Search found 3063 matches

by jalbert
Sat Jun 23, 2018 5:10 pm
Forum: Investing - Theory, News & General
Topic: Factor Investing Makes Someone Money, But Maybe Not You
Replies: 77
Views: 4361

Re: Factor Investing Makes Someone Money, But Maybe Not You

And it’s not only the correlations of Bonds to stocks that are important, it’s also when the correlations tend to change. Overall stocks and bonds tend to be uncorrelated, but the correlation tends to go strongly negative just when you want it to the most, in a big equity bear. That behavior depend...
by jalbert
Sat Jun 23, 2018 5:01 pm
Forum: Investing - Theory, News & General
Topic: Factor Investing Makes Someone Money, But Maybe Not You
Replies: 77
Views: 4361

Re: Factor Investing Makes Someone Money, But Maybe Not You

You've got access to the same data I've got: if you can find an actual problem with these regressions then feel free to point it out. Sure. One example is the F-statistic which is reported in your regression but is not valid and conveys no meaning whatsoever for the sample you used (3 years of cont...
by jalbert
Sat Jun 23, 2018 12:47 pm
Forum: Investing - Theory, News & General
Topic: Factor Investing Makes Someone Money, But Maybe Not You
Replies: 77
Views: 4361

Re: Factor Investing Makes Someone Money, But Maybe Not You

If I recall correctly, Wes Gray said something along the lines of the following – there is not enough time left in his life to produce enough out of sample data to disprove the existence of the value (and momentum) premiums In statistical analysis, the absence of a clear invalidation of a hypothesi...
by jalbert
Sat Jun 23, 2018 12:25 pm
Forum: Investing - Theory, News & General
Topic: Factor Investing Makes Someone Money, But Maybe Not You
Replies: 77
Views: 4361

Re: Factor Investing Makes Someone Money, But Maybe Not You

Momentum is tricky, for at least two reasons. First, it has generally shown negative correlation with value. Jared Kizer has written: Practically, it is impossible, therefore, to own a stock portfolio that is both deeply tilted toward value and deeply tilted toward momentum. It's really not even ha...
by jalbert
Sat Jun 23, 2018 12:47 am
Forum: Investing - Help with Personal Investments
Topic: Short-term Treasury ETF vs just buying Treasuries
Replies: 38
Views: 2374

Re: Short-term Treasury ETF vs just buying Treasuries

Hello, The iShares Short Treasury ETF (SHV) has an SEC yield of 1.84% and a duration of 0.39 yr. But apparently I can get a 3-month Treasury with an SEC yield of 1.97%. If I wanted to match the duration of the iShares ETF I could make a ladder of 9-month treasuries and that would give me an SEC yie...
by jalbert
Sat Jun 23, 2018 12:34 am
Forum: Investing - Theory, News & General
Topic: Blockchain virtual real estate
Replies: 1
Views: 349

Blockchain virtual real estate

If investing in bitcoin is too conventional for you, there now is digital real estate:

https://therealdeal.com/2018/06/12/virt ... back-200k/
by jalbert
Fri Jun 22, 2018 9:45 pm
Forum: Investing - Theory, News & General
Topic: Why won't Vanguard drop VTI & VOO expense to 0.03?
Replies: 29
Views: 2185

Re: Why won't Vanguard drop VTI & VOO expense to 0.03?

Okay I'm envious that ITOT and SPTM and SCHB are all rocking 3 basis points expense ratio. Why isn't Vanguard doing anything to lower it's VTI and VOO to 3 basis points? I'm sure it can easily do that but why is it doing nothing to put its expense ratio on par? These are projected ERs, and ER is on...
by jalbert
Fri Jun 22, 2018 7:08 pm
Forum: Personal Finance (Not Investing)
Topic: This is ridiculously expensive LTCi, right? Or maybe not?
Replies: 45
Views: 1657

Re: This is ridiculously expensive LTCi, right? Or maybe not?

Hmm interesting that you don't see it as super expensive. Yes I had been assuming breakeven at 2 years. Particularly since a lot of the gains she could have had from investing those 6 years of premiums are already lost. Covering a variable liability with a fixed present cost eliminates two sources ...
by jalbert
Fri Jun 22, 2018 3:24 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

only think of small cap and large cap so for me VBR is 50% large-cap and 50% small-cap. And if I wanted that I might as well use a total market fund. For analysis purposes, If you merge midcaps with largecaps the Russell 1000 will capture that well, and the Russell 2000 would be the small cap segme...
by jalbert
Fri Jun 22, 2018 2:06 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

Thanks. I think for portfolio construction purposes, VBR should just be viewed as approximately 50% mid-cap and 50% small-cap.
by jalbert
Thu Jun 21, 2018 10:51 pm
Forum: Investing - Theory, News & General
Topic: Why are expected returns so much lower than historical returns?
Replies: 158
Views: 10485

Re: Why are expected returns so much lower than historical returns?

The equity risk premium is expected return in excess of the risk free rate. The risk free rate is very low today, so overall equity expected returns would be lower than historical averages.
by jalbert
Thu Jun 21, 2018 9:34 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

The 3rd smallest stock in both funds is FTD. Where would that be on the diagram?
by jalbert
Thu Jun 21, 2018 8:14 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

I used the Morningstar holdings details, but no: this chart shows all of the holdings of each fund for which Morningstar had P/E data.
Which data points on your diagram are the stocks held in common by both funds?
by jalbert
Thu Jun 21, 2018 8:10 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

This makes no sense.

The factor loading is the funds exposure to SMB: higher loading means more exposure to small stocks, not less.
Right, that’s why I inverted so we could see a direct relationship to size rather than inverse relationship.
by jalbert
Thu Jun 21, 2018 4:51 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

Looking at portfoliovisualizer size loading which are inversely related to size, we can invert them and compare:

100/104 = .96 for IJS
100/71 = 1.40 for VBR
by jalbert
Thu Jun 21, 2018 4:33 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

https://i.imgur.com/5j2qitF.png?1 The difference in size exposure isn't subtle. The largest holding of either IJS or VIOV is CACI Int’l. There are 136 stocks in VBR larger than CACI: https://investor.vanguard.com/mutual-funds/profile/portfolio/VSIAX/portfolio-holdings Wouldn’t most or all of IJS/VI...
by jalbert
Thu Jun 21, 2018 2:23 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

The size difference is day and night in my eyes. M* shows about 55% of VBR being larger than the largest stock in IJS. I calculated 40% from VG and iShares holdings data. Either my calculation was incorrect, M* is incorrect, or VG and/or iShares is reporting erroneous holdings data. I’ve formed my ...
by jalbert
Thu Jun 21, 2018 12:57 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

Given that IJS is not less than half as big, this is a good example of how median can mislead.
by jalbert
Thu Jun 21, 2018 12:48 pm
Forum: Investing - Help with Personal Investments
Topic: Life Strategy Growth Fund, Target Fund, or Total Stock Market
Replies: 45
Views: 2518

Re: Life Strategy Growth Fund, Target Fund, or Total Stock Market

I didn't think about this, maybe I should do ETF's and pick my allocation? VTIP is for US Bonds? VTIP is a bond fund but specifically short-term TIPS. If you are going to manage the fund for aggressive growth, you will have a high equity allocation, but if you may use it for a down payment in a sho...
by jalbert
Thu Jun 21, 2018 12:38 pm
Forum: Investing - Theory, News & General
Topic: Are the Fed and Treasury distorting the MBS market?
Replies: 16
Views: 1499

Re: Are the Fed and Treasury distorting the MBS market?

While I would expect the spread to narrow as prepayment risk is lessened, the current spread vs treasuries would be pricing in zero prepayment risk, which seems distorted to me.

Treasury intervention in Fannie and Freddie is another infringement on free market forces in the MBS market.
by jalbert
Thu Jun 21, 2018 9:41 am
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

Using median market cap can be inaccurate because it just is the market cap for which half the fund market cap is larger and half is smaller. But it does not tell you if the market cap above and below the median is equally weighted or not. I went through the holdings of VBR to calculate how much mar...
by jalbert
Thu Jun 21, 2018 8:33 am
Forum: Investing - Help with Personal Investments
Topic: Life Strategy Growth Fund, Target Fund, or Total Stock Market
Replies: 45
Views: 2518

Re: Life Strategy Growth Fund, Target Fund, or Total Stock Market

You can take the contributed principal out of a Roth IRA at any time. Only the investment gain is subject to withdrawal penalties before 59.5. You can use ETFs instead of mutual funds to avoid the minimums in taxable space eg 80% VTI (US stocks) 20% VTIP (short-term TIPS) Would be what I might use f...
by jalbert
Thu Jun 21, 2018 8:06 am
Forum: Investing - Help with Personal Investments
Topic: Life Strategy Growth Fund, Target Fund, or Total Stock Market
Replies: 45
Views: 2518

Re: Life Strategy Growth Fund, Target Fund, or Total Stock Market

A reason not to use blended funds in taxable is that either now or eventually you will not want this fund due to tax costs. +1 Once you have a significant embedded gain in a LifeStrategy or Target Retirement fund in a taxable account, you will be locked in due to the tax consequences of a withdrawa...
by jalbert
Thu Jun 21, 2018 12:23 am
Forum: Investing - Theory, News & General
Topic: Are the Fed and Treasury distorting the MBS market?
Replies: 16
Views: 1499

Re: Are the Fed and Treasury distorting the MBS market?

Could it be just the negative convexity with MBS coupled with rising rates that is causing the effect that you are seeing? :idea: I don’t think so. Convexity has to do with how the bond prices respond to yield changes, not how the yield changes. The behavior in question has been favorable for MBS r...
by jalbert
Thu Jun 21, 2018 12:21 am
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Re: Small-cap exposure in VBR, ie CRSP small-cap value index fund

751 stocks in VBR are less than it equal to the largest stock in IJS in sizzle. IJS has 456 stocks. That’s almost 300 stocks bring filtered out of IJS from liquidity and profitability (two quality measures) screens.
by jalbert
Wed Jun 20, 2018 3:33 pm
Forum: Investing - Theory, News & General
Topic: Small-cap exposure in VBR, ie CRSP small-cap value index fund
Replies: 48
Views: 2528

Small-cap exposure in VBR, ie CRSP small-cap value index fund

The Vanguard Small-Cap Value Index Fund VBR tracks a CRSP index. It is often discussed that CRSP small-cap indices have substantial mid-cap exposure. It is not often articulated how much, and the style boxes of various reporting widgets are sometimes a bit misleading. I did a comparison of VBR with ...
by jalbert
Wed Jun 20, 2018 3:02 pm
Forum: Personal Finance (Not Investing)
Topic: Why pay cash for a car?
Replies: 248
Views: 29320

Re: Why pay cash for a car?

Before i paid off my car the interest rate was 1%. My online savings account is earning 1.3%. I do really like being debt free though. But am i missing out on cheap money? If you are buying a new car, and have the cash to buy it, then once uou’ve negotiated the price with the dealer, if they are of...
by jalbert
Tue Jun 19, 2018 7:09 pm
Forum: Investing - Theory, News & General
Topic: Are the Fed and Treasury distorting the MBS market?
Replies: 16
Views: 1499

Re: Are the Fed and Treasury distorting the MBS market?

You are correct that both are unwinding: https://www.newyorkfed.org/markets/opolicy/operating_policy_170920 Yes, the whole point of the so-called QE programs was to distort the bond markets. But seeing MBS spreads narrow if not go negative vs treasuries seems like a significant distortion of the com...
by jalbert
Tue Jun 19, 2018 1:10 pm
Forum: Investing - Theory, News & General
Topic: Are the Fed and Treasury distorting the MBS market?
Replies: 16
Views: 1499

Re: Are the Fed and Treasury distorting the MBS market?

lack_ey wrote:
Mon Jun 18, 2018 1:32 pm
Image
The Fed started unwinding treasuries, but not MBS, from its balance sheet in Oct 2017:

http://www.businessinsider.com/fed-stat ... ing-2017-9
by jalbert
Tue Jun 19, 2018 12:51 pm
Forum: Investing - Help with Personal Investments
Topic: Thoughts on only putting money into a 457 and 403(b). Does anyone do it?
Replies: 18
Views: 702

Re: Thoughts on only putting money into a 457 and 403(b). Does anyone do it?

I forgot to add a tidbit. I do have a pension, so I will be getting taxed on that, too. I will be taxed on my pension as well as my 457 when I retire. This makes me want to add a Roth for both myself and my wife so we have some income that is not taxed at retirement. Does this seem logical or am I ...
by jalbert
Mon Jun 18, 2018 7:28 pm
Forum: Investing - Theory, News & General
Topic: Are the Fed and Treasury distorting the MBS market?
Replies: 16
Views: 1499

Re: Are the Fed and Treasury distorting the MBS market?

Thanks. The MBS index fund yields makes it even more suspicious of something odd happening given that the spread with the treasury fund not only narrowed but actually inverted.
by jalbert
Mon Jun 18, 2018 1:49 pm
Forum: Investing - Theory, News & General
Topic: Bill Bernstein's 8:4:5:3 ratio
Replies: 21
Views: 2659

Re: Bill Bernstein's 8:4:5:3 ratio

Yes, it suggests that if one is going to put forward arbitrary set of numbers that don't have a sound rationale for being exactly what they are, A megacorp where I once worked had an employee benefit that involved some free financial planning advice from a 3rd party firm that had no stake in what i...
by jalbert
Mon Jun 18, 2018 12:00 pm
Forum: Investing - Theory, News & General
Topic: Are the Fed and Treasury distorting the MBS market?
Replies: 16
Views: 1499

Re: Are the Fed and Treasury distorting the MBS market?

Generally the spread in yield is compensation for the prepayment option. A very narrow spread would be indicative of negligible risk of prepayments (refis, home sales, foreclosures), so a narrowing of the spread when rates are rising is possible. A range of about 35-75 bp is typical from what I’ve s...
by jalbert
Sun Jun 17, 2018 11:41 pm
Forum: Investing - Theory, News & General
Topic: Are the Fed and Treasury distorting the MBS market?
Replies: 16
Views: 1499

Are the Fed and Treasury distorting the MBS market?

I noticed that since the Fed started shedding bonds from its balance sheet by not reinvesting $60B/mo of bond interest and returned principal, treasury note yields seem to have risen significantly more than GNMA yields. The current SEC yield on VFIJX the VG GNMA fund is at 2.88% while the SEC yield ...
by jalbert
Sun Jun 17, 2018 11:05 pm
Forum: Investing - Theory, News & General
Topic: Very confused with the current market
Replies: 93
Views: 8310

Re: Very confused with the current market

I remember Warren buffet once said: buy the dips and value investing. the stock market always go higher due to inflation in the long term, however, should not we buy the dips? Are those crazy tech stocks still value investing ? I am expecting the dips. Mr. Buffett also does not like to sell holding...
by jalbert
Sun Jun 17, 2018 11:01 pm
Forum: Investing - Theory, News & General
Topic: Are Vanguard's actively managed funds better?
Replies: 11
Views: 1571

Re: Are Vanguard's actively managed funds better?

However, Wellington's stock allocation is probably more like Dividend Appreciation Index rather than total stock market. Your 8 years leaves out the 2008/09 decline when it's high quality stocks likely did better. I recently compared Wellington to a mix of 65% Dividend growth (VDIGX) and 35% Interm...
by jalbert
Sun Jun 17, 2018 10:55 pm
Forum: Investing - Help with Personal Investments
Topic: Making taxable account more tax efficient
Replies: 16
Views: 2266

Re: Making taxable account more tax efficient

I recommend IXUS for a total non-US stock index fund in a taxable account. It is more tax efficient than Vanguard options.
by jalbert
Sun Jun 17, 2018 9:00 pm
Forum: Investing - Help with Personal Investments
Topic: move out of bonds into money market and online savings
Replies: 19
Views: 2733

Re: move out of bonds into money market and online savings

Hi . I am about 70:30 in stock and bond funds . In the present environment with bond returns not that impressive and also with the online savings , money market and cd rates keep going up , I am thinking of pulling out of bonds into these . What do you think ? I think you are too late and are as li...
by jalbert
Sun Jun 17, 2018 6:39 pm
Forum: Investing - Theory, News & General
Topic: Are Vanguard's actively managed funds better?
Replies: 11
Views: 1571

Re: Are Vanguard's actively managed funds better?

Some Vanguard managed funds are better than relative index funds, most notably Vanguard Wellington (VWELX - Investor Shares - 60% to 65% stocks / 40% to 35% bonds) and Vanguard Wellesley Income (VWINX - Investor Shares - 35% to 40% stocks / 65% to 60% bonds ). Supporting data follows. _____________...
by jalbert
Sun Jun 17, 2018 2:52 pm
Forum: Investing - Theory, News & General
Topic: Very confused with the current market
Replies: 93
Views: 8310

Re: Very confused with the current market

- It has been history higher and higher. - the fundamental law says it will recycle every 10 years - I had been on cash for 10 months Please don't tell me I should not time the market. What's going wrong? What is wrong is your belief is the notion that there is a fundamental law that 10-yr market h...
by jalbert
Sun Jun 17, 2018 2:18 pm
Forum: Investing - Theory, News & General
Topic: A different theoretical view of SWR
Replies: 63
Views: 3709

Re: A different theoretical view of SWR

I can’t find the reference but a recent article J read by an actuary who studied the problem compatibles SWR, income annuities, and the US govt RMD algorithm used for IRAs and found the RMD algorithm to be optimal, using a balanced portfolio. This is just one study among many.
by jalbert
Sun Jun 17, 2018 2:13 pm
Forum: Investing - Theory, News & General
Topic: Mechanisms for disappearance of factor premia -- how does it work for momentum?
Replies: 14
Views: 760

Re: Mechanisms for disappearance of factor premia -- how does it work for momentum?

Depends on why the factor exists. With small and value, many believe that most or all of the factor is risk-related. If so, then that should not be arbitraged away regardless of how well known. If it is, then that in itself is an exploitable inefficiency. After all, the outperformance of stocks ove...
by jalbert
Sun Jun 17, 2018 12:26 pm
Forum: Investing - Theory, News & General
Topic: How much tilt is enough to make a difference?
Replies: 27
Views: 1829

Re: How much tilt is enough to make a difference?

2000 is a very biased start year for such a backtest. While any backtest done with a contiguous, non-independent sample is problematic, 2000 is especially problematic as it was an inflection point between a period where growth trounced value and a period where value overperformed, and both mean-reve...
by jalbert
Sat Jun 16, 2018 11:12 pm
Forum: Investing - Theory, News & General
Topic: A different theoretical view of SWR
Replies: 63
Views: 3709

Re: A different theoretical view of SWR

If you're like me and believe that churning calculations of historical market returns is not a useful exercise for predicting future returns, you're still left with everyone's problem: how to determine a SWR. From a theoretical perspective I've come to believe that over the long term reasonable inv...
by jalbert
Sat Jun 16, 2018 10:13 pm
Forum: Investing - Theory, News & General
Topic: A different theoretical view of SWR
Replies: 63
Views: 3709

Re: A different theoretical view of SWR

Well - 3.33% is less than 4% so already very conservative. Do you adjust the withdrawal to account for inflation - or does it stay fixed? Do you recalculate every year? Do I get to take 5% 10 years into my 30 year retirement? As far as I know the 4% number was never claimed to be valid for a global...
by jalbert
Sat Jun 16, 2018 8:42 pm
Forum: Investing - Help with Personal Investments
Topic: Using Wellesley Fund as a bond alternative
Replies: 18
Views: 2220

Re: Using Wellesley Fund as a bond alternative

You likely can establish your preferred asset allocation with a mix of vtsax and Wellesley income, but it would create unnecessary complexity with no benefit. If you want some of your equity holdings to be an actively managed large cap value portfolio just combine vtsax with some of the Windsor or W...
by jalbert
Sat Jun 16, 2018 2:25 pm
Forum: Personal Finance (Not Investing)
Topic: Rule of 55 is it official?
Replies: 50
Views: 9381

Re: Rule of 55 is it official?

She'll reach age 55 before me. Suppose she quit her job in that year (that she turns 55). Could she then withdrawal her full 401k and roll it over into a traditional IRA? Or for rule of 55, does she still have to withdrawal from the company 401k plan? (where she may have limited options, especially...
by jalbert
Fri Jun 15, 2018 11:55 pm
Forum: Investing - Theory, News & General
Topic: Gundlach sees 10 yr yields hitting 6%
Replies: 18
Views: 3172

Re: Gundlach sees 10 yr yields hitting 6%

DoubleLine Capital’s chief investment officer said in January that the benchmark 10-year U.S. yield would keep rising if it broke past the 2017 high of 2.63 percent. If you look at what that says, all it is predicting is that 2.63% won’t be a precise market top. It is predicting that either the 10-...
by jalbert
Fri Jun 15, 2018 7:26 pm
Forum: Investing - Help with Personal Investments
Topic: Late to the party, looking for some advice
Replies: 18
Views: 2190

Re: Late to the party, looking for some advice

wondered whether or not to include bonds, since my portfolio is, as you say ZERO. Its just most things I've read (at least for planning at an earlier age than myself) so some kind of conservative/aggressive asset allocation based of risk tolerance. Using it to smooth out the dips instead of pure po...
by jalbert
Fri Jun 15, 2018 7:02 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard Managed Payout Fund
Replies: 29
Views: 2411

Re: Vanguard Managed Payout Fund

If you look at the history of the fund, they frequently change the portfolio make-up because of what they see as market inefficiencies, which in practice can also be seen as performance chasing and market timing. It is actively managed. The portfolio change associated with any active management dec...