Search found 2219 matches

by Random Walker
Fri Nov 10, 2017 9:57 pm
Forum: Investing - Theory, News & General
Topic: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?
Replies: 14
Views: 1168

Re: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?

Aloha Joe,
Did you look at the AQR 100 years paper? Based on that I’d go for the AQR fund. TS Momentum can have some long bad stretches, but diversifying across several uncorrelated asset classes should really help smooth out it’s behavior.

Dave
by Random Walker
Fri Nov 10, 2017 9:51 pm
Forum: Investing - Theory, News & General
Topic: The Next Bear Market, Ben Carlson
Replies: 13
Views: 2226

Re: The Next Bear Market, Ben Carlson

Galeno,
That’s the exact equation I use: -0.5(%equity)+5% for bonds performing well in the really bad times.

Dave
by Random Walker
Fri Nov 10, 2017 5:53 pm
Forum: Investing - Theory, News & General
Topic: Asset Allocation Consideration
Replies: 5
Views: 556

Re: Asset Allocation Consideration

I would say yes, take them into account. In fact a Monte Carlo Simulation can account for this as well,

Dave
by Random Walker
Fri Nov 10, 2017 5:50 pm
Forum: Investing - Theory, News & General
Topic: The Next Bear Market, Ben Carlson
Replies: 13
Views: 2226

Re: The Next Bear Market, Ben Carlson

Excellent article. So important to do the severe extended bear market mind experiment in one’s head before experiencing it, unprepared, for real. Rick Ferri wrote an article where he described walking clients through a potential 1971-1972 bear market scenario. Best to do that experiment now, when pa...
by Random Walker
Fri Nov 10, 2017 9:39 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Past Performance Deceives
Replies: 2
Views: 599

Larry Swedroe: Past Performance Deceives

http://www.etf.com/sections/index-investor-corner/swedroe-past-performance-deceives?nopaging=1 “Insanity is doing the same thing over and over again, and expecting different results”. Apparently there is a lot of insanity in the realm of hiring investment managers. Another good article by Larry. Dave
by Random Walker
Thu Nov 09, 2017 3:18 pm
Forum: Investing - Theory, News & General
Topic: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?
Replies: 14
Views: 1168

Re: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?

https://www.aqr.com/-/media/files/paper ... esting.pdf

This is the article that got me interested in time series momentum, especially the smile curve in exhibit 2 and the bear market performance in exhibit 3.

Dave
by Random Walker
Thu Nov 09, 2017 2:20 pm
Forum: Investing - Theory, News & General
Topic: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?
Replies: 14
Views: 1168

Re: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?

QMHIX. This an AQR Time Series Momentum fund that invests across four asset classes: equities, bonds, currencies, commodities. The fund uses some leverage. The fund uses absolute/time series momentum. It buys what’s recently gone up and sells what has recently gone down. This means that it has a shi...
by Random Walker
Thu Nov 09, 2017 1:57 pm
Forum: Investing - Theory, News & General
Topic: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?
Replies: 14
Views: 1168

Re: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?

by Phil DeMuth » Thu Nov 09, 2017 7:57 am It makes sense, because managed futures shine during the worst times, and safe withdrawal rates are about eliminating the 1% of worst-case scenarios. But people can't stick with managed futures as a separate portfolio line item because they have lots of lon...
by Random Walker
Thu Nov 09, 2017 10:42 am
Forum: Investing - Theory, News & General
Topic: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?
Replies: 14
Views: 1168

Re: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?

Not sure it’s worthwhile to compare that AQR fund to an index. It uses trend following in multiple asset classes: I think equities, bonds, interest rates, commodities, currencies. It’s sort of it’s own beast I would think.

Dave
by Random Walker
Thu Nov 09, 2017 10:19 am
Forum: Investing - Theory, News & General
Topic: Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?
Replies: 14
Views: 1168

Wes Gray: Do Trend Folowing Managed Futures Increase Safe Withdrawal Rates?

https://alphaarchitect.com/2017/11/08/trend-following-managed-futures-safe-withdrawal-rates/ This is an article I found on alpha architect by Wes Grey. It looks at how adding Time Series Momentum (Managed Futures) to a Portfolio can increase the safe withdrawal rate in retirement. This is potentiall...
by Random Walker
Tue Nov 07, 2017 9:19 pm
Forum: Investing - Theory, News & General
Topic: "I took all my money out of the stock market and it feels amazing"
Replies: 69
Views: 9285

Re: "I took all my money out of the stock market and it feels amazing"

You can’t Time the market, but you can evaluate where you are relative to your goals, where the market is, and take rational action. With someone who has made great gains in the last decade, is very close to retirement goals, seeing modest forward looking equity returns with wide dispersion of possi...
by Random Walker
Tue Nov 07, 2017 12:46 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Slaughtering The High Dividend Sacred Cow
Replies: 192
Views: 13895

Re: Larry Swedroe: Slaughtering The High Dividend Sacred Cow

William Bernstein once wrote something to the effect “We make more money when markets going down, we just don’t know it at the time”. The dividend accelerator is a big part of that I believe.

Dave
by Random Walker
Tue Nov 07, 2017 12:26 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Slaughtering The High Dividend Sacred Cow
Replies: 192
Views: 13895

Re: Larry Swedroe: Slaughtering The High Dividend Sacred Cow

Nedsaid,
Have you read Siegel’s other book, The Future For Investors? If I remember correctly, he referred to the “dividend accelerator”: reinvesting dividends when stocks are down to amplify the comeback when stocks rise again.

Dave
by Random Walker
Mon Nov 06, 2017 9:04 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Slaughtering The High Dividend Sacred Cow
Replies: 192
Views: 13895

Re: Larry Swedroe: Slaughtering The High Dividend Sacred Cow

Hoops,
Dividends are a proxy for value, so no surprise to beat S&P 500 over long time frame.

Dave
by Random Walker
Mon Nov 06, 2017 1:35 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Slaughtering The High Dividend Sacred Cow
Replies: 192
Views: 13895

Larry Swedroe: Slaughtering The High Dividend Sacred Cow

https://www.advisorperspectives.com/articles/2017/11/06/slaughtering-the-high-dividend-sacred-cow In this article Larry talks about dividends. There is really nothing special about them. Dividend policy has no effect on a stock’s total return. By focusing on dividends, an investor is likely limiting...
by Random Walker
Mon Nov 06, 2017 11:13 am
Forum: Investing - Theory, News & General
Topic: Investment Books & Your Library
Replies: 36
Views: 2819

Re: Investment Books & Your Library

Sand trap,
Me too. I’ve gotten to the point where I’ve just bought a few copies of my favorite beginner’s books to keep on hand for giving away when the opportunity arises.

Dave
by Random Walker
Mon Nov 06, 2017 10:42 am
Forum: Personal Finance (Not Investing)
Topic: Morningstar: Cognitive decline in aging. A strong case for portfolio simplification?
Replies: 98
Views: 8502

Re: Morningstar: Cognitive decline in aging. A strong case for portfolio simplification?

Cognitive decline and transfer of assets between generations may be another reason to use a trusted fiduciary financial advisor as well. Perhaps even a simple portfolio will become unmanageable with cognitive decline. 12 funds versus 3 funds may be nothing compared to maintaining appropriate mind co...
by Random Walker
Mon Nov 06, 2017 9:02 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Time Series Momentum Persists
Replies: 1
Views: 510

Larry Swedroe: Time Series Momentum Persists

http://www.etf.com/sections/index-investor-corner/swedroe-time-series-momentum-persists Larry Swedroe reviews a good article discussing Time Series Momentum in the bond market. He also reviews his criteria for a factor worthy of incorporating into an investment plan: persistent, pervasive, robust, i...
by Random Walker
Sun Nov 05, 2017 6:14 pm
Forum: Investing - Theory, News & General
Topic: Investment Books & Your Library
Replies: 36
Views: 2819

Re: Investment Books & Your Library

For those who feel they are seeing decreasing marginal returns from new investment books, I might recommend reading on the transition from accumulation portfolio to retirement portfolio. For example William Bernstein’s ebook on life cycle investing or Retirement Portfolios by Zwecher.

Dave
by Random Walker
Sun Nov 05, 2017 6:09 pm
Forum: Investing - Theory, News & General
Topic: Volatility and Risk relationship
Replies: 29
Views: 2212

Re: Volatility and Risk relationship

I have several thoughts. 1. As a first very good approximation, volatility is a good measure of risk. 2. Value is more risky than total market and it does have a greater SD. Value tends to do especially poorly in bad times. I think adding higher SD value to an S&P500 portfolio, keeping overall equit...
by Random Walker
Sat Nov 04, 2017 4:56 pm
Forum: Investing - Theory, News & General
Topic: "What's Your Uncertainty/Humility Score?"
Replies: 17
Views: 2614

Re: "What's Your Uncertainty/Humility Score?"

Sandtrap wrote: ↑Fri Nov 03, 2017 9:54 am Who would patronize a FI who says he is uncertain? :shock: Unfortunately, probably only those with enough wisdom and knowledge not to need one. :wink: I use an advisor who definitely has no certainty! It is because of the lack of a clear crystal ball that I...
by Random Walker
Fri Nov 03, 2017 7:31 pm
Forum: Investing - Theory, News & General
Topic: Book Recommendation: Adaptive Markets:Financial Evolution At The Speed Of Thought
Replies: 5
Views: 605

Re: Book Recommendation: Adaptive Markets:Financial Evolution At The Speed Of Thought

When I first started reading about investing, EMH resonated with me immediately. In college I studied economics and biochemistry. I instantly saw analogies between EMH and perfect competition in economics and chemical equilibrium in chemistry. Random Walk also describes bacteria and chemoattractants...
by Random Walker
Fri Nov 03, 2017 7:06 pm
Forum: Investing - Theory, News & General
Topic: Book Recommendation: Adaptive Markets:Financial Evolution At The Speed Of Thought
Replies: 5
Views: 605

Re: Book Recommendation: Adaptive Markets:Financial Evolution At The Speed Of Thought

For those who have trouble coming to grips with the fact that stocks become more risky with time, Lo clarifies this greatly with the example of a drunk’s random walk. :-)

And now I’m just starting a section on risk versus uncertainty.

Dave
by Random Walker
Fri Nov 03, 2017 6:50 pm
Forum: Investing - Theory, News & General
Topic: Book Recommendation: Adaptive Markets:Financial Evolution At The Speed Of Thought
Replies: 5
Views: 605

Book Recommendation: Adaptive Markets:Financial Evolution At The Speed Of Thought

Has anyone read Adaptive Markets: Financial Evolution At The Speed Of Thought by Andrew Lo? I’m just getting started on the book and it seems great. In the first 50 pages lots of EMH, wisdom of crowds, madness of crowds. References to Fama, Markowitz, Sharpe already early in the book. Introductory t...
by Random Walker
Fri Nov 03, 2017 4:56 pm
Forum: Investing - Theory, News & General
Topic: Asset Allocation without the heartburn
Replies: 10
Views: 1661

Re: Asset Allocation without the heartburn

I quickly skimmed the article. Their diversifying assets include long term TIPs, commodities, emerging market equities, and REITs. I think these help some, but perhaps not as much as would be hoped for. Commodities are definitely diversifying! But my understanding is that their benefit is not nearly...
by Random Walker
Thu Nov 02, 2017 8:36 pm
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 3162

Re: Expanding on The Rewards Of Multiple Asset Class Investing

I’ve posted before on the concept of volatility drag. If two portfolios have the same weighted average annual mean return, but different volatilities, the geometric return of the more volatile portfolio will be less than the geometric return of the less volatile portfolio. Geo Mean = Simple Mean - 1...
by Random Walker
Thu Nov 02, 2017 6:49 pm
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 3162

Re: Expanding on The Rewards Of Multiple Asset Class Investing

I’m no math or stats guy, but I’m pretty sure I’m right as well. The straight line of the expected return seems intuitive. The curved line of actual returns in a rebalanced portfolio comprised of two uncorrelated assets (and correlations change over time too) seems very difficult to predict.

Dave
by Random Walker
Thu Nov 02, 2017 3:32 pm
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 3162

Re: Expanding on The Rewards Of Multiple Asset Class Investing

Stay the course, I think you are thinking correctly. ISV would be a better diversifier for the reasons you mention. Size and value are not correlated with market, and International small is more affected by local economies. I think the goal is maximize the likelihood of being in the northwest on tha...
by Random Walker
Thu Nov 02, 2017 11:59 am
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 3162

Re: Expanding on The Rewards Of Multiple Asset Class Investing

It seems to me that many of the comments are ignoring the forest from the trees. The specific asset classes are irrelevant. The time frame is irrelevant. What is relevant is the big picture. The big picture is that combining sources of return with less than perfectly correlated behavior improves por...
by Random Walker
Wed Nov 01, 2017 7:50 pm
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 3162

Re: Expanding on The Rewards Of Multiple Asset Class Investing

Sergio,
Perhaps that’s the difference between expected returns and actual returns?

Dave
by Random Walker
Wed Nov 01, 2017 6:52 pm
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 3162

Re: Expanding on The Rewards Of Multiple Asset Class Investing

Taylor, We almost agree. When one creates a portfolio of different assets, the expected return is the weighted average of the expected return of the individual assets. But because of the less than perfect correlations between portfolio components, the expected standard deviation of the portfolio is ...
by Random Walker
Wed Nov 01, 2017 3:35 pm
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 3162

Re: Expanding on The Rewards Of Multiple Asset Class Investing

I think this diagram is very useful. The issue is not the time period nor the asset classes. It is much more general than that. It is how less than perfectly correlated, weakly correlated, uncorrelated, negatively correlated components can mix in a portfolio. Returns and correlations will change ove...
by Random Walker
Wed Nov 01, 2017 2:02 pm
Forum: Investing - Theory, News & General
Topic: Expanding on The Rewards Of Multiple Asset Class Investing
Replies: 39
Views: 3162

Expanding on The Rewards Of Multiple Asset Class Investing

http://i66.tinypic.com/2nvgk8p.jpg This is one of my all time favorite diagrams from all of my investment reading. It’s from Gibson’s Asset Allocation: Balancing Financial Risk. The specific asset classes aren’t what’s significant. What’s significant is the increased likelihood of getting close to ...
by Random Walker
Wed Nov 01, 2017 12:36 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: When Popularity Kills
Replies: 14
Views: 1964

Re: Larry Swedroe: When Popularity Kills

Going back to the intuitive rationale for a game plan. It’s very hard to beat the Boglehead rationale of stay passive and keep costs very low!

Dave
by Random Walker
Wed Nov 01, 2017 12:28 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: When Popularity Kills
Replies: 14
Views: 1964

Re: Larry Swedroe: When Popularity Kills

I would certainly be interested in seeing the results of various portfolios as well. Unfortunately, I’m not sure I’m qualified to do it appropriately: accounting for rebalancing, reinvestment of dividends, or even obtaining the accurate data to put it together. To some extent, this sort of brings up...
by Random Walker
Wed Nov 01, 2017 9:52 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: When Popularity Kills
Replies: 14
Views: 1964

Larry Swedroe: When Popularity Kills

http://www.etf.com/sections/index-investor-corner/swedroe-when-popularity-kills?nopaging=1 Many on this forum appropriately wonder if strategies or drivers of returns discovered by academics can persist after made popular. In this article Larry Swedroe does indeed show that one popular strategy, Bol...
by Random Walker
Tue Oct 31, 2017 8:53 pm
Forum: Investing - Theory, News & General
Topic: Should I switch from a muni bond ladder to a bond fund?
Replies: 12
Views: 1906

Re: Should I switch from a muni bond ladder to a bond fund?

I believe One potential advantage of individual bonds is the ability to tax loss harvest at the individual bond level.

Dave
by Random Walker
Tue Oct 31, 2017 12:57 pm
Forum: Investing - Theory, News & General
Topic: Should I switch from a muni bond ladder to a bond fund?
Replies: 12
Views: 1906

Re: Should I switch from a muni bond ladder to a bond fund?

I think there are times when small odd lots of Muni bonds can be purchased at a good price. The big institutional guys don’t want to mess with such small numbers. Once again though, I’m too naive to recognize these situations, so I depend on fiduciary advisor to purchase the bonds.

Dave
by Random Walker
Tue Oct 31, 2017 12:55 am
Forum: Investing - Theory, News & General
Topic: Should I switch from a muni bond ladder to a bond fund?
Replies: 12
Views: 1906

Re: Should I switch from a muni bond ladder to a bond fund?

The only things I’ve read about purchasing individual municipal bonds is that an individual amateurs overwhelmingly shouldn’t do it. So much is opaque. There are lots of variables. For what it’s worth, I’m about 90% taxable accounts, and one of the reasons I signed up with a fiduciary advisor after ...
by Random Walker
Mon Oct 30, 2017 11:11 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Asset Type Matters With Factors
Replies: 1
Views: 697

Larry Swedroe: Asset Type Matters With Factors

http://www.etf.com/sections/index-investor-corner/swedroe-asset-type-matters-factors?nopaging=1 This is a very interesting article. Larry starts out discussing a new four Factor model, the Q Factor model, which uses market beta, size, investment, profitability. This model subsumes value in the Fama ...
by Random Walker
Sun Oct 29, 2017 7:30 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe Strong Recommendation Of New Book On College Financing/Student Debt
Replies: 0
Views: 338

Larry Swedroe Strong Recommendation Of New Book On College Financing/Student Debt

http://www.etf.com/sections/index-investor-corner/swedroe-how-manage-student-debt-101 This is a review written by Larry Swedroe of a new e-book on student debt and college financing. The book is written by John Wasik. Larry strongly recommends the book for anyone (parents and students) involved with...
by Random Walker
Sat Oct 28, 2017 10:22 am
Forum: Investing - Theory, News & General
Topic: Cancer and Asset Allocation
Replies: 8
Views: 1273

Re: Cancer and Asset Allocation

Simple sauce, I thing you are thinking clearly. I actually just had a scare myself and did this AA experiment for myself. She does not need to take risk for long term growth and does need/want to use liquid funds much sooner. Her reasonable annual withdrawal rate has increased very significantly. I ...
by Random Walker
Wed Oct 25, 2017 5:19 pm
Forum: Investing - Theory, News & General
Topic: Is a big basket of stocks really more "diversified" than a smaller basket?
Replies: 22
Views: 1798

Re: Is a big basket of stocks really more "diversified" than a smaller basket?

I do think the “S&P500 v. TSM” is relevant here. The way they track each other so closely reveals the nature of cap weighting. Cap weighting of TSM and S&P500 effectively makes both funds large cap growth. To get net exposure to the size and value factors, one needs to specifically target them. Dave
by Random Walker
Wed Oct 25, 2017 3:40 pm
Forum: Investing - Theory, News & General
Topic: Is a big basket of stocks really more "diversified" than a smaller basket?
Replies: 22
Views: 1798

Re: Is a big basket of stocks really more "diversified" than a smaller basket?

Aristotelian, We are talking increased portfolio efficiency. So Factor investing is all about risk: diversifying risks. One can reduce overall portfolio risk by tilting to small and value if they more than proportionately increase the high quality bond allocation. Diversification is about not puttin...
by Random Walker
Wed Oct 25, 2017 12:37 pm
Forum: Investing - Theory, News & General
Topic: Is a big basket of stocks really more "diversified" than a smaller basket?
Replies: 22
Views: 1798

Re: Is a big basket of stocks really more "diversified" than a smaller basket?

I also strongly recommend Roger Gibson’s Asset Allocation: Balancing Financial Risk. In this book he demonstrates the benefits of multi asset class investing. Although he only shows benefits with I think US large, Int, commodities, REITs, the thought process is easily extrapolated to any source of r...
by Random Walker
Wed Oct 25, 2017 11:10 am
Forum: Investing - Theory, News & General
Topic: Is a big basket of stocks really more "diversified" than a smaller basket?
Replies: 22
Views: 1798

Re: Is a big basket of stocks really more "diversified" than a smaller basket?

Aristtelian, One diversifies across factors to improve portfolio efficiency. That is achieved by diversifying across different types of risks beyond the single risk factor, market beta. That could potentially either increase expected return or decrease risk, whichever the investor prefers. For examp...
by Random Walker
Wed Oct 25, 2017 9:26 am
Forum: Investing - Theory, News & General
Topic: Is a big basket of stocks really more "diversified" than a smaller basket?
Replies: 22
Views: 1798

Re: Is a big basket of stocks really more "diversified" than a smaller basket?

by alex_686 » Wed Oct 25, 2017 7:14 am To extend this a bit it takes about 20 stocks to capture 80% of the return of the S&P 500. 40 stocks gets you 90%. The benefit of diversification falls as you add more stocks. It does not fall to zero. That is the rationale behind the belief that TSM is the op...
by Random Walker
Wed Oct 25, 2017 9:09 am
Forum: Investing - Theory, News & General
Topic: Is a big basket of stocks really more "diversified" than a smaller basket?
Replies: 22
Views: 1798

Re: Is a big basket of stocks really more "diversified" than a smaller basket?

I totally agree with the premise that more stocks does not mean more diversification. First of all, once one has enough stocks to effectively eliminate single stock risk (perhaps 500 or so) there’s not significant benefit to adding more stocks. Secondly, with market cap weighting, a fund is dominate...
by Random Walker
Wed Oct 25, 2017 8:07 am
Forum: Investing - Theory, News & General
Topic: Do Investors really underperform their investments
Replies: 45
Views: 4076

Re: Do Investors really underperform their investments

I don’t know whether investors on average underperform the funds they invest in. But I do believe that one potential advantage that us individual investors have is potential to stick to a plan with a long term view. We are not beholden to quarterly comparison to a board or an index.

Dave