Search found 1252 matches

by Theoretical
Sun Dec 24, 2017 3:54 pm
Forum: Investing - Theory, News & General
Topic: What ever happened to the Larry portfolio?
Replies: 120
Views: 13358

Re: What ever happened to the Larry portfolio?

The main change to the Larry Portfolio for his circumstances is to replace some of the bonds with the alts like reinsurance/alt lending/managed futures/risk premia.

So it's probably now closer to a 30/15-20/50 portfolio.
by Theoretical
Wed Dec 20, 2017 9:37 am
Forum: Investing - Theory, News & General
Topic: AQR: The Illusion of Active Fixed Income Diversification
Replies: 4
Views: 866

Re: AQR: The Illusion of Active Fixed Income Diversification

I think you're on the right track, but one thing the article wasn't always the clearest on is that it's not investment grade corporates that the article says are providing the bulk of the outperformance, but rather a permanent, strategic tilt to junk or bond strategies or securities that perform lik...
by Theoretical
Wed Dec 20, 2017 2:10 am
Forum: Investing - Theory, News & General
Topic: AQR: The Illusion of Active Fixed Income Diversification
Replies: 4
Views: 866

AQR: The Illusion of Active Fixed Income Diversification

https://www.aqr.com/library/aqr-publications/alternative-thinking-4q-2017-the-illusion-of-active-fixed-income-diversification I saw this article earlier today, and thought it would be of interest. Feel free to ignore the last half of the conclusion paragraph that's their sales pitch for their own s...
by Theoretical
Wed Dec 20, 2017 1:22 am
Forum: Investing - Theory, News & General
Topic: Momentum: the unfortunate difference between theory and practice
Replies: 7
Views: 1591

Re: Momentum: the unfortunate difference between theory and practice

I'm so thankful that Research Affiliates is always around to "save" a factor from its demise. I really like their research, but man, they sure as hell like to self promote how smart and awesome they are. I think they have "saved" 4 factors in the last year... :oops: Yeah, I rather like their Fundam...
by Theoretical
Sun Dec 17, 2017 5:59 pm
Forum: Investing - Theory, News & General
Topic: Best 401k Employer Match Structure
Replies: 115
Views: 10313

Re: Best 401k Employer Match Structure

aarsmith54 wrote:
Sun Dec 17, 2017 1:20 pm
My company funds my 401k to the IRS maximum $55k without requiring any contributions from me. I am also fully vested immediately. This is in lieu of a higher salary (I make less than $100k).
Now that's a winner! Wow!
by Theoretical
Sun Dec 17, 2017 4:00 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 29201

Re: My Favorite Alternative Funds

Alternative Risk Premia Fund (QRPIX) - Invest long and short across four different asset groups: Stocks & Industries, Equity Indices, Fixed Income and Currencies based on six investment styles: Value, Momentum, Carry, Defensive, Trend and Volatility . Style Premia Alternative Fund (QSPIX) - Invest ...
by Theoretical
Sun Dec 17, 2017 11:05 am
Forum: Investing - Theory, News & General
Topic: Best 401k Employer Match Structure
Replies: 115
Views: 10313

Re: Best 401k Employer Match Structure

My company has a pricey 401k but a very generous policy:

100% of first 4 percent and 50% of the next 2% match, fully vested.
by Theoretical
Thu Dec 14, 2017 5:26 pm
Forum: Investing - Theory, News & General
Topic: How Much To Tilt To Small Value?
Replies: 227
Views: 35113

Re: How Much To Tilt To Small Value?

I'm bumping my own thread, but the following point of view isn't heard as much as it should be, so I thought that I should write this post. https://www.investingdaily.com/10884/buy-small-cap-stocks-before-they-grow-up Jeremy Grantham: "Value investing has always had a hidden but serious risk — the ...
by Theoretical
Sun Dec 10, 2017 9:09 pm
Forum: Investing - Theory, News & General
Topic: BAM List of "Preferred" Muni Issuers
Replies: 1
Views: 316

Re: BAM List of "Preferred" Muni Issuers

I know the following were definitely on the naughty list: Illinois Massachusetts Kentucky Maryland New Jersey Connecticut Puerto Rico Alaska Hawaii There are some others. It lined up pretty well with this study: https://www.mercatus.org/statefiscalrankings . The states that rock for fiscal health ar...
by Theoretical
Fri Dec 08, 2017 2:09 am
Forum: Investing - Theory, News & General
Topic: Call the top! - Bitcoin
Replies: 182
Views: 19520

Re: Call the top! - Bitcoin

$75,350
by Theoretical
Fri Dec 08, 2017 12:17 am
Forum: Investing - Theory, News & General
Topic: AQR/Asness - You Can Have Your Momentum Factor and Eat it Too
Replies: 21
Views: 2071

Re: AQR/Asness - You Can Have Your Momentum Factor and Eat it Too

QSPIX has higher loadings on all the juicy "drivers of return" (i.e. factors) except for size, yet over it's life has a 7.65% CAGR vs 15%-16% for the other funds which load on alpha. So if QSPIX is pure factor investing, what is explaining the returns? You're missing the factor loading it does NOT ...
by Theoretical
Thu Dec 07, 2017 3:32 pm
Forum: Investing - Theory, News & General
Topic: Unsolicited advice - 32 yo w/ 80% bonds, fixed income fund
Replies: 36
Views: 3492

Re: Unsolicited advice - 32 yo w/ 80% bonds, fixed income fund

20/80 is really extreme, but there could be a lot of reasons for that allocation: 1. Extreme career volatility or high risk of disability, especially if family medical history makes him uninsurable. 2. Serious family medical history (or need to save a large amount to care for aging parents) 3. Tryin...
by Theoretical
Thu Dec 07, 2017 11:00 am
Forum: Investing - Theory, News & General
Topic: When Bitcoin blows-up
Replies: 55
Views: 5052

Re: When Bitcoin blows-up

The biggest commonality here will be a liquidity crunch, so Japanese and American government bonds will be the best assets, based simply on th amount of debt out there. But the wrinkle here will be if Bitcoin gets significant amounts of real assets linked to it to cause an inflationary spiral when i...
by Theoretical
Thu Dec 07, 2017 8:37 am
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 198
Views: 29201

Re: My Favorite Alternative Funds

https://am.jpmorgan.com/us/en/asset-management/gim/adv/products/d/jpmorgan-managed-futures-strategy-etf-etf-shares-46641q829##Documents http://www.etf.com/sections/daily-etf-watch/jpmorgan-launching-managed-futures-etf Here's a really interesting new ETF. It's a managed futures AND Carry ETF with a...
by Theoretical
Wed Dec 06, 2017 1:27 am
Forum: Investing - Help with Personal Investments
Topic: Factoring in value as a strategy
Replies: 10
Views: 1128

Re: Factoring in value as a strategy

As a heavy tilter (all Value with lots of small), My personal opinion is that tilting to size, value, or other factors is something to do only when you don't have to ask if you should. That is intended as a seriously helpful remark and not as a put-down. The actual data once surveyed on this forum i...
by Theoretical
Tue Dec 05, 2017 2:52 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
Replies: 156
Views: 19033

Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?

As Grap tries to point out, it is a total disservice to discuss factor funds on the basis of "performance". e.g. with value, I *want* the one that has underperformed because HML is negative over the trailing 11 years. I agree with grap, fwiw, but I don't see my post as being in contradiction with t...
by Theoretical
Mon Dec 04, 2017 12:42 pm
Forum: Investing - Theory, News & General
Topic: Fama - Embrace passive management already
Replies: 16
Views: 2733

Re: Fama - Embrace passive management already

Please explain to me how DFA can do "patient trading" without doing any "timing." This is about being a provider of liquidity. If one is concerned about tracking error and slavishly following an index, trades can be forced into a market when liquidity is lacking, increasing market impact costs. Thi...
by Theoretical
Sat Dec 02, 2017 10:00 pm
Forum: Investing - Theory, News & General
Topic: Fama - Embrace passive management already
Replies: 16
Views: 2733

Re: Fama - Embrace passive management already

What he's talking about is saying factor X is expensive so we won't buy it (or as much) or saying Y is cheap so we'll buy it/more of it). It's the difference between a consistent factor load and the variable level load of a RAFI fund.
by Theoretical
Sat Dec 02, 2017 9:14 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Finding The Source Of Value
Replies: 19
Views: 2503

Re: Larry Swedroe: Finding The Source Of Value

With the Vanguard funds, it's a design flaw that causes this much blendiness because value-growth is a 50-50 split that's compounded by the extremely wide rebalance bands whereby 50% of a stock that was value but is now growth remains in the index awhile longer. So it means you've got about 75% of e...
by Theoretical
Fri Dec 01, 2017 11:50 pm
Forum: Investing - Theory, News & General
Topic: Funds creeping into non tax efficient accounts
Replies: 6
Views: 828

Re: Funds creeping into non tax efficient accounts

Ok so FSITX = Total Bond Index and FSTVX is Total Stock.

A few questions:

1. What tax bracket are you in? Does your state have an income tax?
2. How comfortable are you with municipal bonds or straight treasuries?
3. Are you comfortable with ETFs?
by Theoretical
Fri Dec 01, 2017 11:43 pm
Forum: Investing - Theory, News & General
Topic: Bonds Are Riskier Than People Think
Replies: 142
Views: 14898

Re: Bonds Are Riskier Than People Think

I think one distinction here is the difference between a bank CD (non-negotiable with a discretionary early withdrawal and penalty) vs a brokered CD (fully negotiable but instead of the penalty you get skewered by the bond spread - which can be your reward when buying odd lots in the secondary marke...
by Theoretical
Fri Dec 01, 2017 11:41 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Finding The Source Of Value
Replies: 19
Views: 2503

Re: Larry Swedroe: Finding The Source Of Value

It's always been a head-scratcher for me why the "go-go" growth stocks are actually less risky. Those ones aren't, but we're dealing in an era of a lot of extreme-high valued growth stocks that speculative. Yes, I count Amazon in this. Moderately growth stocks are extremely good and stable companie...
by Theoretical
Fri Dec 01, 2017 1:22 am
Forum: Investing - Theory, News & General
Topic: Ok reasons for a 37 year old to have a 60/40 mix?
Replies: 61
Views: 9752

Re: Ok reasons for a 37 year old to have a 60/40 mix?

1. Heavy value tilting (especially Small Value) is another good reason on the portfolio side. 2. Known likely high expenses beyond normal college/retirement - serious family medical history or having to chip in for elderly family. 3. Volatile personal situations (extended family drama). The list can...
by Theoretical
Tue Nov 28, 2017 3:51 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
Replies: 156
Views: 19033

Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?

From the prospecti: • Vanguard U.S. Liquidity Factor ETF invests primarily in U.S. common stocks with the potential to generate higher returns relative to the broad U.S. equity market by investing in stocks with lower measures of trading liquidity as determined by the advisor. The portfolio will inc...
by Theoretical
Tue Nov 28, 2017 2:21 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
Replies: 156
Views: 19033

Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?

Unfortunately, for us factor nerds investing in these funds will simply come down to factor exposure versus cost. IMO, it takes at least a couple of years before one can reliably identify the factor loadings of a new fund. Wake me up after three years of results. No doubt these funds won't be said ...
by Theoretical
Mon Nov 27, 2017 1:58 am
Forum: Investing - Theory, News & General
Topic: Have TIPS truly been tested yet?
Replies: 48
Views: 4989

Re: Have TIPS truly been tested yet?

Something to consider is from Bill Bernstein's Deep Risk, where he talks about German bund holders in the Weimar hyperinflation. Fiat nominal bonds got totally wiped out. The partially gold backed bonds something like a quarter of the value owed in the end. So not everything but a lot more than noth...
by Theoretical
Sat Nov 25, 2017 9:15 am
Forum: Investing - Theory, News & General
Topic: Vanguard Equivalents in new TDA commission free list
Replies: 11
Views: 1841

Re: Vanguard Equivalents in new TDA commission free list

Indeed, DLS is a pretty reliable fund, and it's basically tracked DFA's International Small Value fund from the former's inception.
by Theoretical
Thu Nov 23, 2017 8:21 pm
Forum: Investing - Theory, News & General
Topic: Thoughts on why 50/50 DXKLX / VTI seems to perform so well
Replies: 4
Views: 981

Re: Thoughts on why 50/50 DXKLX / VTI seems to perform so well

I think you'd get even better results using 2 and 5 year treasury futures at 3x and 2x leverage (simply don't fully collateralize), as a risk parity strategy, but it could sure punish you too.
by Theoretical
Thu Nov 23, 2017 1:09 pm
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 6172

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

Short answer: it's a follow up to a Board analysis of the Vanguard Quantitative Group: https://www.bogleheads.org/forum/viewtopic.php?t=206890 Investment factors considered: All stocks are ranked according to five characteristics: High quality - healthy balance sheets, steady cash flow Effective use...
by Theoretical
Wed Nov 22, 2017 12:16 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Equivalents in new TDA commission free list
Replies: 11
Views: 1841

Re: Vanguard Equivalents in new TDA commission free list

For replacing VSS, that would be correct, though you shouldn't hold either in taxable due to capital gains distributions. On the other hand, you shouldn't worry about the expense ratio directly, as both funds have such extensive securities lending revenues that they routinely run negative expense ra...
by Theoretical
Tue Nov 21, 2017 9:27 pm
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 6172

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

This is one of the advantages of the Vanguard Market Neutral fund. It's even more tax efficient than TSM or IJS. It's also levered far less and plays its QVM approach in the small caps.
by Theoretical
Tue Nov 21, 2017 8:50 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 6172

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

As a point of contrast, here's Vanguard's Market Neutral fund: Since Inception (10/31/2017) Pretax Return VMNFX 0.68 -0.59 -1.66 -4.11 1.06 1.43 3.28 0.78 1.39 2.73 Tax-adjusted Return * VMNFX 0.68 -0.59 -1.66 -4.11 0.90 1.37 3.23 0.41 1.02 2.15 % Rank in Category 22 73 74 84 69 36 13 57 64 — Tax Co...
by Theoretical
Sun Nov 19, 2017 10:25 pm
Forum: Investing - Theory, News & General
Topic: Is investing with Vanguard a tragedy of the commons?
Replies: 41
Views: 5435

Re: Is investing with Vanguard a tragedy of the commons?

It's mostly a concern because voting power is collectivized in a way distinct from owning shares of Coke or Nestle. As a fund shareholder, you have the right to vote for management, but the same groups of people are in charge of voting huge amounts of shares monolithically. For example, it'd be very...
by Theoretical
Sun Nov 19, 2017 7:16 pm
Forum: Investing - Theory, News & General
Topic: Is investing with Vanguard a tragedy of the commons?
Replies: 41
Views: 5435

Re: Is investing with Vanguard a tragedy of the commons?

My view: not inherently for custodial ownership, but I think it very much is a problem in regard to voting rights. What might be an interesting approach would be to emulate how electricity deregulation works. As in a company can own large blocks of companies as a custodian (same as owning the grid),...
by Theoretical
Sat Nov 18, 2017 10:01 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 6172

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

At Fidelity, many of them are available for a $2500 minimum in an IRA.
by Theoretical
Wed Nov 15, 2017 5:34 pm
Forum: Investing - Theory, News & General
Topic: Fellow TDA bogleheads [TDA dropping Vanguard ETFs from commission-free list]
Replies: 549
Views: 62990

Re: Fellow TDA bogleheads [TDA dropping Vanguard ETFs from commission-free list]

SLYV is noticeably less tax efficient than IJS or VIOV, mostly because it's distributed capital gains. The latter two are equal or even more efficient than TSM. Vanguard and Blackrock are kind of rock stars in tax efficiency for the ETFs and it seems a weakness/lack of emphasis for the State Street ...
by Theoretical
Wed Nov 15, 2017 2:09 pm
Forum: Investing - Theory, News & General
Topic: Fellow TDA bogleheads [TDA dropping Vanguard ETFs from commission-free list]
Replies: 549
Views: 62990

Re: Fellow TDA bogleheads [TDA dropping Vanguard ETFs from commission-free list]

Has any put together a comparable list of Vanguard Funds to the new commission free funds? Sorry if this has already been posted, but I read through a lot of post and didn't see it. I am in these funds and would rather just move to the comparable commission free fund then dealing with moving broker...
by Theoretical
Tue Nov 14, 2017 10:49 pm
Forum: Investing - Theory, News & General
Topic: Improving returns on total bond market without changing the risk profile
Replies: 8
Views: 1436

Re: Improving returns on total bond market without changing the risk profile

Well, there's a few areas for retail investors where you CAN get more yield with less risk (or at least different). High yield FDIC insured savings accounts vs. t-bills (less liquid in an extreme financial system panic, but 0 duration risk instead of minimal duration risk) Bank or Brokered CDs vs. S...
by Theoretical
Mon Nov 13, 2017 11:48 pm
Forum: Investing - Theory, News & General
Topic: Trust Asset Allocation, tax efficiency
Replies: 5
Views: 886

Re: Trust Asset Allocation, tax efficiency

Regarding Trust Asset Allocation: For tax efficiency (both year to year distributions and stepped up basis when wife passes), I am thinking that 1. bonds would go into the Exemption Trust (low appreciation, surviving wife receives distributions) 2. higher appreciating equity goes into Survivor's tru...
by Theoretical
Sat Aug 26, 2017 11:50 pm
Forum: Investing - Theory, News & General
Topic: Small-Cap Value has had higher returns than Total Stock Market, with lower risk
Replies: 49
Views: 5169

Re: Small-Cap Value has higher returns than Total Stock Market, with lower risk

As a massive tilter personally (all Value, most small value including internationally), I completely disagree with you re: downside. Also 1970-2016 gives you all theee massive Small Value boosts. At a given equity percentage, Small Value is between 1/3 and 1/2 again as volatile as standard stocks. T...
by Theoretical
Sat Aug 26, 2017 6:46 pm
Forum: Investing - Theory, News & General
Topic: Dumb, basic question about market-cap weighted funds?
Replies: 57
Views: 4943

Re: Dumb, basic question about market-cap weighted funds?

Let me throw in my 2 cents. I personally think to run a portfolio that actively seeks value situations (i.e., cheap assets) then one needs to put in a large initial sink of time to get up to speed . As a additional book I will throw out the CFA prep books. You should be able to find a cheap set on ...
by Theoretical
Sat Aug 26, 2017 6:06 pm
Forum: Investing - Theory, News & General
Topic: Review with Me - Larry Swedroe's new book
Replies: 160
Views: 9578

Re: Review with Me - Larry Swedroe's new book

Nedsaid, he does talk about what you're describing, but he uses "tracking error" and "tracking regret," while using underperformance to describe relative to its historical returns.
by Theoretical
Fri Aug 25, 2017 7:20 pm
Forum: Investing - Theory, News & General
Topic: Buying commercial real estate as investment
Replies: 7
Views: 1048

Re: Buying commercial real estate as investment

I think a major impediment is that no one disputes that real estate is an asset class for investment. It's very divergent from both stocks and bonds. The problem is that it's very hard to invest in none-to-minimally leveraged real estate that is diversified across the country. REIT funds give you di...
by Theoretical
Thu Aug 24, 2017 10:31 pm
Forum: Investing - Theory, News & General
Topic: Unrated municipal bonds
Replies: 25
Views: 3105

Re: Unrated municipal bonds

From what I've read, their municipal high-yield is run by the same group and already has a positive record of being one of the first to get out of the Puerto Rico debacle.
by Theoretical
Thu Aug 24, 2017 4:46 pm
Forum: Investing - Theory, News & General
Topic: Unrated municipal bonds
Replies: 25
Views: 3105

Re: Unrated municipal bonds

Posters here made significant money by investing in junk bond funds in January-Mar 2009 when spreads were very high. Bill Bernstein on Efficient Frontier wrote a paper suggesting this as a strategy years before (when spreads are high enough). I was, here, much more cautious-- and wrong. I still thi...
by Theoretical
Thu Aug 24, 2017 7:39 am
Forum: Investing - Theory, News & General
Topic: Japanese Bubble Burst 1989
Replies: 78
Views: 9017

Re: Japanese Bubble Burst 1989

Nedsaid's comment about China and Japan got me thinking. How similar are the Chinese government-invested megacorps to Japan's Zaibatsu oligopoly approach from the 1980s.
by Theoretical
Tue Aug 22, 2017 11:28 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: 7 Reasons Why Advisors Should Use Bond Ladders
Replies: 7
Views: 2447

Re: Larry Swedroe: 7 Reasons Why Advisors Should Use Bond Ladders

I think the Guggenheim BulletShares and iShares IBonds target maturity funds can play an interesting role if you want to DIY a ladder of corporates or munis.
by Theoretical
Sun Aug 20, 2017 5:56 pm
Forum: Investing - Theory, News & General
Topic: IVLU for international value exposure [iShares Edge MSCI Intl Value]
Replies: 14
Views: 2287

Re: IVLU for international value exposure [iShares Edge MSCI Intl Value]

Japan though is a bit different in that the Value-Growth difference is so stark in returns that it's almost like two different markets. There's also the issue of a value spread between the companies with absurd growthy ratios and moderate value ones. On the other hand IVLU tilts VERY large, which is...