My Favorite Alternative Funds

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grok87
Posts: 8501
Joined: Tue Feb 27, 2007 9:00 pm

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?
Keep calm and Boglehead on. KCBO.

james22
Posts: 1222
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.
This whole episode is likely to end so badly that future children will learn about it in school and shake their heads in wonder at the rank stupidity of it all... Hussman

grok87
Posts: 8501
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.
Keep calm and Boglehead on. KCBO.

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.
This whole episode is likely to end so badly that future children will learn about it in school and shake their heads in wonder at the rank stupidity of it all... Hussman

grok87
Posts: 8501
Joined: Tue Feb 27, 2007 9:00 pm

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
Keep calm and Boglehead on. KCBO.

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nedsaid
Posts: 10644
Joined: Fri Nov 23, 2012 12:33 pm

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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Joined: Fri Feb 23, 2007 8:21 pm

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
Posts: 8501
Joined: Tue Feb 27, 2007 9:00 pm

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.
Keep calm and Boglehead on. KCBO.

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
Posts: 8501
Joined: Tue Feb 27, 2007 9:00 pm

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
Keep calm and Boglehead on. KCBO.

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