Search found 889 matches

by hdas
Mon Jun 24, 2019 10:23 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2196
Views: 160335

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

MotoTrojan wrote:
Mon Jun 24, 2019 7:19 pm
What would keep me from doing this daily in my Roth ?
The vig you pay associated with the atrocious rebalance scheme that M1 employs.
by hdas
Mon Jun 24, 2019 6:45 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2196
Views: 160335

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

Hydromod wrote:
Mon Jun 24, 2019 2:18 am

Daily rebalancing performed best, usually about 1 to 2 percentage points better than the biweekly to quarterly cohorts.

This is an area where a fund might offer a real systematic advantage, if they could efficiently perform the daily rebalancing trades.
Bingo! :greedy
by hdas
Sun Jun 23, 2019 8:16 am
Forum: Investing - Theory, News & General
Topic: Vanguard to offer private equity investments? Thoughts?
Replies: 66
Views: 5401

Re: Vanguard to offer private equity investments? Thoughts?

Bitzer wrote:
Sun Jun 23, 2019 7:01 am
This news item is reported in the online edition of today's Wall Street Journal
It’s about time. This is a win for the little guy :greedy
by hdas
Sat Jun 22, 2019 3:57 pm
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3411

Re: For those of you who have a factor diversified portfolio, what is yours?

I did see that the loading was still significant. What I was getting at is that the loading on value and momentum seems relatively small compared to quality and size. So I was wondering if you designed it that way. What I care is to have significant exposure to all factors for very low cost. I chal...
by hdas
Sat Jun 22, 2019 7:16 am
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3411

Re: For those of you who have a factor diversified portfolio, what is yours?

I did see that the loading was still significant. What I was getting at is that the loading on value and momentum seems relatively small compared to quality and size. So I was wondering if you designed it that way. What I care is to have significant exposure to all factors for very low cost. I chal...
by hdas
Sat Jun 22, 2019 7:09 am
Forum: Personal Investments
Topic: PIMIX, income, cash, interest rates?
Replies: 54
Views: 4877

Re: PIMIX, income, cash, interest rates?

Unfortunately not. http://www.upl.co/uploads/pimix1561156914.png How does the 2 yr, 3yr, 5yr, 10yr comparison look? Much better. This is how ppl end up holding underperforming funds for a long time. They keep moving the start point back until it fits their prior. Can’t call the end for PIMIX outper...
by hdas
Fri Jun 21, 2019 5:52 pm
Forum: Personal Consumer Issues
Topic: What Book Are You Currently Reading? Part VI
Replies: 3803
Views: 1094196

Re: What Book Are You Currently Reading? Part VI

For the third time. Ed.Chancellor's Devil Take the Hindmost. This time in audiobook. Excellent.
by hdas
Fri Jun 21, 2019 5:51 pm
Forum: Personal Consumer Issues
Topic: What Movie Have You Recently Watched?
Replies: 4537
Views: 1168452

Re: What Movie Have You Recently Watched?

Brexit HBO movie....dreadful. :greedy
by hdas
Fri Jun 21, 2019 5:50 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 63
Views: 7468

Re: Small Cap Value heads Rejoice !!!

stocknoob4111 wrote:
Thu Jun 20, 2019 11:46 pm
SCV has underperformed for the last 15 years and more lately has been absolutely terrible, so why are SCV holders rejoicing again? Just trying to find this out?
Precisely that, the rubber band is very stretched, perhaps a snap-back is in the horizon. :greedy
by hdas
Fri Jun 21, 2019 5:48 pm
Forum: Investing - Theory, News & General
Topic: Attention retirement savers: college 529 plans aren't just for kids
Replies: 26
Views: 3990

Re: Attention retirement savers: college 529 plans aren't just for kids

I am curious exactly how much education was provided by a community college in New Jersey that was pushed to create a new course in a foreign country. If the college didn't actually enhance the trip, then the tuition was essentially wasted to allow for spending out of the 529 (which may, on net, be...
by hdas
Fri Jun 21, 2019 5:45 pm
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3411

Re: For those of you who have a factor diversified portfolio, what is yours?

If you have a portfolio that's diversified over several factors: what is yours and why did you choose that one? I'm in the process of building a portfolio that diversifies risk over market, size, value, momentum and maybe quality too and I would like to see how other people have build theirs. For t...
by hdas
Fri Jun 21, 2019 5:43 pm
Forum: Personal Investments
Topic: PIMIX, income, cash, interest rates?
Replies: 54
Views: 4877

Re: PIMIX, income, cash, interest rates?

I have been heavily criticized for my support of this fund, but I am staying the course! https://www.pimco.com/handlers/displaydocument.ashx?c=72201F490&wd=Fund%20Fact%20Sheet&fn=Income%20Fund%20Institutional.pdf&id=6ar4R%2bf5LzXHwiA20SuAg9HGgSgw9NdFjOSQkwfficwB0G8AAiXL2%2bJekwE6abNxaOoXdYJv%2fATHe...
by hdas
Fri Jun 21, 2019 8:52 am
Forum: Investing - Theory, News & General
Topic: Attention retirement savers: college 529 plans aren't just for kids
Replies: 26
Views: 3990

A 529 Can Be Used To Help Study Abroad

Some good information here : :dollar Travel/Study options: There are more than 100 foreign colleges that are eligible for federal student aid. :dollar Use it to pay for your room and board. :dollar For the techies : Previously, the school had to specifically require computers, peripheral equipment, ...
by hdas
Fri Jun 21, 2019 8:18 am
Forum: Personal Finance (Not Investing)
Topic: Permanent DINK couples - Considerations, thoughts, etc?
Replies: 97
Views: 9824

Re: Permanent DINK couples - Considerations, thoughts, etc?

Married, approaching 40, will not have children. Was wondering if there were other BHs in the same situation and what (if anything) you may be doing that might be slightly (or very) different to general financial advice? A couple of things off the top of my head: Emergency fund: With each person ma...
by hdas
Wed Jun 19, 2019 1:30 pm
Forum: Personal Investments
Topic: PIMIX, income, cash, interest rates?
Replies: 54
Views: 4877

Re: PIMIX, income, cash, interest rates?

I have been heavily criticized for my support of this fund, but I am staying the course! https://www.pimco.com/handlers/displaydocument.ashx?c=72201F490&wd=Fund%20Fact%20Sheet&fn=Income%20Fund%20Institutional.pdf&id=6ar4R%2bf5LzXHwiA20SuAg9HGgSgw9NdFjOSQkwfficwB0G8AAiXL2%2bJekwE6abNxaOoXdYJv%2fATHe...
by hdas
Wed Jun 19, 2019 1:29 pm
Forum: Personal Investments
Topic: For those of you who have a factor diversified portfolio, what is yours?
Replies: 52
Views: 3411

Re: For those of you who have a factor diversified portfolio, what is yours?

If you have a portfolio that's diversified over several factors: what is yours and why did you choose that one? I'm in the process of building a portfolio that diversifies risk over market, size, value, momentum and maybe quality too and I would like to see how other people have build theirs. For t...
by hdas
Sat Jun 15, 2019 10:23 am
Forum: Investing - Theory, News & General
Topic: Attention retirement savers: college 529 plans aren't just for kids
Replies: 26
Views: 3990

Attention retirement savers: college 529 plans aren't just for kids

An unusual but insightful take on the function of 529 plans. Specially relevant given: >> Longer Life/Health spans. >> Abundance of childless couples >> Need for retraining. Self actualization Some quotes: Playing golf six days a week gets boring.......He vowed that when he retired he and his wife w...
by hdas
Thu Jun 13, 2019 10:31 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 2196
Views: 160335

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

HEDGEFUNDIE wrote:
Thu Jun 13, 2019 10:23 pm
The fact that they have trended persistently downward means something else is going on.
Yes, technology and demographics. :greedy
by hdas
Thu Jun 13, 2019 6:39 pm
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 75
Views: 6277

Re: "Steelmanning" the case for owning individual stocks

Rick Ferri has described the investor's eductional endeavors to generally follow the following path (https://www.bogleheads.org/forum/viewtopic.php?t=250534) : A successful index fund investor goes through four phases: 1) Darkness - takes advice from everyone; 2) Enlightenment - realizes a market r...
by hdas
Thu Jun 13, 2019 6:02 pm
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 75
Views: 6277

Re: "Steelmanning" the case for owning individual stocks

Rick Ferri has described the investor's eductional endeavors to generally follow the following path (https://www.bogleheads.org/forum/viewtopic.php?t=250534) : A successful index fund investor goes through four phases: 1) Darkness - takes advice from everyone; 2) Enlightenment - realizes a market r...
by hdas
Thu Jun 13, 2019 5:06 pm
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 75
Views: 6277

3 Month Review

It's been exactly 3 months since I started the live experiment, here are the results: http://www.upl.co/uploads/portfolio1560463121.png http://www.upl.co/uploads/competition1560463135.png Takeaways: >> While achieving the goal of outperforming the market, the portfolio didn't return more than the di...
by hdas
Thu Jun 13, 2019 4:37 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 63
Views: 7468

Re: Small Cap Value heads Rejoice !!!

A good day for the hypothesis, far from out of the woods. :greedy VUG IJS Ratio June-2-2019 153.4 138.55 0.9032 <<----- Call June-3-2019 151.09 139.72 0.9247 June-4-2019 154.7 143.93 0.9304 June-5-2019 156.3 142.93 0.9145 June-6-2019 157.51 142.5 0.9047 June-7-2019 159.85 143.52 0.8978 June-10-2019 ...
by hdas
Thu Jun 13, 2019 12:54 pm
Forum: Personal Consumer Issues
Topic: I read the memos of Howard Marks and Annual Letters of Buffett. Who else is worth reading?
Replies: 9
Views: 869

Re: I read the memos of Howard Marks and Annual Letters of Buffett. Who else is worth reading?

Grt2bOutdoors wrote:
Wed Jun 12, 2019 11:22 pm
Hussman
Hussman :shock: ... this is a terrible recommendation. Not only philosophically but technically wrong. This guy is very dangerous for anybody's prosperity.
by hdas
Thu Jun 13, 2019 11:34 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

...You need a variety of players with different incentives to interact in a regulated and relative transparent environment. An important part of this ecosystem is the speculator. See Speculator as a Hero Whether or not speculators are "heroes" in their own minds, ...speculation has nothing to do wi...
by hdas
Thu Jun 13, 2019 11:11 am
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Larry Swedroe changed his mind.

For those who want to read something closer to an academic text, good starts include: Asset Management by Andrew Ang 704 pages Successful Investing Is A Process by Jacques Lussier 368 pages Expected Returns by Antti Ilmanen 570 pages For the rest of us who are interested in investing and want to ap...
by hdas
Thu Jun 13, 2019 10:47 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

Correct me if I'm wrong but these futures markets are the same as betting exchanges which exist for sports and politics. It's an insulated system where all the profits & losses add up to zero, minus the trading costs. Futures Exchanges are an important part of the financial system. See, humans have...
by hdas
Thu Jun 13, 2019 10:38 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

Re: What is wrong with AQR?

Shouldn't a long position in a futures contract return almost the same as an investment in the underlying asset? Then why was the performance of managed futures so bad? How could they miss all the returns of stocks and bonds in the last years? I don't think "managed futures" invest in stock and bon...
by hdas
Wed Jun 12, 2019 10:33 am
Forum: Personal Consumer Issues
Topic: What Movie Have You Recently Watched?
Replies: 4537
Views: 1168452

Re: What Movie Have You Recently Watched?

2 Good Ones

>> The Favorite
>> They Shall not Grow Old
by hdas
Wed Jun 12, 2019 9:17 am
Forum: Investing - Theory, News & General
Topic: What is wrong with AQR?
Replies: 128
Views: 7379

What is wrong with AQR?

RCM alternatives has a series looking at the performance of AQR managed futures Part 1 Part 2 Part 3 http://www.upl.co/uploads/aqraum1560348895.png And finally, perhaps most importantly of all, it hasn’t been able to outperform its peers. Our proprietary ranking model measures alternative investment...
by hdas
Wed Jun 12, 2019 9:04 am
Forum: Personal Investments
Topic: Emerging Bonds: Index (VWOB) vs Active (VEGBX )
Replies: 3
Views: 409

Re: Emerging Bonds: Index (VWOB) vs Active (VEGBX )

Does anybody have a sophisticated opinion? Thx :greedy In emerging market debt markets, I see all of those issues as magnified: less liquid, harder to research, etc. So I decided that I was more than happy to pay Vanguard 13 bp (now 15 bp) extra to look for value in emerging market debt. Particular...
by hdas
Tue Jun 11, 2019 1:13 pm
Forum: Personal Investments
Topic: Emerging Bonds: Index (VWOB) vs Active (VEGBX )
Replies: 3
Views: 409

Emerging Bonds: Index (VWOB) vs Active (VEGBX )

14% of my Beta retirement portfolio is in Emerging Fixed Income (Hedged), using VWOB. I have no complains. However, the active Vanguard offering VEGBX is very intriguing. As a principle I prefer the index but I'm trying to figure out if there's a good case for going active here, let's look at the ma...
by hdas
Tue Jun 11, 2019 12:35 pm
Forum: Investing - Theory, News & General
Topic: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run
Replies: 337
Views: 17641

Re: Excellent Larry Swedroe Podcast Interview: Factors For The Long Run

Factor portfolios are long-short portfolios, formed by subtracting the returns of stocks with the lowest exposure to a factor from the returns of the stocks with the highest exposure. This makes the whole difference. I did a deep dive on Low Vol and was able to talk to a prominent research and pion...
by hdas
Tue Jun 11, 2019 12:31 pm
Forum: Investing - Theory, News & General
Topic: VFMF (Vanguard Multifactor) == Closet Value Index Fund
Replies: 20
Views: 1292

Re: VFMF (Vanguard Multifactor) == Closet Value Index Fund

I've been following the performance (I don't own the fund) of VFMF (Vanguard Multifactor). And trying to figure out why the terrible performance, given that Momentum and Quality have been doing ok. I wouldn't necessarily take that as a given. Since the inception of VFMF, the monthly factor premiums...
by hdas
Tue Jun 11, 2019 12:14 pm
Forum: Investing - Theory, News & General
Topic: VFMF (Vanguard Multifactor) == Closet Value Index Fund
Replies: 20
Views: 1292

Re: VFMF (Vanguard Multifactor) == Closet Value Index

I personally want a strong value loading in a multi-factor fund, because value has had the second largest factor premium, followed by market. But as you noted, this can cause significant deviation from market performance. I guess that's also the point. If it had been 10 points ahead I don't think a...
by hdas
Tue Jun 11, 2019 12:00 pm
Forum: Investing - Theory, News & General
Topic: VFMF (Vanguard Multifactor) == Closet Value Index Fund
Replies: 20
Views: 1292

VFMF (Vanguard Multifactor) == Closet Value Index Fund

I've been following the performance (I don't own the fund) of VFMF (Vanguard Multifactor). And trying to figure out why the terrible performance, given that Momentum and Quality have been doing ok.....Mr. Gray from Alpha Architect seems to be commenting about the same issue in twitter. http://www.up...
by hdas
Sat Jun 08, 2019 9:20 pm
Forum: Personal Investments
Topic: Suitability of multifactor in taxable
Replies: 12
Views: 684

Re: Suitability of multifactor in taxable

ISCF is extremely tax efficient. :greedy
by hdas
Thu Jun 06, 2019 10:20 pm
Forum: Personal Investments
Topic: why are Small Caps falling?
Replies: 113
Views: 9385

Re: why are Small Caps falling?

stocknoob4111 wrote:
Thu Jun 06, 2019 9:45 pm
Anyone have data on what has been the largest historical divergence in rolling 10 year periods between Large and Small?
Not exactly, but check this thread :greedy
by hdas
Thu Jun 06, 2019 7:19 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 63
Views: 7468

Re: Small Cap Value heads Rejoice !!!

While I still believe we are in the process of a turn in the ratio, today it made a new low:

Code: Select all

	        VUG	IJS	Ratio
June-3-2019	151.09	139.72	0.9247
June-4-2019	154.70	143.93	0.9304
June-5-2019	156.30	142.93	0.9145
June-6-2019	157.51	142.50	0.9047  <<------
Cheers :greedy
by hdas
Thu Jun 06, 2019 7:10 pm
Forum: Personal Investments
Topic: why are Small Caps falling?
Replies: 113
Views: 9385

Re: why are Small Caps falling?

vineviz wrote:
Thu Jun 06, 2019 3:51 pm
Fifteen years? Small caps have outperformed large caps.
Well, this is disputable. Take Russell 1000 vs Russell 2000. Large Caps still beat small caps by a a hair. :greedy
by hdas
Thu Jun 06, 2019 7:03 pm
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 75
Views: 6277

Re: "Steelmanning" the case for owning individual stocks

The reason I choose to invest a very small portion (maybe 2%) of my assets in individual stocks is because, as someone who enjoys reading about money matters/investing/finance/etc., I think it's much more fun than investing solely in the same 6 Admiral funds so many other people on this forum are d...
by hdas
Wed Jun 05, 2019 9:27 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 63
Views: 7468

Re: Small Cap Value heads Rejoice !!!

Today is day one, of the resurrection **. Make sure to be fully loaded :twisted: http://www.upl.co/uploads/largescv1559665191.png ** The ratio of SCV/Large Growth had a large reversal today Update June 4: Just a better chart (data from Tiingo) for ppl to appreciate the opportunity set. Can someone ...
by hdas
Tue Jun 04, 2019 11:23 am
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 63
Views: 7468

Re: Small Cap Value heads Rejoice !!!

Yes, but it now kinda makes sense to sell small-cap value and buy total US stock market today because this one-day thing ain't gonna last, right? Mr. Livesoft, Don't get distracted with the ephemeral and enriching the pockets of the internalizers. Switch back to even when the spread is in the red l...
by hdas
Tue Jun 04, 2019 11:19 am
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 75
Views: 6277

Re: "Steelmanning" the case for owning individual stocks

Notes from the trenches: It's been almost 3 months since experiment started, the portfolio outperforming benchmark (SP500) handly, however, it's clear that this has been possible due to the significant exposure to term risk. http://www.upl.co/uploads/fregression1559663007.png The way I calculate, ra...
by hdas
Mon Jun 03, 2019 6:37 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 63
Views: 7468

Re: Small Cap Value heads Rejoice !!!

nisiprius wrote:
Mon Jun 03, 2019 3:57 pm
Just to be clear... you're saying small-cap value has crashed and therefore must be "cheap," "on sale," "less risky than before," "higher expected return than before." Is that right?
Im saying that the ratio of SCV/LargeGrowth has bottomed and it’s time to take full advantage of that. :greedy
by hdas
Mon Jun 03, 2019 1:52 pm
Forum: Investing - Theory, News & General
Topic: Small Cap Value heads Rejoice !!!
Replies: 63
Views: 7468

Small Cap Value heads Rejoice !!!

Today is day one, of the resurrection **. Make sure to be fully loaded :twisted:

Image


** The ratio of SCV/Large Growth had a large reversal today

Update June 4: Just a better chart (data from Tiingo) for ppl to appreciate the opportunity set.
by hdas
Fri May 31, 2019 5:55 pm
Forum: Personal Investments
Topic: "Steelmanning" the case for owning individual stocks
Replies: 75
Views: 6277

Re: "Steelmanning" the case for owning individual stocks

Notes from this week: >> I transitioned from SP500 stocks to Russell 1000 stocks as universe. Cast a wider net, add midcaps. Win-Win. >> I've been noticed an important end of the month effect. This is related to term premium component I believe. Perhaps there's a way to systematically exploit this. ...
by hdas
Fri May 31, 2019 2:53 pm
Forum: Investing - Theory, News & General
Topic: Popularity: A Bridge Between Classical and Behavioral Finance
Replies: 16
Views: 1203

Re: Popularity: A Bridge Between Classical and Behavioral Finance

Just skimming the paper, it would seem that popularity adds a useful theoretical dimension to asset pricing — but the idea of calculating "popularity loadings" for securities seems particularly squishy and subjective to my mind. Not to suggest that popularity loadings wouldn't be useful, but popula...
by hdas
Fri May 31, 2019 2:21 pm
Forum: Personal Consumer Issues
Topic: Bad experience with moving company, what are my options?
Replies: 17
Views: 1726

Re: Bad experience with moving company, what are my options?

An update:

They just came back offering to give back a portion of the total they are withholding. In order to justify the difference, they just came back with an additional "long distance carry" fee, that was never mentioned before. :annoyed
by hdas
Thu May 30, 2019 10:51 pm
Forum: Personal Consumer Issues
Topic: Bad experience with moving company, what are my options?
Replies: 17
Views: 1726

Re: Bad experience with moving company, what are my options?

We just moved from NC to Florida. When I was researching companies I found all the problems you had and more. The big companies get the contract and sub it out as cheap as possible to companies that have terrible ratings. It seems you are doing all the right things but it will be a hassle getting e...