QSPIX - thoughts on interesting fund

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
Random Walker
Posts: 3309
Joined: Fri Feb 23, 2007 8:21 pm

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
Posts: 379
Joined: Sun Oct 22, 2017 11:30 pm

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
Posts: 1105
Joined: Tue Aug 27, 2013 5:30 am

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.

User avatar
Robert T
Posts: 2545
Joined: Tue Feb 27, 2007 9:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

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
Posts: 8504
Joined: Tue Feb 27, 2007 9:00 pm

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
Posts: 440
Joined: Mon Jan 11, 2016 1:26 pm

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
Posts: 6635
Joined: Wed Nov 19, 2014 11:55 pm

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
Posts: 3923
Joined: Sun Jul 25, 2010 4:01 pm

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
Posts: 1051
Joined: Fri Sep 29, 2017 11:38 pm
Location: Kentucky

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
Posts: 440
Joined: Mon Jan 11, 2016 1:26 pm

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
Posts: 3309
Joined: Fri Feb 23, 2007 8:21 pm

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

User avatar
Taylor Larimore
Advisory Board
Posts: 27617
Joined: Tue Feb 27, 2007 8:09 pm
Location: Miami FL

"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
Posts: 357
Joined: Sun Aug 12, 2018 11:14 am

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
Posts: 3309
Joined: Fri Feb 23, 2007 8:21 pm

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
Posts: 1105
Joined: Tue Aug 27, 2013 5:30 am

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
Posts: 3309
Joined: Fri Feb 23, 2007 8:21 pm

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
Posts: 394
Joined: Thu Jun 11, 2015 8:24 am

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
Posts: 1872
Joined: Sat Jun 09, 2007 11:31 am

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.

User avatar
matjen
Posts: 1981
Joined: Sun Nov 20, 2011 11:30 pm

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
Posts: 1381
Joined: Mon Apr 02, 2007 6:22 pm

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
Posts: 90
Joined: Sat Jul 14, 2018 7:28 pm

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
Posts: 394
Joined: Thu Jun 11, 2015 8:24 am

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
Posts: 3309
Joined: Fri Feb 23, 2007 8:21 pm

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
Posts: 1381
Joined: Mon Apr 02, 2007 6:22 pm

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.

User avatar
Ketawa
Posts: 1955
Joined: Mon Aug 22, 2011 1:11 am
Location: DC

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
Posts: 394
Joined: Thu Jun 11, 2015 8:24 am

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
Posts: 3309
Joined: Fri Feb 23, 2007 8:21 pm

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

User avatar
HomerJ
Posts: 11930
Joined: Fri Jun 06, 2008 12:50 pm

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
Posts: 1105
Joined: Tue Aug 27, 2013 5:30 am

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.

User avatar
HomerJ
Posts: 11930
Joined: Fri Jun 06, 2008 12:50 pm

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.
The J stands for Jay

User avatar
matjen
Posts: 1981
Joined: Sun Nov 20, 2011 11:30 pm

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
A man is rich in proportion to the number of things he can afford to let alone.

User avatar
HomerJ
Posts: 11930
Joined: Fri Jun 06, 2008 12:50 pm

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.
The J stands for Jay

Post Reply