Beta Hog

9 Comments

    • Small Cap ETFs In a Large Cap Economy [view article]
      I would suggest that you base your ETF investment decisions on a currency-converted basis to avoid the problem outlined, as we do ... however, that will depend on how you make your decisions on which ETFs to own that you don't describe ... May 31 01:47 PM
    • Portfolio Rebalancing: The Ins and Outs [view article]
      There are two 'standard' ways to re-balance ... either (1) percentage deviation away from a pre-defined percentage weighting or (2) on a pre-set, regular calandar cycle (say, quarterly). There is, however, an even better way but it involves a diciplined Tactical Asset Allocation (TAA) process that operates within a rigorous Strategic Asset Allocation (SAA). Anyone interested in what this involves may contact me directly (BetaHog@yahoo.com) Apr 11 09:10 PM
    • Vanguard Offers Four New Bond ETFs [view article]
      Richard, please send me (BetaHog@yahoo.com) a message from your personal email address Apr 11 10:32 AM
    • Diversification: Not the Han Solo Blaster You Thought It Was [view article]
      Some good 'educational' points, some perhaps not so strong ... the 'evidence' over a 2 week interval is a bit short to my mind ... Apr 10 09:01 PM
    • Are ETFs Dangerous? Yes, If You Don't Understand Them [view article]
      Seems to me that ETFs, as an investment vehicle, are indeed 'dangerous' ... in exactly the same way as Mutual Funds are 'dangerous' ... only difference being that 'ante' that you must pay in order to play is a lot less in the former than the latter ... in either case ignorance, as you correctly point out, could prove expensive ...

      BetaHog       Apr 10 08:52 PM
    • In Search of Low (or Negative) Correlation Between Asset Returns [view article]
      Geoff ... I am reasonably confident that your points concerning the utility of Monte Carlo for portfolio PLANNING purposes are valid ... and not here in question or doubt. But my previous query (which see above) was not about portfolio DESIGN (i.e the Strategic Asset Allocation, or the Benchmark posture for the portfolio) ... rather, the question was whether Monte Carlo is of any practical value in the "active" ongoing management of the portfolio after it's architecture has been decided ... in other words, is it useful for Tactical Asset Allocation once the SAA has been selected? Since it is self-evident that market activity alone WILL alter the alter the initial SAA with the passage of time, your comments on the TAA aspect of the matter would be appreciated. Mar 17 09:03 AM
    • In Search of Low (or Negative) Correlation Between Asset Returns [view article]
      I am not familiar enough with Monte Carlo analysis to be able to determine whether it has enough practical value to warrant use as an ongoing investment tool. Based on postings by Geoff Considine, I suspect it may have value in portfolio design, as an initial step. I regard portfolio design (i.e. the 'strategic' posture, or SAA, that results from the investor's 'investment policy') as the single most important determinant of investment success. Once the SAA posture is decided (by whatever means) a 'tactical' dimension (or TAA) is required for the inevitable re-balancing that all portfolios require through time. If this 'tactical' element is ignored, the markets most certainly WILL adjust the balance by default). This is the critical deficiency of the so-called "passive" investment approach (apologies to John Bogle) which doesn't adequately deal with the matter since all markets function on a dynamic continuum and therefore require an "active" response. It would be interesting to see whether Monte Carlo has any useful elements at the TAA level. Have you done any work in this area? Or perhaps Mr. Considine could comment if he chances to read this ? Mar 09 07:03 AM
    • Did Specialty ETFs Provide a Cushion From the Fall? [view article]
      Appreciate the summary but regard a "bump-in-the-road... that lasted little more than a week as too short for firm conclusions. A real bear market of many months, whenever it finally arrives, will be much more telling. Most of these instruments are relatively new and haven't yet been tested under the stress of a major, extended decline. As well, the bulk of the foregoing ETFs attempt to exploit the "security-selecti... route to 'alpha' rather than "market-timing&qu... alternative. Too bad the ETF manufacturers haven't given us much choice on the latter. With the advent of inverse ETFs, the "timing" route should now be a cinch - providing, of couse, they could find a reliable TAA methodology to run it. I've developed one but haven't been able to find a manufcturer willing to sponsor a product so far. Any suggestions? Mar 08 07:52 PM
    • In Search of Low (or Negative) Correlation Between Asset Returns [view article]
      Your philosophical inference concerning "forward-looking information" is quite correct in that it is a pre-judgement of the anticipated future. And it will almost certainly prove to be "wrong" in some measure. And if it isn't wrong, that will be pure "luck" and nothing more. All 'forward-looking data' carries probalistic uncertainty of some amount that cannot be quantified in advance with a high degree of precision. Such forward inputs are based on an extension of the past in any event since they are not usually conceived in a vacuum. The strength of using only historical numbers is that they are not open to dispute. Statements that past returns can not be used to generate superior risk-adjusted future returns are not a proof of anything, but merely represent the 'opinion' of the person making the claim. Mar 08 03:26 PM
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