Search found 832 matches

by hdas
Thu May 23, 2019 11:32 am
Forum: Investing - Theory, News & General
Topic: Vanguard website fail at the propitious moment
Replies: 15
Views: 1864

Re: Vanguard website fail at the propitious moment

True to their spirit, Vanguard website is a mess for me today. Anybody else having the same issue? :annoyed Are you willing to give us any specifics about what's wrong? PJW It takes a long time to put an order in and even more time to modify it. H ps. My internet connection is perfect and all other...
by hdas
Thu May 23, 2019 11:10 am
Forum: Investing - Theory, News & General
Topic: Vanguard website fail at the propitious moment
Replies: 15
Views: 1864

Vanguard website fail at the propitious moment

True to their spirit, Vanguard website is a mess for me today. Anybody else having the same issue? :annoyed
by hdas
Thu May 23, 2019 9:58 am
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 119
Views: 5292

Re: Factor ETFs For Diversification Or “Diworsification”

Totally agree with you that growth isn't the opposite of value. But isn't earnings growth a factor in the sense that is a independent variable that partially explains stock performance? When Morningstar developed the equity style box (which weren't based on factors as much as they were on classic a...
by hdas
Thu May 23, 2019 9:39 am
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 64
Views: 5124

Factor Exposure and Sector Bets

Related to my point about the challenge of implementing sector constrains in optimization a portfolio of targeted factors: http://www.upl.co/uploads/sectorinfluence1558621136.png From: Barrons Article And a more granular breakdown : Value http://www.upl.co/uploads/value1558622142.png Size http://www...
by hdas
Wed May 22, 2019 7:28 pm
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, ranked by diversification benefit
Replies: 66
Views: 4315

Re: Vanguard ETFs, ranked by diversification benefit

vineviz wrote:
Wed May 22, 2019 2:06 pm

I think that if an investor was set on including an international small cap ETF that something like iShares Edge MSCI Multifactor Intl SmCp ETF (ISCF) or Cambria Foreign Shareholder Yield ETF (FYLD) merit examination.
ISCF is very tax efficient as well. :greedy
by hdas
Wed May 22, 2019 12:23 pm
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 64
Views: 5124

Re: "Steelmanning" the case for owning individual stocks

Pretty much you are saying that you have run up the white flag and admitting that you couldn't do individual security selection better than the ETFs. I guess that's one way to say it. I notice that my screening/ranking dictates most of the difference. This portfolio doesn't look like anything you s...
by hdas
Wed May 22, 2019 12:19 pm
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 64
Views: 5124

Re: "Steelmanning" the case for owning individual stocks

Some surprising results when running the factor regression on the portfolio.

Image

1. Size is not negatively significant even though I use only large caps
2. Lukewarm exposure to Momentum :?:
3. Significant exposure to Value ? :shock:
by hdas
Tue May 21, 2019 11:26 am
Forum: US Chapters
Topic: Bogleheads in the Vail Valley area?
Replies: 0
Views: 86

Bogleheads in the Vail Valley area?

Recently moved. Are there enough of us to start a meeting?. Let's coordinate :happy

View this morning:

Image
by hdas
Tue May 21, 2019 11:11 am
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 44
Views: 4906

Re: Here's my portfolio

vineviz wrote:
Wed Mar 20, 2019 7:52 pm

17.38% SPDR® S&P 600 Small Cap Value ETF (SLYV)
I was looking into this ETF. The lower expense ratio is nice. The only caveat is that seems very inefficient for a taxable account if needed, lots of LTCG, STCG distributions.
by hdas
Mon May 20, 2019 12:06 pm
Forum: Investing - Theory, News & General
Topic: Factor ETFs For Diversification Or “Diworsification”
Replies: 119
Views: 5292

Re: Factor ETFs For Diversification Or “Diworsification”

To bring the thread to the practical side, here's a portfolio very similar to my "Beta" retirement portfolio, it has performed a bit better than to just holding VTI, but according to the factor investing theory is better diversified across all the standard risk factors (albeit negative alpha). 0.15%...
by hdas
Sat May 18, 2019 12:37 pm
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 64
Views: 5124

Re: "Steelmanning" the case for owning individual stocks

After running the portfolio live for 9 weeks, these are some takeaways: 1. Individual investors have an advantage over institutional money in terms of transactions costs, this is an overlooked fact. I was able to secure 100 free monthly trades with Bank of America - Merrill, this is more than enough...
by hdas
Sat May 18, 2019 12:09 pm
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 44
Views: 4906

Re: Here's my portfolio

I've made a few minor changes to my portfolio since my last update, partly because some of my individual bonds were called and partly because I wanted to clean up a few investments that I wasn't entirely happy with. The current actual holdings looks like this: 21.8% SPDR® S&P 600 Small Cap Value ET...
by hdas
Sun Apr 07, 2019 8:16 pm
Forum: Investing - Theory, News & General
Topic: How many of you have some developed international and EM indexed bond funds in your portfolio?
Replies: 32
Views: 3345

Re: How many of you have some developed international and EM indexed bond funds in your portfolio?

I invest in bond funds for safety. (By which I mean, yes, volatility reduction). I do not hold any currency-hedged international bond funds (such as Vanguard's Total International Bond Fund) because the case for them providing any meaningful diversification, e.g. by Vanguard in Global fixed income:...
by hdas
Thu Apr 04, 2019 9:28 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1832
Views: 125443

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Some of the issues for ppl with small accounts are going to be solved with the introduction of CME micro equity futures. Cheers :greedy
by hdas
Tue Mar 26, 2019 10:05 pm
Forum: Investing - Theory, News & General
Topic: DGS: Own it? Opinions on it? [WisdomTree Emerging Mkts SmallCap Dividend]
Replies: 62
Views: 3851

Re: DGS: Own it? Opinions on it? [WisdomTree Emerging Mkts SmallCap Dividend]

For DGS, the size loading isn't statistically significant from zero. Especially for a fund that most investors are holding at small weights, it seems like that'd be more discouraging than it seems to be for people. I'm not a statistician, but DGS constituents have an average market cap of 1,285 Mil...
by hdas
Sat Mar 23, 2019 2:43 pm
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 44
Views: 4906

Re: Here's my portfolio

IMO the drawback with this approach is it may underperform MSCI ACWI. The technique strikes me as more speculative than market-cap weighting. I think it's just a question of picking your poison. You can maximize diversification, you can maximize expected return, you can minimize expected volatility...
by hdas
Sat Mar 23, 2019 8:13 am
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 44
Views: 4906

Re: Here's my portfolio

vineviz wrote:
Wed Mar 20, 2019 7:52 pm
12.79% Xtrackers MSCI EAFE High Div Yld Eq ETF (HDEF)
12.18% iShares Core MSCI Emerging Markets ETF (IEMG)
9.30% iShares Edge MSCI Intl Size Factor ETF (ISZE)
Vineviz,
Do you have an opinion on WisdomTree funds DLS, DGS. I like them except the high ER. Thanks
by hdas
Sat Mar 23, 2019 8:10 am
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 44
Views: 4906

Re: Here's my portfolio

I haven't found a way to integrate momentum into my holdings in a way that makes sense (i.e. produces enough exposure to it without reducing some other factor I have achieved this using individual stocks. It’s not that high maintenance to manage, but the initial research and implementation it’s int...
by hdas
Thu Mar 21, 2019 6:47 pm
Forum: Investing - Theory, News & General
Topic: Here's my portfolio
Replies: 44
Views: 4906

Re: Here's my portfolio

vineviz wrote:
Wed Mar 20, 2019 7:52 pm

The individual stocks are mostly mid/small cap utility stocks (e.g. ATO,EE, HE, NJR, OGE, OGS, WTR) and consumer staples.
Thanks for sharing, I'm using individual stocks as well to access the exposures I want. :greedy
by hdas
Thu Mar 21, 2019 6:32 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why The Size Premium Should Persist
Replies: 62
Views: 3857

Re: Larry Swedroe: Why The Size Premium Should Persist

Might read my factor book which talks about these things Larry I had a series of PMs with Larry about a previous thread. In those messages he also suggest I buy his "factor book". Which I plan on not doing. Ignorance is bliss ... I recommend instead Andrew Ang's book, much better imo. :greedy
by hdas
Wed Mar 20, 2019 12:52 pm
Forum: Personal Investments
Topic: 529 plan question: When did you change to more conservative AA?
Replies: 36
Views: 1850

Re: 529 plan question: When did you change to more conservative AA?

vineviz wrote:
Wed Mar 20, 2019 9:55 am

Image
Vineviz, where is this chart coming from?...could you link the source?. Thanks. :greedy
by hdas
Wed Mar 20, 2019 12:46 pm
Forum: Investing - Theory, News & General
Topic: Small cap interantional and tax efficiency FNDC v SCZ
Replies: 13
Views: 945

Re: Small cap interantional and tax efficiency FNDC v SCZ

This is the reason why ETF portfolios should stick within the same index family to avoid unwanted betas, or to be sure that certain betas desired are not being completely missed. this would force one to exit Vanguard funds to move to Ishares for my international large cap....what's wrong with this?...
by hdas
Tue Mar 19, 2019 1:33 pm
Forum: Investing - Theory, News & General
Topic: Small cap interantional and tax efficiency FNDC v SCZ
Replies: 13
Views: 945

Re: Small cap interantional and tax efficiency FNDC v SCZ

Don't use Morningstar for tax-efficiency data; it doesn't always know about qualified dividends. Instead, check with the fund provider, and work out the numbers for yourself. I would expect SCZ to be more tax-efficient, because it has a lower SEC yield, and that is the best estimate of the yield go...
by hdas
Tue Mar 19, 2019 1:17 pm
Forum: Investing - Theory, News & General
Topic: Is technical analysis all smoke and mirrors?
Replies: 88
Views: 9364

Re: Is technical analysis all smoke and mirrors?

protagonist wrote:
Tue Mar 27, 2018 11:10 pm
Seems like it to me, but what do I know?
Prof. Aronson's Book is the best resource I know of that can help you with your query. :greedy
by hdas
Mon Mar 18, 2019 6:48 pm
Forum: Personal Investments
Topic: How to get over a $25K stock market loss?
Replies: 125
Views: 10319

Re: How to get over a $25K stock market loss?

The experience has scarred me enough to swear off of equities, but I know that will be a wealth killer in the long run (we are still 25-30 years away from retirement). Your temperament is the wealth killer. You should outsource decision making to either an algorithm (IPS) or an advisor. Cheers :gre...
by hdas
Mon Mar 18, 2019 2:54 pm
Forum: Personal Consumer Issues
Topic: What are the purposes of your travels?
Replies: 60
Views: 3461

Re: What are the purposes of your travels?

flyingaway wrote:
Mon Mar 18, 2019 12:34 pm
My wife and I just returned from an 8-day trip to Columbia.
It’s Colombia NOT Columbia.
by hdas
Mon Mar 18, 2019 2:45 pm
Forum: Investing - Theory, News & General
Topic: Utilities - worth another look?
Replies: 45
Views: 2657

Re: Utilities - worth another look?

Nothing wrong with utilities except the usual pattern on this forum to start paying attention and switching allocations to asset/sectors after they have performed well. :greedy
by hdas
Mon Mar 18, 2019 12:29 pm
Forum: Personal Investments
Topic: Solid income portfolio?
Replies: 9
Views: 1147

Re: Solid income portfolio?

1/3 Vanguard REIT (4-5%) 1/3 High yield junk bond (5-6%) 1/3 emerging market bonds (5-6%) Other than VNQ, these assets have very high beta relative to stocks. In a market decline, they will go into distress along with other risk assets. There is no preservation of capital, so these fail as a fixed ...
by hdas
Mon Mar 18, 2019 7:23 am
Forum: Investing - Theory, News & General
Topic: Why VEA is up 11.3%, VWO 11.7%, while VXUS which supposed to be their combo is up only 10.9%?
Replies: 3
Views: 555

Re: Why VEA is up 11.3%, VWO 11.7%, while VXUS which supposed to be their combo is up only 10.9%?

Ilya38 wrote:
Mon Mar 18, 2019 6:06 am
Why VEA is up 11.3%, VWO 11.7%, while VXUS which supposed to be their combo is up only 10.9%?
Read this thread :greedy
by hdas
Sun Mar 17, 2019 11:56 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1832
Views: 125443

The next 20 years.....

Here's another way to look at the difference in the distribution of outcomes for 20 years, between the strategy and sp500 1x Return 3X60/40 SP500 >= 0.00% 94.92% 99.85% >= 2.50% 89.31% 98.48% >= 5.00% 81.04% 92.18% >= 7.50% 69.43% 76.42% >= 10.00% 55.58% 52.24% >= 12.50% 40.41% 25.28% Takeaways acco...
by hdas
Sun Mar 17, 2019 10:30 am
Forum: Personal Consumer Issues
Topic: What Movie Have You Recently Watched?
Replies: 4473
Views: 1155337

Re: What Movie Have You Recently Watched?

Another Ciro Guerra masterpiece. Birds of Passage. :greedy
by hdas
Sat Mar 16, 2019 8:22 am
Forum: Investing - Theory, News & General
Topic: That's enough for me in 2019
Replies: 763
Views: 72222

Re: That's enough for me in 2019

HEDGEFUNDIE wrote:
Sat Mar 16, 2019 7:58 am
I prefer to think of all the leverage posts as exercises in portfolio optimization rather than irrational exuberance.
It’s hard to see the forest when you are in the middle of it. :wink:
by hdas
Sat Mar 16, 2019 7:50 am
Forum: Investing - Theory, News & General
Topic: Question about performance of factor funds
Replies: 19
Views: 1055

Re: Question about performance of factor funds

Here’s a recent paper with some information relevant to this thread: Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing 35 Pages Posted: 17 Feb 2019 Robert D. Arnott Research Affiliates, LLC Campbell R. Harvey Duke University - Fuqua School of Business; National Bureau of ...
by hdas
Fri Mar 15, 2019 2:02 pm
Forum: Investing - Theory, News & General
Topic: Understanding using treasury futures for leverage to implement risk parity
Replies: 120
Views: 7394

Re: Understanding using treasury futures for leverage to implement risk parity

I found this, a nice chart of the 10 year treasury note futures total return index that I linked earlier: https://www.tradingview.com/chart/SPUSTTTR/tdRSyW55-10-year-treasury-note-futures-total-return/ Oh Wow...LOL. Wait til ppl compare this to their regular bond fund... :greedy Good find. They hav...
by hdas
Thu Mar 14, 2019 9:44 am
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 37
Views: 4601

Re: Tail Risk Protection

long_gamma wrote:
Thu Mar 14, 2019 7:03 am
Vega fund was flat (up 0.08%) for the year.
Rather underwhelming given the year we had. Thanks. :greedy
by hdas
Thu Mar 14, 2019 9:43 am
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 37
Views: 4601

Re: Tail Risk Protection

Hi All, I have a very specific question: Has anybody seen evidence (real track record) that tail risk strategies work? VXX is an ETN that tracks a strategy of owning VIX futures that are 1 or 2 months from expiration. From Jan 2010 on, it has had a CAGR of -52%, but if you ask Portfolio Visualizer ...
by hdas
Thu Mar 14, 2019 7:46 am
Forum: Personal Investments
Topic: Moving out of ETF into growth stocks.. To do or not to?
Replies: 40
Views: 1934

Re: Moving out of ETF into growth stocks.. To do or not to?

frotec wrote:
Thu Mar 14, 2019 3:31 am

1) Would it make sense for me to go with his portfolio vs S&P.

2) Is his diversification OK?

Thanks in advance for your guidance.
It’s all good if you are willing to do the homework and think for yourself. What would be the selection criteria for the stocks in your portfolio?
by hdas
Thu Mar 14, 2019 7:22 am
Forum: Investing - Theory, News & General
Topic: Mid Cap Index instead of Total Stock Market in Portfolio
Replies: 50
Views: 3745

Re: Mid Cap Index instead of Total Stock Market in Portfolio

A sensible calculation of the diversification ratio depends on being able to include all the assets, which I can't do with so many stocks. Vineviz, If you are familiar with Python you can write your diversification ratio formula as a custom method within the library PyPortOpt . It works really well.
by hdas
Wed Mar 13, 2019 12:16 pm
Forum: Personal Investments
Topic: Spouse wants to buy individual stocks
Replies: 78
Views: 5755

Re: Spouse wants to buy individual stocks

vineviz wrote:
Wed Mar 13, 2019 9:36 am
Sounds like our approaches are very similar, even if the stocks are different.
I don't know of any other way of obtaining significant exposure to the big 5 factors (MOM, LV, VAL, QUAL SIZE) without using individual stocks. :greedy
by hdas
Wed Mar 13, 2019 11:56 am
Forum: Personal Investments
Topic: Finding the risk tolerance for AA
Replies: 18
Views: 951

Re: Finding the risk tolerance for AA

I understand that risk tolerance and AA ultimately boil down to one's own judgment, but how do I make the best judgment possible? Any other resources I should read or study? Maybe read this and see if you finding actionable. Beyond Markowitz: A Comprehensive Wealth Allocation Framework for Individu...
by hdas
Wed Mar 13, 2019 11:20 am
Forum: Investing - Theory, News & General
Topic: Question about performance of factor funds
Replies: 19
Views: 1055

Re: Question about performance of factor funds

I was just wondering if there are any data on the returns of "factor" funds since they started becoming popular in recent times and whether any of them have actually done any better than plain vanilla total market index funds. Any proof that they are working yet? Check Dimson tally in latest CS yea...
by hdas
Wed Mar 13, 2019 11:10 am
Forum: Personal Finance (Not Investing)
Topic: Need advice on where to park house down payment money
Replies: 21
Views: 1538

Re: Need advice on where to park house down payment money

So we're looking to buy a new house in 3 years and currently saving to reach the 20-30% down payment of $100-150K. We already have about $90K saved up but won't need the house for anther 3 years, which is when my kids will be in kindergarten & 1st grade. Right now the money is parking in saving and...
by hdas
Tue Mar 12, 2019 10:06 pm
Forum: US Chapters
Topic: Chicagoland Master Thread
Replies: 34
Views: 8883

Re: Chicagoland Master Thread

Weekends best. If during the week, after 4pm. Cheers :greedy
by hdas
Tue Mar 12, 2019 9:33 am
Forum: Personal Investments
Topic: Spouse wants to buy individual stocks
Replies: 78
Views: 5755

Re: Spouse wants to buy individual stocks

I know I am asking this in a bogleheads forum, but - can individual stocks ever have a place in a portfolio? My husband and I aren't in complete agreement. I am relatively conservative and risk-averse. He sees opportunity in individual stocks. Currently he is trading them in his 401k :shock: which ...
by hdas
Tue Mar 12, 2019 7:50 am
Forum: Personal Investments
Topic: Review of investment strategy (leverage+factors)
Replies: 21
Views: 1105

Re: Review of investment strategy (leverage+factors)

market timer wrote:
Tue Mar 12, 2019 6:36 am
Wow, another thread about leveraging stocks and bonds.
Seems like CME is listening
by hdas
Mon Mar 11, 2019 9:59 pm
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 89
Views: 6167

Re: Is there any downside to investing in bond futures?

Is what is acceptable for collateral only determined by the exchange, i.e. CBOE, or does the brokerage determine acceptable collateral? For Tsy Futures would be CME....but yes it’s broker dependent, for instance IB requires 1 mill for using TBills as collateral....however most FCM’s would do it for...
by hdas
Mon Mar 11, 2019 9:26 pm
Forum: Investing - Theory, News & General
Topic: Is there any downside to investing in bond futures?
Replies: 89
Views: 6167

Re: Is there any downside to investing in bond futures?

Is what is acceptable for collateral only determined by the exchange, i.e. CBOE, or does the brokerage determine acceptable collateral? For Tsy Futures would be CME....but yes it’s broker dependent, for instance IB requires 1 mill for using TBills as collateral....however most FCM’s would do it for...
by hdas
Sun Mar 10, 2019 7:11 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1832
Views: 125443

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Can you run a MC simulation using all the data and block (3-7) or (5-10) bootstrap?....Thx :greedy LOL, you need to ask somebody else. Monte-Carlo isn't exactly my thing.. :wink: I recommend you transition from excel to python ....skip R. You can also use PV for a generic solution , just as simple ...
by hdas
Sun Mar 10, 2019 6:28 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 1832
Views: 125443

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Can you run a MC simulation using all the data and block (3-7) or (5-10) bootstrap?....Thx :greedy LOL, you need to ask somebody else. Monte-Carlo isn't exactly my thing.. :wink: I recommend you transition from excel to python ....skip R. You can also use PV for a generic solution , just as simple ...