My Favorite Alternative Funds

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grok87
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Re: My Favorite Alternative Funds

Post by grok87 » Sat Jul 28, 2018 6:39 am

james22 wrote:
Sat Jul 28, 2018 6:15 am
james22 wrote:
Tue Sep 12, 2017 3:50 am
How attractive would you find VASFX if made available, grap?

Sure would like to think they'll offer it as they do VMNFX soon.
grap?
vasfx is apparently open to retail investors now
viewtopic.php?t=255026
anybody diving in?
RIP Mr. Bogle.

james22
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Joined: Tue Aug 21, 2007 2:22 pm

Re: My Favorite Alternative Funds

Post by james22 » Sat Jul 28, 2018 7:31 am

Your post is why I asked, grok - I'm pretty interested.
25% BRK l 25% BAM l 8% SV (VSIAX) l 8% EM (VEMAX) l 4% FNMA/FMCC l 4% FNMAS/FMCKJ l 25% Stable Value

grok87
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Joined: Tue Feb 27, 2007 9:00 pm

Re: My Favorite Alternative Funds

Post by grok87 » Sat Jul 28, 2018 7:52 am

james22 wrote:
Sat Jul 28, 2018 7:31 am
Your post is why I asked, grok - I'm pretty interested.
got it.

currently i own the vanguard market neutral fund (vmnfx) in taxable. VASFX is a higher hurdle for me as i would want to hold in a tax sheltered account. I have very little space available in tax sheltered as that is where i put my long term tips.
RIP Mr. Bogle.

james22
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Joined: Tue Aug 21, 2007 2:22 pm

Re: My Favorite Alternative Funds

Post by james22 » Sat Jul 28, 2018 8:53 am

Just larger than I'd like in my Roth too.

I'll buy the $250k minimum and sell off $50k the next day.
25% BRK l 25% BAM l 8% SV (VSIAX) l 8% EM (VEMAX) l 4% FNMA/FMCC l 4% FNMAS/FMCKJ l 25% Stable Value

grok87
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Re: My Favorite Alternative Funds

Post by grok87 » Tue Aug 21, 2018 10:29 am

So thought it might be Interesting to compare the recent returns of the two flavors of the aqr style premium funds:

Qspix- the original fund
Qslix- the low volatility version. I think it uses half as much leverage.

1year returns as of 8/20
Qspix: -1.15%
Qslix: +0.32%

I seem to recall some discussion that folks expected qslix to return half of whatever qspix did.

To me this is some evidence that leverage is bad.

Of course probably not a good idea to read too much into short term performance numbers. But if one sTarts with an a priori position that leverage is bad this is not the sort of evidence that would lead one to update that assumption.

:)

Cheers,
Grok
RIP Mr. Bogle.

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nedsaid
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Re: My Favorite Alternative Funds

Post by nedsaid » Tue Aug 21, 2018 10:35 am

grok87 wrote:
Tue Aug 21, 2018 10:29 am
So thought it might be Interesting to compare the recent returns of the two flavors of the aqr style premium funds:

Qspix- the original fund
Qslix- the low volatility version. I think it uses half as much leverage.

1year returns as of 8/20
Qspix: -1.15%
Qslix: +0.32%

I seem to recall some discussion that folks expected qslix to return half of whatever qspix did.

To me this is some evidence that leverage is bad.

Of course probably not a good idea to read too much into short term performance numbers. But if one sTarts with an a priori position that leverage is bad this is not the sort of evidence that would lead one to update that assumption.

:)

Cheers,
Grok
The leverage and shorting in such funds gives me pause. You never know when some crazy thing that a hedgie does backfires in a big way and takes the whole market down. One hopes that the good folks at AQR know what they are doing.
A fool and his money are good for business.

Random Walker
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Re: My Favorite Alternative Funds

Post by Random Walker » Tue Aug 21, 2018 12:10 pm

My understanding is that the major explanation of the negative returns for AQR Style Premia recently is value premium in equities.

Dave

grok87
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Re: My Favorite Alternative Funds

Post by grok87 » Tue Aug 21, 2018 1:22 pm

Random Walker wrote:
Tue Aug 21, 2018 12:10 pm
My understanding is that the major explanation of the negative returns for AQR Style Premia recently is value premium in equities.

Dave
Fair enough.

My question is why has qspix underperformed double Qslix by 180 bps over The last year.
RIP Mr. Bogle.

garlandwhizzer
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Re: My Favorite Alternative Funds

Post by garlandwhizzer » Tue Aug 21, 2018 1:27 pm

Leverage works great as long as you know beforehand what the market is going to do over a given time frame. The problem is that no one knows this in a consistent and reliable manner. Other problems include increased costs and the ability, if the tide goes against you in a big way, to lose more than 100% your original bet. The market volatility and risk/reward of a non-leveraged portfolio is sufficient for me.

Garland Whizzer

grok87
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Re: My Favorite Alternative Funds

Post by grok87 » Tue Aug 21, 2018 8:17 pm

garlandwhizzer wrote:
Tue Aug 21, 2018 1:27 pm
Leverage works great as long as you know beforehand what the market is going to do over a given time frame. The problem is that no one knows this in a consistent and reliable manner. Other problems include increased costs and the ability, if the tide goes against you in a big way, to lose more than 100% your original bet. The market volatility and risk/reward of a non-leveraged portfolio is sufficient for me.

Garland Whizzer
i agree 95% but i do have a small position in vanguards market neutral fund VMNFX which is leveraged 2:1. if if you give then $1 they make $2 worth of best, $1 long and $1 short.

I also own REITs which are pretty leveraged
RIP Mr. Bogle.

Random Walker
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Re: My Favorite Alternative Funds

Post by Random Walker » Wed Jan 09, 2019 12:09 pm

Just thought I’d update a few funds since the recent decline. I looked at returns 8/31/18-12/31/18

S&P 500 -13.6%
Russell 2K -22.5%

LENDX -1.1%
SRRIX -9.9%
AVRPX -4.0%
QSPRX -4.5%

1/n above alts -4.9%

Not bad for diversifies with equity like expected returns. SRRIX got hit by big fires, expect AVRPX to take a hit when equities tank because it is effectively selling insurance for just such a circumstance.

Dave

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packer16
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Re: My Favorite Alternative Funds

Post by packer16 » Wed Jan 09, 2019 12:50 pm

The only problem is all of the alt funds (except LENDX) have been doing poorly before the YE decline so if look at 2018 returns, you get a different story, namely:

VFINX -4.5%

AVRPX -12.2%
SRRIX -8.2%
LENDX +3.6%
QSPIX -12.4%

Packer
Buy cheap and something good might happen

Random Walker
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Re: My Favorite Alternative Funds

Post by Random Walker » Fri Mar 22, 2019 7:41 pm

Thought today might be a good day to bump the alternatives discussion.

VTSAX -2.59% Vanguard Total Stock Market
QSPIX +0.33% AQR Style Premia
QRPRX+0.53% AQR Alternative Risk Premia
VBTLX+0.47% Vanguard Total Bond Market
AVRPX-1.08% Stone Ridge All Asset Variance Risk Premium
SRRIX+0.12% Stone Ridge Reinsurance
LENDX-1.27% Stone Ridge Alternative Lending

Dave

vencat
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Re: My Favorite Alternative Funds

Post by vencat » Fri Mar 22, 2019 8:53 pm

GLD +0.23%
Vanguard short term bond index +0.25%
Vanguard tax exempt bond ETF +.39%
Vanguard inter. term bond fund +0.62%

Not to forget our old favorite: (commodities)

PCRIX -0.65%
DCMSX -0.53%

Bonds are boring and beautiful! No complexity, no extra cost, no adviser, lots of past history!

Theoretical
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Joined: Tue Aug 19, 2014 10:09 pm

Re: My Favorite Alternative Funds

Post by Theoretical » Fri Mar 22, 2019 9:42 pm

Arrow Managed Futures Class I (Dunn WMA) - MFTNX +1.92%

Equinox Chesapeake Strategy Class I - EQCHX -0.45%

Nataxis Managed Futures Class A - AMFAX - -.11

gtwhitegold
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Re: My Favorite Alternative Funds

Post by gtwhitegold » Sat Mar 23, 2019 7:29 am

Does anyone know where to get the data for dividend disbursements for the Stone Ridge and Pioneer funds? It looks like the charts that I have seen don't include dividends.

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packer16
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Re: My Favorite Alternative Funds

Post by packer16 » Sun Mar 24, 2019 12:17 pm

If we look at the alternatives since we posted in July 2017 here is the scorecard:

Alt Lending
LENDX +9.0%
TSLX +15.6%
BNL +17.2% or STOR +53.1%

Re-insurance
SRRIX -20.2%
LRE.L (a re-insurer than only holds ST bonds in portfolio) -1.7%

Other
QSPIX -4.3%
QMHIX -9.7%
AVRPX +4.6%
BIP + 8.2%
Ocean Yield +53.1%

I know this a short period of time but IMO it is more relevant daily changes in these funds.

Packer
Buy cheap and something good might happen

Random Walker
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Re: My Favorite Alternative Funds

Post by Random Walker » Sun Mar 24, 2019 1:09 pm

packer16 wrote:
Sun Mar 24, 2019 12:17 pm
If we look at the alternatives since we posted in July 2017 here is the scorecard:

Alt Lending
LENDX +9.0%
TSLX +15.6%
BNL +17.2% or STOR +53.1%

Re-insurance
SRRIX -20.2%
LRE.L (a re-insurer than only holds ST bonds in portfolio) -1.7%

Other
QSPIX -4.3%
QMHIX -9.7%
AVRPX +4.6%
BIP + 8.2%
Ocean Yield +53.1%

I know this a short period of time but IMO it is more relevant daily changes in these funds.

Packer
I agree, my main point with showing single day changes is simply their very different behavior from equities, potential diversification benefit.

Dave

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