" issuers like negative interest rate Japan bonds for int bond, longer term US Treasuries as the US goes big on more debt for total bond, and debt issued by financial basket cases like ...
by lack_ey
Thu Apr 19, 2018 3:21 pm
Forum: Investing - Theory, News & General
Topic: How good are Vanguard bond funds?
Replies: 52
Views: 4859

Re: How good are Vanguard bond funds?

Intermediate Corporate Active & Index - three year rolling return to look at the recency question. [url=https://postimages.org/] https://s9.postimg.cc/vrtbojrcf/Capture.gif [/url Recency does not appear to be the answer. Sorry lack_ey. Duration detracted in trailing 3 years, but was additive in tra...
by lack_ey
Thu Apr 19, 2018 2:55 pm
Forum: Investing - Theory, News & General
Topic: How good are Vanguard bond funds?
Replies: 52
Views: 4859

Re: How good are Vanguard bond funds?

The 5 years results are similar which maybe means that lack_ey's recently argument is not the whole storey. Of course there are other factors at play, but how does that result figure as a counterpoint against the central idea that the passive exposures are different and driving return differences? ...
by lack_ey
Thu Apr 19, 2018 12:11 pm
Forum: Investing - Theory, News & General
Topic: How good are Vanguard bond funds?
Replies: 52
Views: 4859

Re: How good are Vanguard bond funds?

I think you are probably on the right track here. Are you saying in effect "Index! Index! Index!" doesn't work very well for bond funds? (All the time.) "To the extent that you want bond funds to time exposures ...). So if we didn't have lower credit effect and the shorter duration effect recently ...
by lack_ey
Thu Apr 19, 2018 11:04 am
Forum: Investing - Theory, News & General
Topic: How good are Vanguard bond funds?
Replies: 52
Views: 4859

Re: How good are Vanguard bond funds?

You've highlighted basically zero (maybe one?) of the functionally active Vanguard bond funds. The Vanguard bond index funds and most of those nominally active funds have returns driven by fairly consistent beta exposures over time to term and credit risks. The fund categories are not matched to the...
by lack_ey
Thu Apr 19, 2018 10:43 am
Forum: Investing - Help with Personal Investments
Topic: ETFs for cash savings
Replies: 8
Views: 918

Re: ETFs for cash savings

I have considered laddering 1 year T-bills. Do you trust having large amounts of money in Treasury Direct? Yes, but if you prefer, you can just buy T-bills in a brokerage account, new offers at auction or secondary market. Some brokerages effectively mark up the price slightly to take a small cut, ...
by lack_ey
Thu Apr 19, 2018 10:33 am
Forum: Investing - Theory, News & General
Topic: Goof? Prime MM, "retail," "Admiral," $5 million minimum?
Replies: 20
Views: 2632

Re: Goof? Prime MM, "retail," "Admiral," $5 million minimum?

No, I don't think it is a mistake. The Admiral shares are to pass lower expense ratios on to larger account holders (not for pikers). Every other Admiral share-class fund I know of has a minimum of either $10,000 (index funds) or $50,000 (non-index funds). unimportant aside but psst the non-REIT se...
by lack_ey
Thu Apr 19, 2018 10:20 am
Forum: Investing - Theory, News & General
Topic: Unimpressive category averages of managed futures, multialternative, market neutral, etc.
Replies: 82
Views: 5125

Re: Unimpressive category averages of managed futures, multialternative, market neutral, etc.

It is my contention that gold is a separate asset class from commodities or currencies. I communicate with an humble mini iPad and am unable to reproduce Nisiprius charts. Is anyone able to reproduce a 10 year chart with GLD versus VMMXX? Thanks, VinhoVerde http://hostimg.co/images/2018/04/19/gold....
by lack_ey
Thu Apr 19, 2018 10:13 am
Forum: Investing - Theory, News & General
Topic: [ETF.com] Vanguard Active [Factor] ETFs Slow To Grow
Replies: 0
Views: 288

[ETF.com] Vanguard Active [Factor] ETFs Slow To Grow

Here's a short article on ETF.com taking note of the fact that Vanguard's factor ETFs are hardly taking off. Vanguard is charging competitive fees relative to index funds in the space, and they have the advantage of more flexibility here in terms of implementation (like DFA or similar), not being ti...
by lack_ey
Wed Apr 18, 2018 6:34 pm
Forum: Investing - Theory, News & General
Topic: Unimpressive category averages of managed futures, multialternative, market neutral, etc.
Replies: 82
Views: 5125

Re: Unimpressive category averages of managed futures, multialternative, market neutral, etc.

I read in Rick Ferri's book on asset allocation that the real return on commodities over long periods of time is a negative one percent a year. I figured this would make any commodities strategy an ultimate loser. Then someone pointed out, well that is true, but commodity futures have more stock-li...
by lack_ey
Wed Apr 18, 2018 5:51 pm
Forum: Investing - Theory, News & General
Topic: Wellesley January Price Drop? Why?
Replies: 27
Views: 3250

Re: Wellesley January Price Drop? Why?

Wellesley performance has been underwhelming this year, compared to other funds IN IT'S CATEGORY. It's currently in the bottom 7% of all "Allocation - 30-50% equity" funds YTD according to M*. Like many close to ER, I have sizable investments in Wellesley and have always considered it my "sleep wel...
by lack_ey
Wed Apr 18, 2018 5:26 pm
Forum: Investing - Theory, News & General
Topic: Unimpressive category averages of managed futures, multialternative, market neutral, etc.
Replies: 82
Views: 5125

Re: Unimpressive category averages of managed futures, multialternative, market neutral, etc.

But what are those? What is an "advisor program?" Is that a fancy name for a hedge fund? In the real world could you created a mutual fund that invests equally in each of 20 hedge funds? How liquid are these "advisor programs" and how meaningful is it to tabulate an "index" if you can't actually li...
by lack_ey
Wed Apr 18, 2018 4:44 pm
Forum: Investing - Theory, News & General
Topic: The cost of maintaining stable NAV in money market funds
Replies: 5
Views: 712

Re: The cost of maintaining stable NAV in money market funds

There's no construct like for stable value funds where the fund effectively pays another entity to guarantee a certain value with some stipulations. Nobody guarantees the stable NAV of a money market fund. It's just kind of naturally mostly stable based on the low volatility of the holdings. Money m...
by lack_ey
Wed Apr 18, 2018 4:32 pm
Forum: Investing - Theory, News & General
Topic: Capital Efficiency Trumps Fees In Search For Portfolio Diversifiers
Replies: 9
Views: 918

Re: Capital Efficiency Trumps Fees In Search For Portfolio Diversifiers

For as long as I've been paying attention, purveyors of high-cost investment vehicles have said that fees should not be your first consideration. "You get what you pay for," "Stated returns are net of fees so if I can get you higher returns why would you care about fees," etc. etc. And year after y...
by lack_ey
Wed Apr 18, 2018 2:30 pm
Forum: Investing - Theory, News & General
Topic: Unimpressive category averages of managed futures, multialternative, market neutral, etc.
Replies: 82
Views: 5125

Re: Unimpressive category averages of managed futures, multialternative, market neutral, etc.

This isn't just managed futures. I don't have enough data to prove it, and I may have unconscious bias, but four different non-traditional assets--managed futures, commodities, multialternatives, market neutral strategies-- all somehow managed to launch mutual funds just the exact moment when they ...
by lack_ey
Tue Apr 17, 2018 11:31 pm
Forum: Investing - Help with Personal Investments
Topic: Buying T-bills ..help needed
Replies: 17
Views: 1794

Re: Buying T-bills ..help needed

When a bond is not callable, yield-to-worst equals yield-to-maturity. T-bills and most other fixed income mature and pay out the par value. If you see a price quote of something like 98.534, that's relative to par of 100. The rate of return that results in that 98.534 turning into 100 over X days is...
by lack_ey
Tue Apr 17, 2018 4:55 pm
Forum: Investing - Theory, News & General
Topic: N.Y. Attorney General Forces Vanguard, BlackRock, Others To Disclose Active Share
Replies: 5
Views: 1077

Re: N.Y. Attorney General Forces Vanguard, BlackRock, Others To Disclose Active Share

Active share is predictive of performance in a sense. Russ Kinnel's quote needs to be understood correctly in context. Active share predicts the dispersion of tracking error (though I guess that should be obvious enough). It just doesn't predict alpha, or at least not convincingly or by much if at a...
by lack_ey
Tue Apr 17, 2018 10:52 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Exclude Emerging Markets
Replies: 30
Views: 3067

Re: Larry Swedroe: Don’t Exclude Emerging Markets

I don't think the difference between EM = 9% vs 13% of global market cap is important. It's just a puzzle. I can't seem to account for it by including China A shares or taking account of the recent US stock market fluctuations. ADDED: I think Selters, below, got it. It's probably MSCI's categorizat...
by lack_ey
Mon Apr 16, 2018 9:36 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Don’t Exclude Emerging Markets
Replies: 30
Views: 3067

Re: Larry Swedroe: Don’t Exclude Emerging Markets

It's not a big deal, but does anyone have a source for "Emerging markets represent about 13% of global equity capitalization?" It just seems high. Morningstar is only showing 9.15% emerging markets in their benchmark for the Vanguard Total World Stock Index fund. https://imgur.com/jQ1pfTI.png Vangu...
by lack_ey
Mon Apr 16, 2018 3:33 pm
Forum: Investing - Help with Personal Investments
Topic: S&P 500 Total Return ETF ?
Replies: 11
Views: 1031

Re: S&P 500 Total Return ETF ?

I don't know about the tax treatment, but there are accumulating ETFs available (outside the US) that reinvest dividends. If you're investing in US markets, no. The US-listed funds all distribute dividends. I know some Ireland-domiciled ETFs are popular abroad but don't know how that fits. There's a...
by lack_ey
Mon Apr 16, 2018 3:22 pm
Forum: Investing - Theory, News & General
Topic: Firstrade Makes a Splash With 700 Commission-Free ETFs (Including Vanguard!)
Replies: 12
Views: 1545

Re: Firstrade Makes a Splash With 700 Commission-Free ETFs (Including Vanguard!)

The commission-free ETF list is very wide ranging. They have the big market-cap-weighted index ETFs, style box ETFs, all the big sector ETFs, a number of narrow subsector ETFs, various tilted and smart beta-type strategies like RAFI funds and equal weighted, low vol and a number of single-factor ETF...
by lack_ey
Mon Apr 16, 2018 3:01 pm
Forum: Investing - Theory, News & General
Topic: Some basic questions about bond index funds
Replies: 23
Views: 1976

Re: Some basic questions about bond index funds

I'll answer using an analogy. A human start as a " Baby ", then becomes a " Child ", then a " Teen ", then an " Adult ". A bond works similarly, but in reverse. Such security starts as a " Bond ", then becomes a " Note ", then a " Bill ". There's nothing special about it; it's always the same secur...