Vanguard FTSE All-World ex-US ETF (VEU)

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  • commenter
    LBill
    Jul 01 10:06 AM
    New Vanguard Global Fund Beats Competitors on Price [view article]
    Another option is to hold 40% in Vanguard Total U.S. and 60% in Total Int ex-U.S. funds. Gives you the same exposure as the World ETF for about .30% fee vs. .25% for the ETF. Some might prefer the convenience of the funds and avoiding brokerage fees for the ETFs Reply
  • commenter
    rayvt
    Jun 25 06:37 PM
    Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility [view article]
    quaazy1,
    Yes the model had you in during November and took the 4% loss in November. BTW, I'm not Mebane--he doesn't seem to visit the comments very often. Hopefully he will be able to answer you.

    winyaz,
    The problem with all of life is that what's happening RIGHT NOW is what we experience, and we therefore focus too much on "now" and too little on "overall history". So we focus on today's 4% loss that it didn't get us out of, and ignore the 10% drop that it did avoid but that happened years ago.

    I think Mebane has said that different time periods (from 6 months to 12 months) all had slightly different "best" category of results. I think that the exact choice of period is not important--that any period in that broad range is as good as any other period. They are all essentially the same, just different details.

    The danger with adding filters & other signals is that you'll be data-mining or "over-tuning"... I've been down that road and learned my lesson. A simple filter that gives an increased risk-adjusted return is prefereable to a complex set of rules that gives a very high return -- but works only for one set of historical data.
    Reply
  • commenter
    winyaz
    Jun 25 03:22 PM
    Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility [view article]
    Hi,
    Your timing model is interesting and I appreciate your articles on it, the endowment strategies, etc. My only concern is that in a falling market 1 month seems like an eternity to bail out of a position. Checking the 40 week sma could get you out quicker and would do much better in trending markets ... but much worse in flat markets - PCRIX would have been whipsawed repeatedly from 2004 to 2007.

    Have you considered different approaches or timeframes? Perhaps weekly signals but with a filter to try to limit the whipsaws? I'm interested in thoughts on this subject.

    Don     Reply
  • commenter
    quaazy1
    Jun 25 02:06 PM
    Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility [view article]
    Sorry to be so basic, but... Does that mean that your model took the
    -4% hit through November??? I can't get the math to work out anywhere near what your paper suggests on a cumulative basis unless I trick the model to get out of the market BEFORE the Nov 2007 drop of -4%, for example (working back through history...)     Reply
  • commenter
    rayvt
    Jun 24 07:45 PM
    Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility [view article]
    End of month, Nov 2007, for SPX/SPY.
    The signal before that was end of month Sept 2004, which signalled to buy SPX.     Reply
  • commenter
    quaazy1
    Jun 24 12:39 PM
    Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility [view article]
    Let me restate the question... What was the most recent month that the S&P timing model signaled a move to cash? Reply
  • commenter
    quaazy1
    Jun 24 12:18 PM
    Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility [view article]
    Not sure if I did this right, but I show a lower return for the timing model on the S&P using a 10 month trailing SMA for data from 1/1926 to current... What month did the S&P timing model signal a move to cash? Reply
  • commenter
    Indexor
    Jun 10 06:50 PM
    El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
    Mebane: Excellent article, as always. I always look for your posts as we share very similar phiosophies on managing assets.

    As Xyrus mentioned, that is my allocation strategy as well, including the specific ETFs, although I am weighted a bit diferently.

    Thank you.     Reply
  • commenter
    rudi
    Jun 10 05:51 PM
    El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
    I completely agree with you, Foust. I admit, the sentence you quoted was not the best I wrote ;)
    Of course most asset classes does not mean the best allocation. To be more concrete, I like the high yield bonds in the harvard portfolio, and the higher percentage of inflation-linked bonds. Also, they have less stocks then El-Erian.
    All portfolios in my opinion underweight bonds drastically!

    Seafarer: The domestic stocks are in ACWI (international stocks). As far as I remember they hold 40% US stocks.
    To your question: I would add stocks, which are quite unrelated to S&P500 for example. This could be "defense", like LMT. Other ideas are holdings, e.g. BRK.B and shipping, e.g. OSG. Secondly, I would add carry trades to the portfolio. Check out DBV. Since DBV is too expensive, I would make the carry trades manually via forex trading. Thirdly, I would have a look at covered calls, like BEO. If you have some more ideas, please let me know, I am alway looking for some >6% return investments, which are a stand-alone asset class, to diversify with. Back to the question: I would then substract from ACWI mostly and from real estate.

    By the way, I am not just guessing these numbers, I retrieve them from statistical portfolio optimization. I can for sure tell you, that >30% stocks is way too much. 10-15% is healthy.

    best regards
    rudi     Reply
  • commenter
    Xyrus
    Jun 10 01:00 PM
    El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
    This is kind of amusing. That's pretty much my allocation strategy...right down to the ETFs. :)

    ~X~     Reply
  • commenter
    Foust
    Jun 10 10:00 AM
    El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
    "I conclude the harvard portfolio to be defenitely the best, since they are best diversivied, i.e. they have the most asset classes."

    There is a difference between being the most diversified (number of asset classes) and best diversified. Also, there must be some sort of distinction in the hedge fund space to fully appreciate the allocations, it is too generic and broad a category. Same with private equity (venture, buyout, etc.) and where do timber and other private real asset classes fall?     Reply
  • commenter
    Seafarer
    Jun 10 08:26 AM
    My Website
    El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
    Rudi posted his comment as I was writing mine. It's interesting to note that there doesn't appear to be any domestic stocks in Rudi's although he closes with the caveat that "there are even more asset classes, that should be added to the portfolio". But then what and how much would be subtracted from the above?

    Reply
  • commenter
    Seafarer
    Jun 10 08:21 AM
    My Website
    El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
    I agree with Desi - correlating ETFs with Mr. El Erian's asset allocation model translates his institutional thesis into individual investor tools. Reply
  • commenter
    rudi
    Jun 10 08:19 AM
    El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
    I'd find it interesting to know, how these portfolios are being created. As I am involved into asset allocation a lot, I wonder why there is so little allocation into bonds. I think the difficulty is, what expected returns to assume, when optimizing the portfolio by the best sharpe ratio (or some other ratio). As you can see, all portfolios assume >10% commodities to be appropriate. I find results like that, when I imply the empirical returns of commodities for the last years. Minding the efficient market hypothesis, there is no reason to assume more than the inflation rate plus some increased demand due to worlds economic growth, as an expected return. This would be 3-4% in my opinion. This leads me to a portfolio with maximum 5% commodities.

    I conclude the harvard portfolio to be defenitely the best, since they are best diversivied, i.e. they have the most asset classes. High yield bonds and inflation-linked bonds should be included in every good portfolio.
    In spite of that, the harvard portfolio could be easily outperformed (risk adjusted) by a portfolio like that:

    -International Stocks (weighted by marketcap) 20% (ACWI)
    -International inflation-linked-bonds 30% (TIP)
    -High yield bonds 3% (HYG)
    -Bonds with short avg. maturity 18% (SHY)
    -International Bonds 12% (BWX)
    -Commodities 5% (DBC)
    -Real Estate 7% (VNQ)
    -Private Equity 5% (PPE?)

    Keep in mind, that private equity is correlated with stocks. So there is a lot of emphasis on stocks market in all mentioned portfolios.

    The idea of having hedge funds is in my opinion misleading as well, since they are either doing some similar allocation, or they apply some strategy, which includes short selling (not sticking to efficient market hypothesis), what means, you are long and short in the same assets at the same time, just wasting fees.

    By the way, there are even more asset classes, that should be added to the portfolio, but I wanted to show a portfolio, which doesnt't include more than the harvard one and is already more developed.

    best regards
    rudi     Reply
  • commenter
    Desi
    Jun 10 07:10 AM
    El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
    Mr Mebane Faber...

    Thanks for linking the portfolio allocation to ETF's . This helps an individual investor to easily create his own portfolio. In an Interview with Barron's two weeks back, Mr EL Erian had recommended a similar allocation. Thanks again     Reply

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