Jettison QSPIX?

Have a question about your personal investments? No matter how simple or complex, you can ask it here.
Alchemist
Posts: 582
Joined: Sat Aug 30, 2014 6:35 am

Re: Jettison QSPIX?

Post by Alchemist »

ilan1h wrote: Mon Jan 21, 2019 7:14 pm Unless I'm misunderstanding, the position has declined roughly 18% in the last 12 months (from 11 to 9). It is down 12.5% for the year. I'm not enjoying this ride as much as my bond funds. My bond funds have the disadvantage of slow growth when the market is booming, but they've save my hide many times when the market is collapsing. I was grateful for those bonds during the 2008-2009 decline when they very effectively buffered a 50% decline in the market. I like the safe side of my investments to act safe!
OP, sell it on Monday when the market opens. If safety is what you wanted from this fund, it will not be forthcoming from a something leveraged nearly 10/1.
HomerJ wrote: Sun Dec 15, 2019 2:42 pm
nisiprius wrote: Sun Dec 15, 2019 2:29 pmIf you like, QSPIX was "bond-like," but I'm darned if I see anything it did that Total Bond didn't do better.
It made Cliff Asness and two of his partners billionaires from the fees (not from the returns). That was its purpose, and it worked perfectly.
This 100%. The only thing QSPIX seems to be consistently uncorrelated with is positive returns for its investors. No fund is worth 200 bps or even the 163 bps of the "adjusted" ER. Especially not one that fails to live up to its intended use.
Chicken Little
Posts: 447
Joined: Fri Feb 22, 2019 5:03 am

Re: Jettison QSPIX?

Post by Chicken Little »

tarheel wrote: Sun Jan 12, 2020 7:16 am
Chicken Little wrote: Sun Jan 12, 2020 6:23 am I'm following this and the other thread (39/41 funds down) from the sidelines, don't own any AQR.

Hard to imagine these funds can't perform well under different circumstances. If different circumstances are around the corner, you'll be selling right before you need it?

Tough spot to be in.

Good luck.
There are many places to learn about QSPIX's approach, including Bogleheads threads and AQR white papers. The truth is when factor returns are poor, the fund isn't going to do well. For instance, the past decade has been atrocious for value. One reason why QSPIX has underperformed.

I for one am consistently buying more QSPIX on the way down and believe the tide will turn. I understand people's concern but to be honest if you are thinking about unloading your entire QSPIX position at this point after a couple of years you probably shouldn't have invested in it in the first place.
Would've been better flow to quote ilan1h, as she/he is the one in a pickle (I don't own any).

I do kind of agree. A quote from that post..."I never really understood it but bought it as a "diversifer"." On face value, it seems to be diversifying very well? Now might actually be the optimal time to buy. If it turns out she/he didn't really want a "diversifier", then now might be the time to sell?
Bitzer
Posts: 187
Joined: Mon Apr 04, 2011 10:25 am

Re: Jettison QSPIX?

Post by Bitzer »

QSPIX seems to be finally doing its job...been waiting a lot of years for this :) Oh wait, they rest of my portfolio is way down :oops:

Larry, are you there? :sharebeer
User avatar
HomerJ
Posts: 15686
Joined: Fri Jun 06, 2008 12:50 pm

Re: Jettison QSPIX?

Post by HomerJ »

Bitzer wrote: Mon Mar 09, 2020 6:56 pm QSPIX seems to be finally doing its job...been waiting a lot of years for this :) Oh wait, they rest of my portfolio is way down :oops:

Larry, are you there? :sharebeer
How is it doing it's job?

It's down 4.17% YTD

Plain old bond fund VBTLX is up 5.65% YTD.
A Goldman Sachs associate provided a variety of detailed explanations, but then offered a caveat, “If I’m being dead-### honest, though, nobody knows what’s really going on.”
Elysium
Posts: 3282
Joined: Mon Apr 02, 2007 6:22 pm

Re: Jettison QSPIX?

Post by Elysium »

I disagree that it is doing what it is expected to do. A positive return is expected from any investment strategy, not just low correlation, low beta, or any of the other touted advantages.

A positive return is not needed every year, or even every few years, but you cannot have a strategy that loses money when the market is up (2019), and then again loses when the market is down (2020). At some point, it has to start working.
Jebediah
Posts: 759
Joined: Tue Aug 28, 2012 9:19 pm
Location: Austin TX

Re: Jettison QSPIX?

Post by Jebediah »

QSPIX is fine. It's doing its job. Slight positive return since inception. Has had a drawdown for a couple years while its strategies go through and out-of-favor period. It's not supposed to be vol free. Relax and hold that sucker forever, it'll have its share of up years. I personally guarantee it and will pay your rent in retirement if it doesn't :)
typical.investor
Posts: 2408
Joined: Mon Jun 11, 2018 3:17 am

Re: Jettison QSPIX?

Post by typical.investor »

Jebediah wrote: Mon Mar 09, 2020 10:30 pm QSPIX is fine. It's doing its job. Slight positive return since inception. Has had a drawdown for a couple years while its strategies go through and out-of-favor period. It's not supposed to be vol free. Relax and hold that sucker forever, it'll have its share of up years. I personally guarantee it and will pay your rent in retirement if it doesn't :)
Not sure it's going to be able to do it's job.

Through about 2018, 2/3rds of QSPIX’s Total NAV return came from special distributions. Also, it appears that the Special Distributions component of this Fund was baked on catching the oil market dislocation correctly. In fact, 66% of its Special Distributions were paid out by the end of 2014.

So maybe it will catch a market dislocation again or maybe not.

In any case, it's been said the fund appears to have very little kurtosis which gives it less means of accessing normal asset class return streams. In fact, it's been suggested that this kurtosis level will show up as sub-performance in such highly engineered return streams.

It's not suggested it'll blow up like LTCM since QSPIX doesn't have the same leverage, but it's interesting to note that LTCM had 43 seemingly independent strategies running simultaneously but market magic found the common thread connecting each of those seemingly uncorrelated strategies.

That's why I so strongly disagree with factor investor's claims that factor investing increases diversification by concentrating your assets into corners of the market which are claimed to offer access to different streams of returns. If those streams end up correlated, do poorly and you have tilted highly to them, then obviously you'll see underperformance relative to the market. Of course factor proponents are quick to dismiss this as not possible. It's a real risk though I think and necessary to any chance of outperforming the market. Still, I do pursue a factor tilt. I just dislike the way it gets presented here as such a sure thing. I accept my factor tilts mean I might underperform the market.

Now, as for QSPIX, I'm really not sure that it will be able to offer the diversification that it promises. When AQR has a 20+ year history, why don't any funds have an inception date for reporting purposes prior to 2009? Is QSPIX going to avoid the need to hit the reset button? None of their other funds seem to have.

See https://www.proforza.net/post/the-big-a ... rn-streams
wickywack
Posts: 90
Joined: Thu Jun 11, 2015 8:09 am

Re: Jettison QSPIX?

Post by wickywack »

QSPIX has been slightly negative since its inception as of now.

On the plus side, it *has* delivered on at least couple aspects its proponents have touted:
(1) Its correlation with both stocks and bonds is near zero.
(2) Its volatility - as measured by standard deviation - is about half that of stocks.

Correlation matrix (per portfoliovisualizer.com over QSPIX lifetime):

Code: Select all

Name					Ticker	VBTLX	VTSAX	VTIAX	QSPIX	Ann. Ret.	Daily StdDev	Monthly StdDev	Annualized StdDev
Vanguard Total Bond Market Index Adm	VBTLX	-	-0.06	0.02	-0.12	3.84%		0.23%		0.92%		3.19%
Vanguard Total Stock Mkt Idx Adm	VTSAX	-0.06	-	0.86	0.09	9.58%		1.11%		4.05%		14.03%
Vanguard Total Intl Stock Index Admiral	VTIAX	0.02	0.86	-	0.13	0.83%		0.99%		3.99%		13.81%
AQR Style Premia Alternative I		QSPIX	-0.12	0.09	0.13	-	-0.34%		0.52%		2.15%		7.45%

Has that been enough to make it worthwhile as part of a portfolio to date? To be concrete, suppose I had a straightforward, tax-advantaged, 3 fund portfolio of 40% US stocks, 20% Intl stocks, and 40% US bonds for the lifetime of QSPIX. Would having reallocated some of that portfolio to QSPIX instead have resulted in a better outcome by some measure?

In other words, has the lack of correlation and/or the moderate volatility made up for the low return? If not, how much return would it have needed?
Anon9001
Posts: 1113
Joined: Fri Dec 20, 2019 9:28 am
Location: भारत

Re: Jettison QSPIX?

Post by Anon9001 »

Honestly you people are very lucky to get hedge fund products at low expense ratios. The biggest flaw with hedge funds is their expense. With developed market bonds becoming more and more of a money sink it is wise to use it as a replacement for bond allocation. The past performance of bonds are great for developed markets but I do think that they will not repeat for obvious reasons.
Land/Real Estate:89.0% Equities:5.0% Bonds:2.0% Gold:1.7% Cash:1.7% Cryptocurrency:0.2%
BH+
Posts: 103
Joined: Sat Aug 31, 2019 5:15 pm

Re: Jettison QSPIX?

Post by BH+ »

QSPIX has been sinking slowly but consistently since December 2017. Plain old stocks and bonds have outperformed. It would be safer to assume that there must be some flaw in the design or implementation of its strategies.
wickywack
Posts: 90
Joined: Thu Jun 11, 2015 8:09 am

Re: Jettison QSPIX?

Post by wickywack »

I guess I'm less interested in exactly why it's not performed lately, and more interested in how much it actually needs to return to be worthwhile as part of a bigger portfolio (e.g., the 3-funder in my earlier post), assuming current correlation and volatility continue.

I.e., how would you modify a 40/20/40 three fund portfolio to incorporate something like QSPIX? And, would it have led to an improved outcome (better overall return and/or lower overall volatility) over the recent lifetime of QSPIX?
InertiaMan
Posts: 264
Joined: Tue Oct 16, 2007 10:26 am

Re: Jettison QSPIX?

Post by InertiaMan »

BH+ wrote: Sun May 17, 2020 2:34 pm QSPIX has been sinking slowly but consistently since December 2017. Plain old stocks and bonds have outperformed. It would be safer to assume that there must be some flaw in the design or implementation of its strategies.
I'm arriving at the same conclusion. The virtually constant, and significant, negative slope for the past 2.5 years is difficult to explain solely by their sources of "return".

I've had a significant position in QSPIX since 2014/2015. I've been patient, and am no stranger to waiting out down periods of assets, but QSPIX is starting to feel like a fundamentally flawed product that is slowly approaching zero.
sailor18
Posts: 27
Joined: Thu Sep 29, 2016 8:05 am

Re: Jettison QSPIX?

Post by sailor18 »

Any new thoughts on QSPIX?
Elysium
Posts: 3282
Joined: Mon Apr 02, 2007 6:22 pm

Re: Jettison QSPIX?

Post by Elysium »

sailor18 wrote: Thu Jul 02, 2020 9:30 pm Any new thoughts on QSPIX?
-20% YTD and -1.45% since inception, negative returns all around. File this along with PCRIX as bottomless money losing pits.
heyyou
Posts: 3842
Joined: Tue Feb 20, 2007 4:58 pm

Re: Jettison QSPIX?

Post by heyyou »

"All that glistens is not gold—
Often have you heard that told."
Wm. Shakespeare
Having paid for my education with long ownership of PCRIX (waiting/wasting a decade for its non-existent recovery) but purchased late, my opinion is that no fund designed for specific strategies, will do as desired over long periods. The markets are just more complex than as shown on their two dimensional historical price charts. Those prices also reflect public perceptions which are more complex than just the average of a group. There is no free lunch--it is the marketers who are selling that idea to those who are greedy for less volatility. Consider forsaking greedy shortcuts that will soon not work, and just accepting that dang volatility of owning only stock and bond index funds.

With a former 60/40 allocation, I have about a decade of retirement spending left in my bond funds before I have to sell any stock fund shares at today's prices. I have to adapt my spending to match my asset level (using the annual RMD % on the recent entire portfolio value) which seems far more reasonable than trying to find reward without the risk of volatility.
User avatar
HomerJ
Posts: 15686
Joined: Fri Jun 06, 2008 12:50 pm

Re: Jettison QSPIX?

Post by HomerJ »

Elysium wrote: Thu Jul 02, 2020 10:30 pm
sailor18 wrote: Thu Jul 02, 2020 9:30 pm Any new thoughts on QSPIX?
-20% YTD and -1.45% since inception, negative returns all around. File this along with PCRIX as bottomless money losing pits.
Seriously, I know certain advisors mean well, but people need to recognize that following advice to invest in QSPIX and PCRIX has made them POORER.

From inception in 2013
QSPIX $10,000 invested 7 years ago is worth $9,252
VTSAX (Total Stock) $10,000 invested 7 years ago is worth $21,374
VBTLX (Total Bond) $10,000 invested 7 years ago is worth $13,032

Though most people didn't invest at inception. They heard about it later, after it had a couple of positive years (even on these boards, unfortunately)

From 9/16/2015
QSPIX $10,000 invested 5 years ago is worth $7,875
VTSAX (Total Stock) $10,000 invested 5 years ago is worth $18,295
VBTLX (Total Bond) $10,000 invested 5 years ago is worth $12,418
A Goldman Sachs associate provided a variety of detailed explanations, but then offered a caveat, “If I’m being dead-### honest, though, nobody knows what’s really going on.”
aristotelian
Posts: 8589
Joined: Wed Jan 11, 2017 8:05 pm

Re: Jettison QSPIX?

Post by aristotelian »

HomerJ wrote: Thu Sep 17, 2020 12:48 pm
Elysium wrote: Thu Jul 02, 2020 10:30 pm
sailor18 wrote: Thu Jul 02, 2020 9:30 pm Any new thoughts on QSPIX?
-20% YTD and -1.45% since inception, negative returns all around. File this along with PCRIX as bottomless money losing pits.
Seriously, I know certain advisors mean well, but people need to recognize that following advice to invest in QSPIX and PCRIX has made them POORER.

From inception in 2013
QSPIX $10,000 invested 7 years ago is worth $9,252
VTSAX (Total Stock) $10,000 invested 7 years ago is worth $21,374
VBTLX (Total Bond) $10,000 invested 7 years ago is worth $13,032

Though most people didn't invest at inception. They heard about it later, after it had a couple of positive years (even on these boards, unfortunately)

From 9/16/2015
QSPIX $10,000 invested 5 years ago is worth $7,875
VTSAX (Total Stock) $10,000 invested 5 years ago is worth $18,295
VBTLX (Total Bond) $10,000 invested 5 years ago is worth $12,418
Hey, at least it is non-correlated!
Elysium
Posts: 3282
Joined: Mon Apr 02, 2007 6:22 pm

Re: Jettison QSPIX?

Post by Elysium »

aristotelian wrote: Thu Sep 17, 2020 12:51 pm
HomerJ wrote: Thu Sep 17, 2020 12:48 pm
Elysium wrote: Thu Jul 02, 2020 10:30 pm
sailor18 wrote: Thu Jul 02, 2020 9:30 pm Any new thoughts on QSPIX?
-20% YTD and -1.45% since inception, negative returns all around. File this along with PCRIX as bottomless money losing pits.
Seriously, I know certain advisors mean well, but people need to recognize that following advice to invest in QSPIX and PCRIX has made them POORER.

From inception in 2013
QSPIX $10,000 invested 7 years ago is worth $9,252
VTSAX (Total Stock) $10,000 invested 7 years ago is worth $21,374
VBTLX (Total Bond) $10,000 invested 7 years ago is worth $13,032

Though most people didn't invest at inception. They heard about it later, after it had a couple of positive years (even on these boards, unfortunately)

From 9/16/2015
QSPIX $10,000 invested 5 years ago is worth $7,875
VTSAX (Total Stock) $10,000 invested 5 years ago is worth $18,295
VBTLX (Total Bond) $10,000 invested 5 years ago is worth $12,418

Hey, at least it is non-correlated!
Oh sure. I have a better idea, they can mail me a check every month and that will be another source of risk uncorrelated with rest of their portfolio. I would even write a nice paper showing how having different sources of risk is good for them even if returns are negative because of the benefits of non-correlation :twisted:

The list of alternatives that made people poorer goes on and on, PCRIX. QSPIX, QRPIX, LENDX, AVRPX, SRRIX, while the fund companies did get rich off of fees. Alternative way to Alts
aristotelian
Posts: 8589
Joined: Wed Jan 11, 2017 8:05 pm

Re: Jettison QSPIX?

Post by aristotelian »

Elysium wrote: Thu Sep 17, 2020 1:16 pm Oh sure. I have a better idea, they can mail me a check every month and that will be another source of risk uncorrelated with rest of their portfolio. I would even write a nice paper showing how having different sources of risk is good for them even if returns are negative because of the benefits of non-correlation :twisted:

The list of alternatives that made people poorer goes on and on, PCRIX. QSPIX, QRPIX, LENDX, AVRPX, SRRIX, while the fund companies did get rich off of fees. Alternative way to Alts
Exactly. Every time I hear stock-like returns with zero correlation, I just try to remember that my time horizon with stocks is 10+ years anyway. Then I don't need to worry about finding other assets classes with stock-like returns. As long as I have a cushion in bonds on the safe side of the portfolio, I shouldn't need to worry about volatility on the risk side.
Post Reply