QSPIX - thoughts on interesting fund

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Random Walker
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Sun Jan 15, 2017 12:07 am

Lieutenant.Columbo,
Actually I've increased my QSPIX allocation to 9% of total portfolio. The market has done so well over last 7-8 years that I really have felt the need to take some risk off the table, but I think I have a bit of a gambling personality. Or perhaps I'm just an asset class junkie. I've reduced my equity allocation from about 70% to 47%, but have only increased my bond allocation from 30% to 35%. I have added asset classes that have expected equity like returns but virtually no correlation to equities: Increased QSPIX to 9%, added Time Series Momentum, added Alternative Lending, added Reinsurance fund. Over the last two years I've exited REITs and CCFs. REITs I think are way more correlated to equities than these new alternatives.
So now I'm 47% equities tilted fairly heavily to SV, 35% bonds, 18% alternatives. I think I've increased portfolio efficiency (and cost!) substantially. I actually haven't really looked at performance of the individual asset classes recently. It's a long term decision. One reason I took on these classes (QSPIX, TS Mom, Alt Lend, Reinsurance) is that for me, these were an alternative to municipal bonds with a much higher expected return but no correlation to equities. As you may have read in Larry's book, CS Mom is negatively correlated to value, and TS Mom is pretty much uncorrelated to value and has tended to behave very well in some bad bear markets. Of course high quality bonds behave very very well in bad bears. So I'm content with the change, like the tradeoffs I've made looking forward, but have no idea of recent performance of my changes. Obviously from this post, I'm a huge Larry Swedroe fan. Eager to hear your thoughts.

Dave

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tarheel
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Re: QSPIX - thoughts on interesting fund

Post by tarheel » Sun Jan 15, 2017 6:05 am

grap0013 wrote:
larryswedroe wrote:Keep in mind that this fund has NO correlation with stocks, not negative. That means there will be times when stocks do poorly and the fund doesn't do so well. Very hard to find negatively correlating assets.

Larry


Agreed. I have seen 3 separate periods with this fund so far. Equities up double digits in early 2015 and QSPIX was down. Then equities went down and QSPIX went up. Now equities are going down again and QSPIX is up again.

Here's how I look at it. If you take half a dozen factors that have positive returns about 2/3rds of the time and they are not correlated then most years you will have positive returns. Therefore, I'd casually wager this fund will have positive returns 80% of years. Since QSPIX is not correlated to equities, when equities are down 30% of years there is a pretty good chance QSPIX will be up which reduces your downside. Also, in the event both QSPIX and equities are down the former clearly has lower downside potential from what I've seen even on RBDs. Therefore, this fund reduces your downside paper losses either way when taken from the equity side of one's portfolio. Like all investments, I can envision some tracking error with QSPIX if equity funds have a couple years of double digit gains and QSPIX returns 5 or 6% or less.

"QSPIX is what we thought it was! Now if you want to crown them..."


C'mon grap, if you want to decrease drawdowns you need some QMHIX! Come over to the dark side...... :twisted:

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Re: QSPIX - thoughts on interesting fund

Post by tarheel » Sun Jan 15, 2017 6:19 am

Random Walker wrote:Lieutenant.Columbo,
Actually I've increased my QSPIX allocation to 9% of total portfolio. The market has done so well over last 7-8 years that I really have felt the need to take some risk off the table, but I think I have a bit of a gambling personality. Or perhaps I'm just an asset class junkie. I've reduced my equity allocation from about 70% to 47%, but have only increased my bond allocation from 30% to 35%. I have added asset classes that have expected equity like returns but virtually no correlation to equities: Increased QSPIX to 9%, added Time Series Momentum, added Alternative Lending, added Reinsurance fund. Over the last two years I've exited REITs and CCFs. REITs I think are way more correlated to equities than these new alternatives.
So now I'm 47% equities tilted fairly heavily to SV, 35% bonds, 18% alternatives. I think I've increased portfolio efficiency (and cost!) substantially. I actually haven't really looked at performance of the individual asset classes recently. It's a long term decision. One reason I took on these classes (QSPIX, TS Mom, Alt Lend, Reinsurance) is that for me, these were an alternative to municipal bonds with a much higher expected return but no correlation to equities. As you may have read in Larry's book, CS Mom is negatively correlated to value, and TS Mom is pretty much uncorrelated to value and has tended to behave very well in some bad bear markets. Of course high quality bonds behave very very well in bad bears. So I'm content with the change, like the tradeoffs I've made looking forward, but have no idea of recent performance of my changes. Obviously from this post, I'm a huge Larry Swedroe fan. Eager to hear your thoughts.

Dave


Random Walker - I don't know how old you are but that is pretty nearly exactly my final desired allocation at retirement - with 15% alternatives - 7.5% QSPIX and 7.5% QMHIX. I plan on retiring 30 years from now.......right now I'm 70% tilted equity 15% bond 15% alternatives at age 37. Cheers!

Random Walker
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Sun Jan 15, 2017 6:51 am

Tar Heel,
I'm 54, but not really sure if I might be forced into retirement earlier than I'd like

Dave

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Re: QSPIX - thoughts on interesting fund

Post by Lieutenant.Columbo » Sun Jan 15, 2017 9:34 am

Random Walker wrote:Lieutenant.Columbo,
Actually I've increased my QSPIX allocation to 9% of total portfolio. The market has done so well over last 7-8 years that I really have felt the need to take some risk off the table, but I think I have a bit of a gambling personality. Or perhaps I'm just an asset class junkie. I've reduced my equity allocation from about 70% to 47%, but have only increased my bond allocation from 30% to 35%. I have added asset classes that have expected equity like returns but virtually no correlation to equities: Increased QSPIX to 9%, added Time Series Momentum, added Alternative Lending, added Reinsurance fund. Over the last two years I've exited REITs and CCFs. REITs I think are way more correlated to equities than these new alternatives.
So now I'm 47% equities tilted fairly heavily to SV, 35% bonds, 18% alternatives. I think I've increased portfolio efficiency (and cost!) substantially. I actually haven't really looked at performance of the individual asset classes recently. It's a long term decision. One reason I took on these classes (QSPIX, TS Mom, Alt Lend, Reinsurance) is that for me, these were an alternative to municipal bonds with a much higher expected return but no correlation to equities. As you may have read in Larry's book, CS Mom is negatively correlated to value, and TS Mom is pretty much uncorrelated to value and has tended to behave very well in some bad bear markets. Of course high quality bonds behave very very well in bad bears. So I'm content with the change, like the tradeoffs I've made looking forward, but have no idea of recent performance of my changes. Obviously from this post, I'm a huge Larry Swedroe fan. Eager to hear your thoughts.

Dave
Dave,
Thank you for your update.
I find myself agreeing a lot with Larry Swedroe's thoughts too (when I do not agree is only because I do not know enough to understand :wink:).
Since you ask for my thoughts, we are in the process of redesigning our portfolio. It will be an RT6, bonds and alternatives.
Right now, I'm leaning towards
45% RT6
10% alternatives (5% LENDX, 2.5% QSPIX, 2.5% SRRIX)
45% bonds
Somehow I still think of and see bonds as the real, the ultimate safety net. I guess I should accept that the real safety net is in diversifying across factors, huh?
Lt. Columbo: Well, what do you know. Here I am talking with some of the smartest people in the world, and I didn't even notice!

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Re: QSPIX - thoughts on interesting fund

Post by matjen » Sun Jan 15, 2017 11:02 am

I added more QSPIX last week. Up to 7% of portfolio.
A man is rich in proportion to the number of things he can afford to let alone.

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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Sun Jan 15, 2017 11:31 am

Lieutenant.Columbo,
No, I think you are correct. The bonds are the real safety net. I don't think diversifying across factors can supplant bonds for safety. Risk stories for size, value, beta, ? Profitability, do involve risk. Behavioral stories for value, momentum, profitability, have the potential to be arbitraged away (although there are strong reasons to believe they won't be). So I'd stick with your idea that bonds are the closest thing to safety net. Like I said, part of my diversification across factors with relatively larger portion of my portfolio having equity like expected returns, could be related to a little gambling instinct in me. I think the chart in Larry's book that shows the % various time periods where each factor underperformed is highly valuable along with an appreciation of the correlations between the factors. VERY WORTHWHILE TO KNOW THAT WHILE BONDS ARE GENERALLY UNCORRELATED TO STOCKS, THE CORRELATION HAS STRONG TENDENCY TO TURN NEGATIVE JUST WHEN STOCKS ARE DOING WORST. Very hard to go wrong with your attitude that high quality short-intermediate duration bonds are the ultimate safety net.

Dave

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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Sun Jan 15, 2017 11:37 am

Lieutenant.Columbo,
And FWIW, I'm starting to lean in your RT6 direction. It seems to me that market beta tends to dominate portfolio risk and it is very worthwhile to try to keep expected return of a portfolio constant but decrease the portion of expected return due to market beta and increase the portion due to other sources. Perhaps I've been traumatized by 2000-20001.

Dave

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HomerJ
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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Sun Jan 15, 2017 12:21 pm

Lieutenant.Columbo wrote:Right now, I'm leaning towards
45% RT6
10% alternatives (5% LENDX, 2.5% QSPIX, 2.5% SRRIX)
45% bonds


What is RT6?

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Re: QSPIX - thoughts on interesting fund

Post by vesalius » Sun Jan 15, 2017 12:48 pm

HomerJ wrote:
Lieutenant.Columbo wrote:Right now, I'm leaning towards
45% RT6
10% alternatives (5% LENDX, 2.5% QSPIX, 2.5% SRRIX)
45% bonds


What is RT6?

I first saw it used by Swedroe here. "Two ways to use higher tilts, or full tilt, what we call RT6--because it loads about .6 on the two factors. Either higher returns or same returns accomplished by lowering BETA exposure. "

viewtopic.php?f=10&t=91531&p=1318542&hilit=swedroe+fat+tail#p1318556

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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Sun Jan 15, 2017 12:51 pm

RT6,would be something like 50% BOSVX, 37.5% DISVX and 12.5% DFEVX, or 50% BOSVX and 50% DWUSX
We use the terms RT1, 2, 3, 6 for model portfolios to roughly mean exposure to size and value factors with each RT to represent 10% loading.
DFA uses CORE 1 and CORE 2 portfolios in similar way, meaning Core 1 loads about .1 on the factors, etc.
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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Sun Jan 15, 2017 12:54 pm

Random Walker
Using SD as the measure of risk market beta makes up over 85% of the risk of the typical 60/40 portfolio if using intermediate safe bonds, and even more if use shorter bonds, not 60%. That's why years like 2008 can so devastate portfolios
Larry

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Re: QSPIX - thoughts on interesting fund

Post by grap0013 » Mon Jan 16, 2017 8:07 am

tarheel wrote:
C'mon grap, if you want to decrease drawdowns you need some QMHIX! Come over to the dark side...... :twisted:


Well I don't have much time to decide. I'm 15 basis points away from my lower rebalancing band of QSPIX. I'd have to either add 5% QSPIX to get back to 20% or now would be as good as time as any to add a 4-5% slice of QMHIX.
There are no guarantees, only probabilities.

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Re: QSPIX - thoughts on interesting fund

Post by sambb » Mon Jan 16, 2017 8:10 am

How does this fund fit into a diversified portfolio, and is there a preference to hold in tax deferred?

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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Mon Jan 16, 2017 8:51 am

sambb
First definitely have preference for tax advantaged account unless in low bracket. If willing to use as alternative to bonds, then could consider holding in taxable as have higher expected returns IMO, but of course with higher risks (but much than with stocks).

Second, it adds not just other factors to most portfolios, but adds them across not just stocks, but bonds, and commodities and currencies. Thus should be a good diversifier. My suggestion is that for various alternatives like this, and managed futures and reinsurance and alternative lending is if your allocation to stocks is high (above 60%) take from equity side, if low (say below 40%) can consider taking from bond side (if willing to take more risk), and if in between consider taking pro rata.

If take from equities should get similar portfolio returns with lower volatility and less downside risk. If take from bonds should get higher returns but with bit more volatility and more downside risk, but higher SR due to diversification benefits.

Hope that helps
Larry

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Re: QSPIX - thoughts on interesting fund

Post by tarheel » Tue Jan 17, 2017 5:58 am

grap0013 wrote:
tarheel wrote:
C'mon grap, if you want to decrease drawdowns you need some QMHIX! Come over to the dark side...... :twisted:


Well I don't have much time to decide. I'm 15 basis points away from my lower rebalancing band of QSPIX. I'd have to either add 5% QSPIX to get back to 20% or now would be as good as time as any to add a 4-5% slice of QMHIX.


You'll be buying at an 11% discount to what I did last September!

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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Tue Jan 17, 2017 10:54 am

larryswedroe wrote:If take from equities should get similar portfolio returns with lower volatility and less downside risk.


Serious question. Why own equities at all if the above is true?

If the answer is diversification, shouldn't QSPIX be your "main" fund, with only 10%-20% in equities for diversification instead of the other way around?

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Re: QSPIX - thoughts on interesting fund

Post by triceratop » Tue Jan 17, 2017 11:07 am

HomerJ wrote:
larryswedroe wrote:If take from equities should get similar portfolio returns with lower volatility and less downside risk.


Serious question. Why own equities at all if the above is true?

If the answer is diversification, shouldn't QSPIX be your "main" fund, with only 10%-20% in equities for diversification instead of the other way around?


1) QSPIX is much more expensive and less tax-efficient access to a similar expected return than market beta. That would make this a bad idea.

2) the idea isn't to use either alone, but together as uncorrelated investments with similar expected return (less expenses), improving portfolio efficiency.

Disclaimer: I do not use QSPIX
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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Tue Jan 17, 2017 11:12 am

Why own equities, because market beta is an independent source of risk and return that's uncorrelated with the sources of risk/return of QSPRX. Also as triceratops noted there's the tax efficiency issue. Higher bracket investors would not want to own a tax inefficient fund in taxable account generally.
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Re: QSPIX - thoughts on interesting fund

Post by lack_ey » Tue Jan 17, 2017 11:24 am

HomerJ wrote:
larryswedroe wrote:If take from equities should get similar portfolio returns with lower volatility and less downside risk.


Serious question. Why own equities at all if the above is true?

First of all, that statement can generally be true to an extent, up to a certain point, even if the alternative asset has worse risk/return than equities. In this case adding some of the relatively uncorrelated asset can improve things but too much makes things worse.

Here's a cherrypicked example using gold as an alternative asset that had low correlation with stocks and bonds over the period:
https://www.portfoliovisualizer.com/bac ... tion3_3=50
Image
Returns: 2 won, 1 was second (very close to 2), 3 was third. Volatility: 2 won, 1 was second, 3 was third (close to 1, both worse than 2).

Regardless you give up diversification by forgoing stocks. Definitely a bad idea. On the flip side, if you started out with an asset allocation of only AQR Style Premia (QSPIX) and bonds, somebody could just as well say that you could probably get similar (quite possibly better) returns with lower volatility and less downside risk by adding stocks to it. That is not in of itself a complete argument for going all the way to 100% stocks, either. A factor investor would tell you that if you don't have any market beta, it's cheap and easy to add some, and you should do it.

As noted above, the fund is tax inefficient, so that's something of a constraint for some people. On an after-tax basis the risk/return is worse.

Stepping back, there's also the possibility that any given analysis and ideas you have about a given fund are wrong. It doesn't make sense to go all-in on any strategy with ~4 years live trading, no matter the theoretical underpinnings and prior work with similar pieces and parts of the idea. You diversify in part not to tame the big bad volatility (which matters sometimes, but is not the only thing), but to protect against being wrong and putting too much in the wrong basket long term.

Furthermore, about everyone should err on the side of caution with alts and own less than models would suggest, as they increase tracking error/regret and most people are not good with that. It's bad enough to be losing money with everybody else, say if the stock market tanks (wrong and with company). It's a lot worse to be losing money doing something unconventional (wrong and alone). You're more liable to make behavioral errors.

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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Tue Jan 17, 2017 12:53 pm

lack_ey wrote:Regardless you give up diversification by forgoing stocks. Definitely a bad idea. On the flip side, if you started out with an asset allocation of only AQR Style Premia (QSPIX) and bonds, somebody could just as well say that you could probably get similar (quite possibly better) returns with lower volatility and less downside risk by adding stocks to it. That is not in of itself a complete argument for going all the way to 100% stocks, either. A factor investor would tell you that if you don't have any market beta, it's cheap and easy to add some, and you should do it.

As noted above, the fund is tax inefficient, so that's something of a constraint for some people. On an after-tax basis the risk/return is worse.

Stepping back, there's also the possibility that any given analysis and ideas you have about a given fund are wrong. It doesn't make sense to go all-in on any strategy with ~4 years live trading, no matter the theoretical underpinnings and prior work with similar pieces and parts of the idea. You diversify in part not to tame the big bad volatility (which matters sometimes, but is not the only thing), but to protect against being wrong and putting too much in the wrong basket long term.

Furthermore, about everyone should err on the side of caution with alts and own less than models would suggest, as they increase tracking error/regret and most people are not good with that. It's bad enough to be losing money with everybody else, say if the stock market tanks (wrong and with company). It's a lot worse to be losing money doing something unconventional (wrong and alone). You're more liable to make behavioral errors.


Great post. All four reasons are very solid and very well presented.

Wrong and alone is indeed tough to stick with.

I just find it very strange how confidently some people are posting "Here's a free lunch."

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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Tue Jan 17, 2017 12:59 pm

I just find it very strange how confidently some people are posting "Here's a free lunch."


Please show an actual quote where someone said this about alternatives

Larry

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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Tue Jan 17, 2017 9:07 pm

Homer J,
I think most folks interested in these alternatives would not call it a free lunch. They'd call it a portfolio addition that should improve the Sharpe ratio or bring compounded portfolio return closer to average annual return of portfolio components.

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Re: QSPIX - thoughts on interesting fund

Post by nisiprius » Tue Jan 17, 2017 9:56 pm

larryswedroe wrote:
I just find it very strange how confidently some people are posting "Here's a free lunch."


Please show an actual quote where someone said this about alternatives

Larry
Not in so many words, but an awful lot of writers have juxtaposed Markowitz's statement that "diversification is the only free lunch" with "alternatives" (as being some superior kind of "true" diversification), and the juxtaposition is so close that it would be very easy for a reader to think they had said it.

https://am.jpmorgan.com/blobcontent/800 ... 11_566.pdf - 'Diversification - still the only free lunch? Alternative building blocks for risk parity portfolios"

Finding True Diversification in Alternatives
They say that the only free lunch in finance is diversification. With stocks trading at lofty valuations and bonds yields historically low, it’s sensible to look at other alternative strategies that could potentially lower risk or increase return (or better yet: do both).
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Tue Jan 17, 2017 10:10 pm

nisiprius
Sure you get the investment porn crap like smart beta, but that's not what is discussed here. Here we talk about taking different types of risk with low correlations and premiums that have been persistent, pervasive, robust, implementable and have intuitive reasons for having confidence they are likely to persist.

BTW- what's interesting to me is how people who claim they believe in EMH, then say things like why should small value have higher expected returns. Basic capital arbitrage theory says in efficient market assets should have same Sharpe ratios. Well if that is the case, and SV has vol that is 70% above market than it must have higher expected returns so the SRs will be the same. And the correlations of the factors are low to negative. And if that is the case then adding assets with the same SR and low to negative correlation should lead to more efficient portfolios. This all follows, one from the other.
And the end result is a risk parity type of strategy, one that diversifies across many different sources of risk

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Re: QSPIX - thoughts on interesting fund

Post by Angst » Tue Jan 17, 2017 10:24 pm

larryswedroe wrote:
I just find it very strange how confidently some people are posting "Here's a free lunch."
Please show an actual quote where someone said this about alternatives
Larry
This can be easily addressed, at least as far as this thread is concerned, with the "search this topic" link at the top of this page:
https://www.bogleheads.org/forum/search.php?keywords=free+lunch&t=167241&sf=msgonly
Looks like Maynard is the primary culprit.

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Re: QSPIX - thoughts on interesting fund

Post by hilink73 » Wed Jan 18, 2017 12:33 pm

What are the ways to access AQR funds?
They mention a pretty high mininum for at least QSPIX.

Thanks

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Re: QSPIX - thoughts on interesting fund

Post by lack_ey » Wed Jan 18, 2017 1:10 pm

hilink73 wrote:What are the ways to access AQR funds?
They mention a pretty high mininum for at least QSPIX.

Thanks

AQR Style Premia (QSP*X where * = {N, I, R}) is closed to new investors, as is the low volatility version (QSL*X), out of concern of capacity constraints. Over a year ago they were talking about opening a second version with some assets stripped out but I don't see it available and don't know why it's not.

Earlier people had success buying in to their I Shares funds via Fidelity and maybe others in an IRA, where the minimum was lowered. Nowadays I don't see I Shares (or R6) being available except via institutional or advisory platforms. The N Shares with the additional 0.25% 12b-1 fee over I Shares are offered as no-transaction-fee funds at Fidelity, I think Scottrade, maybe others. The minimums we're talking about here are more like $2,500 or so, not the ones listed by the fund company. You can look up where a fund is offered at Morningstar. Check the purchase tab. Though I don't know how accurate that is, and it may be misleading: they for example have "Schwab Institutional Only" and "Schwab OneSource & NTF (No Load & No Transaction Fee)" for some funds that are actually institutional only (that is, ignore the second line).

With the additional 0.25% on top of the high management fees you need to calculate if the cost is worth it.

Certain advisors have access to these funds and others, of course.

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Re: QSPIX - thoughts on interesting fund

Post by hilink73 » Wed Jan 18, 2017 1:59 pm

Lack_ey,

great! Thanks for this explanation.
I do see it in the Interactive Brokers test account, but there's no further info.
I'll review this at a later point in time.

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Re: QSPIX - thoughts on interesting fund

Post by gtwhitegold » Thu Jan 19, 2017 7:29 am

Almost all AQR funds are advisor only now (including (QSPIX/QSPNX) with Scottrade.

lack_ey wrote:
hilink73 wrote:What are the ways to access AQR funds?
They mention a pretty high mininum for at least QSPIX.

Thanks

AQR Style Premia (QSP*X where * = {N, I, R}) is closed to new investors, as is the low volatility version (QSL*X), out of concern of capacity constraints. Over a year ago they were talking about opening a second version with some assets stripped out but I don't see it available and don't know why it's not.

Earlier people had success buying in to their I Shares funds via Fidelity and maybe others in an IRA, where the minimum was lowered. Nowadays I don't see I Shares (or R6) being available except via institutional or advisory platforms. The N Shares with the additional 0.25% 12b-1 fee over I Shares are offered as no-transaction-fee funds at Fidelity, I think Scottrade, maybe others. The minimums we're talking about here are more like $2,500 or so, not the ones listed by the fund company. You can look up where a fund is offered at Morningstar. Check the purchase tab. Though I don't know how accurate that is, and it may be misleading: they for example have "Schwab Institutional Only" and "Schwab OneSource & NTF (No Load & No Transaction Fee)" for some funds that are actually institutional only (that is, ignore the second line).

With the additional 0.25% on top of the high management fees you need to calculate if the cost is worth it.

Certain advisors have access to these funds and others, of course.

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Re: QSPIX - thoughts on interesting fund

Post by Lieutenant.Columbo » Fri Jan 20, 2017 11:57 pm

larryswedroe wrote:RT6,would be something like 50% BOSVX, 37.5% DISVX and 12.5% DFEVX, or 50% BOSVX and 50% DWUSX
Larry,
Two questions:
1. What are the reasons for using Or Not using the 50:50 RT6 versus the 50:37.5:12.5 RT6 portfolios above?
2. if I understand correctly, the Alternatives LENDX/SRRIX/QSPRX are uncorrelated to equities; does this mean that during an equities Bear market these Alternatives can be expected to behave more like Fixed Income than like equities? (or will Fixed Income always be safer than Alternatives in bear markets)? Do Alternatives contribute to shortening the Left tail in any situation, or do only bonds do that?
thank you
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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Sat Jan 21, 2017 7:59 am

LT

RT6 has the highest expected return. Rughly we expect market to be like 7.%, rt3 about 8.5% and rt6 about 10. So if we assume alts have market like returns but much lower vol, if you take from bonds which say have expected of say 2%, but vol of 5% (for say a 5 year) but the alts have vol of between 5-10, you increase tail risks some (but get big pick up in expected returns). If take from equities with an RT6 will lower expected some but not that much as gain some diversification benefit and lower tail risk a lot.

so it depends on how much risk willing and able and need to take, where you take it from. Generally I recommend with high equity allocation to take from equities, with low consider taking from bonds, and in between (40-60) consider pro rata.

Finally, Some alts have no correlation with stocks, so that means SOMETIMES both will do poorly, but there is no tendency. Some like LENDX will correlate with equities when UE is high and so that increases tail risk some if take from bond side (but reduces it if take from equities because downside is dramatically lower). If take from equities LENDX would reduce tail risk.

So answer depends on how the correlations work

Hope that helps
Larry

fundseeker
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Re: QSPIX - thoughts on interesting fund

Post by fundseeker » Sat Jan 21, 2017 8:37 am

hilink73 wrote:What are the ways to access AQR funds?
They mention a pretty high mininum for at least QSPIX.

Thanks


You say the QSPIX minimum is "pretty high"? I'd say $5 million qualifies as "very high," at least in my world!!! :)

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Re: QSPIX - thoughts on interesting fund

Post by Lieutenant.Columbo » Sat Jan 21, 2017 1:33 pm

larryswedroe wrote:...it depends on how much risk willing and able and need to take, where you take it from. Generally I recommend with high equity allocation to take from equities, with low consider taking from bonds, and in between (40-60) consider pro rata.

Finally, Some alts have no correlation with stocks, so that means SOMETIMES both will do poorly, but there is no tendency. Some like LENDX will correlate with equities when UE is high and so that increases tail risk some if take from bond side (but reduces it if take from equities because downside is dramatically lower). If take from equities LENDX would reduce tail risk...
thank you, Larry, that does help
I infer that, IF Willingness, Ability and Need allowed for Any of the following four allocations, the fourth one would be the most reasonable one to go with, correct?

RT6 40%
Alternatives 15%
Bonds 45%

RT6 45%
Alternatives 10%
Bonds 45%

RT6 40%
Alternatives 10%
Bonds 50%

RT6 42.5%
Alternatives 15%
Bonds 42.5%

Small differences in expected returns and left tail risk among the four, I realize. Not trying to find the best AA, only the best AA for us ;-)
Lt. Columbo: Well, what do you know. Here I am talking with some of the smartest people in the world, and I didn't even notice!

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Re: QSPIX - thoughts on interesting fund

Post by LadyGeek » Sat Jan 21, 2017 1:48 pm

Bear in mind that we often tell new investors to keep allocations to the nearest 5%.

Why? It's a lot harder to track otherwise, and doesn't make that much of a difference. Your 4th option looks like it's splitting the difference among the others.
To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.

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packer16
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Re: QSPIX - thoughts on interesting fund

Post by packer16 » Sat Jan 21, 2017 6:46 pm

How are you guys confident that this will not join the ranks of the high-cost alternative funds with less than market performance? How much underperformance would make you move somewhere else? Is there a benchmark you can use to see if the strategy is meeting its return objectives or not? If so, what is it? IMO you are paying alot of fees for a strategy that has worked in simulation but not in real-time. TIA.

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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Sat Jan 21, 2017 7:23 pm

lt
I would agree

And for packer with LENDX and SRRIX as the alternatives, at least relative to safe bonds I would say the odds they will outperform vs. say equities are higher, while adding diversification benefits. I Ihave about 10% of my assets in those two, and would have more if had more room

Larry

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Re: QSPIX - thoughts on interesting fund

Post by grok87 » Sat Jan 21, 2017 8:00 pm

packer16 wrote:How are you guys confident that this will not join the ranks of the high-cost alternative funds with less than market performance? How much underperformance would make you move somewhere else? Is there a benchmark you can use to see if the strategy is meeting its return objectives or not? If so, what is it? IMO you are paying alot of fees for a strategy that has worked in simulation but not in real-time. TIA.

Packer

Well in the case of QSPIX (AQR Style Premia Alternative Fund) there IS an interesting benchmark that one could compare it against. AQR actualy runs a lower volatility version of QSPIX called QSLIX (AQR Style Premia Alternative Low Vol Fund). QSLIX targets half the volatility that QSPIX does: i.e. QSLIX targets 5% Vol whereas QSPIX targets 10% Vol. Consequently QSPIX's expected return is supposed to be twice as high as QSLIX.
http://svrn.co/blog/2015/9/25/a-review- ... lternative

In fact, QSPIX'S return might even be expected to be MORE than double QSLIX since it's expense ratio is less than twice QSLIX's. QSLIX's expense ratio is 0.85% whereas QSPIX's expense ratio is 1.5%. So maybe QSPIX = 2*QSLIX + 0.2%?

So for 2016 QSLIX returned 0.65%. So shall we take a guess at what QSPIX returned for 2016?

maybe 1.3%?
maybe 1.5%?
...
...
...
...
QSPIX's return for 2016 was -0.47%.

All does not seem to be well in Style Premia Land...
"...people always live for ever when there is any annuity to be paid them"- Jane Austen

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Re: QSPIX - thoughts on interesting fund

Post by lack_ey » Sat Jan 21, 2017 8:49 pm

grok87 wrote:Well in the case of QSPIX (AQR Style Premia Alternative Fund) there IS an interesting benchmark that one could compare it against. AQR actualy runs a lower volatility version of QSPIX called QSLIX (AQR Style Premia Alternative Low Vol Fund). QSLIX targets half the volatility that QSPIX does: i.e. QSLIX targets 5% Vol whereas QSPIX targets 10% Vol. Consequently QSPIX's expected return is supposed to be twice as high as QSLIX.
http://svrn.co/blog/2015/9/25/a-review- ... lternative

In fact, QSPIX'S return might even be expected to be MORE than double QSLIX since it's expense ratio is less than twice QSLIX's. QSLIX's expense ratio is 0.85% whereas QSPIX's expense ratio is 1.5%. So maybe QSPIX = 2*QSLIX + 0.2%?

So for 2016 QSLIX returned 0.65%. So shall we take a guess at what QSPIX returned for 2016?

maybe 1.3%?
maybe 1.5%?
...
...
...
...
QSPIX's return for 2016 was -0.47%.

All does not seem to be well in Style Premia Land...

That's not how leverage works given the rebalancing and you know that. Or at least I think we've been through this before.


packer16 wrote:How are you guys confident that this will not join the ranks of the high-cost alternative funds with less than market performance? How much underperformance would make you move somewhere else? Is there a benchmark you can use to see if the strategy is meeting its return objectives or not? If so, what is it? IMO you are paying alot of fees for a strategy that has worked in simulation but not in real-time. TIA.

Packer

I don't expect market performance to begin with (I don't expect market performance from bonds either), and I don't have confidence in the sense that I don't really have confidence in any asset class. It's more about a matter of degree; I have lower confidence here but not so low I want to stay away altogether—I keep a higher allocation in stocks for several reasons and they're not just about costs/taxes/availability.

All there is for me is just an assessment that there's a reasonable chance of positive returns over any given period (and here I'm betting that it's over 50% and the expected value is positive), and in any given period there is a reasonable chance of negative returns from other asset classes, and the probabilities are such I estimate are that I'm willing to take some risk here as opposed to in other funds with less transparent strategies or weaker history with respect to live trading and historical data. My hope is for at least bondlike returns with no greater than stocklike risk, with relatively low correlations. If you don't believe in the strategies at all then you'd estimate negative returns on average here after costs; I do to some extent and I estimate some positive return on average.

A lot of the underlying has been used in real funds and money managers in the past, from currency carry to value approaches in stocks intra- and inter-market.

I check value and momentum performance at least in stocks, look up fund performance attribution, etc. If there's 4+ years of cumulative 30%+ losses I'll check if there's some new analysis or explanation that calls the underlying theory here or the way the strategies are integrated here into doubt. Yearly returns are very noisy and I don't much see the point in discussing them as they roll in unless there's something actually unexpected like a 50% gain in one year or a daily correlation with stocks over half a year of something like 0.6. In that case I'd wonder why.

If we're talking a loss of 20% or so, that happened more or less even in their backtest and this is hardly shocking for a strategy attempting ~10% standard deviation that has at least some negative skewness (and let's be real, it's leveraged and nobody should be surprised if the tails are fatter than any particular model suggests).

Wake me back up when something actually happens.

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Re: QSPIX - thoughts on interesting fund

Post by gtwhitegold » Sat Jan 21, 2017 9:17 pm

My sentiments exactly.

lack_ey wrote:
grok87 wrote:Well in the case of QSPIX (AQR Style Premia Alternative Fund) there IS an interesting benchmark that one could compare it against. AQR actualy runs a lower volatility version of QSPIX called QSLIX (AQR Style Premia Alternative Low Vol Fund). QSLIX targets half the volatility that QSPIX does: i.e. QSLIX targets 5% Vol whereas QSPIX targets 10% Vol. Consequently QSPIX's expected return is supposed to be twice as high as QSLIX.
http://svrn.co/blog/2015/9/25/a-review- ... lternative

In fact, QSPIX'S return might even be expected to be MORE than double QSLIX since it's expense ratio is less than twice QSLIX's. QSLIX's expense ratio is 0.85% whereas QSPIX's expense ratio is 1.5%. So maybe QSPIX = 2*QSLIX + 0.2%?

So for 2016 QSLIX returned 0.65%. So shall we take a guess at what QSPIX returned for 2016?

maybe 1.3%?
maybe 1.5%?
...
...
...
...
QSPIX's return for 2016 was -0.47%.

All does not seem to be well in Style Premia Land...

That's not how leverage works given the rebalancing and you know that. Or at least I think we've been through this before.


packer16 wrote:How are you guys confident that this will not join the ranks of the high-cost alternative funds with less than market performance? How much underperformance would make you move somewhere else? Is there a benchmark you can use to see if the strategy is meeting its return objectives or not? If so, what is it? IMO you are paying alot of fees for a strategy that has worked in simulation but not in real-time. TIA.

Packer

I don't expect market performance to begin with (I don't expect market performance from bonds either), and I don't have confidence in the sense that I don't really have confidence in any asset class. It's more about a matter of degree; I have lower confidence here but not so low I want to stay away altogether—I keep a higher allocation in stocks for several reasons and they're not just about costs/taxes/availability.

All there is for me is just an assessment that there's a reasonable chance of positive returns over any given period (and here I'm betting that it's over 50% and the expected value is positive), and in any given period there is a reasonable chance of negative returns from other asset classes, and the probabilities are such I estimate are that I'm willing to take some risk here as opposed to in other funds with less transparent strategies or weaker history with respect to live trading and historical data. My hope is for at least bondlike returns with no greater than stocklike risk, with relatively low correlations. If you don't believe in the strategies at all then you'd estimate negative returns on average here after costs; I do to some extent and I estimate some positive return on average.

A lot of the underlying has been used in real funds and money managers in the past, from currency carry to value approaches in stocks intra- and inter-market.

I check value and momentum performance at least in stocks, look up fund performance attribution, etc. If there's 4+ years of cumulative 30%+ losses I'll check if there's some new analysis or explanation that calls the underlying theory here or the way the strategies are integrated here into doubt. Yearly returns are very noisy and I don't much see the point in discussing them as they roll in unless there's something actually unexpected like a 50% gain in one year or a daily correlation with stocks over half a year of something like 0.6. In that case I'd wonder why.

If we're talking a loss of 20% or so, that happened more or less even in their backtest and this is hardly shocking for a strategy attempting ~10% standard deviation that has at least some negative skewness (and let's be real, it's leveraged and nobody should be surprised if the tails are fatter than any particular model suggests).

Wake me back up when something actually happens.

Random Walker
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Sat Jan 21, 2017 11:11 pm

Larry,
Do you recommend LENDX and SRRIX as alternative to munis in taxable account for portfolios with low equity allocation? Thanks,

Dave

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Re: QSPIX - thoughts on interesting fund

Post by packer16 » Sat Jan 21, 2017 11:34 pm

Some of you guys are willing to pay 1.5 to 2% for bond liker returns of 2 to 2.5%? That is like 50% to the manager 50% to you and you take all the risk. My main concern with the alternatives is the math is similar. I would be willing to pay up to 30% for something with a real time track record like TPG Specialty Lending, where you can get a 8.5% yield with very few defaults and bank level underwriting with a 20 year track record.

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Re: QSPIX - thoughts on interesting fund

Post by Ketawa » Sat Jan 21, 2017 11:44 pm

packer16 wrote:Some of you guys are willing to pay 1.5 to 2% for bond liker returns of 2 to 2.5%? That is like 50% to the manager 50% to you and you take all the risk. My main concern with the alternatives is the math is similar.

Packer


I don't think anyone in this thread is paying more than 1.50% for QSPIX or 1.75% for QSPNX for rebalancing. We got in while it was available at Fidelity without an advisor with low minimums.

According to some of Larry's posts in this thread, expected return is around 7% (after expense ratio) with standard deviation around 10%, and uncorrelated to equities & fixed income. Since inception, it has returned around 7% with 7% SD and been uncorrelated with equities & fixed income.

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Re: QSPIX - thoughts on interesting fund

Post by lack_ey » Sun Jan 22, 2017 12:16 am

Composite backtest return 1990-2013 is about 17% annual excess return (over cash) with 10% standard deviation, before costs, without particularly cherrypicked style definitions.

The institutional version for the strategy ran live money with I think a double-digit return in the year before the mutual fund opened. Anybody have a source or link for that? I had it and lost it at some point.

The threshold for it being worth it to me is bondlike returns. I did not say that that was the best estimate of actual returns.

In any case I don't think it makes too much sense to focus on the risk and cost of single components in isolation. The portfolio is the thing. You have to determine the best way to get the exposures you want. Of course all else equal you want less costs.

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Re: QSPIX - thoughts on interesting fund

Post by packer16 » Sun Jan 22, 2017 8:58 am

In terms of returns going forward IMO I think there are issues here. First, they closed it because they thought it would affect performance if they did not & a performance shortfall has occurred despite this. The return was -.5% despite the strong performance of the value factor in 2016 almost double the S&P 500 return (VSIIX had a 26% return while VFINX had a 13% return). Why is this? So if value had 13% return then the fund must have lost 13+% somewhere else to get a negative return. To an outsider this fund appears to be dependent upon factor timing & weighting which I do not believe anyone can do.

As to looking at this in isolation versus a portfolio, cannot this be said of all investment including poor ones. IMO the way to look at funds/securities is at the individual level & ensure strength there and use a portfolio to protect you from mistakes in your expectations. If you know going in you are paying alot for a small expected return then the expected return should show up pretty regularly or you are hurting your overall performance.

Thanks for clarifying expected returns. So lets compare this to a balanced fund. Over the past 3 years this fund has a 20.7% return versus a 20.3% return for Vanguard Balanced, pretty close. However, this implies balanced fund expected returns which are significantly less than 7%.

IMO back testing can be misleading and has led many astray in the past. If I am not mistaken this is how one of AQR's funds blew up in the past (folks relying on historical back-tested results). Also, since this is based upon a quant strategy, how do we know that others have not reversed engineered this and arbed away any profits from this implementation of factors? Just my 2 cents.

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Re: QSPIX - thoughts on interesting fund

Post by long_gamma » Sun Jan 22, 2017 9:30 am

packer16 wrote:In terms of returns going forward IMO I think there are issues here. First, they closed it because they thought it would affect performance if they did not & a performance shortfall has occurred despite this. The return was -.5% despite the strong performance of the value factor in 2016 almost double the S&P 500 return (VSIIX had a 26% return while VFINX had a 13% return). Why is this? So if value had 13% return then the fund must have lost 13+% somewhere else to get a negative return. To an outsider this fund appears to be dependent upon factor timing & weighting which I do not believe anyone can do.


It is apples to oranges comparison.

This fund invests Equities, Commodities, Currencies and Fixed income. Equities is also across all markets. Comparing S&P500 value return to entire fund is not appropriate.

As far as i know, there is no factor timing involved. Fund follows mechanical approach.
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Re: QSPIX - thoughts on interesting fund

Post by lack_ey » Sun Jan 22, 2017 11:43 am

Any risky strategy loses money at times, regardless of whether it was backtested or not. The more leverage and the more risk, the more you can lose. All else equal I think you would prefer something that at least worked well in theory without overt signs of strategy definitions being tortuously crafted to maximize and overfit over a certain dataset, plus concepts and substrategies cribbed from existing theory and experiences of live trading.

Value in stocks globally was positive; momentum was negative. I don't think defensive strategies were particularly great. I'd need to check the different forms of carry and val/mom in other asset classes but in any case value within US stocks is a small part of the underlying.

long_gamma wrote:As far as i know, there is no factor timing involved. Fund follows mechanical approach.

The positioning is determined mechanically, but not in a way that is strictly constant in any short-term sense. There's vol targeting and also some modest variation depending on the level of signal (style) agreement.

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Re: QSPIX - thoughts on interesting fund

Post by long_gamma » Sun Jan 22, 2017 11:52 am

lack_ey wrote:
long_gamma wrote:As far as i know, there is no factor timing involved. Fund follows mechanical approach.

The positioning is determined mechanically, but not in a way that is strictly constant in any short-term sense. There's vol targeting and also some modest variation depending on the level of signal (style) agreement.


True. But vol targeting is also mechanical approach, not like touchy, feely market timing as implied by the other poster.
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Re: QSPIX - thoughts on interesting fund

Post by larryswedroe » Sun Jan 22, 2017 11:54 am

packer the closure was due to limitations on capacity caused by the issues related to commodities futures and new regulations limiting their ability to access markets efficiently. Not related to capacity of the strategy itself. They talked about opening a new fund that would not include commodities and thus avoid the problem. Haven't heard more about it lately

And yes it was defensive I believe that performed poorly as you had a risk on market as things like small value did particularly well. Nothing unusual happened with the fund. Will have more insight after the fund has its attribution analysis webinar

Larry

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Re: QSPIX - thoughts on interesting fund

Post by grok87 » Sun Jan 22, 2017 12:54 pm

packer16 wrote:
IMO back testing can be misleading and has led many astray in the past. If I am not mistaken this is how one of AQR's funds blew up in the past (folks relying on historical back-tested results). A
Packer

yep.

As lack_ey points out the backtest for this fund starts in 1990. How could one possibly argue with that? a nice round number to start on.
But i seem to recall there was a somewhat significant event in the market just a few years before that blew up a lot of leveraged funds (and QSPIX is very leveraged IMHO).
https://en.wikipedia.org/wiki/Black_Monday_(1987)
"...people always live for ever when there is any annuity to be paid them"- Jane Austen

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