Telling Tales: Value, Size, Int'l, REITs (2019 update)

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Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by siamond » Thu Feb 15, 2018 2:17 pm

EDIT: here is the 2019 version of the article.

====================
As promised in this thread a little while ago, I ran the numbers for updated Telltale charts up to 2017, and added a few more charts.

Here is the intro of the corresponding blog article.
This article provides updated Telltale charts, including 2017 returns. It focuses on the relative past performance of value and size factors compared to the total US market, as well as studying international and real estate funds.

Using Telltale charts can be very informative, truly 'telling the tale' of what happened over time to portfolio trajectories, illustrating return to the mean properties, or lack thereof.
And here is an example of the charts provided in the blog article. Click on the image for a better display. Feedback welcome.

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Last edited by siamond on Fri Feb 07, 2020 8:03 pm, edited 2 times in total.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by LadyGeek » Thu Feb 15, 2018 7:20 pm

For those who need a refresher, the wiki has some background info: Telltale chart

(The wiki is mentioned in the blog post. I'm posting a link here to help new investors.)
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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Tue Feb 20, 2018 5:10 pm

A good number of people read the blog entry, this is cool, but I was expecting more active discussion? Maybe I need to provide a few extracts, straight in the thread... :wink:
A Telltale chart shows the aggregate growth of one or several investment assets (e.g. portfolio, fund, individual stock) divided by the aggregate growth of a benchmark asset. [...]
The following Telltale chart compares the trajectories of portfolios made of a single (US) asset class, namely Large Cap Value (LCV), Mid Cap Value (MCV), Small Cap Value (SCV) and Small Cap Blend (SCB), while the Telltale benchmark is the US Total Market (TSM). Therefore the charts display the growth of an initial investment, relative to the growth of the US total market.
Image
The leftmost chart shows the relative trajectory in recent decades, since 1970, of an initial investment of $100. Note that the vertical axis is linear, for better readability. The rightmost chart shows the trajectory since 1927. Note that the vertical axis is logarithmic, to ease the comparison between time periods.
A few observations:
  • Only MCV and SCV displayed a clear & sustained premium over TSM, which keeps increasing over time thanks to occasional spurts of accelerated growth (early 40s, late 60s, late 70s, early 2000s).
  • LCV didn’t display much of a premium, it is the only asset class that seems to ‘return to the mean’ (if the mean is defined as US Total Market).
  • SCB displayed a nice premium, but mostly due to two time periods (early 40s and late 70s). It stayed roughy on par with TSM for two periods of more than 30 years.
  • The MCV trajectory was quite remarkable, with a strong premium, but less of a roller coaster than SCV.
  • There were long periods of time (decade or more) during which MCV or SCV underperformed or did not display any advantage, strongly challenging the fortitude of value investors.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Tue Feb 20, 2018 5:16 pm

Another salient extract...
The following Telltale chart compares the trajectories of portfolios made of a single asset class, namely International Small Caps, Emerging Markets, Total International, and US Real Estate Investment Trusts (REITs), while the Telltale benchmark remains the US Total Market (TSM).
The chart shows the relative trajectory in recent decades, since 1970, of an initial investment of $100. Note that the vertical axis is linear, for better readability. Historical returns aren’t available for Int’l Small and Emerging for the 70s and early 80s, and they were approximated to Total International, to allow a consistent display on the chart.

Image
A few observations:
  • Total International alternated periods of faster growth than TSM with periods of slower growth. If the chart had started in 1971 instead of 1970, they would be roughly on par at the end (i.e. 2017). Inferring a ‘return to the mean’ hypothesis might not be unreasonable in this case.
  • International Small had a large relative growth in the late 80s, then more recently fell back in line with TSM, probably crushing the hopes of corresponding investors.
  • => Note that some active funds (e.g. Vanguard VINEX) displayed a better (and sustained) performance than passive funds in this market segment.
  • Emerging Markets finished with the biggest premium, albeit with a huge roller coaster of relative growth and drops.
  • As to US REITs, two time periods (late 70s and early 2000s) created a nice premium without too much turbulence on the way. Now if you compare to the MCV and SCV trajectory, you’ll notice that the periods of growth were the same, but the premiums were much higher. It appears that REITs often behaved as value investments, but apparently not the ones which displayed the best performance.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by heyyou » Wed Feb 21, 2018 1:14 am

Siamond, thank you so much for your excellent choices of graphing, showing both the whole history and the more expanded, recent (1970+) performances. Plotting relative to TSM is new to me, and it is very enlightening.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by Top99% » Wed Feb 21, 2018 8:38 am

Siamond,

Thank you for the effort you put in and there is a lot to unpack. I predict this will become a very long thread. My views on this:
1) one needs to look at historical data and look forward. Looking back helps one see that risk has indeed been rewarded but the reward comes with a cost of high volatility and/or periods of underperformance. Looking forward is necessary because the starting conditions are constantly changing. For example, in 1970 we didn't have index funds for every imaginable asset class, low cost investing, the access to data the Internet provides or today's combination of high asset valuations, low interest rates and globalization. And we sure don't know the impact of future technology and demographics. So, we can't assume today - 2064 will look like 1970 - 2017.
2) as you mention, it can take a lot of fortitude to stay the course when one of your asset classes lags for many years.

Thanks again and this will help me stay the course with my Larry-ish (I own TSM and some alts in addition to SCV) portfolio. My foundational beliefs are 1) risk will continue to be rewarded and 2) diversification across asset classes and factors will work provided I can stay the course.
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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by AtlasShrugged? » Wed Feb 21, 2018 8:42 am

Siamond....brilliant! Thank you.

God, total international really sucks. Atrocious is a kind description. Maybe Jack Bogle is right about that. :shock:
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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Wed Feb 21, 2018 10:16 am

JCE66 wrote:
Wed Feb 21, 2018 8:42 am
Siamond....brilliant! Thank you.

God, total international really sucks. Atrocious is a kind description. Maybe Jack Bogle is right about that. :shock:
Welcome. But... what made you reach this view about International from the data I provided? I'm curious.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by AtlasShrugged? » Wed Feb 21, 2018 11:18 am

siamond...It was the last chart, "Telltale chart relative to TSM 1970-2017", that I was looking at which prompted my comment. Specifically, 1995 and onward. If I am interpreting the chart correctly, the relative performance of Total International lags TSM by a very healthy margin. I see the one 10-year blip (circa 1984-94), and then not much after that.

I currently have a ~25% allocation to Total International (FTIPX-Roth, FSIVX-401K), purely for diversification purposes. So it is not like I am going to suddenly dump them. What I need to do is continue to remind myself why I have them. And not have unrealistic expectations.

Emerging is a wild ride. Holy Cow! :happy
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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Wed Feb 21, 2018 12:52 pm

JCE66 wrote:
Wed Feb 21, 2018 11:18 am
It was the last chart, "Telltale chart relative to TSM 1970-2017", that I was looking at which prompted my comment. Specifically, 1995 and onward. If I am interpreting the chart correctly, the relative performance of Total International lags TSM by a very healthy margin. I see the one 10-year blip (circa 1984-94), and then not much after that.
Well... Look at it this way.
- From 1970 to 1995, there were multiple occurrences where Int'l grew faster than TSM, then fell back on par, then did it again.
- Starting from 1995, the US went in a huge speculative bubble (Internet!), which popped in 2002, and Int'l caught up by 2007
- Since then, after the 2009 crisis hit everybody in a similar manner (hence is not visible on this relative growth chart), the US went up again in an aggressive manner, and is nowadays acknowledged to be significantly overvalued.
- In 2017, Int'l started to inch its way up (relatively speaking)

I don't know, all I see are cycles of US and Int'l swapping periods of higher (relative) growth, and then returning on par on a regular basis. It just happens that right now, the US has been in the pole position for the past few years. I'm not going to bet that it will stay that way, but time will tell. All this being said, we have to be careful, the human eye tends to find patterns where there is just noise...

PS. looking at the Dimson, Marsh and Staunton data (Triumph of the Optimists & Credit Suisse updates), the US vs Int'l trajectory in the 50s and 60s was pretty much in sync. Before that (1st half of the 20th Century), this was war time, repetitive devastation in Europe and Japan, and yes, the US clearly returned a large premium by then. But not since then, except in the past few years.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by AtlasShrugged? » Wed Feb 21, 2018 1:12 pm

All this being said, we have to be careful, the human eye tends to find patterns where there is just noise...
Yes!!! That is so true, siamond. This is what I tell the younger set (mostly Millennials, that keep this Gen X guy on his toes) who work for me. :happy
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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by david1082b » Wed Feb 21, 2018 1:53 pm

siamond wrote:
Wed Feb 21, 2018 12:52 pm
after the 2009 crisis hit everybody in a similar manner (hence is not visible on this relative growth chart), the US went up again in an aggressive manner, and is nowadays acknowledged to be significantly overvalued.
Wouldn't it be more accurate to say that "some people presume that US stocks are signficantly overvalued"? I remember reading every year since 2010 about US stocks being overvalued, there's always someone "acknowledging" that stocks are overvalued, as if it was a blatantly obvious thing that people simply "acknowledge". S&P 500 1 year forward P/E is 17.25 right now http://www.wsj.com/mdc/public/page/2_3021-peyield.html

When did they start getting significantly overvalued? Can this be pinpointed to an exact date? What were the transition points between "not overvalued", "overvalued" and the presumed "significantly overvalued" current status?

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Wed Feb 21, 2018 2:47 pm

david1082b wrote:
Wed Feb 21, 2018 1:53 pm
siamond wrote:
Wed Feb 21, 2018 12:52 pm
after the 2009 crisis hit everybody in a similar manner (hence is not visible on this relative growth chart), the US went up again in an aggressive manner, and is nowadays acknowledged to be significantly overvalued.
Wouldn't it be more accurate to say that "some people presume that US stocks are signficantly overvalued"? I remember reading every year since 2010 about US stocks being overvalued, there's always someone "acknowledging" that stocks are overvalued, as if it was a blatantly obvious thing that people simply "acknowledge". S&P 500 1 year forward P/E is 17.25 right now http://www.wsj.com/mdc/public/page/2_3021-peyield.html

When did they start getting significantly overvalued? Can this be pinpointed to an exact date? What were the transition points between "not overvalued", "overvalued" and the presumed "significantly overvalued" current status?
All right, fair enough. I should have written "... and appears nowadays to be significantly overvalued", I guess. Those things are definitely not an exact science (hence no precise transition points). Still, putting aside people who stick to a strict EMH orthodoxy ('the market is always rightly valued', or so they say), I think you'd be hard pressed to find anybody who thinks the US is less richly valued than International nowadays. I don't care much about forward-PEs (hard to trust those analysts), but a trailing CAPE at 33x (a more factual number) seems pretty darn high.

Still, I didn't mean to initiate yet another valuation debate. I primarily meant to point out that the Telltale of US Total-Market vs. Int'l since 1970 (and even 1950) was basically a back & forth with no premium being clearly established. Will it keep going like that? We'll see...

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by gclancer » Wed Feb 21, 2018 3:50 pm

Well done. Bump to a worthy thread.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by rkhusky » Wed Feb 21, 2018 4:48 pm

Would the spike in small value around 2000 come from beaten down tech companies coming back? Or did the high flying tech companies of 1999 ever reach value status.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by Dominic » Wed Feb 21, 2018 5:46 pm

These charts are pretty dense. I've been debating the merits of small-cap value investing for a few months now, and these graphs are pulling me away from the idea somewhat.

Your first graph shows that the value premium is effectively nothing for large-cap stocks. Moreover, the size premium has really only shown its face about 2 times in the last 90 years, and small-cap blend is doing just about as well as the total market over the last ~40 years. Small-cap value (and likewise, mid-cap value) have had a premium for short bursts about 4 times in the last 90 years, all but the most recent of which coincided with periods of sustained inflation. Most of the rest of the time, these asset classes perform in line with the total market, or regress slightly. Granted, this is the behavior which one expects of any kind of risk premium: periods as long as ~20 years of on-and-off performance. However, value premium is essentially nonexistent, and the size premium is immensely unreliable. It's only when they are combined that the results really show, and even then, the premium is more inconsistent than I thought it was.

Regarding the international/REIT chart, total international obviously returned lower than the total US market, but I don't think that's a major concern. The key here is that international stocks are a diversifier, and eyeballing from the chart, adding some international equities should have provided investors the opportunity to rebalance and get some extra return and reduced risk. Emerging markets are, as expected, incredibly volatile, but again, there are rebalancing opportunities, and a long time horizon, they would have produced superior returns to the US market. Still, I wonder how much of this chart can be attributed to changes in exchange rates. I glanced at the US Dollar Index over the same period, and the trend typically lines up with the total international vs. total US trend. It would be interesting to see the performance of total international vs. total US with currency-hedging in place.

International small is terrifying as someone interested in factor investing, because again, the small cap premium really only shows up twice in a ~45 year period, and it reverted right back to the mean after the first period of outperformance. REITs are a nice looking diversifier against the US market, but as you noted, they really behaved like a small-cap value investment with low factor loadings.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by DaftInvestor » Wed Feb 21, 2018 5:55 pm

Awesome blog post and nice summary. I sometimes look at this simply by going to morningstar and finance.yahoo and plotting the corresponding Vanguard funds (although they don't go back to 1927).
Any particular reason you don't have MCB added to these charts? It would be interesting to see LCB, MCB, and SCB plotted against TSM (e.g. - take out the Value Factor - I would expect LCB and TCM to track closely - you have already shown how SCB tracks - I'd be curious to see how MCB tracks).

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Wed Feb 21, 2018 6:50 pm

DaftInvestor wrote:
Wed Feb 21, 2018 5:55 pm
Any particular reason you don't have MCB added to these charts? It would be interesting to see LCB, MCB, and SCB plotted against TSM (e.g. - take out the Value Factor - I would expect LCB and TCM to track closely - you have already shown how SCB tracks - I'd be curious to see how MCB tracks).
I was just trying to keep the blog article reasonably short, but you're right, this is missing. So I added it. Here is the Telltale chart (relative to TSM). Click on the image for a larger display.
Image
Unsurprisingly (given the respective market weights), LCB stayed very close to TSM. The MCB trajectory has a rough start for decades, but did create some nice premium since 1970. The MCV and SCB numbers are the same as previously illustrated, with a nice upward trajectory, although SCB didn’t do much (relative to TSM) in the past three decades.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Wed Feb 21, 2018 6:58 pm

Dominic wrote:
Wed Feb 21, 2018 5:46 pm
The key here is that international stocks are a diversifier, and eyeballing from the chart, adding some international equities should have provided investors the opportunity to rebalance and get some extra return and reduced risk. [...] Still, I wonder how much of this chart can be attributed to changes in exchange rates. I glanced at the US Dollar Index over the same period, and the trend typically lines up with the total international vs. total US trend. It would be interesting to see the performance of total international vs. total US with currency-hedging in place.
Yes, I pondered about the same thing a while ago. I don't have currency-hedging data back to 1970, that is for sure. Something simple I could do is to make the same chart, expressed in a European currency (maybe GBP to keep things consistent pre and post-Euro), then expressed in Japanese Yen. Or try to normalize with Purchasing Power Parity (PPP). I'll have to dig up what I did in the past. Suggestions welcome.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by Saelina » Wed Feb 21, 2018 7:06 pm

Please excuse my lack of knowledge, but I'm unsure of what I'm looking at.. Do these charts imply that we should invest in all 3 caps as opposed to just the total stock market?

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by DaftInvestor » Wed Feb 21, 2018 8:07 pm

siamond wrote:
Wed Feb 21, 2018 6:50 pm
DaftInvestor wrote:
Wed Feb 21, 2018 5:55 pm
Any particular reason you don't have MCB added to these charts? It would be interesting to see LCB, MCB, and SCB plotted against TSM (e.g. - take out the Value Factor - I would expect LCB and TCM to track closely - you have already shown how SCB tracks - I'd be curious to see how MCB tracks).
I was just trying to keep the blog article reasonably short, but you're right, this is missing. So I added it. Here is the Telltale chart (relative to TSM). Click on the image for a larger display.
Image
Unsurprisingly (given the respective market weights), LCB stayed very close to TSM. The MCB trajectory has a rough start for decades, but did create some nice premium since 1970. The MCV and SCB numbers are the same as previously illustrated, with a nice upward trajectory, although SCB didn’t do much (relative to TSM) in the past three decades.
Interesting- thanks for the response and adding these.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by DaftInvestor » Wed Feb 21, 2018 8:10 pm

Saelina wrote:
Wed Feb 21, 2018 7:06 pm
Please excuse my lack of knowledge, but I'm unsure of what I'm looking at.. Do these charts imply that we should invest in all 3 caps as opposed to just the total stock market?
All 3 caps are included in Total Market - weighted based upon market weighting. What some of us do is add some additional percentage of SCV on top of TSM based upon the theory that over time it might do better (which the graphs indicate) - but of course the past performance won't guarantee this.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by lazylarry » Wed Feb 21, 2018 10:42 pm

First time looking at Tell Tale charts, very interesting and nice job siamond!

Wondering though:
If these are made upon yearly aggregrate returns, then wouldn't there be bias towards funds that did well initially? For example, if both TSM and SCV went up 50%, but TSM had $4000 and SCV had $8000 at the start of the year, then TSM's return would be $2k while SCV would be $4k. Or is it a percentage which is used?

-Are these charts changed if the timeframes are modified (e.g. starting in June 1970 - June 1971) or monthly aggregrate returns are used?

I may be misunderstanding something...still trying to wrap my head around these.
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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Wed Feb 21, 2018 11:06 pm

lazylarry wrote:
Wed Feb 21, 2018 10:42 pm
If these are made upon yearly aggregrate returns, then wouldn't there be bias towards funds that did well initially? For example, if both TSM and SCV went up 50%, but TSM had $4000 and SCV had $8000 at the start of the year, then TSM's return would be $2k while SCV would be $4k. Or is it a percentage which is used?
This is about aggregate (cumulative) growth of an initial investment, hence something computed like (1+R1)*(1+R2)*(1+R3) if R1 is the %return of year 1, etc... Which is the same as (1+R3)*(1+R2)*(1+R1). The sequence of returns doesn't matter (if that was your point?). Then the aggregate growth of the asset class being studied is divided by the aggregate growth of the benchmark, and same thing, the sequence of return doesn't matter.
lazylarry wrote:
Wed Feb 21, 2018 10:42 pm
Are these charts changed if the timeframes are modified (e.g. starting in June 1970 - June 1971) or monthly aggregrate returns are used?
The charts are somewhat dependent on the starting point, consequently shifting lines up or down. For example, if I had started the Int'l/REIT chart in 1971, the outcome for Int'l would look a bit better because the corresponding line (and endpoint) would be closer to the TSM line (and endpoint). People used to Telltale charts would correct that effect in their head, and truly focus on the directionality of the lines as opposed to absolute value. It does take some effort to get used to it.

As to monthly aggregate returns, besides the fact that those are harder to obtain, it would only make the chart more granular, but it wouldn't change the annual (Jan 1st) points on the chart.
lazylarry wrote:
Wed Feb 21, 2018 10:42 pm
I may be misunderstanding something...still trying to wrap my head around these.
Did you check the Telltale wiki page we created last year? We tried our best to be educational in there, while the blog article assumes that the reader has such knowledge established. All credit to John Bogle who came up with a wonderful tool, significantly more informative than regular growth charts.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by siamond » Thu Feb 22, 2018 9:28 pm

Dominic wrote:
Wed Feb 21, 2018 5:46 pm
Regarding the international/REIT chart, total international obviously returned lower than the total US market, but I don't think that's a major concern. [...] Still, I wonder how much of this chart can be attributed to changes in exchange rates. I glanced at the US Dollar Index over the same period, and the trend typically lines up with the total international vs. total US trend. It would be interesting to see the performance of total international vs. total US with currency-hedging in place.
Back to this comment. I don't have hedged data series back to the 70s, but maybe we can take another approach. We had a similar discussion a while ago, and AlohaJoe identified an interesting index dubbed H.10.
AlohaJoe wrote:
Tue Mar 21, 2017 2:06 am
The Federal Reserve tracks the "Foreign Exchange Value of the Dollar" where the weights of the currencies of a "large group of major U.S. trading partners" is turned into an index. "The index weights, which change over time, are derived from U.S. export shares and from U.S. and foreign import shares".

The index is at: https://www.federalreserve.gov/releases ... exbc_m.htm
The following Telltale chart focuses on Total-International relative to the US Total-Market (vertical axis on the left), while adding a separate data series (vertical axis on the right) for the H.10 index (averaging the 12 months of each year). Values started at 100 (arbitrarily, when the index was created in March 1973), a high value indicating a ‘strong’ dollar, a low value indicating a ‘weak’ dollar. We can notice negative correlation between the two lines of the graph, consistent with Dominic's hypothesis.

Image
Last edited by siamond on Fri Feb 23, 2018 1:14 am, edited 2 times in total.

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by nedsaid » Thu Feb 22, 2018 10:05 pm

Thanks Siamond for your excellent work. Interesting stuff.

My take on the Value arguments is that Small Value is the best, the Mid-Value segment of the market has a bit less return but also less volatility. Large Value has a very small premium. I have wondered if Large Value is due for a good run, I have been recommending it for 3-4 years now, largely because it has underperformed Total Market since the 2008-2009 financial crisis and bear market. It just seems due. Large Value also isn't terribly popular right now either.
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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by siamond » Fri Feb 07, 2020 8:03 pm

Re-opening this thread to notify potential readers of the 2019 update of the "Telling Tales" article!

Here it is, on the Bogleheads blog: https://www.bogleheads.org/blog/2020/02 ... 19-update/.

Feedback welcome.

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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by Angst » Sat Feb 08, 2020 11:56 am

Thanks for all the work keeping the charts updated!
Wouldn't it be nice if one of the graph choices at Morningstar (in addition to "price" and "growth") was "telltale"?

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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by siamond » Sat Feb 08, 2020 12:25 pm

Angst wrote:
Sat Feb 08, 2020 11:56 am
Thanks for all the work keeping the charts updated!
Wouldn't it be nice if one of the graph choices at Morningstar (in addition to "price" and "growth") was "telltale"?
Indeed. If I remember well, Jack Bogle lobbied Morningstar for a while in this respect and could never get it done. The Morningstar fellows do an absolutely amazing job of gathering and keeping historical data in a very rich database, but the UI team does a rather poor job of presenting it with useful tools and metrics... This being said, it is WAY better than Bloomberg in this respect, that is for sure! That is, the information available to the masses... :shock:

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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by Angst » Sat Feb 08, 2020 12:54 pm

siamond wrote:
Sat Feb 08, 2020 12:25 pm
Angst wrote:
Sat Feb 08, 2020 11:56 am
Thanks for all the work keeping the charts updated!
Wouldn't it be nice if one of the graph choices at Morningstar (in addition to "price" and "growth") was "telltale"?
Indeed. If I remember well, Jack Bogle lobbied Morningstar for a while in this respect and could never get it done. The Morningstar fellows do an absolutely amazing job of gathering and keeping historical data in a very rich database, but the UI team does a rather poor job of presenting it with useful tools and metrics... This being said, it is WAY better than Bloomberg in this respect, that is for sure! That is, the information available to the masses... :shock:
There's a question for Christine Benz at the next BH meeting. :)

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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by willthrill81 » Sat Feb 08, 2020 1:20 pm

Thanks for the update Siamond. Great work!
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by abuss368 » Sat Feb 08, 2020 1:29 pm

Awesome. Well done.
John C. Bogle - Two Fund Portfolio: Total Stock & Total Bond. "Simplicity is the master key to financial success." || Buy Total Stock until it hurts. Then find a way to buy even more!

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Re: Telling Tales: Value, Size, Int'l, REITs (2017 update)

Post by dcabler » Sun Feb 09, 2020 8:28 am

siamond wrote:
Wed Feb 21, 2018 11:06 pm
lazylarry wrote:
Wed Feb 21, 2018 10:42 pm
If these are made upon yearly aggregrate returns, then wouldn't there be bias towards funds that did well initially? For example, if both TSM and SCV went up 50%, but TSM had $4000 and SCV had $8000 at the start of the year, then TSM's return would be $2k while SCV would be $4k. Or is it a percentage which is used?
This is about aggregate (cumulative) growth of an initial investment, hence something computed like (1+R1)*(1+R2)*(1+R3) if R1 is the %return of year 1, etc... Which is the same as (1+R3)*(1+R2)*(1+R1). The sequence of returns doesn't matter (if that was your point?). Then the aggregate growth of the asset class being studied is divided by the aggregate growth of the benchmark, and same thing, the sequence of return doesn't matter.
lazylarry wrote:
Wed Feb 21, 2018 10:42 pm
Are these charts changed if the timeframes are modified (e.g. starting in June 1970 - June 1971) or monthly aggregrate returns are used?
The charts are somewhat dependent on the starting point, consequently shifting lines up or down. For example, if I had started the Int'l/REIT chart in 1971, the outcome for Int'l would look a bit better because the corresponding line (and endpoint) would be closer to the TSM line (and endpoint). People used to Telltale charts would correct that effect in their head, and truly focus on the directionality of the lines as opposed to absolute value. It does take some effort to get used to it.

As to monthly aggregate returns, besides the fact that those are harder to obtain, it would only make the chart more granular, but it wouldn't change the annual (Jan 1st) points on the chart.
lazylarry wrote:
Wed Feb 21, 2018 10:42 pm
I may be misunderstanding something...still trying to wrap my head around these.
Did you check the Telltale wiki page we created last year? We tried our best to be educational in there, while the blog article assumes that the reader has such knowledge established. All credit to John Bogle who came up with a wonderful tool, significantly more informative than regular growth charts.
(Point in Red). Exactly. Main thing to pay attention is not the end point, but the trajectory. When a telltale has an upward slope to it, it's outperforming TSM in siamond's plots. When it has a downward slope, it's underperforming TSM. Main thing I've used them for is to help me evaluate an investment, both by itself as what my overall portfolio might look like vs. some benchmark portfolio that could be anything you want it to be, including your current portfolio without the new asset. As always, not every scenario that has played out in the past will again occur in the future.

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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by Top99% » Mon Feb 10, 2020 8:37 am

Thanks for all the work in keeping this interesting data current Siamond.
Adapt or perish

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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by siamond » Mon Feb 10, 2020 1:43 pm

I updated the last section of the blog article. It discusses the impact of exchange rates on the relative performance of US vs. International. Unsurprisingly, there is a strong relationship.

(techie note: this is based on the Fed H.10 index. This gave me a bit of grief as the Fed recently redefined its construction rules, but the impact of the change is fair small, I checked)

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Re: Telling Tales: Value, Size, Int'l, REITs (2019 update)

Post by andrew99999 » Tue Feb 11, 2020 8:07 am

@siamond
Absolutely fantastic. Thank you.

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