Search found 2445 matches

by Robert T
Tue Nov 21, 2017 8:00 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 53
Views: 3814

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

.
Another point not really touched on in this thread is taxes.

According to M*, since inception of QSPIX:

Pre-tax return = 8.21%
After-tax return = 5.71%
Tax cost = 2.50%

So adding expense ratio (1.50%) + tax cost (2.50%) = 4.00%

Robert
.
by Robert T
Mon Nov 20, 2017 5:08 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 53
Views: 3814

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

There's also a whole lot else driving returns, or else the fund can't return 37% cumulative in four years (and double digits the institutional version did with live trading the year before the mutual fund launched) over which the value factor and momentum factor in equities were hardly having their...
by Robert T
Sun Nov 19, 2017 7:11 pm
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 53
Views: 3814

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

But with the AQR funds and some other alts you're getting exposures to strategies outside of equities as well. This is true, and QSPIX has performed well since inception. Would however also note the findings from the paper on Value and Momentum Everywhere by Asness et al. http://pages.stern.nyu.edu...
by Robert T
Sun Nov 19, 2017 2:44 pm
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 53
Views: 3814

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

Not sure I completely understood your point. Dave, Let me try a simple illustration – P1 = total market (beta load = 1, value load = 0) P2 = long only value fund (beta load of 1, value load = 0.43) P3 = long/short value fund (beta load = 0, value load = 1) P4 = t-bills Overall portfolio factor load...
by Robert T
Sun Nov 19, 2017 8:25 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 53
Views: 3814

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

. Stocks = Beta + non-beta factors + rf Alternatives (AQR style premia) = Non-beta factors + rf The greater your tilt to non-beta factors in stocks (such value, momentum, quality/defensive), the higher the correlation with alternatives that target a tilt to non-beta factors (such as value, momentum,...
by Robert T
Sun Nov 19, 2017 7:03 am
Forum: Investing - Theory, News & General
Topic: An hour with David Swensen at Council of Foreign Relations
Replies: 14
Views: 1238

Re: An hour with David Swensen at Council of Foreign Relations

. Thanks for sharing - always good to hear what Swensen has to say. I found the part on uncorrelated assets interesting - here's an extract from the transcript. One of the most important metrics that we look at is the percentage of the portfolio that’s in what we call uncorrelated assets. And that’s...
by Robert T
Fri Nov 17, 2017 9:35 pm
Forum: Investing - Help with Personal Investments
Topic: DFA vs Vanguard
Replies: 5
Views: 613

Re: DFA vs Vanguard

. There have often been claims that DFA can add 1-3% alpha beyond factor exposure (beyond tilts to market, size, and value …) – this is largely marketing noise. FWIW - here’s a comparison of two ex-ante “factor matched” portfolios – portfolio 1 = non-DFA funds, portfolio 2 = DFA funds. These portfol...
by Robert T
Fri Nov 17, 2017 12:55 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 184
Views: 21529

Re: My Favorite Alternative Funds

. For those interested. Some aspects of QLEIX and VMOT are similar but there are also some major differences – the correlation between QLEIX since inception and the VMOT index has been 0.48 (where 1 is perfect correlation, and 0 is no correlation). One key difference is QLEIX takes long and short po...
by Robert T
Sun Nov 12, 2017 4:02 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 184
Views: 21529

Re: My Favorite Alternative Funds

. Some analysis on Alpha Architect Value Momentum Trend Index (tracked by relatively new VMOT ETF) Factor loads [t-stats]: 1/1995-9/2017 0.58 [22.3] = Mkt 0.58 [11.4] = Size 0.24 [.5.1] = Value 0.24 [.7.5] = CS Momentum 0.19 [11.8] = TS Momentum 0.23 [.2.2] = Alpha All are statistically significant,...
by Robert T
Mon Oct 30, 2017 3:15 am
Forum: Investing - Theory, News & General
Topic: Bernstein's bond choice for cowards and ST IG
Replies: 28
Views: 3274

Re: Bernstein's bond choice for cowards and ST IG

. Thanks for your comments Robert. How did you arrive at intermediate Treasuries versus short term Treasuries? As a general principal – I prefer to look at my portfolio as a whole, rather than fixed income in isolation, and prefer a long-term asset allocation (rather than trying to time the duration...
by Robert T
Sun Oct 29, 2017 5:33 pm
Forum: Investing - Theory, News & General
Topic: Bernstein's bond choice for cowards and ST IG
Replies: 28
Views: 3274

Re: Bernstein's bond choice for cowards and ST IG

. Bernstein – extracts from “Rational Expectations” book. “Bonds are easier. As discussed earlier in the chapter, they’re your lifeboat and your opportunity supply— an option on the future, if you will. As we saw ... in bad times corporate bonds can take a real haircut (as can longer munis) ... Duri...
by Robert T
Sat Oct 07, 2017 6:24 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 56
Views: 7499

Re: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?

What I see that is being arbed here is the value factor (as implemented by various AM firms)... An extract from this earlier article: https://www.aqr.com/cliffs-perspective/how-can-a-strategy-still-work-if-everyone-knows-about-it "Using the Fama-French approach (data from Ken French’s website) belo...
by Robert T
Fri Oct 06, 2017 6:43 am
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 56
Views: 7499

Re: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?

. FWIW - I track two portfolios with the same/very similar factor exposure - one with DFA funds and the other with non-DFA funds. 2003 to date .... the two portfolios have the same annualized return - consistent with Fama-French research. "Over the long-haul what matters is factor exposure and expen...
by Robert T
Wed Oct 04, 2017 6:43 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?
Replies: 56
Views: 7499

Re: "Vanguard Funds vs. Dimensional Funds in New IFA Index Portfolios" -- What's The Deal?

. A problem with these types of comparisons often made by advisors is that they are not 'factor (risk) matched' comparisons i.e. the two portfolios have different value and size exposure, and if we believe Fama-French that these are 'risk' factors https://faculty.fuqua.duke.edu/~charvey/Teaching/Int...
by Robert T
Mon Oct 02, 2017 8:01 pm
Forum: Investing - Help with Personal Investments
Topic: Domestic SCV? [Small Cap Value]
Replies: 27
Views: 2807

Re: Domestic SCV?

Did you not look at DFSVX due to tax efficiency? The monthly alpha (residual after accounting for market, size, and value exposure) for DFSVX = 0.04 over the same period as the earlier analysis and is not statistically different from zero. https://www.portfoliovisualizer.com/factor-analysis?s=y®...
by Robert T
Sat Sep 30, 2017 6:23 pm
Forum: Investing - Help with Personal Investments
Topic: Domestic SCV? [Small Cap Value]
Replies: 27
Views: 2807

Re: Domestic SCV?

. The short answer – IJS is still a good choice Long answer … “Over the long-haul, what matters is factor exposure and expense” – Bill Bernstein Factor exposure : Since inception iShares S&P600 Value (IJS) had very similar size and value exposure as DFA TM Targeted Value (DTMVX), with the latter hav...
by Robert T
Sat Sep 09, 2017 8:19 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Digging Into 'Deep Value'
Replies: 34
Views: 4042

Re: Larry Swedroe: Digging Into 'Deep Value'

. Read the book about a year ago - was an insightful read. Very good review of investment styles of Icahn and Buffet, and acquirer''s multiple, which in my view, was stronger than the data analysis towards the end of the book - while impressive, would have preferred more text around robustness of re...
by Robert T
Sat Sep 09, 2017 7:53 am
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 3212

Re: RAFI Multi-Factor Indexes

,
For those interested - the RAFI Dynamic Multi-factor ETFs are up and running as of Sept. 1

http://www.pimcoetfs.com/Funds/Pages/MFUS.aspx
http://www.pimcoetfs.com/Funds/Pages/MFDX.aspx
http://www.pimcoetfs.com/Funds/Pages/MFEM.aspx
by Robert T
Tue Sep 05, 2017 9:55 am
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 9851

Re: Value Factor Investing is not Value Investing

... factor investing will never generate the returns of value investing. Here’s the performance of two ‘value’ funds since the start of 2003, the year I set up my personal ‘factor-tilted’ portfolio. The two ‘value’ investors/funds highlighted below – Sequoia and Tweedy Browne - were both mentioned ...
by Robert T
Sun Sep 03, 2017 3:34 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 9851

Re: Value Factor Investing is not Value Investing

In 1993, DFA opened a fund that invested in the value (aka returned challenged) factor. If we look at performance since 1993, IMO your impression of SCV will change materially. Since 1993, SCV has outperformed the S&P 500 by 0.8% per year but the swings are very large thus leading to a large timing...
by Robert T
Fri Sep 01, 2017 2:35 pm
Forum: Investing - Theory, News & General
Topic: Value Factor Investing is not Value Investing
Replies: 126
Views: 9851

Re: Value Factor Investing is not Value Investing

. May be of interest – an earlier related take on value investing https://www.bogleheads.org/forum/viewtopic.php?t=52397 Ben Graham [“Value”] = exploiting mis-pricing e.g. 'buying a dollar for 50 cents' [compensated when everyone else realizes the market got the pricing wrong], need belief that: (i)...
by Robert T
Sun Aug 27, 2017 2:55 pm
Forum: Investing - Theory, News & General
Topic: Small-Cap Value has had higher returns than Total Stock Market, with lower risk
Replies: 49
Views: 4568

Re: Small-Cap Value has higher returns than Total Stock Market, with lower risk

. Small value has higher risk: e.g. 2007-08 drawdown https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2017&lastMonth=12&endDate=08%2F26%2F2017&initialAmount=10000&annualOperation=0&annualAdjustment=0&inflationAdjusted=true&annualPercentage=0...
by Robert T
Wed Jul 26, 2017 6:07 am
Forum: Investing - Theory, News & General
Topic: Are bitcoins nonsense?
Replies: 73
Views: 5428

Re: Are bitcoins nonsense?

. Initial Coin Offerings (ICOs) https://www.bloomberg.com/news/articles/2017-07-25/bankers-ditch-fat-salaries-to-chase-digital-currency-riches Loosely akin to IPOs, ICOs have raised millions from investors hoping to get in early on the next bitcoin or ether, and their unchecked growth over the past ...
by Robert T
Tue Jul 25, 2017 10:34 am
Forum: Investing - Theory, News & General
Topic: Wes Gray on MTUM and discrepancy with Momentum
Replies: 7
Views: 922

Re: Wes Gray on MTUM and discrepancy with Momentum

. I wouldn’t read/imply too much from 5 months of data … As the MSCI USA Momentum Index (tracked by MTUM) uses different screening criteria than the Fama-French (FF) momentum series there will be differences in the variation of returns (just as small value indexes use different screening criteria th...
by Robert T
Sat Jul 22, 2017 4:47 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: REITs Aren't Special
Replies: 106
Views: 9365

Re: Larry Swedroe: REITs Aren't Special

. Generally agree with the article – as per earlier post on the subject: https://www.bogleheads.org/forum/viewtopic.php?p=3453213#p3453213 Bottom line Adding REITs to a portfolio with similar tilts to size and value has added no/little diversification benefit (even though about half the variation in...
by Robert T
Fri Jul 21, 2017 7:03 am
Forum: Investing - Theory, News & General
Topic: Cryptocurrencies
Replies: 50
Views: 4588

Re: Cryptocurrencies

. Some have pointed to similarities of the current state of crypto-currencies and the dotcom era in 1990s. e.g. 48.40 minute mark of Bill Bernstein interview with Meb Faber http://mebfaber.com/2017/07/05/episode-60-william-bernstein-comfortable-buying-something-general-worse-investment-going/ As at ...
by Robert T
Mon Jul 17, 2017 4:00 pm
Forum: Investing - Help with Personal Investments
Topic: Why Not REIT's?
Replies: 47
Views: 5108

Re: Why Not REIT's?

. FWIW – some analysis I did on REITs that may be of interest to some. “Over the long haul, what matters is factor exposure and expense.” – Bill Bernstein [2002] Factor exposure REITs provide a smaller cap and value tilt. For example, here are the mkt, size and value exposures/tilts from the Fama-Fr...
by Robert T
Sun Jul 16, 2017 9:00 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 184
Views: 21529

Re: My Favorite Alternative Funds

To bring it back to the thread topic, are you aware of any alternative funds focused on long short "profitability/investment". I'm aware that some of the AQR alternatives may use these factors but they don't seem focused on them. They seem more focused on momentum and value. cheers, grok No. But wo...
by Robert T
Sun Jul 16, 2017 4:16 am
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 184
Views: 21529

Re: My Favorite Alternative Funds

Maybe to move onto something actionable... I guess the question is (at least for me), is it better to invest in a Large Cap Value fund or a Large Cap "High Profitability/Low Investment" Fund (assuming you could find one). I don't know the answer to this but I suspect that the latter might better av...
by Robert T
Sat Jul 15, 2017 4:33 pm
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 184
Views: 21529

Re: My Favorite Alternative Funds

2) Fama and French don't believe in the value premium any more either. https://famafrench.dimensional.com/questions-answers/qa-what-does-it-mean-to-say-hml-is-redundant.aspx "In practical terms, since there is indeed a value premium, it is still quite legitimate for investors to target it in portfo...
by Robert T
Mon Jul 10, 2017 8:20 am
Forum: Investing - Theory, News & General
Topic: My Favorite Alternative Funds
Replies: 184
Views: 21529

Re: My Favorite Alternative Funds

. On momentum: Long/short: the -82.91% return in 2009 was driven by loses on the short side - so would be hesitant of long/short momentum due to negative skewness. Long only (large caps): the largest one year loss 1927-2016 = -36.74% (according to FF data). 1926-2016: Annualized return (%)/SD/Sharpe...
by Robert T
Sat Jun 24, 2017 3:10 pm
Forum: Investing - Theory, News & General
Topic: Your Favorite Portfolio Tilts
Replies: 86
Views: 7813

Re: Your Favorite Portfolio Tilts

. FWIW – I had the same portfolio tilts (reflected in earlier post) over past 14.4 years. What have these tilts added over this period relative to an indicative ‘market portfolio’ reflected in my earlier post? +0.8% from greater equity orientation +0.7% from greater EM allocation* +1.0% from value a...
by Robert T
Thu Jun 22, 2017 4:29 pm
Forum: Investing - Theory, News & General
Topic: Your Favorite Portfolio Tilts
Replies: 86
Views: 7813

Re: Your Favorite Portfolio Tilts

. Using an indicative ‘market portfolio’ of: 30% US stocks 25% non-US stocks 23% US bonds 22% Non-US bonds (re: pg 22 of Bill Sharpe’s online book http://web.stanford.edu/~wfsharpe/RISMAT/RISMAT-7.pdf) My preferred long-term tilts are: Equities (75% relative to 55% in ‘market portfolio’) Value (targ...
by Robert T
Sat May 20, 2017 6:57 am
Forum: Investing - Theory, News & General
Topic: "Why Value Stocks Have Disappointed"
Replies: 42
Views: 6264

Re: "Why Value Stocks Have Disappointed"

. Interest and inflation rates, and not a new story, if we believe Bernstein's earlier article - "Who Killed Value?" on the 15 years of value underperformance from mid 1980s. From the article - "So, value enthusiasts, rejoice, investing in cheap stocks has not gone the way of John Cleese’s parrot." .
by Robert T
Thu Apr 20, 2017 5:19 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe says "Goodbye."
Replies: 336
Views: 43265

Re: Larry Swedroe says "Goodby."

. I am a better investor from having read Larry Swedroe’s posts (both at vanguard diehards, in the earlier days; and at bogleheads). His contributions have been immense – both in volume and substance. Much appreciated and needed in a time when individuals increasingly need to take responsibility for...
by Robert T
Sun Apr 16, 2017 12:04 pm
Forum: Investing - Help with Personal Investments
Topic: Allocation Decisions: LENDX, SRRIX and QSPIX
Replies: 51
Views: 5654

Re: Allocation Decisions: LENDX, SRRIX and QSPIX

. FWIW - some due diligence on LENDX (just my take) • Credit risk (the same or different?) : LENDX is essentially exposure to credit risk (plus leverage). Its not exactly the same credit risk as corporate bonds, and may provide added diversification if using corporate bonds i.e. instead of investing...
by Robert T
Fri Mar 17, 2017 9:05 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 7356

Re: What do you expect to achieve with your Tilt?

Do you re-balance ? What is your rationale? and if you do: what are your bands? Have you determined what your return would have been if you would not have re-balanced? Wildebeest, Yes I rebalance, to rebalance risk. I have long-term targets for allocations to stocks:bonds, US:EAFE:EM; and exposure ...
by Robert T
Tue Mar 14, 2017 4:33 pm
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 7356

Re: What do you expect to achieve with your Tilt?

But, Robert, what was your targeted result? The OP suggested at least the expected mean and expected SD, the usefulness of SD being a point for discussion. The point is that all results are only one instance from a possible distribution and we plan portfolios based on the expected distribution. The...
by Robert T
Sun Mar 12, 2017 6:42 am
Forum: Investing - Theory, News & General
Topic: What do you expect to achieve with your Tilt?
Replies: 85
Views: 7356

Re: What do you expect to achieve with your Tilt?

. Target = 75:25 stock:bond portfolio, with 0.2/0.4 size/value load in equities, and 0.5 term load in bonds. Actual performance over last 14 years in comparison to two 'market' portfolios with the same stock:bond split 2003-2016: Annualized return / 2008 return 9.3% / -28.7 = Actual portfolio 7.5% /...
by Robert T
Fri Feb 24, 2017 8:36 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard versus Dimensional
Replies: 22
Views: 3143

Re: Vanguard versus Dimensional

As I understood it DFA didn't start screening for momentum and profitability until the 2000s but it's also true that BAM and Larry use BOSVX now for domestic scv. Just looking at the AQR 4 factor regression for DFSVX, IJS, and VISVX. DFSVX is a higher load on value and size but IJS is a bit higher ...
by Robert T
Thu Feb 23, 2017 10:39 pm
Forum: Investing - Help with Personal Investments
Topic: Vanguard versus Dimensional
Replies: 22
Views: 3143

Re: Vanguard versus Dimensional

. DFA is just more efficient at getting it and has added benefits with their screens and patient trading. Seeking Alpha had a good comparison that accounts for the difference in returns: m It would be nice if DFA did add significant alpha beyond factor exposure, as some have claimed, but there is li...
by Robert T
Tue Feb 21, 2017 7:20 pm
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 40
Views: 9130

Re: Question for RobertT

I take it you don't lend too much credence to the thought that the value premium also exhibits nonlinearity with respect to dependence on size? Because then you would want VBR to maximize efficient capture of the premia. Here is some data on value returns by size. 1927-2014: Annualized returns Larg...
by Robert T
Tue Feb 21, 2017 9:23 am
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 40
Views: 9130

Re: Question for RobertT

..9% iShares S&P600 Value ..5% Bridgeway Small Co. Mkt Robert T, What does each of these two holdings give you that the other one doesn't? In other words: couldn't you as well simpkyfy by having 14% iShares S&P600 Value or 14% Bridgeway Small Co. Mkt? Thank you. Its important to go back to ...
by Robert T
Mon Feb 20, 2017 5:17 pm
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 6206

Re: Please list value funds you currently use

Thanks! Just to be clear: SFENX/FNDE = Russell Fundamental EM Large Cap Index and PXH = FTSE RAFI EM Index, correct? They've changed their names a couple of times...I think the Russell fund FNDE is now called the Russell RAFI fund or something like that. Yes. Russell Fundamental EM Large Cap Index ...
by Robert T
Mon Feb 20, 2017 5:07 am
Forum: Investing - Theory, News & General
Topic: Question for RobertT
Replies: 40
Views: 9130

Re: Question for RobertT

Hi Robert T. What is your view these days on a portfolio comprising: 30% MTUM 40% VOE 30% PXSV or FNDA Thanks, duffer Duffer, I prefer FNDA over PXSV since the latter changed to track the Russell 2000 Pure Value Index. Factor exposure If you are targeting a long-term 0.15/0.40 size and value load t...
by Robert T
Sun Feb 19, 2017 8:12 am
Forum: Investing - Help with Personal Investments
Topic: Emerging Markets Allocation
Replies: 35
Views: 5225

Re: Emerging Markets Allocation

. In deciding on an EM allocation an investor seems to need to make a decision on wether s/he views South Korea as a "developed" or "developing" country. Here are two EM funds that view South Korea as "developed" : - Vanguard Emerging Market (VWO) - Powershares FTSE RAF...
by Robert T
Sat Feb 18, 2017 1:26 pm
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 6206

Re: Please list value funds you currently use

So wouldn't PXH try to perform like the "17.8% = FTSE RAFI Emerging Markets Index" you showed? Does it? M* shows it only going back to 2007 - so I can't compare your results. Although from PXH inception on 9/27/2007 to date PXH closely resembles DFEVX. m However, TLTE outperforms both PXH...
by Robert T
Sat Feb 18, 2017 3:51 am
Forum: Investing - Theory, News & General
Topic: Please list value funds you currently use
Replies: 62
Views: 6206

Re: Please list value funds you currently use

Does anybody know much about TLTE? m From Figure 1 in the above link: Annualized returns (%) 2002-2013 13.9% = Morningstar Emerging Markets Factor Tilt Index Here are some others over same time period for comparison 13.1% = MSCI Emerging Markets Index 17.8% = Dimensional Emerging Markets Value Inde...
by Robert T
Tue Feb 14, 2017 2:51 pm
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 3212

Re: RAFI Multi-Factor Indexes

Theoretical wrote:Has AQR released any information WRT backtested data for the new relaxed constraint funds?

Related:
by Robert T
Tue Feb 14, 2017 8:16 am
Forum: Investing - Theory, News & General
Topic: RAFI Multi-Factor Indexes
Replies: 23
Views: 3212

Re: RAFI Multi-Factor Indexes

Just to add this re long-short funds. The tail risk is there if it's ONLY an equity MOM fund. It is reduced dramatically if you are long short stocks, bonds, commodities, and currencies as the correlations are very low among them. Larry Agreed. It is also significantly reduced in equity only portfo...