Here is an "advisor only" vector fact sheet from last year. has a bit more details about portfolio composition than we see in the pubic downloads at DFA's website: http://www.slideshare.net/sweydert1/dfa ... 302013-pdf
But I also remember reading about HML methodology vs. recent relative midcap ( or was it blend/neutral stocks?) outperformance, showing lower exposures for several value funds, or something?
Search found 112 matches
- Sat Sep 20, 2014 5:59 pm
- Forum: Investing - Theory, News & General
- Topic: Why are DFA Core and Vector funds so light on value exposure
- Replies: 3
- Views: 926
- Sat Sep 20, 2014 3:45 pm
- Forum: Investing - Theory, News & General
- Topic: What evidence would prove the Boglehead mentality wrong?
- Replies: 212
- Views: 27663
Re: What evidence would prove the Boglehead mentality wrong?
HmLneurosphere wrote:I haven't read the whole thread, so forgive me if this has been answered. But can you show me which mechanical system has been shown to outperform the market?
- Fri Sep 19, 2014 5:52 pm
- Forum: Investing - Theory, News & General
- Topic: Premiums: Size, Value, Beta, Momentum
- Replies: 40
- Views: 4931
Re: Premiums: Size, Value, Beta, Momentum
golfvestor, say, are you on some kind of mission to have "beef" with people? Since reading your comment some weeks ago in Robert's EM 1900-2013 thread everytime I see your name I have to wonder "oh oh, what's up now again?".
- Fri Sep 19, 2014 9:49 am
- Forum: Investing - Theory, News & General
- Topic: A look at the large value premium
- Replies: 16
- Views: 3350
Re: A look at the large value premium
Here is another survey article (written by a free lunch seeking guy though) which also mentions the size dependency of BtM. Don't skip before you get to the green/gray diagram in the middle of the page. I think it's not about a "best" multiple, because value is vague. Just about avoiding to rely solely on BtM it seems, at least for anything above smallcaps: http://greenbackd.com/2012/04/30/which- ... ue-stocks/
Still maybe P/E or or Enterprise Yield or one of the other metrics will be the problematic ratio in the future. Who knows? So I'd agree to just throw in a bunch of metrics, at least 2-3 of them.
Still maybe P/E or or Enterprise Yield or one of the other metrics will be the problematic ratio in the future. Who knows? So I'd agree to just throw in a bunch of metrics, at least 2-3 of them.
- Thu Sep 18, 2014 6:13 pm
- Forum: Investing - Theory, News & General
- Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
- Replies: 33
- Views: 4740
Re: Bridgeway Omni SCV (BOTSX) vs PXSV
berntson wrote:This is one of the reasons I like the RAFI funds.
- Thu Sep 18, 2014 1:12 pm
- Forum: Investing - Theory, News & General
- Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
- Replies: 33
- Views: 4740
Re: Bridgeway Omni SCV (BOTSX) vs PXSV
sidenote #2 regarding HML that I got reminded of skimming through a paper in another thread: it's not industry adjusted. have a look at table 7 here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=213872 do you see the difference in volatility and t-stat for an industry-adjusted HML? On page 11 the authors state: Our quality, value, and size factors are formed across all industries, and our sorting variables are likely tobe correlated with industries: for example, utilities are always likely to end up in the value portfolio due to their high book-to-market ratio. Hence, each factor can be decomposed into positions across industries and positions within industries. Cohen and Polk (1995) suggest creating industry-specific breakpoints to e...
- Thu Sep 18, 2014 7:07 am
- Forum: Investing - Theory, News & General
- Topic: M*'s Samuel Lee on Dividend ETF and Factor Investing
- Replies: 5
- Views: 1775
Re: M*'s Samuel Lee on Dividend ETF and Factor Investing
Can anyone corroborate the "doesn't seem to exist in foreign markets" part? I thought there was a Fama paper or two finding that both size and value were persistent abroad. Take at look at tables 4, 6, 7 and especially table 9 (long-only portfolios): http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2179247 The study uses market cap deciles, by the way, as did the "institutionals on the small train" researchers from the Calpers thread. Which is more realistic for a long-only investor using popular value indexes by MSCI or the like (often 50/50 of mcap value/growth). With SMB there seems to be the general problem of SV vs. SG (SG as "dark hole"). But there also seems to be a difference between a long/short por...
- Wed Sep 17, 2014 7:21 pm
- Forum: Investing - Theory, News & General
- Topic: Financial Psychology - Mind Over Money
- Replies: 78
- Views: 7041
Re: Financial Psychology - Mind Over Money
The people over on the dark side of investing also have a blog category about it: http://www.alphaarchitect.com/category/ ... l-finance/pkcrafter wrote:Postingname wrote:But I don't remember seeing anything that I could specifically -- off the top of the bat -- apply to investing.
A lot of it applies to investing. Have you seen Behavioral Pitfalls in the Wiki?
- Wed Sep 17, 2014 5:54 pm
- Forum: Investing - Theory, News & General
- Topic: CalPERS Eliminates Hedge Fund Program
- Replies: 44
- Views: 5130
Re: CalPERS Eliminates Hedge Fund Program
Don't know where you get this idea from? Just some days ago I myself wondered about DFA's possible asset bloat problem in another thread. And them apparently pushing the higher sized(?) Targeted Value fund range as a result. Obviously too much money may become a problem for DFA too.Blue wrote:Why does the former pique your concern for distorted prices but not the latter?
- Wed Sep 17, 2014 10:51 am
- Forum: Investing - Theory, News & General
- Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
- Replies: 33
- Views: 4740
Re: Bridgeway Omni SCV (BOTSX) vs PXSV
As a sidenote: there are other arguments against the F/F factor construction methodology beside the single value metric thing, too. One is about the somewhat old P/B data used in HML's construction, which also interferes with momentum a bit. "The Devil in HML’s Details": http://www.bfjlaward.com/pdf/25907/49-68_Asness_JPM_0716.pdf A summary: http://www.alphaarchitect.com/blog/2012/05/23/calculating-value-portfolios-why-details-matter/ Frazzini provides us with an adjusted "HML devil" version in his data library, even for several countries and regions: http://www.econ.yale.edu/~af227/data_library.htm Another is about the general "feature" of SMB and HML to show negative or positive alpha on regular indexes: &quo...
- Wed Sep 17, 2014 4:07 am
- Forum: Investing - Theory, News & General
- Topic: Randomly-weighted stock portfolios beat the index
- Replies: 28
- Views: 3769
Re: Randomly-weighted stock portfolios beat the index
It is worth noting that U.S. EW portfolios showed a surprisingly high 4 factor alpha during the 2000s. In the decades before this did not happen. Our study here looks at the years 1998-2012. see http://www.rallc.com/Production%20conte ... tegies.pdf for example. The table on page 51 with results for different time periods.berntson wrote:It's unclear to me how statistically significant their results are, especially given that they use a short fifteen-year period of US data.
- Wed Sep 17, 2014 2:54 am
- Forum: Investing - Theory, News & General
- Topic: CalPERS Eliminates Hedge Fund Program
- Replies: 44
- Views: 5130
Re: CalPERS Eliminates Hedge Fund Program
Actually, institutions have been moving heavily into the 9th and 10th deciles (microcap). Check out the article above. They use equal market cap deciles. Not equal number of stocks deciles. Which is the whole point of their study, see abstract and footnote 1. The lowest 10-20% of market cap are just the regular smallcap space for MSCI, S&P and other index providers. The authors do not claim that institutional investors target the smallest 1-2% (or so) of the market, which is what MSCI calls "microcap" for example. A large institution like Calpers cannot put, say, 10% of their portfolio of ~300 bn into microcaps or even SV without distorting prices. Thus their exposure to really small stocks will not have much of an impact on ...
- Tue Sep 16, 2014 8:29 pm
- Forum: Investing - Theory, News & General
- Topic: Bridgeway Omni SCV (BOTSX) vs PXSV
- Replies: 33
- Views: 4740
Re: Bridgeway Omni SCV (BOTSX) vs PXSV
For DIY analysis you have the problem to get free (or cheap) data at all. :( Both Kenneth French and Andrea Frazzini only provide HML (B/P) returns. One may construct a selfmade factor by using index data from, say, S&P, MSCI or nowadays CRSP (U.S.). returns of value index minus growth index or such, maybe separate calculations for large and small caps. Professional investors with commercial equity models like the one from MSCI Barra can at least utilize P/B, P/E yield and dividend yield, as far as I know. (If you want to use dividends as value metric is another question). Maybe someone with experience in/with such groups can tell us if they do so? In the popular/often discussed studies with factor regressions, HML (P/B) still seems to ...
- Tue Sep 16, 2014 1:05 pm
- Forum: Investing - Theory, News & General
- Topic: Let me get this straight about SCV & factor diversification
- Replies: 161
- Views: 38835
Re: Let me get this straight about SCV & factor diversificat
I am a complete novice on this, and simply copied the R script from a tutorial on http://www.CalculatingInvestor.com (very cool site, which I'm now digging through), and did slight modifications as necessary. I am in a somewhat similar situation, just started some weeks earlier. :D Main reason was that Excel is a pain in the a** for using timeseries and doing more advanced analysis. e.g. I wanted to see a plot of various ratios for rolling investment periods of 25 years each. Or other features the PV site now is able to do, but with slight variations for me. Maybe we should start a new thread about doing the "Robert T stuff" :wink: in R, not Excel? with links and such with helpfull code snippets, ... There are loads of blogs and ...
- Tue Sep 16, 2014 4:33 am
- Forum: Investing - Theory, News & General
- Topic: Good article on style premium investing & AQR new fund
- Replies: 86
- Views: 12779
Re: Good article on style premium investing & AQR new fund
Larry, out of interest: does AQR provide (public or advisor-only) data/reports about what exactly they are doing in the fund and their tracking ability? For stocks we have French's and Frazzini's free data libraries. For CCFs indexes and gold there are sources too. bonds are a bit more problematic if you want more than yearly data from factsheets or returns taken from actual fund returns which may only be availabe for recent years and popular markets. But how do you meassure if such a multi premia+multi asset class fund does what he is supposed to do?
- Mon Sep 15, 2014 7:09 pm
- Forum: Investing - Theory, News & General
- Topic: Let me get this straight about SCV & factor diversification
- Replies: 161
- Views: 38835
Re: Let me get this straight about SCV & factor diversificat
First output looks like R, right? I have not yet much clue about it. Here is what I did to replicate the VIVAX results, but with daily log (ln) returns. PV uses monthly returns I think. Don't know about PV and simple/log. I have learned to transform simple stock returns to log returns for statistical analysis, just in case: more normally distributed then. Comments about this? library(Quandl) library(quantmod) ff <- Quandl("KFRENCH/FACTORS_D", type="xts") / 100 getSymbols("VISVX", from="1970-01-01") fund <- diff(log(Ad(VISVX)))[-1] ff <- log(ff + 1) fund <- fund - ff[,4] # column 4 is RF returns <- na.omit(cbind(fund,ff[,-4]))["2001-07::2014-07"] summary(lm(returns[,1] ~ returns[,-1])) Did I ...
- Mon Sep 15, 2014 1:05 pm
- Forum: Investing - Theory, News & General
- Topic: Due diligence on RAFI Pure Small Value
- Replies: 189
- Views: 28678
Re: Due diligence on RAFI Pure Small Value
The book is called exactly that: The Fundamental Index
- Mon Sep 15, 2014 5:55 am
- Forum: Investing - Theory, News & General
- Topic: Share your Hot-Rod Portfolio
- Replies: 55
- Views: 7519
Re: Share your Hot-Rod Portfolio
The Concentrated Country Craze:
labour income: 100% U.S.
stocks: 100% U.S. (TSM)
bonds: 100% U.S. (TBM)
SS: 100% U.S. (Gov)
pensions/annuities: 100% U.S.
real estate: 100% U.S. (TIAA-CREF/REITS/one's home)
"It’s a bold strategy, Cotton. Let’s see if it pays off for him."
labour income: 100% U.S.
stocks: 100% U.S. (TSM)
bonds: 100% U.S. (TBM)
SS: 100% U.S. (Gov)
pensions/annuities: 100% U.S.
real estate: 100% U.S. (TIAA-CREF/REITS/one's home)
"It’s a bold strategy, Cotton. Let’s see if it pays off for him."
- Sun Sep 14, 2014 10:15 am
- Forum: Investing - Theory, News & General
- Topic: Could you sleep with all your money in Berkshire Hathaway?
- Replies: 66
- Views: 11248
Re: Could you sleep with all your money in Berkshire Hathawa
The problem I'd see with BRK as one's only stock holding is not about "regular" returns or underperformance. BRK will likely continue to be some kind of largecap lowbeta/value/quality mix with a bit of inbuilt leverage. Which should at least get you results comparable to the market in the long run. After all, buying good, large companies for low prices will never end in a dotcom scenario. As worst case you may not find bargains anymore in the future, but even then we are not talking about a super high fee fund here. That said, any stock can go bankrupt or be subject to fraud or similar things, even if the probability is not high for BRK. In other words: there would be a small but catastrophic tail risk.
- Sun Sep 14, 2014 4:58 am
- Forum: Investing - Theory, News & General
- Topic: An Interesting Correlation
- Replies: 22
- Views: 3797
Re: An Interesting Correlation
Probem is that gold has only worked as inflation hedge in the VERY long run - think centuries, not 1, 5 or even 20 years. see http://papers.ssrn.com/sol3/papers.cfm? ... id=2078535 for example. the authors (Erb, Harvey) have done well known CCF research too, so no bias I think.nedsaid wrote:If you substitute Gold for commodities in a portfolio and balance the Long Term Treasuries with cash, you have the Harry Browne Permanent Portfolio.
- Sat Sep 13, 2014 2:43 pm
- Forum: Investing - Theory, News & General
- Topic: Let me get this straight about SCV & factor diversification
- Replies: 161
- Views: 38835
Re: Let me get this straight about SCV & factor diversificat
Here is a good summary of the two approaches. holdings based vs. return based analysis: http://corporate.morningstar.com/au/doc ... tsheet.pdf
I also found the two longer studies mentioned at the end of the PDF above:
1) http://corporate.morningstar.com/dk/doc ... els_PK.pdf With lots of pictures/diagrams at the end, after the text. It's even written by the guy himself who invented all this style box stuff for M* (Kaplan)
2) http://corporate.morningstar.com/dk/doc ... MGJRJC.pdf
I also found the two longer studies mentioned at the end of the PDF above:
1) http://corporate.morningstar.com/dk/doc ... els_PK.pdf With lots of pictures/diagrams at the end, after the text. It's even written by the guy himself who invented all this style box stuff for M* (Kaplan)
2) http://corporate.morningstar.com/dk/doc ... MGJRJC.pdf
- Sat Sep 13, 2014 2:39 pm
- Forum: Investing - Theory, News & General
- Topic: Let me get this straight about SCV & factor diversification
- Replies: 161
- Views: 38835
Re: Let me get this straight about SCV & factor diversificat
Kevin, this whole ex post regression thing is not that reliable. Look at the 95% confidence intervals the PV site gives you when clicking detailed stats. Usually you better better results with a so called holdings based analysis. Morningstar does this for their style boxes, for example. Our problem is: we don't have the data (because $$$). Don't read to much into small regression differences. Too much "noise" all around.
- Sat Sep 13, 2014 1:43 pm
- Forum: Investing - Theory, News & General
- Topic: Why is REIT only sector fund recommended in slice & dice?
- Replies: 113
- Views: 12753
Re: Why is REIT only sector fund recommended in slice & dice
It's mostly about methodology. But with GOOD news for long-only investors, surprisingly! see http://www.alphaarchitect.com/blog/2014 ... ect-exist/ for example.Valuethinker wrote:Since Rolf Banz came up with the SC effect, a lot of research has gone into it. It turns out that much of the effect is illusory: data on stocks that hardly traded, so an investor in any size could not have made those returns. This is particularly true of pre 1950 analysis.
- Sat Sep 13, 2014 7:02 am
- Forum: Investing - Theory, News & General
- Topic: The dangerous practice of rebalancing...
- Replies: 191
- Views: 21953
Re: The dangerous practice of rebalancing...
Possible confusion between owning index funds and owning an array of individual stocks. The paper is about risky, volatile investments in general. It doesn't really matter what investment vehicle you choose or if we are talking about stocks or a TSM fund or other asset classes. This due to one part of the paper talking about a stock becoming "worthless". Yes, individual companies can go bust and their stock become worthless. But when was the last time the S&P500 (an index fund owning those companies) became worthless? Does "never" ring a familiar bell? Wizard, risk is risk. Just because sometimes it is very small and didn't happen in the U.S. in the last two centuries doesn't mean the risk is not there. In other cou...
- Fri Sep 12, 2014 6:48 pm
- Forum: Investing - Theory, News & General
- Topic: The dangerous practice of rebalancing...
- Replies: 191
- Views: 21953
Re: The dangerous practice of rebalancing...
Rebalancing to a "Constant Mix" (CM) is a so called concave strategy, whereas "CPPI" for example is a convex one. The term convex/concave relate to the form of payoff diagrams. Both require action (buy/sell) as opposed to buy & hold and doing nothing (a linear payoff). Both strategies deviate from the market portfolio and thus may work out or not, depending of what other investors are doing. The less people follow it the better the outcome and vice versa. If too much money tries to follow CM rebalancing, the return will get worse and worse. In other words: if not just a handful of LifeStrategy funds and balanced funds impements CM rebalancing, but also all the other large institutional investors, they will run into p...
- Fri Sep 12, 2014 1:48 pm
- Forum: Investing - Theory, News & General
- Topic: Let me get this straight about SCV & factor diversification
- Replies: 161
- Views: 38835
Re: Let me get this straight about SCV & factor diversificat
lee, F/F have always used 5x5 "buckets" (or even 10x10) in their studies, not just published the aggregated single values of HmL and SmB. I think it has not been a secret that there are differences between the quintiles/deciles and it is a good idea to look at the details. If John Doe sales rep knows about this is another question, of course.That isn't exactly what Fama-French implied, was it? When did we learn this, and how well did investing like that work after we learned it?
- Fri Sep 12, 2014 12:54 pm
- Forum: Investing - Theory, News & General
- Topic: Should I care about large cap value?
- Replies: 17
- Views: 2732
Re: Should I care about large cap value?
The data in the Simba spreadsheet probably is the F/F LV portfolio from the 3x2 file, which is long-only too. Otherwise it would make no sense to call it LV.Browser wrote:It might be worth pointing out that the 1972-1976 period of outperformance of LCV (data from Simba) is based on the Fama-French research data, which is the return of the cheapest third of stocks sorted by price/book minus the most expensive third (High minus Low, or HmL).
An advantage of LV is long term investability. There can be more money put into LV than tiny SV and funds can be run cheaper (liquidity, transaction costs).
- Fri Sep 12, 2014 12:39 pm
- Forum: Investing - Theory, News & General
- Topic: Let me get this straight about SCV & factor diversification
- Replies: 161
- Views: 38835
Re: Let me get this straight about SCV & factor diversificat
Browser, maybe you would like to take a second look at your analysis? And as a follow-up, using PV I looked at the factor loadings of Vanguard's LCV fund (VIVAX) vs. TSM and found that VIVAX loads 0.31 on value, while TSM loads 0.02, for the period 1993-2013 (longest available for VIVAX). Yet the returns of VIVAX and TSM were virtually the same over this 21 years (CAGR=9.3% for both, with same Sharpe). If you use a three factor regression at the PV site ( here ), you see two things: Vanguard LV holds bigger companies (SMB -0.16 vs. 0.00 for Vanguard TSM) and shows an alpha difference to the TSM fund of 0.75 per year (0.90 vs. 0.25). If you switch to a four factor regression you see the reason for this behaviour: Momentum of -0.08 (LV) vs. -...
- Thu Sep 11, 2014 4:22 pm
- Forum: Investing - Theory, News & General
- Topic: Buffett: Modern investment theory is horse-pucky
- Replies: 119
- Views: 15283
Re: Buffett: Modern investment theory is horse-pucky
Don't know why this author's quote is seen as special? He just says that what is often marketed as "uncorrelated return" (e.g. HF, PE) usually has a hidden beta to some (risk) factor, be it inflation/growth/whatever (macro models) or the ones in micro/fundamental model (market, value, size, liquidity, ...). All this showed up in 2008. This is common knowledge I think?
- Thu Sep 11, 2014 2:30 pm
- Forum: Investing - Theory, News & General
- Topic: What tools are you using to compare ETFs?
- Replies: 3
- Views: 953
Re: What tools are you using to compare ETFs?
etf.com
portfoliovisualizer.com
portfoliovisualizer.com
- Thu Sep 11, 2014 12:33 pm
- Forum: Investing - Theory, News & General
- Topic: Buffett: Modern investment theory is horse-pucky
- Replies: 119
- Views: 15283
Re: Buffett: Modern investment theory is horse-pucky
What baffles me is that Fama also likes to define himself as an "empirical researcher". Which is true, he has done lot's of empirical studies and even invented some testing methodology like the Fama/McBeth procedure. But when it comes to draw conclusions from this empirical work, there is always this huge theory based elephant in the room, called risk story.baw703916 wrote:Fama was absolutely adamant that it was absolutely 100% "I guarantee it!" risk based.
- Thu Sep 11, 2014 11:33 am
- Forum: Investing - Theory, News & General
- Topic: Buffett: Modern investment theory is horse-pucky
- Replies: 119
- Views: 15283
Re: Buffett: Modern investment theory is horse-pucky
There is a piece about this question in the current CFA mag: http://www.cfapubs.org/doi/pdf/10.2469/cfm.v25.n5.5 (start lower half of page)
- Tue Sep 09, 2014 12:05 pm
- Forum: Investing - Theory, News & General
- Topic: If no access to DFA, Small Value worth it?
- Replies: 30
- Views: 5820
Re: If no access to DFA, Small Value worth it?
If I remember Larry correctly, DFA's AuM have increased by a good amount and now they try to push their so called "Targeted Value" funds, which are more of a midcap-smallcap value mix, I think. So asset bloat is may be a problem for DFA, at least going forward.
- Tue Sep 09, 2014 11:12 am
- Forum: Investing - Theory, News & General
- Topic: John Hussman, smart guy, should you listen to his forecasts
- Replies: 76
- Views: 13256
Re: John Hussman, smart guy, should you listen to his foreca
Has not outperformed what? BRK is up fourfold versus the S&P500 over the past 15 years. a systematic multifactor model, I'd assume. keep in mind that those models are not a new invention but go back to the 1970s with guys like Stephen Ross (APT model), Robert Merton (ICAPM), Barr Rosenberg (BARRA consulting, now part of MSCI and Rosenberg Investments, now AXA Rosenberg) and others. They improved the more or less failed single factor CAPM from the 1960s, be it with macroeconomic factors or microeconomic ones as proxy for macro influences (mainly Rosenberg). Much of what had been considered skill (alpha) before turned into plain factor exposure. In fact, the famous Fama/French model is a huge step back compared to Rosenberg's practitione...
- Tue Sep 09, 2014 7:14 am
- Forum: Investing - Theory, News & General
- Topic: Less than 30% of active fund managers beat their benchmarks
- Replies: 18
- Views: 1720
Re: Less than 30% of active fund managers beat their benchma
I find it more interesting to compare manager funds to actual investable alternatives: real index funds, not just models. See http://www.alphaarchitect.com/blog/2014 ... ve-debate/ for example. Despite the site's name (Alpha Architect, no less) they provide nice summaries of academic studies or serious backtests in their blog. So if you know what I mean with the quote "here is a summary of their findings", you may like this blog, too.
- Tue Sep 09, 2014 5:05 am
- Forum: Investing - Theory, News & General
- Topic: Are there any real total bond funds?
- Replies: 65
- Views: 5147
Re: Are there any real total bond funds?
There is a Multiverse Index (with fact sheet) though. Global Agg. + Global HY, but excluding inflation linked bonds. And there are no products to buy it USD-hedged for, say, 0.15% ER anyway.
- Sat Sep 06, 2014 7:10 am
- Forum: Investing - Theory, News & General
- Topic: Are there any real total bond funds?
- Replies: 65
- Views: 5147
Re: Are there any real total bond funds?
Because there isn't any single unified bond exchange, choices of what counts as part of "the bond market" are somewhat arbitrary, but high yield bonds are a fundamentally different asset class from investment-grade bonds. " There is a clear difference between AAA Gov (zero defaults so far ) and everything else including AAA corporate. You can see that when looking at tables of ratings mapped to defaults (and recoveries) provided by the rating agencies. sometimes they include lorenz curves, too. credit risk is not linear, but there is no further "fundamental difference". And yes, of course, if something is labeled "total bond market" I expect HY, TIPS and Munis in it! It's not sold as Vanguard Barclays Agg...
- Sat Sep 06, 2014 3:53 am
- Forum: Investing - Theory, News & General
- Topic: How is tilting any different that active value investing
- Replies: 55
- Views: 4565
Re: How is tilting any different that active value investing
packer, I did not say the difference between systematic and idiosyncratic is the one between active or passive. quite the opposite, I gave some examples of clearly free-lunch-chasing value investors who runs some screens and call it a day. yes, indeed, many people claiming to do fundamental stock analysis just end up with systematic factors. i.e. they are not needed (the fund managers). Everything not the full market portfolio is just on a continuum of active anyway. did you not read my very first post? but active (deviation) is not a bad thing, it depends why you thing you should deviate from the market (e.g. less risk, more risk, free lunch, hedging something, ...) and how sure you can be your optionion is correct. in the bond market load...
- Fri Sep 05, 2014 6:01 pm
- Forum: Investing - Theory, News & General
- Topic: How is tilting any different that active value investing
- Replies: 55
- Views: 4565
Re: How is tilting any different that active value investing
the only real difference I see is the one between systematic factors/screens and company specific/idiosyncratic ones. factors are about the former, 1930s Graham not so much. he still was about number crunching and empirical analysis, not about storytelling though! but since systematic factors like "value" or "quality/profitability" mirror the "oldschool" idiosyncratic ideas (buying good companies for cheap, ...) you can or cannot extend "Graham" to the systematic/diversification level. think of Grahams 1970s interview about "buying groups of stocks based on characteristics" or books like WWOW, the Quantitative Value book, Magic Formula book and so on. or think of the Frazzini/Pedersen study ...
- Fri Sep 05, 2014 1:44 pm
- Forum: Investing - Theory, News & General
- Topic: How is tilting any different that active value investing
- Replies: 55
- Views: 4565
Re: How is tilting any different that active value investing
packer, you are correct that anything that is not the market portfolio (i.e. "passive") can be written as the market portfolio + a deviation, a long/short factor (i.e. "active"). a stockpicker portfolio after doing anlysis by hand, DIY quantitative "value indexing" as the late B. Graham described it. A DFA, RAFI or Vanguard Value fund and so on. cost and effort needed will vary on circumstances (how much $$$, fund costs, your investment knowledge, ...). however, there are still different reasons why one may do so: free lunch (Graham/Mr. Market), more risk in general (because safe job and pension, ...), more risk and maybe a free lunch in stocks/less risk somewhere else (Larry). Or just a specific individual inv...
- Fri Sep 05, 2014 9:48 am
- Forum: Investing - Theory, News & General
- Topic: how do I find out PE10 of foreign stock markets?
- Replies: 88
- Views: 25592
Re: how do I find out PE10 of foreign stock markets?
4. I see the point of smoothing, but why PE10 and not PE7 or PE25? It doesn't really matter, it's all gradual anyway. You can throw in CAPE X, Tobin Q, mcap/gdp and several other measures and the composite will probably give you a more robust result. see http://gestaltu.com/2014/01/valuation-based-equity-market-forecast-q3-2013-update.html for example. the guys over there come to a very optimistic conclusion though. see http://www.alphaarchitect.com/blog/2014/08/22/tactical-asset-allocation-during-cheap-markets/ on the other hand for timing problems. Don't read to much into exact numbers - it's all just educated guessing. I'd say you can derive blurry(!) expectations for the next 10-20 and maybe identify once-in-a-lifetime highs (e.g. 1929...
- Thu Sep 04, 2014 3:40 pm
- Forum: Investing - Theory, News & General
- Topic: How much MOM to add to SCV in Larry portfolio?
- Replies: 8
- Views: 4161
Re: How much MOM to add to SCV in Larry portfolio?
Just a sidenote: -0.61 for size (MTUM) cannot be true. Even Vanguard Megacap oder a DJIA ETF only is at -0.25 or so. 12 month of monthly data is too short for stats. I would not trust the MTUM numbers.
- Tue Sep 02, 2014 6:28 pm
- Forum: Investing - Theory, News & General
- Topic: John Hussman, smart guy, should you listen to his forecasts
- Replies: 76
- Views: 13256
Re: John Hussman, smart guy, should you listen to his foreca
GMO has proven able to tactically allocate according to their views. e.g. GMO Benchmark Free Allocation fund vs. Lifestrategy Moderate: I am not so sure about that, countmein. Here I've put the fund into the PV site with global dev factors (higher R^2 than U.S. alone). As expected we see some exposure to value (HML), quality (QMJ) and low beta stocks (BAB, stand-alone because the unified market=beta factor doesn't work out). you will find some combination of these three showing up in everything labed "dividend investing" or "value investing" or "GARP" or such, often with some duration risk (for stocks!). okay, look at the alpha: 3.45%/year with a very low p-value. good guy Grantham, right? Not so fast. Here is...
- Sat Aug 30, 2014 9:57 am
- Forum: Investing - Theory, News & General
- Topic: Does anyone have 'Lazy Portfolios'?
- Replies: 102
- Views: 14326
Re: Does anyone have 'Lazy Portfolios'?
nobsinvestor, something like U.S. TSM + Int. TSM + U.S. TBM is a slice & dice portfolio, too. Especially when Int. TSM is not on par with US. TSM. But also regarding non-US bonds, inflation linked bonds, HY and so on. As any other tilt it can be written as the global capital market portfolio** + a deviation from that (= a long/short factor). and as it is with any other tilt there can be rational or irrational, good or bad, risk or free lunch based reasons to do so. Also, such a portfolio is not about "academic evidence" per se, just about low costs and simplicity.
** see http://papers.ssrn.com/sol3/papers.cfm? ... id=2352932
** see http://papers.ssrn.com/sol3/papers.cfm? ... id=2352932
- Fri Aug 29, 2014 7:27 am
- Forum: Investing - Theory, News & General
- Topic: Swedroe Value Metrics
- Replies: 9
- Views: 1420
Re: Swedroe Value Metrics
Thanks Larry. Still looks like a pretty big difference compared to the one between B/P and CF/P. Some is expected of course, given the low profitability/quality exposure of B/P only portfolios. I mean, if it is so obvious, why did DFA (for example) rely on just B/P for so long?
- Fri Aug 29, 2014 5:03 am
- Forum: Investing - Theory, News & General
- Topic: Swedroe Value Metrics
- Replies: 9
- Views: 1420
Re: Swedroe Value Metrics
I have not done any calculations, but I can not really believe Larry's numbers: U.S. stocks 1952-2013, "average annual returns" of 4.43 (B/P), but 7.33 for E/P? Isn't this way too much of a difference?
- Thu Aug 28, 2014 6:14 am
- Forum: Investing - Theory, News & General
- Topic: What's "The Herd" doing today?
- Replies: 52
- Views: 5816
Re: What's "The Herd" doing today?
You can read this thought in more detail here: http://news.morningstar.com/articlenet/ ... ?id=647560Middle wrote:For myself, whenever I try to contemplate the Herd, I get stuck trying to figure who the real drivers are behind the Herd. Because you have individual investors which could be your neighbor or shoe shine boy and then you have institutional investors. Who has more influence? How do you gauge institutional investors?
Better to stick to the plan, but I do enjoy the contemplation on this every now and then.
With another conclusion of course, I mean, this is Morningstar and he wants to keep his job.
- Wed Aug 27, 2014 5:46 pm
- Forum: Investing - Theory, News & General
- Topic: Warren Buffett and the S&P index fund
- Replies: 23
- Views: 2755
Re: Warren Buffet and the S&P index fund
Sooo, Mrs. Buffett will be on the other side of the SV trade in the future? Sounds good.
- Tue Aug 26, 2014 10:52 am
- Forum: Investing - Theory, News & General
- Topic: Comments on MOAT ETF ?? - Morningstar Wide Moat Focus Index
- Replies: 2
- Views: 751
Re: Comments on MOAT ETF ?? - Morningstar Wide Moat Focus In
I think Samuel Lee did a good analysis: https://screener.fidelity.com/ftgw/etf/ ... orningstar
The text layout in the above link is a bit of a failure, if you have a seekingalpha account you can read it here: http://seekingalpha.com/article/1954541 ... e-moat-etf
Note that it is a pretty expensive ETF for Largecaps. Maybe you want to look for Vanguard's VIG ETF instead (0.1% ER)? It's also basically a LC Quality/Value mix. See here for a VIG analysis: http://news.morningstar.com/articlenet/ ... ?id=643125
The text layout in the above link is a bit of a failure, if you have a seekingalpha account you can read it here: http://seekingalpha.com/article/1954541 ... e-moat-etf
Note that it is a pretty expensive ETF for Largecaps. Maybe you want to look for Vanguard's VIG ETF instead (0.1% ER)? It's also basically a LC Quality/Value mix. See here for a VIG analysis: http://news.morningstar.com/articlenet/ ... ?id=643125
- Tue Aug 26, 2014 8:12 am
- Forum: Investing - Theory, News & General
- Topic: Due diligence on RAFI Pure Small Value
- Replies: 189
- Views: 28678
Re: Due diligence on RAFI Pure Small Value
So, in other words the style drift is a feature, not a bug, and Rob Arnott DID invent something himself (regarding retail client products)? Ha, take that, Asness!