Search found 6600 matches

by lack_ey
Sat Oct 13, 2018 5:21 am
Forum: Investing - Theory, News & General
Topic: Is EMH a tautology?
Replies: 108
Views: 4602

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: 4602

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: 3531

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: 1117

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: 1117

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: 1100

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: 512

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: 1738

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: 2161

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: 441

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: 5347

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: 5347

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: 5347

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: 5347

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: 5347

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: 5129

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 1435
Views: 207786

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: 395

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: 1076

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: 1007

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: 2002

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: 633

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: 2046

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: 1745

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: 907

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: 2412

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: 1223

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: 815

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: 1112

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: 2847

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: 2847

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: 2847

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: 1062

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...
by lack_ey
Sun Jul 08, 2018 11:45 am
Forum: Investing - Help with Personal Investments
Topic: Increasing bond exposure, but confused by rating
Replies: 5
Views: 369

Re: Increasing bond exposure, but confused by rating

Morningstar star ratings are evaluations of fund past risk-adjusted return relative to peers in a weighted average of trailing 3-year, 5-year, and 10-year evaluation windows. The top 10% by this measure are 5 stars, the next 22.5% 4 stars, the middle 35% 3 stars, the next 22.5% 2 stars, and the bott...
by lack_ey
Thu Jul 05, 2018 8:08 pm
Forum: Investing - Help with Personal Investments
Topic: What stocks are excluded from VG’s total international funds?
Replies: 6
Views: 712

Re: What stocks are excluded from VG’s total international funds?

The remaining 2% by market cap is the micro caps... if you mean something like FTSE Global All Cap, which covers large / mid / small but not micro in developed and emerging markets. VTIAX is ex-US so obviously it's missing a whole lot more than 2%: the US stocks. Check FTSE docs: http://www.ftse.com...
by lack_ey
Thu Jul 05, 2018 8:38 am
Forum: Investing - Theory, News & General
Topic: Anyone tilting heavy to international based on current forecasts?
Replies: 38
Views: 4282

Re: Anyone tilting heavy to international based on current forecasts?

Under the understanding of most models, the point estimates for international equity returns are usually higher, but the distributions are hugely overlapping, and the models are likely not particularly correct anyway. If you were to market time generally, this is not a particularly strong signal so ...
by lack_ey
Wed Jul 04, 2018 10:04 pm
Forum: Investing - Theory, News & General
Topic: Yield curves and bond returns
Replies: 31
Views: 2765

Re: Yield curves and bond returns

It seems like linear interpolation would be wrong (we expect the difference between 7yr and 6yr to be slightly smaller than between 6yr and 5yr under a typical yield curve). I'm sure there is some better way, probably covered somewhere in the literature. Or just use a higher-order fit. But I doubt i...
by lack_ey
Tue Jun 26, 2018 7:51 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard ultrashort term vs. iShares
Replies: 10
Views: 1271

Re: Vanguard ultrashort term vs. iShares

The similar yields to me kind of implies that the iShares fund is taking more credit risk (to balance out the lower term risk), but that doesn't seem to be obviously the case. I'm not sure why you say that? ICSH has no Aaa rated debt, 49% AA or lower, compared to 36% for Vanguard. Essentially none ...
by lack_ey
Tue Jun 26, 2018 5:57 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard ultrashort term vs. iShares
Replies: 10
Views: 1271

Re: Vanguard ultrashort term vs. iShares

The similar yields to me kind of implies that the iShares fund is taking more credit risk (to balance out the lower term risk), but that doesn't seem to be obviously the case. Also, when you compare Vanguard's fund especially to other relatively cheap (though higher ER) ultrashort bond ETFs that hav...
by lack_ey
Tue Jun 26, 2018 3:26 pm
Forum: Investing - Theory, News & General
Topic: To bond barbell or not to barbell, that is the question
Replies: 6
Views: 1423

Re: To bond barbell or not to barbell, that is the question

Assuming some given duration, the barbell (some long-term, some short-term) should probably have a slightly lower yield on average but a little higher convexity to compensate for that, compared to an all-maturity approach or especially compared to a bullet. So the barbell is better if yields change ...