So far, the European CAPE ETF has done quite well:
Shiller on his CAPE ETF
UK Morningstar Performance
Kevin

I like the idea, but I can't see buying it just because DSENX is doing so well. I put a good portion of my self managed portfolio into DSENX (15%) after reading about the funds objectives and style, but not sure I need a European fund. I tend to think collecting funds for the sake of adding a new fund to "the team", especially sector funds, is detrimental to a portfolio's return.

"Your desire to learn more on what quickly becomes a complex mathematically dominated topic is highly commendable and deserves respect." That's what all my teachers used to say (or something like that :))
Great discussion. I guess what investors really need to look at is the real return on different competing types of investments over long periods. How have various assets, including equities, fared compared to the cost of living over time? (Of course, cost of living itself is subject to different methods of quantification.)
Example: A nominal 5% annual return over the past decade probably would have kept most of us ahead or about even with COL. But in the 70s, a 5% annual return would have resulted in rapidly deteriorating living standards for most.
Still, the task would seem daunting, since different assets are likely to perform very differently over extended periods of time and in different environments. Example: Return on treasury bonds over the past decade (and probably longer) would have likely kept most ahead of COL. But in the 70s the reverse would have been true.
2-cents worth

Hi Again Davidrmoran,
I hate hitting on a small point, but I post now with a minor complaint. You do DARPA an injustice by not using Caps uniformly.
DARPA is the Defense Advanced Research Project Agency. It was formed in 1958 in response to an emerging Soviet space threat. It's superior performance record is unmatched by any other government institution or by industry from which it draws members to establish teams with limited assignments. This agency developed the Internet.
Good for them and great for us. They deserve a proper recognition and acknowledgement for their long and successful service record. Three cheers for DARPA.
Best Wishes.

In the broad picture, I agree with the expectation that both stock and bond returns will be lower going forward. But not as explained. Stocks may violate mean reversion (i.e. overshoot the mean on the low side, rather than simply dropping closer to the mean). Parallel increases in prices and rates would keep bond real returns closer to zero.

I agree with this. The reversion to the mean is better applied to probabilities (e.g. coin toss, roulette ) and requires large numbers. None of those things apply with the stock market.
We've had lower than normal GDP growth recently and that will likely continue as was discussed in the thread on productivity recently.

Hi Bob, thanks for the comments. I completely agree with you that after several fat cows one should expect several lean ones. But mean regression is something entirely different.
What you (and I, and most everyone else) are assuming is that there's some relationship between past and future (lean follows fat). Mean regression assumes the complete opposite - that each year is completely independent and random.
Now you don't believe that next year is disconnected from this year or the past few. Neither do I. So mean regression is not applicable. Even if it were, it never predicts bad years, just that if this year was good, next year will, more likely than not, be less good.
With respect to bonds ... If one buys a bond now, even a premium bond, whether the real rate of return turns out to be positive or not depends on rate of inflation until maturity. It doesn't matter whether nominal rates go up 1% next year, that's not going to affect the coupons, the return of principal, or the real return. (Except arguably by inference that inflation may rise in tandem with the rise in nominal rates - see Fisher hypothesis.)
Inflation is still hovering below 1%. (0.8% Y/Y as of July - see graph here). Target rate is 2%. If we approach that without overshooting (admittedly a significant assumption), then 10 year bonds, yielding 1.60% nominal as of 9/2/16 should generate a small but positive real return. It doesn't matter what happens to market rates; what matters once the investment is made is the rate of inflation.
Still, there's a difference between this barely positive real return and the historical real return of 1.6%. So I agree that one needs to plan for lower returns than the historical average for both bonds and stocks. Though it remains important to be clear on the reasons for that qualitative projection, in order to make good quantitative guesses.
I think your 4-5% (nominal) is a good, conservative figure for planning purposes. IMHO that puts real return somewhere around 2%.

Hi, msf. Given the fact that we have had out-sized returns for the S&P 500 the last 5 years (average of about 15.5%), with some sectors much, much higher, it is natural to expect that we could well have some lean years if longer-term average numbers are to be trusted. The 10-year S&P 500 average return is only 7.4%, a long way from the outrageously long historical number, which some retirement web sites still allow using. So if we are to have future average returns of around 7%, there will need to be some very poor years to bring the market average down to that level. Or we could have one or two awful years. Perhaps the need to keep words to a minimum meant a deeper or clearer explanation was left out. I hope this clears the water.
As for bond yields, I think the fact that we are in totally uncharted waters with interest rates might result in strongly negative returns for bonds. I am not aware that so many countries have ever suckered poor souls to buy bonds with negative yields. And while U.S. yields are higher than 0%, many bond prices are so high as to suggest owners could have negative returns if rates move up by just 1%.
I am not suggesting returns for stocks or bonds is about to be hideous, but I do believe that using an assumed average return of more than 4-5% for retirement projections is unwise.

Presuming that you have to use Fido funds, why not FISMX? 5* at M*. It's separated a bit from its index on M*, and the manager has been there 2 yr during part of the overperformance. I'm trapped in Fido for my 403B , so I don't ignore their 5* funds. Over years, small cap usually outperforms, and I'm assuming you want international exposure.

I am a fan of the BMO Pyrford International Equity Fund. (Y MISYX, A BPIAX available at most discount brokers) Tony Cousins has been running the strategy for a long time, and the team is very disciplined in applying top-down (to avoid weak regions) and bottom-up (avoiding "stretched balance sheets" as they say). They aren't shy about avoiding high-risk stocks/countries even if they are a big part of the benchmark.
Long term beta in the range of 75-80 ish.
Video link on the page, also management commentary.
http://www.bmo.com/gam/funds/g/us/international/bmo-pyrford-international-stock-fund
Disclosure: Long MISYX. No other relationship with BMO or Pyrford.

I am still holding ARTMX in a taxable account and it too has not performed well in the past 3-5 years. To add insult to injury, from 2013 to 2015 it has distributed LTCG's of 8% to 16% of NAV and with an ER of 1.19%.
I will cut the cord this year before its November distribution and put the proceeds in VIMAX and call it a day. I never had any business of tilting to Mid-Cap Growth in the first place.
Mona

In Jan 2015 Richard Wiggins wrote a fascinating article at the Journal of Indexes called "Cloning DFA".
This "must read" article is available here: http://tinyurl.com/cloning-dfa
As noted by Mr Wiggins in his article:

However, low-cost funds, especially ETFs, now occupy every asset category offered by DFA. As new indexes have come to market, investors can get the unloved and unwanted part of the market for a lot less. Today DFA offerings are very close to what other major market benchmark providers deliver; the DFA U.S. Small Cap Value [DFSVX], for example, is not dissimilar from the iShares SmallCap 600 Value Index Fund (IJS|A-87). Where there’s not a perfect substitute, it’s rather easy to combine two less expensive funds and create an effective clone.

The article then proceeds to show how DFSVX can be cloned with a combination of two ETFs: VBR and IWC, the Vanguard Small Cap Value and the iShares Micro Cap, respectively. While DFA funds may only be available through financial advisors that have been approved by DFA, and can charge additional fees, the ETFs are open to anyone with a brokerage account.
Below are the current (Sep 2016) expense ratios of DFSVX, and the two ETFs used in the article. At the time that the article was published (Jan 2015) the ER of DFSVX was 52 bps, and the blended ER of the Vanguard and iShares ETFs was 17 bps.

DFSVX: 52 bps
VBR:    8 bps
IWC:   60 bps

A footnote to the conclusion of the article noted that:

The authors [of the JoI article] are working with Silicon Cloud Technologies, LLC which will offer software at PortfolioVisualizer.com that computes these factors automatically.

As originally noted by MJG in Feb 2014, that site - [https://www.portfoliovisualizer.com] - is available to all. Today, it contains (among other things) the following tools:
Fama French Factor Regression Analysis (For individual funds or ETFs)
Match Factor Analysis
Once you have identified a set of potential similar funds or ETFs - based on fundamental or factor analysis - to a target fund, you can use the latter tool to derive a two-investment "clone", based on either the results of factor regressions or historical performance. The site then provides various metrics that can be used to assess the quality (i.e. accuracy) and performance of the clone versus the target fund or investment.
Here, for example, is a clone as inspired by the article: http://tinyurl.com/dfsvx-vbr-iwc
Thought that others might find the website and Jan 2015 JofI article interesting.

FYI: (Click On Article Title At Top Of Google Search)
Investors tired of earning next to nothing on their savings are finally getting some relief.
Even as short-term Treasury rates stay excruciatingly low, interest earned on many kinds of short-term securities has been rising in recent months. Yields on ultrashort bond funds, which buy debt maturing in less than a year, have increased about 30% in the past 12 months. The average yield in the category is 0.5%, according to Morningstar, but many of them are yielding more than 1%.
Regards,
Ted
https://www.google.com/#q=Ultrashort+Bond+Funds:+Better+Yields,+Lower+Risk+Barron's
M*: Short-Term Bond Fund Returns:
http://news.morningstar.com/fund-category-returns/short-term-bond/$FOCA$CS.aspx

What a change from 2015 when MSCI index was down 15.4%. So taking the long term view and staying the course would help to invest in this volatile asset class.

FYI: When it comes to evaluating securities, most active fund managers look at traditional metrics such as earnings, cash flow, price-earnings multiples or management’s professional experience.
Regards,
Ted
http://www.fa-mag.com/news/leaving-the-benchmark-behind-28562.html?print
M* Snapshot GAVIX:
http://www.morningstar.com/funds/XNAS/GAVIX/quote.html
Lipper Snapshot: GAVIX:
http://www.marketwatch.com/investing/Fund/GAVIX
GAVIX Is Ranked #3 In The (Allocation 70%-*5% Equity) Fund Category By U.S. news & World Report:
http://money.usnews.com/funds/mutual-funds/allocation-70-to-85-equity/gavekal-kl-allocation-fund/gavix

FYI: The MSCI Emerging Markets Index is up 14.8% this year through August, including dividends, while the S&P 500 is up 7.8%
Regards,
Ted
http://www.investmentnews.com/article/20160902/BLOG09/160909987?template=printart

MFO profiled QUSIX here: http://www.mutualfundobserver.com/2015/02/pear-tree-polaris-foreign-value-small-cap-qusoxqusix-february-2015/
That said, if you like the thinking behind QUSIX, you might be more interested in their global strategy PGVFX: http://www.mutualfundobserver.com/2014/12/polaris-global-value-pgvfx-december-2014/
WAIOX has been a successful fund for a long time, defying its very high expenses.

Robert Cochran's column, in its use of mean reversion and inflation/real return, has left me befuddled.
"Reversion to the mean" simply expresses the tendency of next year's returns to be closer to the long term mean than the current year's returns are.
Underlying mean reversion is the assumption that each year's performance is independent of the previous one's. That is, mean reversion applies to random variables.
Assuming a long term mean of 9-10% for stocks (as stated in the opening sentence), and assuming 2016's return comes out about 12% (extrapolating from 8% YTD), mean reversion suggests that it is more likely next year's returns will be lower (closer to the mean of 10%) than higher (further from the mean). That's all.
Many prognosticators suggest that stock returns going forward will average around 4-5% (with an assortment of solid reasons backing this up). Mean reversion would seem to cut against this, as it implies, quite literally, reversion (coming closer) to the mean of 10%. IMHO this just shows that mean reversion doesn't apply here - yearly returns are not random variables.
Regarding real returns and inflation - if inflation is assumed to run at 2-3% (it isn't now, but it is expected to increase), then SS should also increase in nominal terms 2-3%, not the 1% projected. In real terms (as measured by CPI-W), SS payments do not decrease.
The 5% average figure for bonds over the past 15 years suggests that "bonds" means 10 year bonds. See here (geometric average over past ten years was 4.71% for 10 year bonds). That same source also shows an average near 5% (4.96%) for the past 85 years. Arithmetic averages are similar, though slightly higher (a small fraction above 5%).
So it seems fair to use last century's (100 year) average real returns for 10 year bonds as "normal" returns. That average real return was around 1.6% in the US:

If you prefer, 1.7% real return for 1900-2002 (based on Shiller data)
So I don't understand what the big deal is about a 0-2% real return going forward. That sounds about normal.
If anything, achieving typical real returns with lower nominal returns and lower inflation is beneficial to fixed income investors. That's because taxes are based on nominal returns, not real returns. So achieving the same real returns and paying less in taxes (lower nominal returns) seems like a plus.
In the broad picture, I agree with the expectation that both stock and bond returns will be lower going forward. But not as explained. Stocks may violate mean reversion (i.e. overshoot the mean on the low side, rather than simply dropping closer to the mean). Parallel increases in prices and rates would keep bond real returns closer to zero.

Umm ... From my grad school years I recall having to read a hellova lot over short periods. Some days I never left the dorm room or dressed beyond a pair of underwear.
So, while not sure about 500 pages a day, I do know you can consume a voracious number of pages if you really set your mind to it and otherwise exclude having a life.
:)