Search found 313 matches

by hdas
Tue Nov 13, 2018 12:13 pm
Forum: Investing - Theory, News & General
Topic: AQR's Cliff Asness – The Past, The Present & Future of Quant
Replies: 6
Views: 804

Re: AQR's Cliff Asness – The Past, The Present & Future of Quant

Hot off the presses. A new podcast featuring the "Man this Board Loves to Hate," the one and only Cliff Asness. The world's second best proponent of Boglehead investing IMO. Top 5 for sure. I look forward to all the "but he is a billionaire" and "the prospectus says Zzzzzzz..." posts. :P Cliff Asne...
by hdas
Tue Nov 13, 2018 12:03 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

Here's an article analyzing AQR performance, overtime: we are going to examine the performance of AQR’s strategies to see how well they do in terms of their Morningstar assigned benchmarks as well as their Fama/French 3 Factor adjusted “alpha. It is also important to note that most AQR strategies h...
by hdas
Mon Nov 12, 2018 7:25 pm
Forum: Personal Consumer Issues
Topic: What Book Are You Currently Reading? Part VI
Replies: 3406
Views: 1014422

Re: What Book Are You Currently Reading? Part VI

Destined for War: can America and China escape Thucydides's Trap? by Graham T Allison
by hdas
Mon Nov 12, 2018 7:23 pm
Forum: Investing - Theory, News & General
Topic: AQR fund family's performance relative to its benchmarks
Replies: 28
Views: 1882

Re: AQR fund family's performance relative to its benchmarks

Here's a nice write up from David Harding on the dangers of selling alpha as beta. https://www.winton.com/davids-views/October-2016/crisis-risk-offset--positive-convexity--tail-risk From the linked article: Managed futures funds are not an asset class but an industry. Momentum isn’t an immutable pr...
by hdas
Sat Nov 10, 2018 8:14 am
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

I will note that the Bloomberg article actually doesn't criticize QMHIX, but I was thinking of another article that did. The OP did post this however: "Not mentioned in the article, but they have a Managed Futures fund, god knows how many billions. It's basically where money goes to die. Down 20% i...
by hdas
Fri Nov 09, 2018 11:52 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

4. There's a plethora of studies supporting time series momentum but not a single successful fund with real money in the implementation to show for it. Winton Managed futures fund. These guys are good, but you are wrong. That is a multi strategy fund. They started a dedicated Trend Following one on...
by hdas
Fri Nov 09, 2018 11:23 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

4. There's a plethora of studies supporting time series momentum but not a single successful fund with real money in the implementation to show for it. Winton Managed futures fund. These guys are good, but you are wrong. That is a multi strategy fund. They started a dedicated Trend Following one on...
by hdas
Fri Nov 09, 2018 4:28 pm
Forum: Personal Finance (Not Investing)
Topic: Anyone use a Wealth Manager?
Replies: 26
Views: 3041

Re: Anyone use a Wealth Manager?

A relative uses these ppl http://www.mcmllc.com/ She is really happy. She doesn't mind the 1.25% fee. They help her a bit with other services. She is retired, 73 basically in a 45/55 portfolio. 20% of her bonds are in a Hedge Fund "Elliot Partners". It has done well without low vol. I've tried to co...
by hdas
Fri Nov 09, 2018 4:11 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

Even other index constructions, and much less sophisticated....in this case for cross sectional momentum, do much better by using a slightly modified version. Check MTUM for 0.15%. H Well, that's because MTUM is hardly momentum at all. It's just MARKETING as you are so fond of pointing out. Wes Gra...
by hdas
Fri Nov 09, 2018 3:18 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

I don’t really see much benefit to comparing something like the AQR Style Premia Fund QSPIX or Alternative Risk Premia Fund QRPRX to a benchmark. They are their own beasts and you get what the exposures yield. That’s why I view them as quite passive. QSPIX invests in 4 styles (value, momentum, carr...
by hdas
Fri Nov 09, 2018 1:05 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

Momentum is picking up nickels in front of a steamroller. Momemntum was down 83% in 2009. This is wrong, momentum is the opposite of that. Mom down in 2009 was mean reversion from 2008. The models are very slow moving. But people do the opposite. If you happen to have a good year in one of these at...
by hdas
Fri Nov 09, 2018 12:52 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

Other more advanced quant firms might use this signal but then figure out a way to separate winners from losers using a multitude of other proprietary factors. Check out places like Renaissance or Two Sigma if you aren't familiar with advanced forms of technical analysis that utilize technologies l...
by hdas
Fri Nov 09, 2018 11:54 am
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

AQR has some truly awfully designed products. Go down the list. https://funds.aqr.com/total-returns They pretty much all underperform their benchmarks. AQR specializes in the "classic" hedge fund strategies of yesterday. They literally make it a point to not innovate for the sake of making some sor...
by hdas
Fri Nov 09, 2018 11:13 am
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

This is a troll thread and should be closed. 1) The complaints are inflammatory for basically calling AQR investors suckers which they aren't. 2) The complaints aren't even AQR specific. The OP is highlighting AQR for the same stuff that this forum is based on (active doesn't outperform). This thre...
by hdas
Fri Nov 09, 2018 10:07 am
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

And on top of this.......the anomaly was discovered in 1980-1981. That should be the starting point for all metrics. H
by hdas
Fri Nov 09, 2018 9:46 am
Forum: Investing - Theory, News & General
Topic: Best Finance/Stock Market Films
Replies: 34
Views: 1592

Re: Best Finance/Stock Market Films

Mississippi Grind
Color of the Money
by hdas
Fri Nov 09, 2018 9:17 am
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

Momentum is picking up nickels in front of a steamroller. Momemntum was down 83% in 2009. This is wrong, momentum is the opposite of that. Mom down in 2009 was mean reversion from 2008. The models are very slow moving. But people do the opposite. If you happen to have a good year in one of these at...
by hdas
Fri Nov 09, 2018 9:15 am
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

This is probability. If the expected odds that you will win a game at a casino are say 55%(obviously no such game exists) then you don’t win on each hand or roll of the dice. You win over time. Momentum has very short periods of underperformance for a factor. There’s a great chart in Larry’s factor...
by hdas
Fri Nov 09, 2018 8:56 am
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

Looking at the comments, some summary points: 1. Nobody has put numbers on the table for a group of AQR funds with a good long track record that did something better than the comparative low cost option. 2. Nobody stops the lunacy and asks...wait, but who need this type of strategies? 3. Ppl seem to...
by hdas
Thu Nov 08, 2018 10:56 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

So, it seems to me, the problem here is has been that in the time over which managed futures have been available as mutual funds, managed futures have sucked, not that AQMIX is a sucky managed futures fund. Mr. Nisiprius, look again, the fund I was refering to was this AQR Managed Futures Strategy ...
by hdas
Thu Nov 08, 2018 6:32 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

Re: A reminder: Stay away from AQR

it’s not like I’m some fan boy but I read Asness’s essay referenced in the “article” from Bloomberg. I thought it was admirable, transparent, and more than any other manager ever does during a bad period. A good example of the spell. For some reason investors are willing to pay 2% fee on AUM for re...
by hdas
Thu Nov 08, 2018 5:47 pm
Forum: Investing - Theory, News & General
Topic: A reminder: Stay away from AQR
Replies: 167
Views: 11672

A reminder: Stay away from AQR

Theres a bloomberg article today about AQR terrible performance Some takeaways: > Not mentioned in the article, but they have a Managed Futures fund, god knows how many billions. It's basically where money goes to die. Down 20% in 4 years. Negative 5.5% annually. 1.5-2% Fee > They keep their invest...
by hdas
Thu Nov 08, 2018 12:30 pm
Forum: Investing - Help with Personal Investments
Topic: Liquidity of Vanguard Extended Duration Treasury ETF (EDV)
Replies: 5
Views: 443

Re: Liquidity of Vanguard Extended Duration Treasury ETF (EDV)

US treasuries are among the most liquid securities in the world, so it’s not accurate to characterize EDV as “illiquid”. The average bid-ask spread for EDV is 0.08%, so I’d use that as an estimate of the cost of a round-trip trade, regardless of size. Thanks, but I know they are very liquid, that's...
by hdas
Thu Nov 08, 2018 11:37 am
Forum: Investing - Help with Personal Investments
Topic: Liquidity of Vanguard Extended Duration Treasury ETF (EDV)
Replies: 5
Views: 443

Liquidity of Vanguard Extended Duration Treasury ETF (EDV)

This is a query to ppl who have a significant portion of their allocation to this ETF. Say > $100k at min. How is your experience?? - Do you do frequent re-balancing? - Can you do the above at decent prices despite the poor liquidity? - Do you track how much are you paying in "slippage" due to low l...
by hdas
Tue Nov 06, 2018 12:01 pm
Forum: Investing - Theory, News & General
Topic: II - The Wall Street Math Hustle
Replies: 19
Views: 2699

Re: II - The Wall Street Math Hustle

I don't think the dataset was adjusted for survivorship bias. H
by hdas
Mon Oct 29, 2018 2:30 pm
Forum: Investing - Theory, News & General
Topic: For those that think the current selloff is normal
Replies: 25
Views: 5847

Re: For those that think the current selloff is normal

Updated the stats in the first post to reflect today's mess. Stay the course :greedy
by hdas
Mon Oct 29, 2018 12:52 pm
Forum: Investing - Theory, News & General
Topic: Jonathan Clements: November "Bogleheads on Investing" podcast guest
Replies: 11
Views: 1164

Re: Jonathan Clements: November "Bogleheads on Investing" podcast guest

Potentially, at some point the podcast will do good numbers, that will ameliorate the quality of the guests. Keep up the work.
by hdas
Mon Oct 29, 2018 12:23 pm
Forum: Investing - Theory, News & General
Topic: Giving up on GoogleSpreadsheets. Need alternative.
Replies: 29
Views: 3888

Re: Giving up on GoogleSpreadsheets. Need alternative.

My portfolio has gotten way too complex and GoogleSpreadsheets has become too cumbersome to use. Plus there have been repeated problems this year with pulling data on some funds and ETFs, especially Vanguard. What are the best tools out there that will let me enter multiple portfolios each with mul...
by hdas
Mon Oct 29, 2018 12:08 pm
Forum: Personal Consumer Issues
Topic: Getting depressed with all this saving. :-(
Replies: 38
Views: 6377

Re: Getting depressed with all this saving. :-(

Perhaps for some. I enjoy saving and dislike spending. But then again my wants and needs are simple so I don't deprive myself of anything. This is an interesting predicament of the human existence, the subjectivity of well being. Some will say that Mr. Earl Lemongrab lives a deeply materialistic an...
by hdas
Mon Oct 29, 2018 10:03 am
Forum: Investing - Theory, News & General
Topic: 180 years of Drawdowns, Get used to it
Replies: 36
Views: 6642

Re: 180 years of Drawdowns, Get used to it

I'm not sure what data you're looking at but keep in mind you can't make a direct comparison between drawdown dates/ranges for monthly vs daily data (the former is undersampled ~1:21). On the PV website, when I look under FAQ's >> "Data sources for market data" >> Index data >> SP500 monthly TR, th...
by hdas
Sun Oct 28, 2018 1:00 pm
Forum: Investing - Theory, News & General
Topic: 180 years of Drawdowns, Get used to it
Replies: 36
Views: 6642

Re: 180 years of Drawdowns, Get used to it

This guy presents the same stats here: Going back to 1928… When stocks fell 10%: 44.7% of the time they didn’t fall any further than 15% 12.8% of the time they didn’t fall any further than 20% 17.0% of the time they fell between 20% and 30% 10.6% of the time they fell between 30% and 40% 8.5% of th...
by hdas
Sun Oct 28, 2018 8:33 am
Forum: Investing - Theory, News & General
Topic: Being true to my IPS, or violating it?
Replies: 22
Views: 2002

Re: Being true to my IPS, or violating it?

Here's a perspective: Bonds Versus Stocks: Investors' Age and Risk Taking Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009 Abstract This paper examines the proportion of wealth invested in stock and bond portfolios as a function of the investors' age, i.e., investment horiz...
by hdas
Sun Oct 28, 2018 8:23 am
Forum: Investing - Theory, News & General
Topic: A simple moving average timing model using stocks and treasuries
Replies: 40
Views: 2673

Re: A simple moving average timing model using stocks and treasuries

Perhaps relevant: Paired-Switching for Tactical Portfolio Allocation Abstract Paired-switching refers to investing in one of a pair of negatively correlated equities/ETFs/Funds and periodic switching of the position on the basis of either the relative performance of the two equities/ETFs/Funds over ...
by hdas
Sun Oct 28, 2018 8:18 am
Forum: Investing - Theory, News & General
Topic: Barron's Making the Case for Gold
Replies: 139
Views: 10816

Re: Barron's Making the Case for Gold

Another interesting read: Abstract Is gold a hedge against sudden changes in stock and bond returns, or does it instead have a subtly different property, that of being a safe haven? This paper addresses these two interlinked questions. A safe haven is defined as a security that is uncorrelated with ...
by hdas
Sun Oct 28, 2018 8:06 am
Forum: Investing - Theory, News & General
Topic: For those that think the current selloff is normal
Replies: 25
Views: 5847

Re: For those that think the current selloff is normal

how about 19 of 26 days? Or 20 of 28 days? Or.... What is so special of 20 of last 26 days? The point is data mining can come up with whatever numbers you are looking for. As someone else said before anyone can torture the data until it tells you what you want. Picking random data is not predictive...
by hdas
Sat Oct 27, 2018 6:08 pm
Forum: Investing - Theory, News & General
Topic: For those that think the current selloff is normal
Replies: 25
Views: 5847

Re: For those that think the current selloff is normal

Unfortunately this type of stuff is not predictive of forward returns. Nothing is... Good to have skepticism, while you are at it, let us look at the monthly sp changes (index). We are on track on having a terrible month, say down more than 5% (but anything can happen in 2 days)......anyways. Since...
by hdas
Sat Oct 27, 2018 5:34 pm
Forum: Investing - Theory, News & General
Topic: For those that think the current selloff is normal
Replies: 25
Views: 5847

Re: For those that think the current selloff is normal

Every downturn is "atypical". It could probably be argued analogous to the Anna Karenina principal " All happy families are alike; each unhappy family is unhappy in its own way. " You win the comment of the day. On the other hand, if one models the changes up or down as a binomial distribution, the...
by hdas
Sat Oct 27, 2018 5:12 pm
Forum: Investing - Theory, News & General
Topic: For those that think the current selloff is normal
Replies: 25
Views: 5847

For those that think the current selloff is normal

Let us notice that 21 out of the last 27 trading days have been down (looking at sp500). This behavior is atypical.... October 2000 Feb 1984 June 1982 Aug 1975 Sep 1974 Dec 1973 May 1970 Dec 1969 May 1962 On average a year later, the market is up 75% of the time about 15%, with a t-score of 2.03% [1...
by hdas
Sat Oct 27, 2018 3:23 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks in freefall
Replies: 7814
Views: 1605603

Re: U.S. stocks in freefall

Almost every time that the UER has crossed its 12 month moving average, a recession has followed. The longest lead time has been 8 months. See this site for a chart and explanation. But I don't rely only on the UER. I also use the 7 month moving average, and don't trade unless both indicators 'tell...
by hdas
Sat Oct 27, 2018 3:17 pm
Forum: Investing - Theory, News & General
Topic: 180 years of Drawdowns, Get used to it
Replies: 36
Views: 6642

Re: 180 years of Drawdowns, Get used to it

Looking a bit into the drawdowns since 1950 (using yahoo index data, no total return) we can put some numbers on the table to establish a baseline: > First of all, I used the arbitrary cutoff of -10% > The first thing to notice is how relatively rare this event is, There have been only 22 drawdowns ...
by hdas
Fri Oct 26, 2018 10:27 pm
Forum: Personal Consumer Issues
Topic: What Movie Have You Recently Watched?
Replies: 3819
Views: 1078049

Re: What Movie Have You Recently Watched?

Free Solo.
Alex Honnold climbing El Cap 3000ft with no rope in 3h
:shock: :shock: :shock:
by hdas
Fri Oct 26, 2018 5:13 pm
Forum: Investing - Theory, News & General
Topic: 180 years of Drawdowns, Get used to it
Replies: 36
Views: 6642

Re: 180 years of Drawdowns, Get used to it

b0B wrote:
Fri Oct 26, 2018 4:41 pm
^ What if you change that 10% to 1% (or X%)? What's the average for 1%+ (or X%+) drawdowns?
correct, 10% or any X% is totally arbitrary. H
by hdas
Fri Oct 26, 2018 4:44 pm
Forum: Investing - Theory, News & General
Topic: What's Your Fixed Income Strategy?
Replies: 89
Views: 8566

Re: What's Your Fixed Income Strategy?

~30 years to traditional retirement 0% allocation to bonds i'll invest in government bonds when their coupon approaches the return on equity of the companies i own in my equity portfolio. right now VT (Vanguard Total World), which is my equity benchmark, is showing a 13.5% return on equity. this is...
by hdas
Fri Oct 26, 2018 4:36 pm
Forum: Investing - Theory, News & General
Topic: 180 years of Drawdowns, Get used to it
Replies: 36
Views: 6642

Re: 180 years of Drawdowns, Get used to it

This seems relevant for the current juncture

Image
by hdas
Fri Oct 26, 2018 3:12 pm
Forum: Investing - Theory, News & General
Topic: For market historians buying the dip today
Replies: 7
Views: 1566

Re: For market historians, buying the dip today

Since Sep 1997, all data for SP eMini futures. 42 times the market has opened down more than 1% on a Friday while the week is also down....... On average you make a good profit if you hold til the afternoon (73% Up, 0.8% trimmed mean) Be careful out there! Good Luck!! Does the phrase "buying the di...
by hdas
Fri Oct 26, 2018 2:49 pm
Forum: Investing - Theory, News & General
Topic: For market historians buying the dip today
Replies: 7
Views: 1566

Re: For market historians, buying dip today

Unfortunately, this week doesn't qualify. The sweet spot seems to be down between -2% to -3% Forward 1 day return statistics Since 1997 Enter Friday at the close, Exit Monday at the Close Wk Decline N mean Up% Std T --------------------------------------------- 0, -1% >> 178 -0.02% 47%Up 0.63% -1.00...
by hdas
Fri Oct 26, 2018 2:36 pm
Forum: Investing - Theory, News & General
Topic: Matter/scatter, part 10: International with and without emerging markets
Replies: 33
Views: 1901

Re: Matter/scatter, part 10: International with and without emerging markets

...It is well-known that long treasuries have had a great negative correlation to the equities... No, it isn't "well known." It's frequently asserted , but please see my posting above . Historically, at least since 1926, there has not been any "great negative correlation" between long treasuries an...
by hdas
Fri Oct 26, 2018 12:25 pm
Forum: Investing - Theory, News & General
Topic: Matter/scatter, part 10: International with and without emerging markets
Replies: 33
Views: 1901

Re: Matter/scatter, part 10: International with and without emerging markets

...It is well-known that long treasuries have had a great negative correlation to the equities... No, it isn't "well known." It's frequently asserted , but please see my posting above . Historically, at least since 1926, there has not been any "great negative correlation" between long treasuries an...