Global Market Portfolio

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BlueNote
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Global Market Portfolio

Post by BlueNote » Tue Dec 22, 2015 9:04 pm

I have been consuming a bit of Eugene Fama, William Sharpe and other EMH material lately.

I don't have a formal statistics, economics or mathematical background so I have to hang a lot of the ideas on a limited number of pegs in my brain.

I see their basic approach being: diversification, tracking the market cheaply and accepting increased non-diversifiable risk in exchange for increased expected return. This all seems very rational and the math behind much of it is probably within my cognitive range.

Now if one takes all this theory seriously then one would want to:

1) maximize diversification of assets
2) minimize fees (transaction costs, commissions, fund expenses etc.)
3) buy everything possible that the investment market offers in proportion to the prices accorded by the market (because they are efficient and offer the fairest prices at all times).


I'm going to ignore factors and adjusting leverage.

If anyone read "The Wisdom of Crowds"then this is an approach that relies on the wisdom of the entire market.

I have been seriously considering allocating a significant hunk of my portfolio (through a tax advantaged vehicle) to the global market portfolio. It's about as "couch potato" as you can get. You invest into it using the current market cap allocation and never have to rebalance because the point is to accept the default risk /reward ratio offered by the market.

Has anyone tried anything like this approach?

Jack Jones
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Re: Global Market Portfolio

Post by Jack Jones » Tue Dec 22, 2015 10:20 pm

Cambria has a similar fund (w/ no management fee):

http://www.cambriafunds.com/gaa.aspx

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daylen
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Re: Global Market Portfolio

Post by daylen » Wed Dec 23, 2015 2:53 am


steveo73
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Re: Global Market Portfolio

Post by steveo73 » Wed Dec 23, 2015 4:49 am

I really like the idea however what specifically would you invest in to replicate the global portfolio. I'm a big fan of passive index tracking.

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BlueNote
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Re: Global Market Portfolio

Post by BlueNote » Wed Dec 23, 2015 5:55 pm

daylen wrote:Relevant reading:

https://www.bogleheads.org/wiki/Main_Page
Thanks Daylen, I think everyone should check out bogle heads they have some great resources there.

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BlueNote
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Re: Global Market Portfolio

Post by BlueNote » Wed Dec 23, 2015 6:07 pm

Jack Jones wrote:Cambria has a similar fund (w/ no management fee):

http://www.cambriafunds.com/gaa.aspx
I have checked out Meb's GAA ETF before. It's actually pretty close to what I am looking for. However he has tilted the portfolio towards commodities and a couple of his own stock ETF's. The tilts aren't deal breakers but since I can easily construct my own version of GMP I am probably not going to buy GAA. I consider Commodities to be inputs into businesses which are covered by stocks. I also consider currency to be a medium of exchange between entities which will be covered by holding international stocks, bonds and real estate. Stocks bonds and real estate can be 'valued' because they throw off cash flows whereas currency and commodities can only be priced because they cannot throw off cash flows. I am interested only in assets that can be 'valued' using a discounted cash flow model which leaves me with stocks, bonds and real estate ( which is sort of a hybrid). Most of his stock ETF's are based on quantitative screens , and although I like the ideas behind his screens I would rather do the screen myself. The ETF does pass along the underlying MER from the ETF's that it holds so it's roughly about as expensive as doing it yourself.

The biggest advantage of doing this through one ETF would be the simplicity, it wouldn't get much easier then this.

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BlueNote
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Re: Global Market Portfolio

Post by BlueNote » Wed Dec 23, 2015 7:26 pm

steveo73 wrote:I really like the idea however what specifically would you invest in to replicate the global portfolio. I'm a big fan of passive index tracking.

I'm going to put something together and post it here. It will probably involve a handful of low cost ETF's.

Here's an example of one that someone else has put together using ETF's:

http://investingforaliving.us/2015/05/2 ... portfolio/

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Re: Global Market Portfolio

Post by steveo73 » Wed Dec 23, 2015 11:45 pm

That will be interesting however I also like simplicity so I don't want to be using any more than 3 or so index funds.

Vanguard Australia has a world index excluding Australia. I assume a simple all world stock index with an all world bond index would do the trick. I really think that is a good option as well.

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BRUTE
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Re: Global Market Portfolio

Post by BRUTE » Sun Dec 27, 2015 3:53 am

brute is fascinated by this article: http://www.pragcap.com/is-the-global-fi ... -strategy/

would a coherent indexing strategy not require humans to weigh all global assets by market cap, and therefore hold equities and bonds of everything the world has to offer?

brute is confused by "indexers" in effect picking US equities/bonds only, even prominent humans like John Bogle: http://www.bloomberg.com/news/2014-12-0 ... -u-s-.html

isn't Bogle performing technical ("historically the US markets..") and fundamentally ("I understand the US markets..") analyzing and then picking certain fractions of the total global market, thereby violating his own no-picking strategy?

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Re: Global Market Portfolio

Post by steveo73 » Sun Dec 27, 2015 4:17 am

Brute - my take is the the best way to index is to index everything ala the link that you provided. I wouldn't index things like hedge funds and I wouldn't have that many bonds in my portfolio. I think bonds/stocks weighting is an individual choice based on decreasing returns but increasing stability.

Even though I think that is probably the best approach at the same time I think that there can be advantages to tilting your index options a little. As an example I'm Australian and we have high dividend payouts with tax benefits for Australian citizens. If I invest in Australian stocks foreign currency movements should also have less of an impact on my investments.

Some people will also prefer asset allocations ala the permanent portfolio and this can work as well.

Basically even though I agree with the broadest lowest cost simplest model at the same time I think in practice there can be reasons for various tilts assuming you don't take it too far. I also feel if you stick to your positions over the longer term you will probably come out of it all pretty much in the same position as if you just went for a complete global portfolio.

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BRUTE
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Re: Global Market Portfolio

Post by BRUTE » Sun Dec 27, 2015 4:30 am

brute thanks steveo for the reply.

another question, somewhat related to steveos answer about risk preference.

if brute has understood the basics of the efficient frontier, risk == volatility (in this model).
over a long timeframe volatility should not matter as much, and many ERE humans FIRE in their 30s.

some humans therefore argue to move completely from bonds into equities, because their time horizon is 50 years+ (see http://www.gocurrycracker.com/path-100-equities/).

assuming you stay on the efficient frontier, would it not make sense to find the highest-volatility (with corresponding high rate of return) fincancial instrument possible, and go 100% emerging market small cap or similar? over the long run, the volatility should even out.

of course brute is not sure how to calculate the efficient frontier ahead of time (yet), which complicates things.

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BlueNote
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Re: Global Market Portfolio

Post by BlueNote » Tue Dec 29, 2015 8:15 pm

BRUTE wrote:brute thanks steveo for the reply.

another question, somewhat related to steveos answer about risk preference.

if brute has understood the basics of the efficient frontier, risk == volatility (in this model).
over a long timeframe volatility should not matter as much, and many ERE humans FIRE in their 30s.

some humans therefore argue to move completely from bonds into equities, because their time horizon is 50 years+ (see http://www.gocurrycracker.com/path-100-equities/).

assuming you stay on the efficient frontier, would it not make sense to find the highest-volatility (with corresponding high rate of return) fincancial instrument possible, and go 100% emerging market small cap or similar? over the long run, the volatility should even out.

of course brute is not sure how to calculate the efficient frontier ahead of time (yet), which complicates things.

Here are some of the problems with implementing a portfolio based on volatility = risk approach.

1. It hasn't been proved empirically and personally I don't think it will be any time soon. Assuming that the market is all investable assets then one would need to invest in a basket of assets not only stocks, bonds and real estate but also private education of individuals, small private businesses etc. There are some assets that are simply not available in a nice diversified low fee market cap weighted form (but we seem to get a little closer every day) . These uninvestable assets represent a significant proportion of the opportunities people allocate their capital to. I suspect they generate returns and have imperfect co-relation of returns to other assets and would therefore enhance risk adjusted returns in a 'volatility = risk' worldview. see https://en.wikipedia.org/wiki/Roll%27s_critique


2. The math behind the efficient frontier is extremely sensitive to inputs, a small change in the inputs can produce a large change in the suggested allocations.The inputs are typically based on empirical results which are subject to the vagaries of statistics (they are never 100% right).


What we do know is that diversification is easy to implement, though difficult to optimize. Just because you're not optimized doesn't mean you aren't enjoying the benefits of diversification. The GMP does seem to have a reasonable allocation to all assets. It's not like it's extremely biased to one asset class, it also has strong empirical evidence in support of good risk -adjusted returns.

My current thoughts are whether or not to include assets that cannot be valued. Stamp collections, jewlry raw commodities, currencies, futures contracts (assuming zero roll yield) etc. are all investable assets but they don't throw off cash like stocks, bonds and real estate do.

If I reject the idea of investing into assets that can't be valued by a discounted cash flow then I'd likely want to hedge out currency risk from the GMP. Therefore I would at least consider hedging the bond portfolio to my countries currency and may also consider hedging the stock portion as well.

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BRUTE
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Re: Global Market Portfolio

Post by BRUTE » Wed Dec 30, 2015 3:49 am

does BlueNote's critique apply to all EF thinking? for example the typical financial advice of "your bond/stock percentage should be 50/50", modified for how risk averse you are?

brute is also skeptical about optimization of the EF, because humans can not not in advance if their investments are even on the EF, or if they're just taking on huge risk with no additional returns. it seems you can only construct the EF after the fact, and then try to extrapolate ("stocks always go up in the long run").

brute thinks that the GMP is probably one of the best bets to capture long-term growth. but in recent history, it underperforms a US-only portfolio. brute is not sure he can let go of the promise of 11% AAR.

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BlueNote
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Re: Global Market Portfolio

Post by BlueNote » Wed Dec 30, 2015 6:49 pm

BRUTE wrote:does BlueNote's critique apply to all EF thinking? for example the typical financial advice of "your bond/stock percentage should be 50/50", modified for how risk averse you are?

brute is also skeptical about optimization of the EF, because humans can not not in advance if their investments are even on the EF, or if they're just taking on huge risk with no additional returns. it seems you can only construct the EF after the fact, and then try to extrapolate ("stocks always go up in the long run").

brute thinks that the GMP is probably one of the best bets to capture long-term growth. but in recent history, it underperforms a US-only portfolio. brute is not sure he can let go of the promise of 11% AAR.
Yes nobody can know in advance if their investments are on the efficient frontier, here's a good article/essay on why MVO has little value in implementing a buy and hold portfolio: http://www.efficientfrontier.com/ef/497/mvo.htm

Why do you use the third person to refer to yourself? Is someone else typing for you? Do you refer to yourself in the third person in normal (face-to-face) conversation? BlueNote is not annoyed but rather curious.

Betting on the US index portfolio is pretty much the bogle head way of doing things.

There is also the assumption that if you want the potential for more return with the GMP then you would use leverage and if you want less you would de-leverage. Leverage generally has an interest cost on it so one may want to adjust the stock/bond/real estate allocation to give them a cheap way of imitating the effects of zero cost leverage. Leveraged ETF's could help lever up an allocation of the portfolio if you're looking for more risk but these carry their own drawbacks.

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BRUTE
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Re: Global Market Portfolio

Post by BRUTE » Thu Dec 31, 2015 3:21 am

BlueNote wrote:Why do you use the third person to refer to yourself? Is someone else typing for you? Do you refer to yourself in the third person in normal (face-to-face) conversation? BlueNote is not annoyed but rather curious.
brute is merely a drama queen.

the boglehead's way is pretty much optimized for the history of the world economy. fortunately, history doesn't repeat itself. but if it rhymes, maybe this is still the best way to go forward. or maybe all those emerging markets are about to emerge some time soon. brute hates uncertainty.

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Re: Global Market Portfolio

Post by BlueNote » Sun Jan 03, 2016 1:18 am

I took the liberty of getting the historical allocation of the global market portfolio and aging it to current market values.

I put together this spreadsheet outlining how the portfolio allocation would look today if one were to implement it.


https://docs.google.com/spreadsheets/d/ ... sp=sharing

Let me know if you see any issues with the analysis and I'll make updates.

This portfolio is a low fee ETF implementation that would allow someone to own most of the worlds publicly investable assets in proportion with market valuation. Theoretically you'd never have to re-balance. However you have to assume things like the primary market for these assets are allocated in proportion to the secondary and stock buy backs are somehow neutralized in the allocation. Ultimately it would be a good idea to check the true market allocations every once in a while to ensure your GMP doesn't get off track from Mr. Market.

If one were to implement this portfolio they could be subject to taxes on cap gains, interest, dividends, rents and other income. Often ones home country tries to incentivize their citizens to invest with a home country bias through tax advantages. I will research this and consider tilting the portfolio to my home country vs. following a pure allocation.
Last edited by BlueNote on Tue Jan 31, 2017 7:04 pm, edited 1 time in total.

IlliniDave
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Re: Global Market Portfolio

Post by IlliniDave » Sun Jan 03, 2016 9:23 am

The bogleheads are a pretty diverse group so defining a single "bogleheads' way" is an elusive task.

One note on market cap weighting that is often overlooked. The first (successful) index funds were constructed that way because the indices were constructed that way, and through time the convention has persisted because it is efficient. The weightings of the individual holdings continually self-adjust with the daily market price, so there's little need for the manager to adjust the holdings on an ongoing basis. This keeps management and transaction costs low, and for some investors provides a lot more tax efficiency. There are other strategies like equal weighting (basically the same number of dollars invested in each stock) that could be applied to an index, but doing so would introduce a lot more cost and turnover. Actually, the first attempt at a SP500-based fund was such an equal weighted fund, but it failed because it was too expensive to maintain and could not keep up with the index. So there isn't really any "magic" to cap weighting, it's just efficient to implement, and has its roots in a time before index funds existed when market indices were intended largely as measures of the overall economy, a purpose where cap-weighting makes intuitive sense.

For those reasons while I do invest some in overseas equity, I'm not a total world market cap proponent. I own slices of different parts. Each slice is individually cap-weighted, which promotes efficient management and keeps my costs down, but overall I'm biased towards the US. That bias is more of an emotional thing than the product of some rigorous analysis. The US has relatively robust shareholder protection and property rights and operates in the currency I spend, which also happens to, at least for now, be a reserve currency for much of the world. That's about the extent of the logic behind my decision. The rest is being a blatant fan of the home team and probably some recency bias.

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Re: Global Market Portfolio

Post by BlueNote » Sun Jan 03, 2016 11:39 am

IlliniDave wrote:The bogleheads are a pretty diverse group so defining a single "bogleheads' way" is an elusive task.

I shouldn't have used such a broad brush. I was simply referring to the bias towards investing solely in the US stock market that some people exhibit. Often the argument for this bias sounds like "Big US companies earn significant profit Internationally but they report in USD so I can get my diversification and avoid currency and other international investing risks by sticking to something like the S&P 500." I think this argument is flawed and that one should look for International diversification. Here is a good explanation of why one would generally want International diversification (higher returns for less risk).

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Re: Global Market Portfolio

Post by IlliniDave » Sun Jan 03, 2016 12:59 pm

BlueNote,

It was actually BRUTE who I saw referring to "the bogleheads' way", unless you maybe used further upstream where I didn't notice. Should have made that more clear.

For myself I feel that some international diversification is prudent, so I'd tend to agree with you there, but that's me thinking about me personally. I think it's best that each investor pick a strategy they can stick with, and for a US investor whether it includes international equities, and if so how much, is probably a secondary consideration. It's something an investor should at least consider though, I believe.

Certainly Jack Bogle himself is not a big proponent of overseas investing. In his defense international investing for a US citizen really wasn't a readily available option 65 years ago when he started in the business, and near the tail end of his investing horizon, it's hard to expect him to paint new stripes for himself.

As far as the bogleheads go, you'd maybe be surprised at how few of them as US-only investors. There are some, but even the simplest "3-fund portfolio" they talk about over there includes a total international ex-US fund as one of its three components. Not everyone there is a total market-capper or 50/50, but it's a frequently discussed topic on those boards. For those who ascribe to MPT, apparently there is work out there that shows something around 70/30 US/ex-US represents a optimum blend (so-called efficient frontier) over historic periods for which good data is available. That happens to be close to mine, but that's not the reason I picked it, just a happy coincidence. Of course any of those blends will be sensitive to the rebalancing strategy applied to the portfolio. And for the next 10 or 20 or 30 years, a completely different mix may prove optimal.

Ironically Larry Swedroe is one of the more prominent participants over on the bogleheads.org forums, and was included by one writer (sorry, forget exacly who made up the list) in the inaugural "Bogleheads Hall of Fame".

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BRUTE
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Re: Global Market Portfolio

Post by BRUTE » Mon Jan 04, 2016 6:08 am

brute paints with a broad stroke about "all the bogleheads" because brute is prejudiced. naturally, any collection of more than 1 humans will show variation. brute also likes to employ hyperbole for dramatic effect. it often makes humans pay more attention to an idea.

@BlueNote:

the article is very interesting. the logic regarding international small-caps being less related to each other than international large-caps makes sense. brute also likes the 100% equities allocation. for some reason, brute seems to be strongly biased against bonds and happy to find excuses not to hold them, instead holding stocks. brute is likely influenced by the EF ("risk == volatility") thinking in this, which might not be correct. but over the long term in EF-land, stocks always seem to win over bonds.

the portfolio BlueNot built is very impressive. brute admires BlueNote's spreadsheet skills. is BlueNot planning on investing like this?

to be honest, brute is still on the fence. his previous "optimal strategy" was 75/25 of US/ex-US equity. but ever since reading about the GMP (inspired by this thread!), brute's mind keeps churning at this idea, casting more and more doubt.

@IlliniDave:

the 70/30 US/ex-US ratio is pretty close to what brute had in mind (75/25). brute believes that 30 or 25% still feels like a small enough part for humans not to worry too much. a portfolio of 50% non-US securities might seem risky, whereas 30% and 25% seem safer. more familiar. this familiarity is of course independent of the actual risk of US/non-US investment.

regarding the currency risk: is it not better, from a diversification standpoint, to hold the majority of one's assets in a currency different from one's place of residence? brute certainly didn't want to be a russian holding russian assets when the ruble tanked. of course many currencies are highly interrelated. but isn't a currency linked even more to the assets denominated in that currency, which are usually located within the economy using that currency?

maybe it's smart to diversify across currencies as well? or is the advantage outweighed by the cost, tax issues, and inconvenience?

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Re: Global Market Portfolio

Post by IlliniDave » Mon Jan 04, 2016 10:39 am

BRUTE wrote: @IlliniDave:

regarding the currency risk: is it not better, from a diversification standpoint, to hold the majority of one's assets in a currency different from one's place of residence? brute certainly didn't want to be a russian holding russian assets when the ruble tanked. of course many currencies are highly interrelated. but isn't a currency linked even more to the assets denominated in that currency, which are usually located within the economy using that currency?

maybe it's smart to diversify across currencies as well? or is the advantage outweighed by the cost, tax issues, and inconvenience?
I really don't know the answer to any of your questions.

For an equity investor in the US, when the dollar rises relative to other currencies it tends to lower returns on non-US investments and when the dollar falls relative to other currencies, it tends to raise returns of non-US equities. That's usually what is meant when people talk about currency risk relative to equity investments, and is probably true for bonds as well. Most (maybe all) US investors buy and sell in dollars, and receive income distributions in dollars, even when the equities are non-US and the companies operate with different currencies. Dollars relative to the various foreign currencies are another layer of volatility, and I don't know if there is much of a risk premium associated with taking on that additional "risk".

I don't actually own any foreign currency except a little residual pocket money leftover from a trip to Canada a number of years back. I don't know all the pros/cons of holding different currencies. I suppose the trick for a US investor would be finding some that share the reliability of the USD that would be immune to/decoupled from some sort of cataclysmic problem with the USD. I suppose citizens of a smaller sovereignty with a bit more flimsy of a local currency might want to have a reserve of Euros or USDs if they can legally do so.

Perhaps if I lived somewhere where the local currency was not USD I would have given this more thought. It will be interesting if anyone more knowledgeable on currency investing/hedging decides to add anything.

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Re: Global Market Portfolio

Post by BlueNote » Mon Jan 04, 2016 7:24 pm

BRUTE wrote: to be honest, brute is still on the fence. his previous "optimal strategy" was 75/25 of US/ex-US equity. but ever since reading about the GMP (inspired by this thread!), brute's mind keeps churning at this idea, casting more and more doubt.

This seems to happen to everyone who seriously delves into DIY investing. I've personally been through 2 investing strategies and am currently on my 3rd (and hopefully last). As for currency I see it as a medium of exchange and not something to invest in per se. Therefore one could just as easily make a strong USD argument as they could a weak one. However if one lives in the US then a strong USD bias may be warranted because most of the things you're buying are denominated in USD. On the other hand the GMB is incredibly diversified and is likely to experience some smoothing of exchange rate fluctuations compared to the fluctuations between individual currencies. The problem with bonds is that their gains/losses are often overridden by the much more volatile currency fluctuations. So perhaps a hedged approach would be better because it helps isolate the bonds market risk from currency risk.

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BRUTE
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Re: Global Market Portfolio

Post by BRUTE » Mon Jan 04, 2016 9:39 pm

at this point, brute is still too chicken to implement the GMP. if any of the humans use it and gain some insights, he would be glad to learn from them.

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Re: Global Market Portfolio

Post by FBeyer » Wed Jan 06, 2016 5:33 am

BlueNote wrote:... I've personally been through 2 investing strategies and am currently on my 3rd (and hopefully last)...
How do you mentally separate your tendency to change strategies from market-timing and recency based scares, to analytically, theoretically well founded improvements on your current investing strategy?

Knowing myself I figured that I am susceptible to changing strategies (my brain is all monkeys from time to time) and I am very curious how one decides that a change of strategy is the right thing to do, not just a fluke of recency.

What strategies have you switched away from?

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BlueNote
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Re: Global Market Portfolio

Post by BlueNote » Wed Jan 06, 2016 7:50 pm

FBeyer wrote:
Knowing myself I figured that I am susceptible to changing strategies (my brain is all monkeys from time to time) and I am very curious how one decides that a change of strategy is the right thing to do, not just a fluke of recency.

What strategies have you switched away from?
That's a good question. Recency bias "is the tendency to think that trends and patterns we observe in the recent past will continue in the future."

So here is a story from the ghost of my investment past.

My first investment strategy is simple dollar cost averaging into a diversified mix of stocks and bonds (essentially an index portfolio). I still follow this strategy because, to me, it is the most rational way to invest in the matching program my employer offers. So I have a portfolio right now worth about $30K CAD that just runs on auto pilot. I don't even know the exact net worth of it, I just keep DCAing into the portfolio, it is deposited automatically form my paycheque. It's invested in a target date fund right now, so it's really simple and boring.

My second investment strategy, with my own unencumbered investing capital, was briefly a "buy good companies" type of system. I ended up owning things like JNJ and Berkshire Hathaway. I tended to like stocks that had a solid history of dividend growth and "wide moats". I was very much a novice at this point but looking back it was not a terrible strategy. It was sort of a bastardized dividend growth portfolio. There was nothing inherently wrong with the stocks I held (blue chips) but I switched from this strategy.

I then switched to the PP (permanent portfolio), 1/4 domestic stocks, 1/4 domestic long gov bonds, 1/4 gold, 1/4 domestic short gov bonds. This portfolio wasn't a good fit with my personality as I was uncomfortable with the gold component.

I switched from the PP to a dividend growth portfolio. I based my picks on a slew of criteria that I filtered from dividend growth stock lists (google David Fish and Canadian dividend All Stars). In order to feel comfortable with this investment strategy I was reading the annual reports for all the companies I invested in and following their performance metrics. This was a drag for me, not a fun hobby. I ended up learning that I was comfortable owning stock in companies that were in the consumer non-durables sector with very strong brands, strong financials and solid dividend growth history. On top of that I have kept my Berkshire hathaway stock. After reading 25+ years of Berkshire annual reports I feel like I know enough about the company to invest intelligently.

I tend to keep an open mind on investing and spend a large part of my reading in this area. I came across factors and, in particular, the momentum factor. I researched it and read tons of Internet articles and a few books on the topic.

My money is currently split between 3.25 portfolios

Portfolio 1 is the employer matching portfolio previously mentioned.

Portfolio 2 is an "ivy" portfolio that I created based on Meb Fabers famous Ivy 5 timing portfolio. So far it has worked very well because it has kept me out of the Canadian bear stock market and has kept me in the non-canadiana stock market which has made gains mostly due to currency. The timing component is totally mechanical, I use a spreadsheet to tell me what to buy and sell each month based on the 200 day moving average of each security.

Portfolio 3 uses dual momentum (GEM) which has recently (since 2009) performed worse than indexing the S&P 500. However I think there's a really good chance it will do well over a full market cycle as the portfolio is designed to get one out of a bear market early. Whipsaws and flash crashes (like 1987) are threats to this strategy over the short and medium term. If most of our future bear markets are characterized by 1987 type stock market crashes then this strategy will suck. Also whipsaws (buying high and seeing low on false signals) can slowly erode capital. I have been whipsawed once and will likely be many more times following this type of a strategy. It's supposed to be a good strategy over market cycles.

Portfolio .25 is my Berkshire hathaway stock which I consider buying more of when the price is below 1.3x book value.

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