Search found 1395 matches

by Theoretical
Tue Aug 28, 2018 8:27 am
Forum: Investing - Theory, News & General
Topic: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard
Replies: 5
Views: 749

Re: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard

In general, iShares is a wizard at tax efficiency, so those funds are all very efficient. WisdomTree: not so much State Street: Avoid for tax inefficient management Mid-Value. I’d stick with VOE and use IJJ (much more liquid than Vanguard’s IVOV) or FNDA as a Tax Loss Harvesting partner. Small Value...
by Theoretical
Mon Aug 27, 2018 7:46 pm
Forum: Investing - Theory, News & General
Topic: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard
Replies: 5
Views: 749

Re: Small and Midcap Value, Small Value Intl - Non-Vanguard ETFs from Vanguard

Mid cap Value: No change, Invesco Midcap Pure Value (.39%), or the Vanguard Value Factor ETF Small Value: No change, Invesco Russell 2000 Pure Value (.39%) - PXMV, Invesco S&P 600 Pure Value (.39%) - RZV. Schwab Fundamental Small Cap (FNDA - .25%) International Small: Schwab Fundamental Internationa...
by Theoretical
Mon Aug 27, 2018 8:34 am
Forum: Investing - Theory, News & General
Topic: Placing an ETF trade on the weekend
Replies: 17
Views: 1467

Re: Placing an ETF trade on the weekend

Wouldn’t the best way to do this be a market on close order, so that you’re buying with all the mutual funds do at the most liquid time of the day and at the same price?
by Theoretical
Fri Aug 24, 2018 6:17 am
Forum: Investing - Theory, News & General
Topic: Still astonished at how much securities lending covers some Vanguard fund costs
Replies: 17
Views: 1615

Re: Still astonished at how much securities lending covers some Vanguard fund costs

fennewaldaj wrote:
Fri Aug 24, 2018 1:12 am
Do many active funds utilize securities lending to help offset there ERs?
Most sure don’t, not even the hard quant or closet index funds that have stable holdings. It’s an even worse negative.
by Theoretical
Thu Aug 23, 2018 11:47 pm
Forum: Investing - Theory, News & General
Topic: Still astonished at how much securities lending covers some Vanguard fund costs
Replies: 17
Views: 1615

Re: Still astonished at how much securities lending covers some Vanguard fund costs

If you really want to have your mind blown, go look at EWX, EEMS, and IWC. Those suckers have ERs north of .5 and net to the low teens and sometimes even a negative ER.

iShares developed small cap SCZ effectively also runs a negative ER.
by Theoretical
Thu Aug 23, 2018 8:11 pm
Forum: Investing - Theory, News & General
Topic: Firstrade Moves To Free Online Trading
Replies: 7
Views: 669

Re: Firstrade Moves To Free Online Trading

My bet is that they plan to earn via the trading spreads and 12b-1 mutual fund fees.

I think trading goes up, maybe by a lot, by eliminating commissions altogether. That can more than make up in spreads.
by Theoretical
Wed Aug 22, 2018 8:20 pm
Forum: Investing - Theory, News & General
Topic: 60/40 vs 100% with Trailing Stop Loss
Replies: 36
Views: 2289

Re: 60/40 vs 100% with Trailing Stop Loss

The other thing with stop losses is you must get back in if it’s a component of the strategy, regardless of whether the trade looks appealing.
by Theoretical
Wed Aug 22, 2018 8:19 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to offer non-Vanguard ETFs commission-free
Replies: 238
Views: 22494

Re: Vanguard to offer non-Vanguard ETFs commission-free

If you have the tax advantaged space, 50/50 FNDE/DGS really evens out the country tilts and FNDE’s concentration.
by Theoretical
Wed Aug 22, 2018 8:07 pm
Forum: Investing - Theory, News & General
Topic: Anyone else own PDN in taxable? [Invesco FTSE RAFI Developed Markets ex-U.S. Small-Mid]
Replies: 6
Views: 488

Re: Anyone else own PDN in taxable?

Today was an unusually low day on the volume side for PDN (almost 4 times less than its 90 day average). Generally if I’m doing a TLH, I at least want it to be on a higher volume day even on a pretty liquid one so my shares don’t move the price. I also try to TLH as close to market close (generally ...
by Theoretical
Wed Aug 22, 2018 5:31 pm
Forum: Investing - Theory, News & General
Topic: Anyone else own PDN in taxable? [Invesco FTSE RAFI Developed Markets ex-U.S. Small-Mid]
Replies: 6
Views: 488

Re: Anyone else own PDN in taxable?

I have and you just have to be careful with it. If we were talking 10,000 shares worth, I sure wouldn’t use it for that. But 1-2k if you can be patient with the trades is not bad at all.
by Theoretical
Wed Aug 22, 2018 1:11 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to offer non-Vanguard ETFs commission-free
Replies: 238
Views: 22494

Re: @ walletless

what makes the IJS ETF a better small cap value fund? by the way, I found your wallet Deeper value loadings, smaller cap, and a well-constructed index that screens out the completely unprofitable companies. In addition, you have far more consistency in index choice and structure history than the VG...
by Theoretical
Tue Aug 21, 2018 8:59 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to offer non-Vanguard ETFs commission-free
Replies: 238
Views: 22494

Re: Vanguard to offer non-Vanguard ETFs commission-free

FNDE is quite a bit cheaper on the ER side (almost half and possible to go lower in the future) and it’s more suitable for a taxable account than the yield-heavy DGS.
by Theoretical
Tue Aug 21, 2018 8:54 pm
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 141
Views: 9120

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

They’re saying the latter.

For example, iShares IVV (S&P 500) has the same risk statement on page S-4 of the prospectus.

It’s fairly standard for even vanilla funds to include the sector risk warnings if any of the normal sectors in the fund could reasonably go above 25% weighting.
by Theoretical
Mon Aug 20, 2018 8:01 pm
Forum: Investing - Theory, News & General
Topic: Slash your retirement Risk
Replies: 10
Views: 2385

Re: Slash your retirement Risk

This looks like a long/flat equal sector trend following system. Stop-losses are at least as important to trend following systems as the averages or stats that are used.
by Theoretical
Mon Aug 20, 2018 7:44 am
Forum: Investing - Theory, News & General
Topic: 2 Q's to factor investors
Replies: 8
Views: 704

Re: 2 Q's to factor investors

For that you’re looking for a long-short factor fund, specifically of a market neutral type. The Vanguard market neutral fund includes value along with several other factors. AQR has one as well but it excludes the size factor, whereas VG mostly plays in the mid-small space. There’s no pure long sma...
by Theoretical
Sun Aug 19, 2018 6:43 pm
Forum: Investing - Theory, News & General
Topic: 2 Q's to factor investors
Replies: 8
Views: 704

Re: 2 Q's to factor investors

I use IJS (iShares S&P 600 Value) to access them Domestically. For foreign small value, I use a mix of PDN (Invesco RAFI FTSE 1500 Small-Mid), FNDC (Schwab Fundamental International Small Cap), and DLS (WIsdomTree International Small Cap Dividend). For Emerging Markets, I use mostly FNDE (Schwab Fun...
by Theoretical
Sun Aug 19, 2018 6:38 pm
Forum: Investing - Theory, News & General
Topic: According to BKM, value and small firms may do worse in economic downturn
Replies: 24
Views: 1232

Re: According to BKM, value and small firms may do worse in economic downturn

Small caps and value, esp. small value have a lot higher individual risks company to company. With the big guys, there's the risk of one of them being a large and influential part of the market and blowing up a la Enron, Merrill or the like due to an accounting scandal. It's not that the small/scv c...
by Theoretical
Sun Aug 19, 2018 2:02 pm
Forum: Investing - Theory, News & General
Topic: According to BKM, value and small firms may do worse in economic downturn
Replies: 24
Views: 1232

Re: According to BKM, value and small firms may do worse in economic downturn

Larry has mentioned that large growth can be a rational position for a more risk-averse investor, which is why most target date funds are blend or slightly growthy. Similarly, it’s why the Larry Portfolio type fund has a LOT of bonds to offset the greater risk in the equities. I read something to th...
by Theoretical
Fri Aug 17, 2018 12:21 am
Forum: Investing - Theory, News & General
Topic: Here's what has happened to value since FF 3-factor
Replies: 6
Views: 856

Re: Here's what has happened to value since FF 3-factor

That chart is slightly deceptive (though still relevant) in that it is missing the 2016-17 Value boom.
by Theoretical
Thu Aug 16, 2018 3:42 pm
Forum: Investing - Theory, News & General
Topic: Take your canes out in Emerging Markets
Replies: 33
Views: 5575

Re: Take your canes out in Emerging Markets

The valuations are reaching stupidly low levels again for EM value, but 1, I have large capital gains in them so I’m not going to sell and 2, I’m not going to catch a falling knife needlessly to buy more beyond the current auto 401k purchases The Economist "The contrarian case for emerging markets"...
by Theoretical
Thu Aug 16, 2018 12:10 pm
Forum: Investing - Theory, News & General
Topic: Workers on Corporate Boards - Principal-Agent Problem
Replies: 17
Views: 1313

Re: Workers on Corporate Boards - Principal-Agent Problem

Also, some of the worst financial scandals ever were caused by companies obsessed to an extreme degree with boosting their share price, size, and profits at all costs. There may be downsides to the dual mandate but that doesn’t mean the single mandate is risk free. Or look at performance bonuses bas...
by Theoretical
Wed Aug 15, 2018 5:35 pm
Forum: Investing - Theory, News & General
Topic: Take your canes out in Emerging Markets
Replies: 33
Views: 5575

Re: Take your canes out in Emerging Markets

The valuations are reaching stupidly low levels again for EM value, but 1, I have large capital gains in them so I’m not going to sell and 2, I’m not going to catch a falling knife needlessly to buy more beyond the current auto 401k purchases Where do you get your (current, I hope, updated daily/we...
by Theoretical
Wed Aug 15, 2018 4:17 pm
Forum: Investing - Theory, News & General
Topic: Take your canes out in Emerging Markets
Replies: 33
Views: 5575

Re: Take your canes out in Emerging Markets

The valuations are reaching stupidly low levels again for EM value, but 1, I have large capital gains in them so I’m not going to sell and 2, I’m not going to catch a falling knife needlessly to buy more beyond the current auto 401k purchases
by Theoretical
Wed Aug 15, 2018 1:52 pm
Forum: Investing - Theory, News & General
Topic: The Case for Multifactor Funds
Replies: 17
Views: 1287

Re: The Case for Multifactor Funds

Re: the AQR funds. So far it’s shown itself by producing some really serious negative alpha, especially when you add Quality and BAB to the mix. Interestingly, though we only have daily data, the new Vanguard mutifactor fund has extremely deep loads on value and a modest to moderate momentum but has...
by Theoretical
Tue Aug 14, 2018 8:20 pm
Forum: Investing - Theory, News & General
Topic: The Bigger Story: Fidelity Expense Ratios
Replies: 98
Views: 10593

Re: The Bigger Story: Fidelity Expense Ratios

Based on my portfolio and your table I would save about $250 on expenses alone by switching from VG to Fido. However there would be capital gains on the after tax piece that would swamp the savings. In addition I would have to get to know the Fidelity culture, which by the posts I see on this site ...
by Theoretical
Mon Aug 13, 2018 1:59 pm
Forum: Investing - Theory, News & General
Topic: "Don't Obsess About Expense Ratios"
Replies: 240
Views: 21529

Re: "Don't Obsess About Expense Ratios"

It is funny though how this discussion changes. Want to buys some SV fund with .1% ER? Why pay 2x as much as TSM? Want to buy some fund with a cheaper ER? ER doesn't matter. This. All the way. Fidelity has done investors a real service, especially dropping the minimums and ERs on a bunch of other f...
by Theoretical
Sat Aug 11, 2018 12:24 am
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 141
Views: 9120

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

From what I've read, treasury futures only require something like 3% margin, which for the 60% bonds means they've got a margin requirement of about 1.8% of total assets, meaning the fund is overcollateralized by over 5.5x before it hits a margin call. This is why it is so important that this fund i...
by Theoretical
Fri Aug 10, 2018 11:34 am
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 141
Views: 9120

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Something else to consider is that this is a very tax-efficient way to go for people or trusts in the top tax bracket, particularly trust beneficiaries. Their white papers explicitly talk about tax efficiency on deferring the capital gains on equities and taking advantage of futures rates on the bon...
by Theoretical
Fri Aug 10, 2018 12:51 am
Forum: Investing - Theory, News & General
Topic: Evaluating Munis beyond rating
Replies: 11
Views: 949

Re: Evaluating Munis beyond rating

1. State of issuance is huge. A Tennessee or Nebraska bond of the same rating and sector is usually going to be qualitatively superior to an Illinois or New Jersey one, and you’ll be able to tell by the difference in yield. 2. So is the sector. State GO bonds are safest historically, and so are road...
by Theoretical
Fri Aug 10, 2018 12:16 am
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 141
Views: 9120

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

So here's a comparison using live funds as follows: Fund 1 is the standard Vanguard S&P 500 Fund 2 is PIMCO's Stocks Plus Institutional Class fund. This fund combines S&P 500 futures with their active bond strategy. More importantly, it's been live since the early 1990s Fund 3 is 90% Vanguard S&P; 6...
by Theoretical
Wed Aug 08, 2018 9:14 pm
Forum: Investing - Theory, News & General
Topic: (NEW) WisdomTree 90/60 U.S. Balanced Fund
Replies: 141
Views: 9120

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

This is IMO a really solid approach to take and is not excessively risky, given treasury collateral that's about 5x higher than is typically required for a futures contract. PIMCO has done this for years with their witch's brew of bonds and their Stocks Plus Funds, though they've gone with futures/s...
by Theoretical
Wed Aug 08, 2018 11:36 am
Forum: Investing - Theory, News & General
Topic: If it were March, 2000, would you still allocate 50% to Stocks?
Replies: 94
Views: 4688

Re: If it were March, 2000, would you still allocate 50% to Stocks?

The real problem here with your thinking is that you’re viewing this as a black-white problem where you’re betting all 50% on one particular market and its current high price. Markets can always go higher when they’re expensive and can always go lower when they’re depressed and cheap. A diversified ...
by Theoretical
Wed Aug 08, 2018 10:54 am
Forum: Investing - Theory, News & General
Topic: Tail Risk Protection
Replies: 15
Views: 1331

Re: Tail Risk Protection

No, it’s not a good strategy any more because the risk of crashes/black swans is now priced into those out of the money puts, and they’re very expensive, on the order of 1.5-2%+. Worse still, you’re only rewarded for the risk if the actual volatility exceeds the priced in implied volatility. Even wi...
by Theoretical
Mon Aug 06, 2018 11:13 pm
Forum: Investing - Theory, News & General
Topic: "Don't Obsess About Expense Ratios"
Replies: 240
Views: 21529

Re: "Don't Obsess About Expense Ratios"

I’m actually more thrilled by the fact their treasury indexes are dirt cheap at 3 bps AND no minimum.
by Theoretical
Mon Aug 06, 2018 6:43 pm
Forum: Investing - Theory, News & General
Topic: "Don't Obsess About Expense Ratios"
Replies: 240
Views: 21529

Re: "Don't Obsess About Expense Ratios"

He's so right. I'm almost afraid that this zero expense ratio thing might be a bait and switch. I don’t think it’s bait and switch. The funds pAy for themselves with securities lending rather than a management fee. They are very upfront about this. The downside is that the fund is taking a small am...
by Theoretical
Mon Aug 06, 2018 6:03 pm
Forum: Investing - Theory, News & General
Topic: Treasury Bonds are the Only Bonds You Need
Replies: 188
Views: 19955

Re: Treasury Bonds are the Only Bonds You Need

. Different investors have very different needs. Agreed, different hopes, for different dopes. And compared to the market, I admit that I'm a dope No. 1. :wink: Well what I mean by that is that an insurance company buying for a nominal future liability does not care about the return and certainly d...
by Theoretical
Mon Aug 06, 2018 3:27 pm
Forum: Investing - Theory, News & General
Topic: Treasury Bonds are the Only Bonds You Need
Replies: 188
Views: 19955

Re: Treasury Bonds are the Only Bonds You Need

A market may be priced efficiently, but that doesn’t mean it’s a good investment for the risk that investor is undertaking. Different investors have very different needs.
by Theoretical
Mon Aug 06, 2018 2:01 pm
Forum: Investing - Theory, News & General
Topic: How do you think about your mortgage in relation to your stock/bond portfolio?
Replies: 32
Views: 2540

Re: How do you think about your mortgage in relation to your stock/bond portfolio?

I would treat it as a negative bond and convert my safety-bond/liquidity reserve holdings to cash to make the AA Long Equity -short Bonds + long Cash
by Theoretical
Mon Aug 06, 2018 8:52 am
Forum: Investing - Theory, News & General
Topic: Behavioral Finance paper on assessing risk
Replies: 6
Views: 661

Re: Behavioral Finance paper on assessing risk

The paper had a surprising conclusion that people are risk averse in relation to gains but risk seeking in relation to losses. I would expect the opposite. This is consistent with the kind of behavior trend followers observe and try to exploit. It’s the risk of being too early in contrarianism - “f...
by Theoretical
Mon Aug 06, 2018 7:52 am
Forum: Investing - Theory, News & General
Topic: Bloomberg commodities index still in contango
Replies: 87
Views: 7794

Re: Bloomberg commodities index still in contango

This one is the one you’re looking for. Index futures and active collateral. .29%

BCI
by Theoretical
Mon Aug 06, 2018 5:34 am
Forum: Investing - Theory, News & General
Topic: Bloomberg commodities index still in contango
Replies: 87
Views: 7794

Re: Bloomberg commodities index still in contango

Yes, because what it does to avoid being a commodity pool is (1) actively manage the collateral and (2) hold the commodities in question in a Cayman sub. The commodity part is pretty-strictly index.
by Theoretical
Mon Aug 06, 2018 4:38 am
Forum: Investing - Theory, News & General
Topic: Bloomberg commodities index still in contango
Replies: 87
Views: 7794

Re: Bloomberg commodities index still in contango

DBC is actively managed, they adjust for contango? http://www.etf.com/DBC not sure i trust the idea of active management. and the e.r. is 0.88% The better one is PDBC which is actively managed on the collateral and uses a wholly owned Cayman sub to make it a ‘40 Act fund with no K-1. It’s .59 now. ...
by Theoretical
Mon Aug 06, 2018 4:10 am
Forum: Investing - Theory, News & General
Topic: Using puts in portfolio
Replies: 4
Views: 609

Re: Using puts in portfolio

I would be much more likely to sell puts than to buy. Puts seem quite pricey to me and they've gotten more expensive recently as Theoretical mentioned. If your goal is tax efficient derisking and not market timing, you might be better off selling a futures contract. And you could obviously just sel...
by Theoretical
Sun Aug 05, 2018 11:13 pm
Forum: Investing - Theory, News & General
Topic: Using puts in portfolio
Replies: 4
Views: 609

Re: Using puts in portfolio

Pre-GFC, there was a gap in the implied volatility and the effects of tail risk-level volatility losses. This is part of Nassim Taleb’s great trading success. He’s since written that options are being priced to account for fat tails, so there’s a nasty volatility risk premium you have to pay now. Mo...
by Theoretical
Sun Aug 05, 2018 8:10 pm
Forum: Investing - Theory, News & General
Topic: WSJ - How Brokers Make More On Your Cash Than You Do.
Replies: 28
Views: 4116

Re: WSJ - How Brokers Make More On Your Cash Than You Do.

There's a fintech startup that is relevant to this space: Jiko would allow you to earn treasury yields on cash savings. I guess a brokerage which cared about its customers could buy it or make something similar to provide a full integrated platform for personal finance; not sure how much money it w...
by Theoretical
Sun Aug 05, 2018 2:20 pm
Forum: Personal Finance (Not Investing)
Topic: Dear BH, what are non-BH [financial] actions you do?
Replies: 71
Views: 4817

Re: Dear BH, what are non-BH actions you do?

1. A sizable static allocation investment in managed futures funds.
2. Managing duration on the bond/CD portion of the portfolio (using Larry's guidelines of 20 bps per additional year).
by Theoretical
Thu Aug 02, 2018 8:44 pm
Forum: Investing - Theory, News & General
Topic: Interactive Brokers Stock Lending Yield for ICSH and SHV
Replies: 8
Views: 617

Re: Interactive Brokers Stock Lending Yield for ICSH and SHV

Long t bills or Eurodollar LIBOR and short commercial paper? Bet on negative credit??
by Theoretical
Thu Aug 02, 2018 12:43 pm
Forum: Investing - Theory, News & General
Topic: Is schwab TSM index fund serving 2 masters?
Replies: 29
Views: 3221

Re: Is schwab TSM index fund serving 2 masters?

Ah yes, the oft repeated Vanguard fan boy mantra. Vanguard is a knight on a while horse while all the others are wolves in sheeps clothing ready to eat your lunch when you turn your back. The trend of Fidelity and Schwab for offering industry leading low cost funds along side full service offerings...
by Theoretical
Mon Jul 30, 2018 7:53 pm
Forum: Investing - Theory, News & General
Topic: Inflation indexing of capital gains
Replies: 7
Views: 777

Re: Inflation indexing of capital gains

3 questions:

1. How many holdings total?
2. What percentage of your total assets is each stock?
3. Are there any individual positions worth more than 2-3% of your total assets?