iShares S&P 500 Index (IVV)

All Comments on IVV

  • commenter
    Marol
    Apr 14 12:08 PM
    Top 50 ETFs by Revenue Per Fund [view article]
    1. I also don't understand what's been gotten at here.

    2. But I do find lists are often useful. As one example, lists of best performers.     Reply
  • commenter
    Smart ETF
    Apr 14 01:47 AM
    What Is Diversification Worth? [view article]
    Good try but you have an archaic application to asset allocation. Asset allocation relies on four basic attributes: Risk, Return, Dependency (Correlation), and Data Management. These four attributes are managed in a 3 step process: the first step, called a ‘Univariate Model’, measures the risk & return of an asset, the second step, or ‘Bivariate Model’ measures the dependency between two securities, and the third step ranks the bivariate model in what is called a ‘Multivariate Model’ to create the efficient frontier. Your model contains four critical flaws:
    First you use the most simplistic measure of dependency to diversify a portfolio with the use of correlation. Correlation assumes a fixed relationship between two securities over the sampled time period and is purely academic. Correlation increases dramatically during extreme events, in fact during any volatile market. If you want a lesson in correlation look to the merry band of MPT disciples at Long-Term Capital Management for a classic case study, or look at Merriweather’s current performance! As the adage goes ‘the only thing that goes up in a down market is correlation’. Trash the static correlation model and move to a dynamic correlation model like Copula Dependency.
    Second, you measure risk using standard deviation (σ). Standard deviation, semi-variance and Value-at-Risk are all hyper-flawed because they all rely on normal distributions. Do you really think a 5σ event will only occur every 7000 years or an 87’ magnitude crash will only happy once in every three lifetimes of the universe? Enlighten yourself to the world of Stable Distributions using logarithmic, not arithmetic distributions. You will find 5σ events really occur every 3-4 years. I recommend you convert to Expected Shortfall as you new method of risk measurement.
    Third, how can you forecast using any of the methods you suggest? Running a simulation model using Black-Litterman (an Arbitrage Pricing Theory model) or the other solutions are simply band-aids on the old MVO model; the only difference is you are trying to tilt the results to more of a bullish or bearish state. This doesn’t solve the problem it just makes it less damaging. Why not take a scientific physics approach and use a data management tool like GARCH (that won the Noble Prize in 2002) instead of relying on Markowitz and his methodology from 1959? You do know you have faster processors and electronic data exchanges and advanced math models; why not upgrade after 40 years?
    Since this article is ostensibly an advertisement for Quantext, I feel its fair game to point out the inherent flaws in your model as well as other suggested models using old mathematical applications and theories. I’m happy to unconditionally prove the superiority of newer models and their specific attributes and will cite the works of Benoit Mandelbrot and Extreme Value Theory as a comparative solution. Set yourself free from averaging thinking!
    Reply
  • commenter
    Ben5519
    Apr 12 11:21 PM
    Outlook for Select Sector ETFs [view article]
    Geoff,

    Great article. I am curious - do you think that this strategy of using QPP's future projections to help predict sector performance can be used with individual stock picking? For instance, if a stock has been performing poorly and QPP predicts a significant increase in return, is that perhaps a signal that the stock is a good buy?

    Thanks,
    Ben     Reply
  • commenter
    Geoff
    Considine
    Apr 12 10:51 AM
    My Website
    What Is Diversification Worth? [view article]
    To Gale Whitaker:

    Your points are addressed in my article her on SA called Black Swans, Portfolio Theory, and Market Timing. Quite to the contrary of what you have said:

    1) Market timing costs investors on average 2.5% per year (see DALBAR, for example)

    2) People like David Swensen and Warren Buffett have delivered the most consistent risk adjusted returns we have records for and they believe in strategic diversification.

    3) A solid diversification strategy does not incur high brokerage / transaction fees--but trying to time the market sure does. There is abundant data that the more, on average, people trade, the worse their results.

    4) Actually, a well diversified portfolio has helped many portfolios to reduce losses substantially in this market, without incurring taxable events or transaction fees.

    There are all these books on timing strategies for retail investors and they are in opposition to the solid research that institutions use. Hmm.

    diversification does not mean simply "buy and hold"---read the article I refer to above.

    Regards,

    Geoff     Reply
  • commenter
    galewhitaker
    Apr 11 11:54 PM
    My Website
    What Is Diversification Worth? [view article]
    Diversification is an incredibly stupid idea. I agree that it goes some way toward reducing losses but it goes a very long way to insure that the retail investor spends a maximum amount of money on commissions and never really makes a bundle in the market. Diversification is the same kind of sillyness as "buy and hold". We are living through a market downturn that proves my point. 90% of the equities in the S&P 500 have sold off. No amount of diversification would have protected an investor from these losses. Investors would be a lot better off to use the time and effort required to diversify to search out companies that have superior fundamental and technical attributes. Making sure to be long in uptrends and short in downtrends would also beat the daylights out of any kind of hokey diversification scheme. The term "diversification&... works really great on widows who are trying to keep the family fortune togather during those final years. It also works great to insure that stock brokers can make those payments on the BMW. Reply
  • commenter
    NO DooDahs
    Apr 11 05:54 PM
    My Website
    What Is Diversification Worth? [view article]
    Diversification is about allocating to different STRATEGIES, so long as said strategies have relatively low correlation to each other, and have positive expectancies.

    "Buy and hold this asset class" is a STRATEGY.

    One can get a diversification benefit by allocating money to different strategies in the same asset or asset class, i.e. short and long-term market timing techniques, Piotroski value and CANSLIM, etc.     Reply
  • commenter
    danimalish
    Apr 11 02:07 PM
    Stock Valuations On the Rise [view article]
    So when valuing financial stocks, "recurring" earnings due to increased asset valuation should be given full weight in the analysis.

    But recurring non-recurring losses due to asset devaluation should be ignored.

    Its like real estate: it only goes up.

    The bulls are once again delusional and see only a bull market in the middle of a recession.     Reply
  • commenter
    jjason
    Apr 11 02:06 PM
    U.S. 2008 GDP Growth Estimate Ranks 177 Out of 181 by IMF [view article]
    Guys, How accurate has the IMF been in the past in their predictions of GDP growth? Reply
  • commenter
    Geoff
    Considine
    Apr 11 11:12 AM
    My Website
    What Is Diversification Worth? [view article]
    To robohogs/jon:

    The fundamental weighting issue is not the only reason that portfolios of individual stocks can be better--there are other important features of individual stocks, as I have shown in a range of my analysis. This remains a controversial topic among financial theorists.

    QPP suggests that Buffett's highly concentrated portfolio of individual stocks is more diversified than many portfolios which employe massive diversification via index funds. This goes to one of my axioms: if your investing theory suggests Buffett is wrong, your theory is probably wrong.

    Diversification can be statistically measured and its not just about buyign lots of individual holdings. This is considered common sense among the high end of institutional investors (as shown here) but this idea is radical for most individual investors and even for many advisors.     Reply
  • commenter
    Roger Beep
    Apr 11 10:12 AM
    What Is Diversification Worth? [view article]
    Geoff,

    This is a very insighful article. Your summary of other quant efforts along side yours cumulatively lays the foundation for more effective individual investor investment strategies.

    Question have you comapred QPP's Diversification Metric (DM) to the diversification premium? What is an optimal DM value in relation to diversifiction premium return?     Reply
  • commenter
    phdinsuntann
    ing
    Apr 11 09:59 AM
    My Website
    U.S. 2008 GDP Growth Estimate Ranks 177 Out of 181 by IMF [view article]
    zinbabwe! there we go! Reply
  • commenter
    David
    Johnson
    Apr 11 09:08 AM
    My Website
    What Is Diversification Worth? [view article]
    Geoff excellent article.I had written an article last year on how diversification in its truest and deepest form requires uncorrelated asset classes and multiple system timeframes. How this affects long term performance is difficult for me to actually quantify. Short URL link to the article below.
    tinyurl.com/4ktwrg
     Reply
  • commenter
    Robohogs
    Apr 11 08:44 AM
    What Is Diversification Worth? [view article]
    you can use the wisdom tree etfs to get the same impact as individual stocks with less company specific risk.

    Jon     Reply
  • commenter
    Jonathan
    Liss, SA
    Editor
    Apr 11 03:03 AM
    Current Valuations Are Well Above the Market's Historical Average [view article]
    [Editor's Note: The author's original title was 'Historical S&P 500 P/E Ratio'. We would like to apologize if the new title, selected by SA Editors, was in some ways misleading or not wholly accurate.] Reply
  • commenter
    User 176417
    Apr 10 08:53 PM
    Current Valuations Are Well Above the Market's Historical Average [view article]
    At 80 million barrels per day at $100/ barrel, most going to the Middle East, that's 2.9 trillion dollars per year.
    Where does this figure in the analysis ? Doesn't this dwarf the financial losses ?     Reply
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