Search found 216 matches

by hafius500
Tue Aug 13, 2013 12:56 pm
Forum: Investing - Theory, News & General
Topic: There Is No Such Thing As Better Beta
Replies: 102
Views: 8558

Re: There Is No Such Thing As Better Beta

I contacted Ken French with the following question about the term "alternative beta": "Have you ever referred to size, value and momentum factors as alternative beta, smart beta, or any other type of beta?" His authorized response to this question was: "I try to reserve the term “beta” for sensitiv...
by hafius500
Mon Aug 12, 2013 2:23 pm
Forum: Investing - Help with Personal Investments
Topic: Simple 4-ETFs portfolio for an European investor
Replies: 6
Views: 2049

Re: Simple 4-ETFs portfolio for an European investor

Sorry, I don't understand. You complain that the MSCI World Index is heavily tilted towards US stocks (50%) and then you decide to invest 25% in the SP500 and 25% in the Russell2000 Index? My bad, I will try to clarify. I wasn't actually complaining about the heavy US exposure of the MSCI index, I ...
by hafius500
Sun Aug 11, 2013 1:05 pm
Forum: Investing - Help with Personal Investments
Topic: Simple 4-ETFs portfolio for an European investor
Replies: 6
Views: 2049

Re: Simple 4-ETFs portfolio for an European investor

At first it seemed promising but then I realized that the index is heavily tilted towards USA and Europe (almost 80% of the whole geographic allocation). So I thought to myself, why don't I simply buy an S&P 500 Etf and a STOXX 600 Etf? They offer lower TER, better liquidity and higher diversificat...
by hafius500
Sat Jul 06, 2013 2:34 pm
Forum: Investing - Theory, News & General
Topic: New Fama-French paper on 4 factor model (3+profitability)
Replies: 9
Views: 2887

Re: New Fama-French paper on 4 factor model (3+profitability

Abstract: A four-factor model directed at capturing the size, value, and profitability patterns in average stock returns is rejected on the GRS test, but for applied purposes it seems to provide an acceptable description of average returns. The profitability patterns in average returns are less of ...
by hafius500
Sat Jun 29, 2013 3:59 pm
Forum: Investing - Theory, News & General
Topic: The enemy of "left tail" portfolios - bonds
Replies: 29
Views: 2998

Re: The enemy of "left tail" portfolios - bonds

I've noticed that the type of defensive portfolio allocation that is supposed to reduce "left tail" risk hasn't been faring particularly well this year. Risk parity portfolios, such as the "all weather" portfolio advocated by Ray Dalio are down 10% or more,... FYI, a collection of new articles on r...
by hafius500
Sat Jun 29, 2013 2:47 pm
Forum: Investing - Help with Personal Investments
Topic: Emerging Markets - Equal Country Weight
Replies: 44
Views: 1868

Re: Emerging Markets - Equal Country Weight

In essence, I fail to understand why it is accepted/common to deviate from the MSCI ACWI IMI index (in the assumption this index covers all equities), but wrong to deviate from the MSCI EM IMI index. In the first index, US is about 50% if I am not mistaken. However, there are a lot of lazy portfoli...
by hafius500
Sat Jun 29, 2013 2:24 pm
Forum: Investing - Help with Personal Investments
Topic: Emerging Markets - Equal Country Weight
Replies: 44
Views: 1868

Re: Emerging Markets - Equal Country Weight

I'm surprised by the uniformity of the reaction. As far as I know, DFA has been more-or-less equally weighting its original EM fund forever. A very brief search turned up this old post: http://www.bogleheads.org/forum/viewtopic.php?p=24681#p24681 As for why someone might dare to deviate from cap we...
by hafius500
Fri Jun 28, 2013 10:45 am
Forum: Investing - Help with Personal Investments
Topic: Emerging Markets - Equal Country Weight
Replies: 44
Views: 1868

Re: Emerging Markets - Equal Country Weight

Reasons why smaller companies appear to have higher returns are not applicable to countries? No. They are not. Why not? What about the arguments in chapter 1 of The Four Pilars of Investing? See http://www.efficientfrontier.com/t4poi/Ch1.htm. Thanks. Maybe, I missed something. But I don't see Berns...
by hafius500
Fri Jun 28, 2013 10:21 am
Forum: Investing - Help with Personal Investments
Topic: Emerging Markets - Equal Country Weight
Replies: 44
Views: 1868

Re: Emerging Markets - Equal Country Weight

What you suggest is called "naive diversification". According to Behavioral Finance investors equal-weight investments if they do not possess more information. Thus it is an uninformed decision and, on averge, you cannot expect any improvement. IOW, any choice is not better or worse than any other c...
by hafius500
Sat Jun 22, 2013 11:57 am
Forum: Investing - Theory, News & General
Topic: Contrarian That I Am
Replies: 24
Views: 2143

Re: Contrarian That I Am

I recall two tests that were suggested to measure market efficiency (Swensen's books?): 1- Inefficent markets have wider bid/ask spreads. Uncertainty about the true intrinsic value makes it risky for market-makers to trade these securities. 2- In inefficent markets the difference between the returns...
by hafius500
Fri Jun 21, 2013 2:05 pm
Forum: Investing - Help with Personal Investments
Topic: Why do funds and ETFs in US not capitalize dividends?
Replies: 15
Views: 4192

Re: Why do funds and ETFs in US not capitalize dividends?

Theoretically, accumulating funds might have a -small- advantage if the accumulated dividends, interest payments or realized capital gains were not taxed annually, but when the shares were sold. In this case you could profit from a small compounding effect because you could earn the additional retur...
by hafius500
Thu Jun 20, 2013 2:45 pm
Forum: Investing - Theory, News & General
Topic: Split the Equity allocation 50% US / 50% International
Replies: 40
Views: 6055

Re: Split the Equity allocation 50% US / 50% International

I note the experts disagree and I don't have better information: Some (value?) funds benchmarked against the MSCI World Index by Morningstar: North America/ Japan: 49,95/ 22,36% Oakmark Global I (OAKGX) 58,01/ 00,00% Longleaf Partners Global (LLGLX) 52,49/ 01,68% Tweedy Value (TWEBX) 37,18/ 03,75% T...
by hafius500
Thu Jun 20, 2013 1:45 pm
Forum: Investing - Help with Personal Investments
Topic: Why do funds and ETFs in US not capitalize dividends?
Replies: 15
Views: 4192

Re: Why do funds and ETFs in US not capitalize dividends?

I am from Europe/Belgium and in Europe it is common to have funds and ETFs which capitalize/re-invest instead of distribute the dividends. I have been looking to the Vanguard ETFs and funds lately, and I noticed that all of them distribute the dividends, usually quarterly. Why is that? Capitalizing...
by hafius500
Fri Jun 14, 2013 2:45 pm
Forum: Investing - Theory, News & General
Topic: Is Market really efficient? This says no-
Replies: 39
Views: 3589

Re: Is Market really efficient? This says no-

Isn't this illegal? Isn't this inside information? I am surprised that the SEC isn't investigating this. Well, it shouldn't surprise me. SEC staffers spent time looking at nefarious stuff on the internet rather than regulating the markets. They also did nothing when a veteran investor went in and s...
by hafius500
Thu Jun 13, 2013 12:35 pm
Forum: Investing - Theory, News & General
Topic: yet another Tactical tilt recipe
Replies: 44
Views: 4280

Re: yet another Tactical tilt recipe

Curious: did you try backtesting your strategy? Also, I see a very interesting exchange between grok87 and Ged regarding PE10 starting here . thanks. i guess one thing to consider is the example of Japan. We used to think Japan was an outlier that their "economic stuff" could never happen to us. Bu...
by hafius500
Wed Jun 12, 2013 12:31 pm
Forum: Investing - Theory, News & General
Topic: Is Market really efficient? This says no-
Replies: 39
Views: 3589

Re: Is Market really efficient? This says no-

Five minutes before that, at 9:55 a.m., the data is distributed on a conference call for Thomson Reuters' paying clients Isn't this consistent with an efficient market because this information is -now- publicly known? I assume there's always a high-frequency trader or a market-maker who frontruns t...
by hafius500
Fri Jun 07, 2013 3:25 pm
Forum: Investing - Help with Personal Investments
Topic: European/Swedish investor - Help with a lazy portfolio
Replies: 8
Views: 1497

Re: European/Swedish investor - Help with a lazy portfolio

I agree with allsop. 50/50% Sweden /World is a little bit concentrated. I recall Nokia and Ericsson in 2000... 9 lazy portfolios for UK investors A UK blogger who quotes several model portfolios of diverging complexity. I like No. 8 as a starting point: Harry Markowitz’s ‘In Real Life’ Portfolio 50%...
by hafius500
Fri Jun 07, 2013 3:45 am
Forum: Investing - Help with Personal Investments
Topic: which vanguard ETFs should i buy? (nonUS citizen)
Replies: 14
Views: 3239

Re: which vanguard ETFs should i buy? (nonUS citizen)

Don't let the tax tail wag the investment dog. Vanguard's US-domiciled S&P500 ETF is VOO , 0.05% TER. Vanguard's EU-domiciled S&P500 ETF is VUSD , 0.09% TER. In absolute terms this annual TER difference is small even for significant portfolios, likely a few tens of dollars. For non-resident aliens,...
by hafius500
Thu Jun 06, 2013 3:38 pm
Forum: Investing - Help with Personal Investments
Topic: which vanguard ETFs should i buy? (nonUS citizen)
Replies: 14
Views: 3239

Re: which vanguard ETFs should i buy? (nonUS citizen)

Isn't the first and most important question if the fund or ETF had been registered in your home country? ...Even if an EU domiciled ETF is not registered in ones home country for income tax, it can still be worth using instead of a US domiciled one. Only residents of a handful of countries with US ...
by hafius500
Thu Jun 06, 2013 5:22 am
Forum: Investing - Help with Personal Investments
Topic: which vanguard ETFs should i buy? (nonUS citizen)
Replies: 14
Views: 3239

Re: which vanguard ETFs should i buy? (nonUS citizen)

I'm a nonUS resident located in my home country and the only access to Vanguard that I have is through ETFs. Since I'm not in the US, I'll be buying the ETFs through a brokerage firm....I'm thinking of starting with 50% VTI, 30% VT and 20% VCLT... Vanguard USA, VTI, "View prospectus and reports" or...
by hafius500
Sat Jun 01, 2013 3:45 pm
Forum: Investing - Theory, News & General
Topic: Poll: Is The Value Premium A Risk Story Or Behavioral
Replies: 30
Views: 2762

Re: Poll: Is The Value Premium A Risk Story Or Behavioral

Could someone quickly explain why Value and Small stocks are expected to have a risk premium? The historical data indicates that they may, and I've read the Fama-French paper on the 3-factor topic, tilting, etc. But I don't get intuitively why they should have a premium if the Market is Efficient a...
by hafius500
Mon May 27, 2013 2:58 pm
Forum: Investing - Theory, News & General
Topic: C'mon international rise!
Replies: 51
Views: 7361

Re: C'mon international rise!

I confess I don't see a huge difference US vs International in your data. In both cases the difference is about 0.6%. Ten-year period to to 10-year period likely has much more than 0.6% variability. OK, I see: You rely on data-mining to predict returns, correlations and risks and you don't use out-...
by hafius500
Sun May 26, 2013 12:33 pm
Forum: Investing - Theory, News & General
Topic: How Would Mr. Bogle Calculate Expected REIT Returns?
Replies: 122
Views: 23500

Re: How Would Mr. Bogle Calculate Expected REIT Returns?

...Dividend/earnings growth is a tad harder, but easy enough to derive from the NAREIT database; over the past 41 years, dividends have grown at 2.6% pa; unfortunately, inflation in the same period ran 4.2%, for negative real dividend growth of 1.6%... Now I am confused: NAREIT - Inflation Protecti...
by hafius500
Sun May 26, 2013 5:27 am
Forum: Investing - Theory, News & General
Topic: C'mon international rise!
Replies: 51
Views: 7361

Re: C'mon international rise!

International can underperform for years, and did from 1995 through 2000. International can outperform for years and did from 2002 through 2008. One strong influence is shown below. http://i44.tinypic.com/a5esns.jpg The case for international investing is that over really long periods of time, and ...
by hafius500
Fri May 24, 2013 1:45 pm
Forum: Investing - Theory, News & General
Topic: So what is the history of INTL with regards to DIVIDENDS??
Replies: 13
Views: 1343

Re: So what is the history of INTL with regards to DIVIDENDS

(I could see this influencing someone's decision about their US/INTL split, especially given the state of fixed income returns) ...there's no evidence that it makes any huge difference in total return whether a company pays out or reinvests dividends... I think the evidence is mixed. Previous resea...
by hafius500
Fri May 24, 2013 6:15 am
Forum: Investing - Help with Personal Investments
Topic: Deciding How Much to put in International
Replies: 59
Views: 9180

Re: Deciding How Much to put in International

What are the considerations when deciding what percentage of one's stock holdings to allocate to international stocks? My thoughts (please correct me if I am wrong): Two reasons to invest internationally: - you diversify country risk to avoid significant underperformance. - you increase your opport...
by hafius500
Sat May 18, 2013 3:45 pm
Forum: Investing - Theory, News & General
Topic: Lazy / 3 funds portfolio with ETFs for European (ITA) people
Replies: 21
Views: 3316

Re: Lazy / 3 funds portfolio with ETFs for European (ITA) pe

Given that your World Equity Index strongly overweights one foreign currency (the USD) you could - tolerate this allocation - mitgiate the exposure to a single foreign currency by adding other, i.e. non-USD, regions (Europe, Asia, EM). IMO your three-fund equity portfolio (World + Stoxx600 + EM) is ...
by hafius500
Fri May 17, 2013 3:02 am
Forum: Investing - Help with Personal Investments
Topic: Vanguard Precious Metals and Mining?
Replies: 20
Views: 2364

Re: Vanguard Precious Metals and Mining?

Morningstar, VPMX Chart: Growth of 10,000 USD from 5/23/84 to 5/16/13: 47,512 USD Vanguard Precious Metals and Mining Fund 37,093 USD Equity Precius Metals 135,102 USD MSCI World NR http://quote.morningstar.com/fund/chart.aspx?&t=VGPMX®ion=usa&culture=en-US http://globalquote.morningstar.com/glob...
by hafius500
Wed May 15, 2013 12:40 pm
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 172
Views: 17347

Re: The new profitability factor, US and int'l evidence

Some articles about the Novy-Marx paper and Greenblatt's Magic Formula: Wesley Gray (Turnkeyanalyst) and Tobias Calisle (Grennbackd) are the authors of the book 'Quantitative Value' that larryswedroe mentioned. They are quant investors who do not believe in efficient markets and advocate a 'profit a...
by hafius500
Tue May 14, 2013 1:21 pm
Forum: Investing - Theory, News & General
Topic: The new profitability factor, US and int'l evidence
Replies: 172
Views: 17347

Re: The new profitability factor, US and int'l evidence

Fund families such as Dimensional Fund Advisors and AQR have created funds that incorporate Novy-Marx’s findings, and it seems clear that more fund families are going to be looking for ways to isolate this profitability factor in the design of future products. Societe Generale already constructed a...
by hafius500
Sun May 12, 2013 11:41 am
Forum: Investing - Help with Personal Investments
Topic: When Equity Markets crash does divident yield decrease
Replies: 18
Views: 4253

Re: When Equity Markets crash does divident yield decrease

Declining stock prices predict lower dividends (or lower dividend growth rates) or they indicate that investors demand a higher return (i.e., the risk premium increases). Stingy Investor - Is Dividend Income Safe? inflation- adjusted dividends paid by the S&P500 reached a new high in 1911 but they t...
by hafius500
Tue May 07, 2013 6:28 am
Forum: Investing - Help with Personal Investments
Topic: Please critique this portfolio: 100% VT. [Total World Index]
Replies: 78
Views: 7777

Re: Please critique this portfolio: 100% VT.

This all correct for arithmetic returns (or the expectation of a single period's returns) but is entirely wrong if you are talking about compounding returns. The compounded return of a portfolio can be higher than the weighted CAGR of its components because of volatility harvesting. Imagine a portf...
by hafius500
Mon Apr 29, 2013 12:33 pm
Forum: Investing - Theory, News & General
Topic: "Minimize Fat-Tails" Portfolio Question
Replies: 35
Views: 4350

Re: "Minimize Fat-Tails" Portfolio Question

Bradley forgive me, but you seem to have become rather quixotic in regards to Mr. Swedroe. While I would have phrased it as either "very little" or "no practical" exposure to the size or value, given how they are dwarfed and overwhelmed in a total market fund, we are dancing on the head of a pin lo...
by hafius500
Fri Apr 26, 2013 6:11 am
Forum: Investing - Theory, News & General
Topic: Why do investors chase dividend paying strategies
Replies: 439
Views: 56153

Re: Why do investors chase dividend paying strategies

http://seekingalpha.com/article/1334481-there-is-no-such-thing-as-a-dividend-strategy?source=google_news article on dividend strategy just fyi Another article written by the same author explains dividends and should refute myths like these: Well I see that people still do not understand how dividen...
by hafius500
Wed Apr 24, 2013 1:09 pm
Forum: Investing - Theory, News & General
Topic: fundamental index vs capitalization inxed
Replies: 6
Views: 811

Re: fundamental index vs capitalization inxed

More papers that assert that fundamental indexation is just another value strategy: FTfm Alchemy > EDHEC-Risk Forum > Post Does Theory justify fundamental weighted indices? Posted by Shuyang YE on Jan 21 Perold (2007) shows that fundamental indexation is actually an active management strategy with a...
by hafius500
Tue Apr 23, 2013 9:12 am
Forum: Investing - Theory, News & General
Topic: Why do investors chase dividend paying strategies
Replies: 439
Views: 56153

Re: Why do investors chase dividend paying strategies

Yes your stock will pay the dividend but it PERMANENTLY falls by the amount of the dividend (relative to what it would have done if it had not paid the dividend). So if the market goes down 90% and the stock is perfectly correlated with the market it will fall 90% plus the amount of the dividend, n...
by hafius500
Mon Apr 22, 2013 5:53 am
Forum: Personal Finance (Not Investing)
Topic: Withdrawl Rates Based on CAPE
Replies: 17
Views: 1292

Re: Withdrawl Rates Based on CAPE

http://www.bloomberg.com/news/2013-04-09/maybe-past-performance-does-predict-your-savings-future.html In the above article the author describes a withdrawl strategy base on Shiller PE/10 with a larger draw down in years where the PE is low and a smaller withdrawl in years when the PE is high. We kn...
by hafius500
Sat Apr 20, 2013 12:29 pm
Forum: Investing - Theory, News & General
Topic: Why do investors chase dividend paying strategies
Replies: 439
Views: 56153

Re: Why do investors chase dividend paying strategies

Sorry if this paper about HIGH-dividend stocks has been posted before. Dividend Investing: A Value Tilt in Disguise?, by Gregg S. Fisher, Journal of Financial Planning, April 2013 Executive Summary .... In seeking to better understand the outperformance of high-dividend-yielding stocks relative to t...
by hafius500
Thu Apr 11, 2013 1:17 pm
Forum: Investing - Theory, News & General
Topic: Why do investors chase dividend paying strategies
Replies: 439
Views: 56153

Re: Why do investors chase dividend paying strategies

BTW, here is FF3F Model equation from the Boglehead wiki: http://www.bogleheads.org/w/images/math/3/8/4/38400bfd5352394d1a033ac898a9b772.png Notice the subscript i on the beta's, alpha, epsilon and r ? i is for each individual firm. In other words, it represents N equation for N different returns f...
by hafius500
Sat Apr 06, 2013 2:13 pm
Forum: Investing - Theory, News & General
Topic: Index monkeys beat market cap weighting
Replies: 33
Views: 3942

Re: Index monkeys beat market cap weighting

I would expect a random selection of stocks from an index to outperform the cap=weighted index simply because the random selection will be tilted toward smaller-caps. These Morningstar articles conclude that sector differences or differences in real interest rates explain the relative returns of la...
by hafius500
Sat Mar 16, 2013 3:10 pm
Forum: Investing - Theory, News & General
Topic: Why Style Investing is Active Management.
Replies: 62
Views: 4188

Re: Why Style Investing is Active Management.

, if you look at the average market cap of something like the Vanguard Total Stock Index or Russell 3000, you see about 70% in large and mega cap companies, 20% in mid cap, and 10% in small cap. If you don't think that is heavily weighted towards big companies, I'm not sure what is. You said it aga...
by hafius500
Thu Mar 14, 2013 7:51 am
Forum: Investing - Theory, News & General
Topic: Ned Davis research on size and value premiums
Replies: 7
Views: 1317

Re: Ned Davis research on size and value premiums

Not to miss my chance to post a set of returns: :D Since 5/21/98: Small Value: 7.52% Small Growth 7.63% Since 11/2/92: Large Value: 8.76% Large Growth; 8.34% For most of us here who are VG investors, these are the returns we actually got. https://personal.vanguard.com/us/funds/vanguard/FundsTableVi...
by hafius500
Tue Mar 05, 2013 12:59 pm
Forum: Investing - Theory, News & General
Topic: For Value Investing Geeks
Replies: 15
Views: 2175

Re: For Value Investing Geeks

... Here is an article that combines several pieces of research from Research Affiliates. I believe they are doing a good job trying to uncover the mystery of value investing. Value Stocks and Dividends Enjoy! Rick Ferri Yes, but: on the implementation costs of fundamental Emerging Markets funds: I...
by hafius500
Fri Feb 22, 2013 2:51 pm
Forum: Investing - Theory, News & General
Topic: "What is Passive Investing?"
Replies: 12
Views: 1739

Re: "What is Passive Investing?"

What is passive? Allan Roth and I have this discussion all the time. It's a question of degree. What I consider passive may be viewed as active by someone else. It's easy to make the arguement that passive doesn't exist 1) All indexes have rules for inclusion, rebalancing, reconstruction, dividend ...
by hafius500
Fri Feb 22, 2013 12:48 pm
Forum: Investing - Theory, News & General
Topic: WSJ: Why Most Value Investors Will Burn Out
Replies: 48
Views: 9024

Re: WSJ: Why Most Value Investors Will Burn Out

With regard to the original article, Scislaw wrote: Scislaw - Three essays on the value premium : can investors capture the promised rewards? (I don't have the link to the updated version in the Journal of Asset Allocation (?)) Page 34: Persistence of the value premium: Over the same 80 year period ...
by hafius500
Fri Feb 22, 2013 12:40 pm
Forum: Investing - Theory, News & General
Topic: WSJ: Why Most Value Investors Will Burn Out
Replies: 48
Views: 9024

Re: High Dividend Doesn't Necessarily Mean High Return

The size and yield effects could be related. I recall some quant (value) managers use different ratios (P/B vs. P/E etc.) for different country markets because no ratio works best in every market. Data mining and sample bias are dangers. hafius, Fama and French followed up their US paper with an In...
by hafius500
Fri Feb 22, 2013 8:30 am
Forum: Investing - Theory, News & General
Topic: Equal weighting or market cap weighting?
Replies: 124
Views: 9879

Re: Equal weighting or market cap weighting?

FYI: Indexuniverse March 2013- David Blitz - How smart is 'smart beta'? Summary In smart-beta indexes—such as fundamentally weighted and minimum-volatility indexes—stock weights are based not on their market capitalizations, but on some alternative formula. We have argued that the added value of sma...
by hafius500
Fri Feb 22, 2013 8:15 am
Forum: Investing - Theory, News & General
Topic: "What is Passive Investing?"
Replies: 12
Views: 1739

Re: "What is Passive Investing?"

Lots of 'tilters' claim they are 'passive investors' because they rebalance and because they don't let "Mr. Market dictate portfolio weights". This is wrong because they confuse the portfolio strategy (which must be either active or passive) with investment management (which can be defined arbitrari...
by hafius500
Sun Feb 17, 2013 2:39 pm
Forum: Investing - Theory, News & General
Topic: WSJ: Why Most Value Investors Will Burn Out
Replies: 48
Views: 9024

Re: The Value Premium

Dividends ...High minus low dividend to price only produced differences of 2.2% (less than half) with a t-stat of only 1.0 -- so we cannot even say with significance there is a difference in returns between high and low dividend paying stocks . ... Well, if you torture the data long enough, it will...
by hafius500
Sat Feb 16, 2013 2:45 pm
Forum: Investing - Theory, News & General
Topic: WSJ: Why Most Value Investors Will Burn Out
Replies: 48
Views: 9024

Re: WSJ: Why Most Value Investors Will Burn Out

Today's typical value fund might not be able to deliver the superior returns generated by bargain stocks in earlier decades. Nowadays, most value managers search for stocks that are cheap relative to current or expected earnings. The bargain stocks in the best-known Fama-French index were selected ...