Search found 216 matches

by hafius500
Mon May 14, 2012 4:17 am
Forum: Investing - Theory, News & General
Topic: old hat for others....tilting question
Replies: 43
Views: 2569

Re: old hat for others....tilting question

Now, as for that 4% small value premium, Rick Ferri recently posted: I listened to Gene Fama speak at the CFA Institute Annual Conference... Fama is not so convinced that there is a small cap premium these days. If there is one, "it is much smaller than originally thought." What about that? Perhaps...
by hafius500
Sat May 12, 2012 1:43 pm
Forum: Investing - Theory, News & General
Topic: The last decade was not lost
Replies: 43
Views: 2850

Re: The last decade was not lost

I wouldn't go so far as to say "stocks", as much as I'd single out large cap growth stocks that dominate the market . This is a very popular belief but I don't see the data that support it. If you believe in the 3-Factor Model it is a false belief because the model does not state TSM is 'tilted'. C...
by hafius500
Fri May 11, 2012 3:41 am
Forum: Investing - Theory, News & General
Topic: The perfect value investor
Replies: 31
Views: 2643

Re: The perfect value investor

Daniel Have to be very careful when you look at say small value vs market and recent performance. With overall market there is no migration of stocks. With small value the vast majority of the premium doesn't come from the asset class outperforming, but from a very small percentage of stocks that w...
by hafius500
Thu May 10, 2012 5:50 am
Forum: Investing - Theory, News & General
Topic: Fama and French paper
Replies: 44
Views: 4728

Re: Fama and French paper

[We take these fringe anti-DFA/anti-FF posters with a grain of salt. Best to do the same. A good example of cognitive dissonance and confirmation bias. Fama recognizes our uncertainty about the true mean and the true standard deviation of the premiums. This is consistent with the (quoted) hypothesi...
by hafius500
Wed May 09, 2012 5:37 am
Forum: Investing - Theory, News & General
Topic: Fama and French paper
Replies: 44
Views: 4728

Re: Fama and French paper

Evelyn, ...What the paper shows is that all three premiums, beta, size and value are highly volatile and that even for periods like 25 years we should expect negative premiums with some degree of frequency... It seems FF agree with other academics (e.g., Loughran, Szislaw) that premiums can be nega...
by hafius500
Sat May 05, 2012 12:51 pm
Forum: Investing - Theory, News & General
Topic: Behaviors That Prevent Diversification
Replies: 65
Views: 4536

Re: Behaviors That Prevent Diversification

Your argument seems to be: A stock is overvalued because its price has risen above its fair value (true). A higher market price implies higher market capitalisation (true). Therefore, a higher market capitalisation implies overvaluation (false). IOW, small-cap oportfolios can't be overvalued becaus...
by hafius500
Sat May 05, 2012 5:59 am
Forum: Investing - Theory, News & General
Topic: Behaviors That Prevent Diversification
Replies: 65
Views: 4536

Re: Behaviors That Prevent Diversification

Re Bold: I think you miscalculate probabilities. A small-cap manager would have sold Microsoft when it became a mid-cap stock (Sold low). The mid-cap manager who bought it would have bought low. Similar arguments when we consider securites that go bankruptcy (Enron...). I didn't calculate any proba...
by hafius500
Fri May 04, 2012 2:43 pm
Forum: Investing - Theory, News & General
Topic: Behaviors That Prevent Diversification
Replies: 65
Views: 4536

Re: Behaviors That Prevent Diversification

Unless you possess additional information no weighting method (TSM, equal-weighting, fundamenatal weighting, 'diversification across risk factors', etc....) can prevent you from overweighting overvalued securities. Even if so, I don't see how it follows from that that investing in a cap-weighted in...
by hafius500
Thu May 03, 2012 1:20 pm
Forum: Investing - Theory, News & General
Topic: Behaviors That Prevent Diversification
Replies: 65
Views: 4536

Re: Behaviors That Prevent Diversification

The cap-weighted nature of TSM appears to concentrate the fund IMHO. Buying cap-weighted index funds appears to violate the fundamental investing principle "buy-low sell-high", because as the price of a stock rises, your investment in it will rise. So, you're buying high. I think this is mathematic...
by hafius500
Sun Apr 22, 2012 9:30 am
Forum: Investing - Theory, News & General
Topic: How to think about diversification
Replies: 124
Views: 7673

Re: How to think about diversification

ON quality of data, this is direct from Professor Davis who did the work Below is the total number of book values that we found for each portfolio formation year from 1926 through 1940. Regarding the remark about accounting data surviving decades later, that's one of the reasons why we had to use t...
by hafius500
Fri Apr 20, 2012 5:44 am
Forum: Investing - Theory, News & General
Topic: How to think about diversification
Replies: 124
Views: 7673

Re: How to think about diversification

So now we have Yobria in the data mining business. Choosing periods randomly to make the numbers look like they support his view So let's try this. Let's use the same period used in the study Yobria cites, starting 1963 through 2011 FF LG returns 9.0 and FF LV returns 10.7 Then if we look even at t...
by hafius500
Thu Apr 12, 2012 6:06 am
Forum: Investing - Theory, News & General
Topic: can you capture the small premium
Replies: 154
Views: 8199

Re: can you capture the small premium

Risk, Uncertainty, and Expected Returns Turan G. Bali and Hao Zhou First Draft: March 2011 This Version: March 2012 (Emphasis added) [page 17 pdf] The data are obtained from Kenneth French’s online data library. We use the longest common sample period available, from January 1990 to December 2010.....
by hafius500
Fri Mar 02, 2012 1:51 pm
Forum: Investing - Theory, News & General
Topic: TIPS Myths
Replies: 74
Views: 6210

Re: TIPS Myths

UK inflation indexed bonds - long-term data: UK FINANCIAL MARKET RETURNS 1955-2000, Elroy Dimson and Paul Marsh page 28 pdf : The top panel shows that, since their introduction in 1981, the mean real monthly return on UK index-linked bonds has been only 0.3 percent, which is lower even than the retu...
by hafius500
Tue Feb 28, 2012 5:52 am
Forum: Investing - Theory, News & General
Topic: The Total Economy Portfolio
Replies: 161
Views: 22482

Re: The Total Economy Portfolio

And, whether we like it or not, all of the investors are in fact investing in the stock market, not the total economy. Except that's not true: When the owner of your local pizza parlor decided to invest in that business he did so in lieu of the stock market. Multiply that by millions of investors a...
by hafius500
Fri Feb 03, 2012 4:56 am
Forum: Investing - Theory, News & General
Topic: Questions About the Fama-French Benchmarks
Replies: 47
Views: 4732

Re: Questions About the Fama-French Benchmarks

http://www.dfaus.com/2009/05/explaining-stock-returns-a-literature-survey.html DFA - Explaining Stock Returns: A Literature Survey SMBt is the realization on a capitalization-based factor portfolio that buys small cap stocks and sells large cap stocks . Similarly, HMLt is the realization on a factor...
by hafius500
Sat Sep 10, 2011 5:35 pm
Forum: Forum Issues and Administration
Topic: Attention returned banned poster pwm112 et al
Replies: 32
Views: 7974

I (hafis50) re-registered under a new username after I had stopped posting because I never had agreed with anything the "scice&dicers" (Swedroe) wrote. "pwm112" simply repeated all the valid counter-arguments that have been made by numerous posters over the last 10-15 (!) years. None of these poster...