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 » Sat Nov 17, 2018 12:56 am

I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave

fennewaldaj
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Re: QSPIX - thoughts on interesting fund

Post by fennewaldaj » Sat Nov 17, 2018 1:28 am

Random Walker wrote:
Sat Nov 17, 2018 12:56 am
I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave
I might consider it if it was offered to regular investors without an adviser. I still might not though because shorting and heavy leverage make me a bit uncomfortable and the improvement was pretty minor.

columbia
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Re: QSPIX - thoughts on interesting fund

Post by columbia » Sat Nov 17, 2018 1:51 am

Per PV, correlation with SP500 since January 2014:

TBM: -0.04
QSPIX: 0.07

CAGR since January 2014:

TBM: 1.95%
QSPIX: 4.15%

No great surprise that a higher correlation to SP500 has resulted in a higher return, in comparison to Total Bond Market.

Expense ratio:

TBM: 0.05%
QSPIX: 2.33%

At the risk of being called anti-intellectual (or xenophobic 😀 ), it doesn’t seem to have been a superior choice, if one is hoping for diversification against stocks.

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Robert T
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Re: QSPIX - thoughts on interesting fund

Post by Robert T » Sat Nov 17, 2018 3:33 am

Random Walker wrote:
Sat Nov 17, 2018 12:56 am
I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave
If we add taxes to inclusion considerations:

Annualized returns since inception of QSPIX (according to M*):
  • Before tax = 4.85%
    After tax = 2.34%
    Tax haircut = 2.51%
Adding a 30% QSPIX allocation to a Vanguard Tax-Managed Balanced Fund https://www.portfoliovisualizer.com/bac ... bol3=VBINX - since November 2013

Annualized return (%) / Standard Deviation / Sharpe Ratio / Max Drawdown

6.77% / 4.82 / 1.28 / -3.79 = Without QSPIX
6.24% / 4.13 / 1.36 / -4.18 = With QSPIX

Adding QSPIX lowered return and volatility and increased the Sharpe Ratio, but also increase 'tail risk' with a larger downside.

If QSPIX is held in a taxable account, the annualized return of the portfolio with QSPIX would have declined to about 5.5% reducing the Sharpe Ratio to below the portfolio without QSPIX. The above analysis does not include any advisor fee for access to QSPIX, or using the higher cost QSPNX fund.

Obviously no guarantees.

Robert
.

grok87
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Re: QSPIX - thoughts on interesting fund

Post by grok87 » Sat Nov 17, 2018 6:46 am

Robert T wrote:
Sat Nov 17, 2018 3:33 am
Random Walker wrote:
Sat Nov 17, 2018 12:56 am
I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave
If we add taxes to inclusion considerations:

Annualized returns since inception of QSPIX (according to M*):
  • Before tax = 4.85%
    After tax = 2.34%
    Tax haircut = 2.51%
Adding a 30% QSPIX allocation to a Vanguard Tax-Managed Balanced Fund https://www.portfoliovisualizer.com/bac ... bol3=VBINX - since November 2013

Annualized return (%) / Standard Deviation / Sharpe Ratio / Max Drawdown

6.77% / 4.82 / 1.28 / -3.79 = Without QSPIX
6.24% / 4.13 / 1.36 / -4.18 = With QSPIX

Adding QSPIX lowered return and volatility and increased the Sharpe Ratio, but also increase 'tail risk' with a larger downside.

If QSPIX is held in a taxable account, the annualized return of the portfolio with QSPIX would have declined to about 5.5% reducing the Sharpe Ratio to below the portfolio without QSPIX. The above analysis does not include any advisor fee for access to QSPIX, or using the higher cost QSPNX fund.

Obviously no guarantees.

Robert
.
thanks Robert. very helpful. I'm glad in particular you showed the drawdown figures. IMHO it is a mistake to evaluate leveraged hedge-fund like products such as QSPIX using sharpe ratio. These products have lots of tail risk. I think draw-down or downside (how much the fund has lost) is the only way to evaluate them.
Keep calm and Boglehead on. KCBO.

betablocker
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Re: QSPIX - thoughts on interesting fund

Post by betablocker » Sat Nov 17, 2018 12:46 pm

I wouldn’t use qspix in taxable. It trades tax inefficient categories like commodities, bonds, currencies, etc. it does have equities so it would have higher correlation to the market than a bond fund. The key is diversification. I don’t think judging that benefit since 2014 makes sense. If we get both bonds and stocks going down at once qspix could offer more diversification.

lack_ey
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Re: QSPIX - thoughts on interesting fund

Post by lack_ey » Sat Nov 17, 2018 1:35 pm

betablocker wrote:
Sat Nov 17, 2018 12:46 pm
I wouldn’t use qspix in taxable. It trades tax inefficient categories like commodities, bonds, currencies, etc. it does have equities so it would have higher correlation to the market than a bond fund. The key is diversification. I don’t think judging that benefit since 2014 makes sense. If we get both bonds and stocks going down at once qspix could offer more diversification.
It "does have equities" but that's about equal long and short by beta (though generally probably more $ long than short, because it explicitly goes after the defensive style). It should be about 0 equity market beta.

afan
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Re: QSPIX - thoughts on interesting fund

Post by afan » Sat Nov 17, 2018 9:12 pm

If you have to pay an advisor to get into this fund I am not sure it is realistic to deduct the advisor fee only from those returns. One is far more likely to pay 1%, or whatever, on the entire portfolio. I suppose, if your assets were large enough, you could have a large enough investment is QSPIX to not only meet the advisor minimum, but to get the fee down to 1%. I am sure the advisor would figure out what you were doing but short of turning you away there would be little they could do about it.

The likely scenario has a 1% drag on your total portfolio. That would make the proper comparison

Total stock market plus total bond market, no advisor fee

Vs

(Total stock market, total bond market plus QSPIX) minus 1%.

That is a high bar to clear.
We don't know how to beat the market on a risk-adjusted basis, and we don't know anyone that does know either | --Swedroe | We assume that markets are efficient, that prices are right | --Fama

AlphaLess
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Re: QSPIX - thoughts on interesting fund

Post by AlphaLess » Sat Nov 17, 2018 9:23 pm

betablocker wrote:
Wed Nov 14, 2018 3:54 pm
This debate is getting old. If you don't believe in factor investing you don't believe in it.
I think there is a more fundamental point here. It is about a firm that is all about publishing historical paper results based on some model and attempting to deliver actual results based on that model. Also, all the while using other people's money to do it.
"You can get more with a kind word and a gun than with just a kind word." George Washington

betablocker
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Re: QSPIX - thoughts on interesting fund

Post by betablocker » Sun Nov 18, 2018 4:51 pm

Wouldn’t that describe every firm in the industry?

Random Walker
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Sun Nov 18, 2018 6:29 pm

grok87 wrote:
Sat Nov 17, 2018 6:46 am
Robert T wrote:
Sat Nov 17, 2018 3:33 am
Random Walker wrote:
Sat Nov 17, 2018 12:56 am
I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave
If we add taxes to inclusion considerations:

Annualized returns since inception of QSPIX (according to M*):
  • Before tax = 4.85%
    After tax = 2.34%
    Tax haircut = 2.51%
Adding a 30% QSPIX allocation to a Vanguard Tax-Managed Balanced Fund https://www.portfoliovisualizer.com/bac ... bol3=VBINX - since November 2013

Annualized return (%) / Standard Deviation / Sharpe Ratio / Max Drawdown

6.77% / 4.82 / 1.28 / -3.79 = Without QSPIX
6.24% / 4.13 / 1.36 / -4.18 = With QSPIX

Adding QSPIX lowered return and volatility and increased the Sharpe Ratio, but also increase 'tail risk' with a larger downside.

If QSPIX is held in a taxable account, the annualized return of the portfolio with QSPIX would have declined to about 5.5% reducing the Sharpe Ratio to below the portfolio without QSPIX. The above analysis does not include any advisor fee for access to QSPIX, or using the higher cost QSPNX fund.

Obviously no guarantees.

Robert
.
thanks Robert. very helpful. I'm glad in particular you showed the drawdown figures. IMHO it is a mistake to evaluate leveraged hedge-fund like products such as QSPIX using sharpe ratio. These products have lots of tail risk. I think draw-down or downside (how much the fund has lost) is the only way to evaluate them.
Two thoughts
1. There is now a similar AQR fund designed more for taxable accounts, QRPRX, Alternative Risk Premia Fund. It has the same four styles (carry, value, CS momentum, defensive) and adds two more: trend (TS momentum) and variance risk premium. QSPIX has 4 asset classes: equities, bonds, currencies, commodities. QRPRX drops the commodities.
2. I wouldn’t look at the Sharpe ratio of the fund in isolation so much as look at what addition of the fund to a portfolio does to the Sharpe ratio of the portfolio.

Dave

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Taylor Larimore
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"Past Performance"

Post by Taylor Larimore » Sun Nov 18, 2018 7:11 pm

Bogleheads:

It is time for a word of caution because this has become a very long thread full of past performance figures that are unlikely to repeat.

"What Experts Say About Past Performance."

Best wishes.
Taylor
"Simplicity is the master key to financial success." -- Jack Bogle

JackoC
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Re: "Past Performance"

Post by JackoC » Mon Nov 19, 2018 9:26 am

Taylor Larimore wrote:
Sun Nov 18, 2018 7:11 pm
Bogleheads:

It is time for a word of caution because this has become a very long thread full of past performance figures that are unlikely to repeat.

Best wishes.
Taylor
Every discussion of conventional equities on this forum, that I've seen, tends to come around to statements also based on past performance. I don't see what's special about this thread in that particular regard.

Random Walker
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Mon Nov 19, 2018 12:27 pm

Our faith in equity market beta, for good or bad, is also based at least partially on past performance.

Dave

columbia
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Re: QSPIX - thoughts on interesting fund

Post by columbia » Mon Nov 19, 2018 1:06 pm

Random Walker wrote:
Mon Nov 19, 2018 12:27 pm
Our faith in equity market beta, for good or bad, is also based at least partially on past performance.

Dave

Sure....but QSPIX is attempting to sell a magic potion, not market beta.

Random Walker
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Mon Nov 19, 2018 1:22 pm

columbia wrote:
Mon Nov 19, 2018 1:06 pm
Random Walker wrote:
Mon Nov 19, 2018 12:27 pm
Our faith in equity market beta, for good or bad, is also based at least partially on past performance.

Dave

Sure....but QSPIX is attempting to sell a magic potion, not market beta.
Not magic potion. Each of the styles QSPIX invests in have historical data behind them. Moreover, they have intuitive risk based and/or behavioral based supporting explanations. Getting at limits of my knowledge here, but my understanding is that academics have found it difficult to explain the size of the historic equity risk premium. No guarantee that the future equity risk premium will match the past. This is potentially especially true given current valuations.

Dave

hdas
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Re: QSPIX - thoughts on interesting fund

Post by hdas » Tue Dec 11, 2018 11:07 pm

It would be interesting to know, what in the name of the good one is this fund doing wrong since about April/2018 to have such a persistent (low volatility) path south?

Does anybody know?
Has the transparent and brilliant head of the firm hinted at the causes of this decay?
Stay the course and buy some more.

Angst
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Re: QSPIX - thoughts on interesting fund

Post by Angst » Wed Dec 12, 2018 12:02 am

hdas wrote:
Tue Dec 11, 2018 11:07 pm
It would be interesting to know, what in the name of the good one is this fund doing wrong since about April/2018 to have such a persistent (low volatility) path south?

Does anybody know?
Has the transparent and brilliant head of the firm hinted at the causes of this decay?
It would appear that the factor stars have not only aligned but have simultaneously dimmed.

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matjen
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Re: QSPIX - thoughts on interesting fund

Post by matjen » Wed Dec 12, 2018 9:11 am

hdas wrote:
Tue Dec 11, 2018 11:07 pm
It would be interesting to know, what in the name of the good one is this fund doing wrong since about April/2018 to have such a persistent (low volatility) path south?

Does anybody know?
Has the transparent and brilliant head of the firm hinted at the causes of this decay?
Liquid Alt Ragnarök?
September 7, 2018 - Cliff Asness

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.
https://www.aqr.com/Insights/Perspectiv ... t-Ragnarok

But What About October?
November 23, 2018 - Cliff Asness

This year of pain in liquid alternatives has continued. Cliff shows the results of an AQR representative liquid alts portfolio and based on an analysis of it, discusses how our investment process and our long-term liquid alts record remains sound, how October was disappointing but not a particularly abnormal outcome, and how our process has been well-behaved over time, particularly compared with the market portfolio.
https://www.aqr.com/Insights/Perspectiv ... ut-October
A man is rich in proportion to the number of things he can afford to let alone.

Elysium
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Re: QSPIX - thoughts on interesting fund

Post by Elysium » Wed Dec 12, 2018 9:36 am

matjen wrote:
Wed Dec 12, 2018 9:11 am
hdas wrote:
Tue Dec 11, 2018 11:07 pm
It would be interesting to know, what in the name of the good one is this fund doing wrong since about April/2018 to have such a persistent (low volatility) path south?

Does anybody know?
Has the transparent and brilliant head of the firm hinted at the causes of this decay?
Liquid Alt Ragnarök?
September 7, 2018 - Cliff Asness

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.
https://www.aqr.com/Insights/Perspectiv ... t-Ragnarok

But What About October?
November 23, 2018 - Cliff Asness

This year of pain in liquid alternatives has continued. Cliff shows the results of an AQR representative liquid alts portfolio and based on an analysis of it, discusses how our investment process and our long-term liquid alts record remains sound, how October was disappointing but not a particularly abnormal outcome, and how our process has been well-behaved over time, particularly compared with the market portfolio.
https://www.aqr.com/Insights/Perspectiv ... ut-October
All sound very familiar to Pimco Commodity Futures Fund (PCRIX) CCF contango and backwardation explanation for not living up to promised protection away from stocks and bonds.

cheezit
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Re: QSPIX - thoughts on interesting fund

Post by cheezit » Wed Dec 12, 2018 10:21 am

Elysium wrote:
Wed Dec 12, 2018 9:36 am
matjen wrote:
Wed Dec 12, 2018 9:11 am
hdas wrote:
Tue Dec 11, 2018 11:07 pm
It would be interesting to know, what in the name of the good one is this fund doing wrong since about April/2018 to have such a persistent (low volatility) path south?

Does anybody know?
Has the transparent and brilliant head of the firm hinted at the causes of this decay?
Liquid Alt Ragnarök?
September 7, 2018 - Cliff Asness

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.
https://www.aqr.com/Insights/Perspectiv ... t-Ragnarok

But What About October?
November 23, 2018 - Cliff Asness

This year of pain in liquid alternatives has continued. Cliff shows the results of an AQR representative liquid alts portfolio and based on an analysis of it, discusses how our investment process and our long-term liquid alts record remains sound, how October was disappointing but not a particularly abnormal outcome, and how our process has been well-behaved over time, particularly compared with the market portfolio.
https://www.aqr.com/Insights/Perspectiv ... ut-October
All sound very familiar to Pimco Commodity Futures Fund (PCRIX) CCF contango and backwardation explanation for not living up to promised protection away from stocks and bonds.
I recall a post from William Bernstein that described the situation similarly; to wit, "people noticed commodities had a low correlation with equities => a whole bunch of dumb money flooded into CCFs => contango".

hdas
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Re: QSPIX - thoughts on interesting fund

Post by hdas » Wed Dec 12, 2018 10:46 am

It's just very difficult to achieve such a smooth path (in both directions). The fund has 4-5 strategies across diff assets. This aims to maximum diversification.

42.8% + 16.5% Stocks + Indices
19.6% Currencies
13.3% Commodities
7.7% Fixed Income

x

VALUE, MOM, CARRY, DEFENSIVE

Ok, so roughly you have 4 assets x 4 factors = 16 diff strategies. Does anybody know the backtest correlations between this 16 diff strategies.?

If I was an institutional holder of this fund, I'd like to have a meeting and see the performance of the internal 16 strategies to understand better what the hell is going on relative to the back test, instead of reading all that mumbo-jumbo from Cliff.
Stay the course and buy some more.

Random Walker
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Wed Dec 12, 2018 11:44 am

hdas wrote:
Wed Dec 12, 2018 10:46 am
It's just very difficult to achieve such a smooth path (in both directions). The fund has 4-5 strategies across diff assets. This aims to maximum diversification.

42.8% + 16.5% Stocks + Indices
19.6% Currencies
13.3% Commodities
7.7% Fixed Income

x

VALUE, MOM, CARRY, DEFENSIVE

Ok, so roughly you have 4 assets x 4 factors = 16 diff strategies. Does anybody know the backtest correlations between this 16 diff strategies.?

If I was an institutional holder of this fund, I'd like to have a meeting and see the performance of the internal 16 strategies to understand better what the hell is going on relative to the back test, instead of reading all that mumbo-jumbo from Cliff.
https://www.aqr.com/-/media/AQR/Documen ... -Style.pdf

Look at table 5. Basically same factor between asset classes uncorrelated and different factors for same asset class uncorrelated. All 16 uncorrelated with each other.

Or this is the more readable layperson version. Look at exhibit 4.
https://www.aqr.com/~/media/files/paper ... esting.pdf

Elysium
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Re: QSPIX - thoughts on interesting fund

Post by Elysium » Wed Dec 12, 2018 11:53 am

cheezit wrote:
Wed Dec 12, 2018 10:21 am
Elysium wrote:
Wed Dec 12, 2018 9:36 am
matjen wrote:
Wed Dec 12, 2018 9:11 am
hdas wrote:
Tue Dec 11, 2018 11:07 pm
It would be interesting to know, what in the name of the good one is this fund doing wrong since about April/2018 to have such a persistent (low volatility) path south?

Does anybody know?
Has the transparent and brilliant head of the firm hinted at the causes of this decay?
Liquid Alt Ragnarök?
September 7, 2018 - Cliff Asness

Cliff discusses the recent tough times for quantitative factor-based liquid alts and makes the case for why the painful and difficult times are a big part of why our quantitative factors are real and can improve long-term results for those who can allocate part of their portfolio to them and then stick with it.
https://www.aqr.com/Insights/Perspectiv ... t-Ragnarok

But What About October?
November 23, 2018 - Cliff Asness

This year of pain in liquid alternatives has continued. Cliff shows the results of an AQR representative liquid alts portfolio and based on an analysis of it, discusses how our investment process and our long-term liquid alts record remains sound, how October was disappointing but not a particularly abnormal outcome, and how our process has been well-behaved over time, particularly compared with the market portfolio.
https://www.aqr.com/Insights/Perspectiv ... ut-October
All sound very familiar to Pimco Commodity Futures Fund (PCRIX) CCF contango and backwardation explanation for not living up to promised protection away from stocks and bonds.
I recall a post from William Bernstein that described the situation similarly; to wit, "people noticed commodities had a low correlation with equities => a whole bunch of dumb money flooded into CCFs => contango".
It should also be noted that several wealth management firms lobbied DFA to launch a lower cost Commodity Futures Fund, and even though they didn't believe in the idea, they caved in and opened one finally in 2010. The results are there to see, check out DCMSX. I wonder what these wealth management firms have at their core to keep driving their clients into the ditch like this. I guess it's constant search for the perfect portfolio that doesn't exist.

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Ketawa
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Re: QSPIX - thoughts on interesting fund

Post by Ketawa » Wed Dec 12, 2018 11:56 am

hdas wrote:
Wed Dec 12, 2018 10:46 am
If I was an institutional holder of this fund, I'd like to have a meeting and see the performance of the internal 16 strategies to understand better what the hell is going on relative to the back test, instead of reading all that mumbo-jumbo from Cliff.
That is exactly what AQR does. Occasionally, we get some of the analysis filtered out to the forum, but it seems to be limited to their advisors or institutional clients. See this post for an example mentioning it or search the thread for "attribution."

hdas
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Re: QSPIX - thoughts on interesting fund

Post by hdas » Wed Dec 12, 2018 12:02 pm

Random Walker wrote:
Wed Dec 12, 2018 11:44 am
https://www.aqr.com/-/media/AQR/Documen ... -Style.pdf

Look at table 5. Basically same factor between asset classes uncorrelated and different factors for same asset class uncorrelated. All 16 uncorrelated with each other.

Or this is the more readable layperson version. Look at exhibit 4.
https://www.aqr.com/~/media/files/paper ... esting.pdf
Thanks, that is informative.
Ok so the question then is how significantly different is this year (12 months) or 252 trading days relative to history. Sampling in years is very convenient for the message of "patience" they need to convey to clients.

So again, If I was an institutional holder, I would ask for the backtest numbers sampled daily and run my own tests to compare the last 250 days vs history to see if something more worrisome is going on. This is what the most successful boutique fund of funds and family offices do. 0 patience for underperformance. Also performance relative to AUM is useful. Or dollar weighted returns.

Have you seen the result of these type of tests for this fund?

Thanks
Stay the course and buy some more.

Random Walker
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Wed Dec 12, 2018 12:18 pm

I have only heard that a large part of the disappointing performance is due to value in equities. And I agree with you. If that is only one style in one asset class (1/16th) then why such a large effect? I don’t know, I’m an amateur. I’m sure there are good explanations, I just don’t know them.

Dave

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HomerJ
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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Wed Dec 12, 2018 12:39 pm

Vanguard's Market Neutral fund (VMNFX) is almost exactly even YTD. 0.06% gain

QSPIX is down 13.2% for the year.

I wonder if Cliff Asness's net worth will be higher or lower on next year's Forbes billionaire list?
The J stands for Jay

columbia
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Re: QSPIX - thoughts on interesting fund

Post by columbia » Wed Dec 12, 2018 12:41 pm

HomerJ wrote:
Wed Dec 12, 2018 12:39 pm
Vanguard's Market Neutral fund (VMNFX) is almost exactly even YTD. 0.06% gain

QSPIX is down 13.2% for the year.

I wonder if Cliff Asness's net worth will be higher or lower on next year's Forbes billionaire list?
Given the expense ratio....


Also: I wouldn’t automatically assume that he actually owns this fund. Don’t ____ where you eat and all of that.

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HomerJ
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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Wed Dec 12, 2018 12:52 pm

columbia wrote:
Wed Dec 12, 2018 12:41 pm
HomerJ wrote:
Wed Dec 12, 2018 12:39 pm
Vanguard's Market Neutral fund (VMNFX) is almost exactly even YTD. 0.06% gain

QSPIX is down 13.2% for the year.

I wonder if Cliff Asness's net worth will be higher or lower on next year's Forbes billionaire list?
Given the expense ratio....


Also: I wouldn’t automatically assume that he actually owns this fund. Don’t ____ where you eat and all of that.
Edit: All my guesses here were way off. I have added the real numbers below. I left the original guesses to show how wrong I was when just guessing numbers.

AQR in total has $226 billion under assets. At a 2%-3% expense ratio, that's $4-$6 billion a year.

They have 1025 "talented minds" working for them across their global offices.

Even if they pay those guys $1 million each, that's only $1 billion. But figure they pay the top 100 $50 million each, so let's call it $1.5 billion.

Another $1 billion to handle all the computer and office stuff (and that's a LOT of money for that).

I'm guessing at least $2 to $3 billion in profits. A year. Every year.

There's a reason Cliff Asness didn't even make the Forbes billionaire list a few years ago, but last year he shot up there at $3.6 billion.

Hint: It wasn't because his funds tripled in value. It's because his AUM tripled in the past 5 years due to excellent marketing.

I found an article from 2017.

https://www.forbes.com/sites/nathanvard ... b4a5341de2
Asness’ AQR Capital Management earned $530 million in 2016 on revenues of $941 million, the SEC filing shows. To put that in perspective, AQR’s revenue is greater than the $770 million of revenue reported in 2016 by billionaire Dan Och’s Och-Ziff Capital Management, the nation’s largest publicly traded hedge fund firm. Och’s firm lost $131 million last year. AQR’s revenues also beat those of the world’s biggest publicly traded hedge fund firm, Man Group, which lost money last year on $827 million of revenues.

AQR’s revenue is nearly five times greater than the revenue generated at billionaire Mario Gabelli’s mutual fund firm, which earned $117 million in 2016. Gabelli has in the past been the highest-paid CEO of a publicly traded Wall Street firm.
That was 2 years ago though, but my guess of $4-$6 billion in fees was way off. Only bringing in $1 billion seems really low. Are their expense ratios actually only 0.5% or is there some accounting wizardry going on here?
AQR spent $400 million on general and administrative expenses and compensation last year
I knew I was wildly guessing on office and compensation costs. :)

Still looks like growing AUM is definitely the secret to his riches though.

With $185 billion of assets under management (2017), AQR is one of the world’s fastest-growing asset management firms. It was managing $33 billion at end of 2010.
$226 billion this year (2018)...
Last edited by HomerJ on Wed Dec 12, 2018 1:45 pm, edited 9 times in total.
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Re: QSPIX - thoughts on interesting fund

Post by matjen » Wed Dec 12, 2018 12:55 pm

HomerJ wrote:
Wed Dec 12, 2018 12:39 pm
Vanguard's Market Neutral fund (VMNFX) is almost exactly even YTD. 0.06% gain

QSPIX is down 13.2% for the year.

I wonder if Cliff Asness's net worth will be higher or lower on next year's Forbes billionaire list?
And last year QSPIX was up 12% and Vanguard's VMNFX was down 5%. Over its lifetime QSPIX has done a fair bit better than VMNFX as well. Who cares about 1 year other than mindless trolls?

Stay the course. Funds/styles/indices go up and down.

Callan Periodic table.

https://www.standard.com/eforms/13499.pdf
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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Wed Dec 12, 2018 1:00 pm

matjen wrote:
Wed Dec 12, 2018 12:55 pm
HomerJ wrote:
Wed Dec 12, 2018 12:39 pm
Vanguard's Market Neutral fund (VMNFX) is almost exactly even YTD. 0.06% gain

QSPIX is down 13.2% for the year.

I wonder if Cliff Asness's net worth will be higher or lower on next year's Forbes billionaire list?
And last year QSPIX was up 12% and Vanguard's VMNFX was down 5%. Over its lifetime QSPIX has done a fair bit better than VMNFX as well. Who cares about 1 year other than mindless trolls?

Stay the course. Funds go up and down.
You are mostly correct (except the "mindless troll" part). :(

It's obvious that all these alt funds have different secret sauce, and it's hard to compare them. Especially over short time periods like YTD. I agree with you there.

The only reason THIS year is interesting to look at is because the stock market has gone through a correction.

It looks like Vanguard's Market Neutral Fund did it's job, and hedged pretty well. It stayed flat when the market dropped.

QSPIX does not seem to have been a good hedge in a down year for stocks.

That's the comparison I was trying to make. My apologies.
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Re: QSPIX - thoughts on interesting fund

Post by DaufuskieNate » Wed Dec 12, 2018 4:02 pm

A common misconception is that QSPIX, and even Vanguard's Market Neutral fund, are hedges of the stock market. They do aim to earn a positive premium over the long term in a way that is uncorrelated with the stock market. That's a lot different than a hedge.

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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Wed Dec 12, 2018 4:25 pm

DaufuskieNate wrote:
Wed Dec 12, 2018 4:02 pm
A common misconception is that QSPIX, and even Vanguard's Market Neutral fund, are hedges of the stock market. They do aim to earn a positive premium over the long term in a way that is uncorrelated with the stock market. That's a lot different than a hedge.
Good point. Hedge is the wrong word. Uncorrelated is more accurate.

Yet, QSPIX went down at the same time stocks went down. Could indeed still be uncorrelated, maybe just a coincidence.
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Re: QSPIX - thoughts on interesting fund

Post by matjen » Wed Dec 12, 2018 6:35 pm

HomerJ wrote:
Wed Dec 12, 2018 4:25 pm
DaufuskieNate wrote:
Wed Dec 12, 2018 4:02 pm
A common misconception is that QSPIX, and even Vanguard's Market Neutral fund, are hedges of the stock market. They do aim to earn a positive premium over the long term in a way that is uncorrelated with the stock market. That's a lot different than a hedge.
Good point. Hedge is the wrong word. Uncorrelated is more accurate.

Yet, QSPIX went down at the same time stocks went down. Could indeed still be uncorrelated, maybe just a coincidence.
It is a coincidence. This isn't the first time global equities have had a rough patch since QSPIX has been around. And, frankly, QSPIX really shouldn't be compared to equities except for giggles.

But don't worry Homer J, you are still correct that Cliff Asness is extremely wealthy. I know that is your favorite thing to point out. The horror! In America no less! There is a reason he left a sure partnership and huge career at Goldman Sachs and took a risk and it wasn't for charity.

Vanguard Total World Stock VT during a 20% drawdown over 2015/2016
Image

QSPIX in comparison during that period
Image
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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Wed Dec 12, 2018 8:30 pm

matjen wrote:
Wed Dec 12, 2018 6:35 pm
But don't worry Homer J, you are still correct that Cliff Asness is extremely wealthy. I know that is your favorite thing to point out. The horror! In America no less!
:)

"Where are the customer's yachts?"

It was a good question 90 years ago, and is still a good question today.

We're allowed to tell people to stay away from high fee mutual funds and insurance companies with high fee annuities, but Cliff gets a pass?

That annuity salesman roping in people at his church and cold-calling your grandmother is just trying to make a buck in America after all.. Why bash his product?

But I agree with you that it's probably just a coincidence that QSPIX went down at the same time as the market. You make a good case to stop comparing QSPIX with equities.
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Wed Dec 12, 2018 9:08 pm

HomerJ wrote:
Wed Dec 12, 2018 8:30 pm
matjen wrote:
Wed Dec 12, 2018 6:35 pm
But don't worry Homer J, you are still correct that Cliff Asness is extremely wealthy. I know that is your favorite thing to point out. The horror! In America no less!
:)

"Where are the customer's yachts?"

It was a good question 90 years ago, and is still a good question today.

We're allowed to tell people to stay away from high fee mutual funds and insurance companies with high fee annuities, but Cliff gets a pass?

That annuity salesman roping in people at his church and cold-calling your grandmother is just trying to make a buck in America after all.. Why bash his product?

But I agree with you that it's probably just a coincidence that QSPIX went down at the same time as the market. You make a good case to stop comparing QSPIX with equities.
The typical cold call is from an active manager or individual stock salesman. As you know they are selling equities, and will highly likely underperform a reasonable index. QSPIX is truly unique and a potential portfolio component with a very different purpose than equities in a portfolio.

Dave

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Re: QSPIX - thoughts on interesting fund

Post by nedsaid » Thu Dec 13, 2018 12:54 pm

HomerJ wrote:
Wed Dec 12, 2018 8:30 pm
matjen wrote:
Wed Dec 12, 2018 6:35 pm
But don't worry Homer J, you are still correct that Cliff Asness is extremely wealthy. I know that is your favorite thing to point out. The horror! In America no less!
:)

"Where are the customer's yachts?"

It was a good question 90 years ago, and is still a good question today.

We're allowed to tell people to stay away from high fee mutual funds and insurance companies with high fee annuities, but Cliff gets a pass?

That annuity salesman roping in people at his church and cold-calling your grandmother is just trying to make a buck in America after all.. Why bash his product?

But I agree with you that it's probably just a coincidence that QSPIX went down at the same time as the market. You make a good case to stop comparing QSPIX with equities.
In a mild defense of Cliff Asness, people buy the AQR funds because they want to and not because they got cold-called. An annuity salesman at church probably has no idea of what AQR Style Premia Fund (QSPIX) is and is unlikely to sell them to your grandmother. In the past, I got a couple of calls from brokers wanting business but again they would try to lure me with stock tips or perhaps a loaded mutual fund but not QSPIX. Most of these folks don't have the knowledge yet to be selling QSPIX to unsuspecting customers.

Individual investors who bought such funds had to look around for a brokerage that made such funds available to smaller investors. Most of the time, such funds require advisor access. The advisors don't make any more money by using an AQR product rather than let's say a DFA product. Unless, of course, AQR and Stone Ridge were paying advisors for shelf space. Not aware this is happening. The advisors at Larry Swedroe's firm are fiduciaries, they at least have to believe such products are in their customer's best interest. The advisors who suggest these might be wrong but what evidence is there that they are acting in bad faith?

As far as Larry, he is on record that he has made substantial investments in Alt funds. So at least he eats his own cooking.

The issue of the customer's yachts is a good one to ask. If Cliff Asness has a net worth that you do not approve of, you can invest elsewhere. For the record, I don't have any AQR Investments in my portfolio and I don't have any funds that utilize leverage and shorting techniques. I also am not a Buckingham client.

There is a case for the Alternative funds but so far I have not been convinced that I have needed them.
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Re: QSPIX - thoughts on interesting fund

Post by marcopolo » Thu Dec 13, 2018 2:02 pm

nedsaid wrote:
Thu Dec 13, 2018 12:54 pm
HomerJ wrote:
Wed Dec 12, 2018 8:30 pm
matjen wrote:
Wed Dec 12, 2018 6:35 pm
But don't worry Homer J, you are still correct that Cliff Asness is extremely wealthy. I know that is your favorite thing to point out. The horror! In America no less!
:)

"Where are the customer's yachts?"

It was a good question 90 years ago, and is still a good question today.

We're allowed to tell people to stay away from high fee mutual funds and insurance companies with high fee annuities, but Cliff gets a pass?

That annuity salesman roping in people at his church and cold-calling your grandmother is just trying to make a buck in America after all.. Why bash his product?

But I agree with you that it's probably just a coincidence that QSPIX went down at the same time as the market. You make a good case to stop comparing QSPIX with equities.
In a mild defense of Cliff Asness, people buy the AQR funds because they want to and not because they got cold-called. An annuity salesman at church probably has no idea of what AQR Style Premia Fund (QSPIX) is and is unlikely to sell them to your grandmother. In the past, I got a couple of calls from brokers wanting business but again they would try to lure me with stock tips or perhaps a loaded mutual fund but not QSPIX. Most of these folks don't have the knowledge yet to be selling QSPIX to unsuspecting customers.

Individual investors who bought such funds had to look around for a brokerage that made such funds available to smaller investors. Most of the time, such funds require advisor access. The advisors don't make any more money by using an AQR product rather than let's say a DFA product. Unless, of course, AQR and Stone Ridge were paying advisors for shelf space. Not aware this is happening. The advisors at Larry Swedroe's firm are fiduciaries, they at least have to believe such products are in their customer's best interest. The advisors who suggest these might be wrong but what evidence is there that they are acting in bad faith?

As far as Larry, he is on record that he has made substantial investments in Alt funds. So at least he eats his own cooking.

The issue of the customer's yachts is a good one to ask. If Cliff Asness has a net worth that you do not approve of, you can invest elsewhere. For the record, I don't have any AQR Investments in my portfolio and I don't have any funds that utilize leverage and shorting techniques. I also am not a Buckingham client.

There is a case for the Alternative funds but so far I have not been convinced that I have needed them.
I posted this in another thread recently, I think it applies just as well to this recent discussion:



Hi,
Long time lurker, first time poster.
My financial advisor, that charges me a 1% AUM, has me in some broad stock and bond funds that seem OK, but he also has me in a bunch of complex funds that I don't fully understand.

I asked how i could compare them to a some standard, you know like a benchmark or something, and he said these funds are so unique that "they are their own benchmarks", seems odd to me.

I recently noticed that these funds appear to have a 2%-3% expense ratio, that seems awfully high, so i asked him about that, and he said to "ignore what the prospectus says, the expenses are not really that high, they are only about 1.7%, really. So, you are actually getting a bargain for the improvement they are providing for your portfolio". Sounds interesting. So, I asked him what benefit they have been providing. He said "well, actually, they have been hurting your portfolio, but theoretically they should help, you just have to be patient".

The financial advisor is a really nice guy, what do you guys think i should do.


I wonder what the responses would be to such a poster on this forum.

I have no problem with Cliff Asness getting fabulously wealthy, he has provided a valuable service that many people are willing to pay for.
Even the Steadman Funds (try not to faint when you look that one up) had a following in their day.

I am a bit surprised at how much of a pass the AQR funds and the advisors that promote them get on this forum.

To each their own. Obviously many people find these funds worth it, it is quite possible I am missing the boat.
But, I will pass until these strategies prove themselves at a retail level, and are available at more reasonable costs.
Once in a while you get shown the light, in the strangest of places if you look at it right.

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Re: QSPIX - thoughts on interesting fund

Post by HomerJ » Thu Dec 13, 2018 2:05 pm

nedsaid wrote:
Thu Dec 13, 2018 12:54 pm
HomerJ wrote:
Wed Dec 12, 2018 8:30 pm
matjen wrote:
Wed Dec 12, 2018 6:35 pm
But don't worry Homer J, you are still correct that Cliff Asness is extremely wealthy. I know that is your favorite thing to point out. The horror! In America no less!
:)

"Where are the customer's yachts?"

It was a good question 90 years ago, and is still a good question today.

We're allowed to tell people to stay away from high fee mutual funds and insurance companies with high fee annuities, but Cliff gets a pass?

That annuity salesman roping in people at his church and cold-calling your grandmother is just trying to make a buck in America after all.. Why bash his product?

But I agree with you that it's probably just a coincidence that QSPIX went down at the same time as the market. You make a good case to stop comparing QSPIX with equities.
In a mild defense of Cliff Asness, people buy the AQR funds because they want to and not because they got cold-called. An annuity salesman at church probably has no idea of what AQR Style Premia Fund (QSPIX) is and is unlikely to sell them to your grandmother. In the past, I got a couple of calls from brokers wanting business but again they would try to lure me with stock tips or perhaps a loaded mutual fund but not QSPIX. Most of these folks don't have the knowledge yet to be selling QSPIX to unsuspecting customers.
I wasn't saying that annuity salesmen were pushing QSPIX to your grandmother. :)

I was saying that annuity salesmen push annuities to your grandmother. And we bash them for it, even though it's America and they are just trying to make money.

matjen is right that I shouldn't be against Asness JUST because he's so rich.

But anyone on Wall Street getting so rich so fast is always suspect in my mind. I'm really surprised it doesn't set off a red flag for most people here.

From a Forbes article in March 2017.
At 50, Asness is today also a billionaire. His net worth is estimated at $3 billion. Two of his fellow AQR co-founders, David Kabiller and John Liew, are each worth $1 billion, making AQR one of the few Wall Street firms to mint three billionaires. All three men appear on Forbes’ list of billionaires for the first time. The way Asness and his partners got there says a lot about what is happening on Wall Street these days.
Three guys making the billionaire list at the same time from the same firm (One with THREE billion) means they are sucking up a lot of those fees people are paying. And people so far, aren't getting incredible returns in exchange for that. "Where are the customer's yachts?" is a real question.

I'm really not pushing against alt funds anymore. People can invest in whatever they want.

I jumped back into this thread because I thought it was interesting that QSPIX had gone down at the same time the stock market went down, since I considered QSPIX a hedge against that. But I was wrong about that and I appreciate matjen and others setting me straight. I stand corrected, and will bow out now.
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Re: QSPIX - thoughts on interesting fund

Post by protagonist » Thu Dec 13, 2018 2:14 pm

Random Walker wrote:
Sat Nov 17, 2018 12:56 am
I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave
Are you equating slightly better performance over a short time period with "an improvement"?

I believe that is a fallacy. The same fallacy that led many of us (myself included) to purchasing the best performing mutual funds in the 1990s. Most have underperformed since....many by a huge margin. You'd might as well make your investment choices by their Morningstar ratings.

Especially when choosing a fund with an ER over 2%.

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Re: QSPIX - thoughts on interesting fund

Post by nedsaid » Thu Dec 13, 2018 2:28 pm

marcopolo wrote:
Thu Dec 13, 2018 2:02 pm
I am a bit surprised at how much of a pass the AQR funds and the advisors that promote them get on this forum.
They haven't gotten a pass. Larry Swedroe has stopped posting here twice. Many folks here questioned his enthusiasm for Alt funds. There is a vocal minority here that like the AQR funds but AQR and Cliff Asness have not gotten a free pass here. Your post is evidence of that.
Last edited by nedsaid on Thu Dec 13, 2018 2:42 pm, edited 1 time in total.
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Re: QSPIX - thoughts on interesting fund

Post by nedsaid » Thu Dec 13, 2018 2:33 pm

HomerJ wrote:
Thu Dec 13, 2018 2:05 pm

I jumped back into this thread because I thought it was interesting that QSPIX had gone down at the same time the stock market went down, since I considered QSPIX a hedge against that. But I was wrong about that and I appreciate matjen and others setting me straight. I stand corrected, and will bow out now.
Actually, Homer, if I had purchased AQR Style Premia fund, I would fervently hope that such a fund would be up in a market environment like this. The (hopefully) equity-like returns coupled with low correlation to the stock market is the whole rationale for buying the fund. I would be disappointed with QSPIX were it down 13% when the broad stock market is down 10%. Not the diversification benefit I would have hoped for. The idea is to lessen your losses in such an environment and not increase them. That being said, no investment strategy is going to work all the time but I admit that I expected more from QSPIX.
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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Thu Dec 13, 2018 2:43 pm

protagonist wrote:
Thu Dec 13, 2018 2:14 pm
Random Walker wrote:
Sat Nov 17, 2018 12:56 am
I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave
Are you equating slightly better performance over a short time period with "an improvement"?

I believe that is a fallacy. The same fallacy that led many of us (myself included) to purchasing the best performing mutual funds in the 1990s. Most have underperformed since....many by a huge margin. You'd might as well make your investment choices by their Morningstar ratings.

Especially when choosing a fund with an ER over 2%.
No, absolutely not! In fact, you bring up sort of pet peeve of mine. I think way too many people on this board look at past performance, especially over time frames that are too short. We only invest looking forward. I think about forward looking expected returns, historic correlations (which although do change are still meaningful), historic volatility, and the risk based or behavioral based rationale behind a given premium.
I think a lot about QSPIX’s 4 styles, 4 asset classes, the rationale behind the investment, but not so much on a 5 year track record during a large growth equity bull.

Dave
Last edited by Random Walker on Thu Dec 13, 2018 2:48 pm, edited 1 time in total.

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Re: QSPIX - thoughts on interesting fund

Post by marcopolo » Thu Dec 13, 2018 2:46 pm

nedsaid wrote:
Thu Dec 13, 2018 2:28 pm
marcopolo wrote:
Thu Dec 13, 2018 2:02 pm
I am a bit surprised at how much of a pass the AQR funds and the advisors that promote them get on this forum.
Actually, they haven't gotten a pass. Larry Swedroe has stopped posting here twice. Many folks here questioned his enthusiasm for Alt funds. There is a vocal minority here that like the AQR funds but AQR and Cliff Asness have not gotten a free pass here. Your post is evidence of that.
Fair point.

The mythical poster would have received almost universal advice to get away from the AUM advisor and the complex, expensive funds. There would have been almost no dissenting opinions on that.

The fact that this thread is now 31 pages long seems like there is a lot more tolerance for AQR and their promoters than i would have expected.
Once in a while you get shown the light, in the strangest of places if you look at it right.

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Re: QSPIX - thoughts on interesting fund

Post by protagonist » Thu Dec 13, 2018 2:53 pm

Random Walker wrote:
Thu Dec 13, 2018 2:43 pm
protagonist wrote:
Thu Dec 13, 2018 2:14 pm
Random Walker wrote:
Sat Nov 17, 2018 12:56 am
I agree the improvement is relatively small, but if it’s an Improvement why not do it? All improvements will individually be only incremental.

Dave
Are you equating slightly better performance over a short time period with "an improvement"?

I believe that is a fallacy. The same fallacy that led many of us (myself included) to purchasing the best performing mutual funds in the 1990s. Most have underperformed since....many by a huge margin. You'd might as well make your investment choices by their Morningstar ratings.

Especially when choosing a fund with an ER over 2%.
No, absolutely not! In fact, you bring up sort of pet peeve of mine. I think way too many people on this board look at past performance, especially over time frames that are too short. We only invest looking forward. I think about forward looking expected returns, historic correlations (which although do change are still meaningful), historic volatility, and the risk based or behavioral based rationale behind a given premium.
I think a lot about QSPIX’s 4 styles, 4 asset classes, the rationale behind the investment, but not so much on a 5 year track record during a large growth equity bull.

Dave
I accept that rationale, Dave. If you believe in it because it makes sense to you in a very uncertain world, then you should go for it. That is why most of us, I think, invest in low cost index funds...because it makes at least as much sense to us, if not more, than stock picking or a myriad of other strategies.

But recent returns (and by "recent" I mean 100 years or more, not just five) are not a valid basis for deciding how to invest for decades to come. Even if past performance really DOES have predictive value. There are just way too few data points to be meaningful.

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Re: QSPIX - thoughts on interesting fund

Post by nedsaid » Thu Dec 13, 2018 3:01 pm

marcopolo wrote:
Thu Dec 13, 2018 2:46 pm
nedsaid wrote:
Thu Dec 13, 2018 2:28 pm
marcopolo wrote:
Thu Dec 13, 2018 2:02 pm
I am a bit surprised at how much of a pass the AQR funds and the advisors that promote them get on this forum.
Actually, they haven't gotten a pass. Larry Swedroe has stopped posting here twice. Many folks here questioned his enthusiasm for Alt funds. There is a vocal minority here that like the AQR funds but AQR and Cliff Asness have not gotten a free pass here. Your post is evidence of that.
Fair point.

The mythical poster would have received almost universal advice to get away from the AUM advisor and the complex, expensive funds. There would have been almost no dissenting opinions on that.

The fact that this thread is now 31 pages long seems like there is a lot more tolerance for AQR and their promoters than i would have expected.
There are a lot of factor junkies here. I am to some degree, I started Small/Value tilting about 10-11 years ago. I have had Value investments for a long time and also funds that did an earnings and price momentum strategy. Also have liked the smaller Mid-Caps/Small-Caps for a long time. So I was a factor investor when they were called investing styles. I diversified across styles as I could see even back in the 1990's that different styles of investing did well at different times.

Also lots of folks here, including myself, that like to try new things or at least are open minded to new things. I have given such Alt funds consideration for my own portfolio but have passed so far. So I engage in such threads in hopes that I might actually learn something.

As far as Cliff Asness, he is clearly a brilliant guy but there are lots of other really smart people competing in his space. Like the hedge funds. Retail funds are getting into this space too. Hard to fathom how even someone as brilliant as Asness can outperform under these circumstances. Too many math PhDs with great software and hardware cranking away 24-7.

These discussions are part of what make Bogleheads interesting. We need a "Tastes Great" vs. "Less Filling" or a "Yankees fans" vs. "Red Sox fans" type of thing here. Without spirited debate, the forum would get boring pretty fast. It would be pretty much like this: Hey, that Total Stock Market Index is doing great. The next poster would say, man, you are so right, I can't imagine investing in anything else. The third poster would say +1. The one after that would say +2. A forum where everyone agreed with each other and slapped each other on the back would not be interesting or widely followed.
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Re: QSPIX - thoughts on interesting fund

Post by marcopolo » Thu Dec 13, 2018 3:10 pm

nedsaid wrote:
Thu Dec 13, 2018 3:01 pm
marcopolo wrote:
Thu Dec 13, 2018 2:46 pm
nedsaid wrote:
Thu Dec 13, 2018 2:28 pm
marcopolo wrote:
Thu Dec 13, 2018 2:02 pm
I am a bit surprised at how much of a pass the AQR funds and the advisors that promote them get on this forum.
Actually, they haven't gotten a pass. Larry Swedroe has stopped posting here twice. Many folks here questioned his enthusiasm for Alt funds. There is a vocal minority here that like the AQR funds but AQR and Cliff Asness have not gotten a free pass here. Your post is evidence of that.
Fair point.

The mythical poster would have received almost universal advice to get away from the AUM advisor and the complex, expensive funds. There would have been almost no dissenting opinions on that.

The fact that this thread is now 31 pages long seems like there is a lot more tolerance for AQR and their promoters than i would have expected.
There are a lot of factor junkies here. I am to some degree, I started Small/Value tilting about 10-11 years ago. I have had Value investments for a long time and also funds that did an earnings and price momentum strategy. Also have liked the smaller Mid-Caps/Small-Caps for a long time. So I was a factor investor when they were called investing styles. I diversified across styles as I could see even back in the 1990's that different styles of investing did well at different times.

Also lots of folks here, including myself, that like to try new things or at least are open minded to new things. I have given such Alt funds consideration for my own portfolio but have passed so far. So I engage in such threads in hopes that I might actually learn something.

As far as Cliff Asness, he is clearly a brilliant guy but there are lots of other really smart people competing in his space. Like the hedge funds. Retail funds are getting into this space too. Hard to fathom how even someone as brilliant as Asness can outperform under these circumstances. Too many math PhDs with great software and hardware cranking away 24-7.

These discussions are part of what make Bogleheads interesting. We need a "Tastes Great" vs. "Less Filling" or a "Yankees fans" vs. "Red Sox fans" type of thing here. Without spirited debate, the forum would get boring pretty fast. It would be pretty much like this: Hey, that Total Stock Market Index is doing great. The next poster would say, man, you are so right, I can't imagine investing in anything else. The third poster would say +1. The one after that would say +2. A forum where everyone agreed with each other and slapped each other on the back would not be interesting or widely followed.

All good points.

I think I will just step away from these discussions until if/when these products are more enticing to me, as they seem to have become somewhat repetitive.
Once in a while you get shown the light, in the strangest of places if you look at it right.

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Re: QSPIX - thoughts on interesting fund

Post by Random Walker » Thu Dec 13, 2018 3:14 pm

protagonist wrote:
Thu Dec 13, 2018 2:53 pm

But recent returns (and by "recent" I mean 100 years or more, not just five) are not a valid basis for deciding how to invest for decades to come. Even if past performance really DOES have predictive value. There are just way too few data points to be meaningful.
So what do you depend on to make decisions? Sounds to me that we would be very similar: put a lot of weight on forward looking intuitive risk based and behavior based rationale for a source of return to persist. I can’t argue the fact that costs are a certain drag. That being said, and considering 100 years a sample size n=1, doesn’t that make you more interested in diversifying across uncorrelated potential sources of return?

Dave

P.S there are opportunities to look at some out of sample tests for various sources of return. We can look at varying time periods and economic regimes, we can look at different geographic markets, and in the case of styles, look at different asset classes.

Dave
Last edited by Random Walker on Thu Dec 13, 2018 3:19 pm, edited 1 time in total.

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Re: QSPIX - thoughts on interesting fund

Post by nedsaid » Thu Dec 13, 2018 3:15 pm

marcopolo wrote:
Thu Dec 13, 2018 3:10 pm


All good points.

I think I will just step away from these discussions until if/when these products are more enticing to me, as they seem to have become somewhat repetitive.
Well, the discussions are enticing. I feel like a moth hitting the bug zapper, I just can't help myself.
A fool and his money are good for business.

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