Why [was] QSPIX steadily declining?

Have a question about your personal investments? No matter how simple or complex, you can ask it here.
User avatar
Lieutenant.Columbo
Posts: 1145
Joined: Sat Sep 05, 2015 9:20 pm
Location: Los Angeles CA

Re: Why is QSPIX steadily declining?

Post by Lieutenant.Columbo » Wed Oct 25, 2017 6:31 am

lack_ey wrote:
Tue Oct 24, 2017 10:14 pm
Oh yeah, did anybody else catch the launch of the AQR Alternative Risk Premia Fund (QRPIX,QRPNX, QRPRX)?

It's another long-short, market-neutral, leveraged fund owning traditional assets and many derivatives positions, targeting value, momentum, carry, defensive, trend, and (short) volatility strategies across equities (individual stocks and wider market indexes), bonds, and currencies, targeting about 8% annual volatility. Obviously realized vol will not track the target close to perfectly.

For reference, the older AQR Style Premia (QSPIX, QSPNX, QSPRX) is a long-short, market-neutral, leveraged fund owning traditional assets and many derivatives positions, targeting value, momentum, carry, and defensive across equities (individual stocks and wider market indexes), bonds, interest rates, commodities, and currencies, targeting about 10% annual volatility.

Both are similarly expensive, though note where the ER as listed some places might include dividends on short sales, which is kind of a stupid way to do the accounting. The actual management fees are above 1% by themselves, though, so expensive any way you look at it.

Recall that Style Premia got closed to new investors on account of a couple of capacity concerns in some of the asset classes targeted (commodities, interest rates both via derivatives). So this is like Style Premia II in jettisoning those parts. Then it adds trend following, which is what managed futures funds do, as well as volatility selling.
so, does it make sense for those already using AQR Style Premia (QSPIX, QSPNX, QSPRX) and AQR Managed Futures HV (QMHIX, QMHNX, QMHRX) in tax defered accounts to move out of them and into AQR Alternative Risk Premia Fund (QRPIX,QRPNX, QRPRX)?
Lt. Columbo: Well, what do you know. Here I am talking with some of the smartest people in the world, and I didn't even notice!

User avatar
grap0013
Posts: 1881
Joined: Thu Mar 18, 2010 1:24 pm

Re: Why is QSPIX steadily declining?

Post by grap0013 » Wed Oct 25, 2017 7:23 am

^^^That's exactly what I'm wondering.

I think I'm too lazy to do anything and I don't want to pay the $49.95 fee to purchase it. Think I'll just stick with my 15% QSPIX and 5% QMHIX. Might add some volatility scaling at some point eg AVRPX. It basically gets you to the same place.
There are no guarantees, only probabilities.

User avatar
grap0013
Posts: 1881
Joined: Thu Mar 18, 2010 1:24 pm

Re: Why is QSPIX steadily declining?

Post by grap0013 » Wed Oct 25, 2017 7:27 am

pkcrafter wrote:
Tue Oct 24, 2017 10:44 pm
nisiprius wrote:
Tue Oct 24, 2017 9:04 pm
pkcrafter wrote:
Thu Sep 29, 2016 4:24 pm
ER of 1.48% :shock: How does anyone who calls themselves a Boglehead get interested in such a fund?
Because according to Larry Swedroe, you should divide the expense ratio by two for a long-short fund
Priceless :!:

And as of today, QSPIX ER now seems to be-- drum roll...

Net Expenses - 2.35 %. But yes, there is a fee waver that lowers the fee to 1.5%* through 4/2018

*(excluding interest, taxes, dividends on short sales, borrowing costs, acquired fund fees and expenses, interest expense relating to short sales and extraordinary expenses)

https://funds.aqr.com/our-funds/alterna ... ative-fund

Paul
Not very helpful. QSPIX YTD returns are 9.07%. Does it matter if the ER is 1.5 or 2%? Fees matter most when you are comparing two like minded funds with similar strategies. Cue inner Larry Swedroe, "many people know the cost of something but do not know the value".

I don't want a raise because I don't want my taxes (fees) to go up. I don't want to start a business because there are fees associated with it. Dead horse has been beaten.
There are no guarantees, only probabilities.

rkhusky
Posts: 5230
Joined: Thu Aug 18, 2011 8:09 pm

Re: Why is QSPIX steadily declining?

Post by rkhusky » Wed Oct 25, 2017 7:51 am

grap0013 wrote:
Wed Oct 25, 2017 7:27 am
Not very helpful. QSPIX YTD returns are 9.07%. Does it matter if the ER is 1.5 or 2%? Fees matter most when you are comparing two like minded funds with similar strategies. Cue inner Larry Swedroe, "many people know the cost of something but do not know the value".
YTD returns don''t have much value. TSM YTD is 16.05%. TISM YTD is 23.36%. Returns come and go. Expenses are a constant drag.

User avatar
matjen
Posts: 1886
Joined: Sun Nov 20, 2011 11:30 pm

Re: Why is QSPIX steadily declining?

Post by matjen » Wed Oct 25, 2017 8:15 am

rkhusky wrote:
Wed Oct 25, 2017 7:51 am
grap0013 wrote:
Wed Oct 25, 2017 7:27 am
Not very helpful. QSPIX YTD returns are 9.07%. Does it matter if the ER is 1.5 or 2%? Fees matter most when you are comparing two like minded funds with similar strategies. Cue inner Larry Swedroe, "many people know the cost of something but do not know the value".
YTD returns don''t have much value. TSM YTD is 16.05%. TISM YTD is 23.36%. Returns come and go. Expenses are a constant drag.
You know what has even less value? Comparing QSPIX to Total US or Total International equities. You glossed over Grap's salient point about "like minded funds and similar strategies." Why didn't you pick bitcoin? :annoyed

Can't one at least compare to Vanguard's VMNFX (Market Neutral) which has a .22 expense ratio. Of course you don't because its performance doesn't stack up. (-3.31) :shock:
A man is rich in proportion to the number of things he can afford to let alone.

lack_ey
Posts: 6579
Joined: Wed Nov 19, 2014 11:55 pm

Re: Why is QSPIX steadily declining?

Post by lack_ey » Wed Oct 25, 2017 9:56 am

Lieutenant.Columbo wrote:
Wed Oct 25, 2017 6:31 am
so, does it make sense for those already using AQR Style Premia (QSPIX, QSPNX, QSPRX) and AQR Managed Futures HV (QMHIX, QMHNX, QMHRX) in tax defered accounts to move out of them and into AQR Alternative Risk Premia Fund (QRPIX,QRPNX, QRPRX)?
I don't know anything about the new fund other than from fund filings. There could be something we don't know yet, or some misunderstanding I have with regards to how the fund is run or the strategy. As for the parts we do know, each fund gets something unique the other doesn't. If you like the strategy, the interest rates and commodities trading in the old fund that you don't get in the new one might add value.

I'd say one advantage of consolodating, if you like all these parts and are already paying for them, would be not having or seeing trend following (managed futures) in its own fund. The problem with any alternatives strategy is that they lose money a lot and it looks and feels even stupider because you have to pay a high fee for that pleasure while others doing something simpler are making more. I think the multistrategy products are likely easier to stick with, assuming each of the strategies actually has positive mean, which of course a lot of people doubt to begin with.

rkhusky
Posts: 5230
Joined: Thu Aug 18, 2011 8:09 pm

Re: Why is QSPIX steadily declining?

Post by rkhusky » Wed Oct 25, 2017 10:52 am

matjen wrote:
Wed Oct 25, 2017 8:15 am
rkhusky wrote:
Wed Oct 25, 2017 7:51 am
grap0013 wrote:
Wed Oct 25, 2017 7:27 am
Not very helpful. QSPIX YTD returns are 9.07%. Does it matter if the ER is 1.5 or 2%? Fees matter most when you are comparing two like minded funds with similar strategies. Cue inner Larry Swedroe, "many people know the cost of something but do not know the value".
YTD returns don''t have much value. TSM YTD is 16.05%. TISM YTD is 23.36%. Returns come and go. Expenses are a constant drag.
You know what has even less value? Comparing QSPIX to Total US or Total International equities. You glossed over Grap's salient point about "like minded funds and similar strategies." Why didn't you pick bitcoin? :annoyed

Can't one at least compare to Vanguard's VMNFX (Market Neutral) which has a .22 expense ratio. Of course you don't because its performance doesn't stack up. (-3.31) :shock:
YTD returns for QSPIX, Total US, Total Int'l, or VMNFX are not very useful for making any kind of decision.

User avatar
matjen
Posts: 1886
Joined: Sun Nov 20, 2011 11:30 pm

Re: Why is QSPIX steadily declining?

Post by matjen » Wed Oct 25, 2017 11:06 am

rkhusky wrote:
Wed Oct 25, 2017 10:52 am
YTD returns for QSPIX, Total US, Total Int'l, or VMNFX are not very useful for making any kind of decision.
Fair point. Agreed in general terms.
A man is rich in proportion to the number of things he can afford to let alone.

lack_ey
Posts: 6579
Joined: Wed Nov 19, 2014 11:55 pm

Re: Why is QSPIX steadily declining?

Post by lack_ey » Wed Oct 25, 2017 11:09 am

Short-term returns (i.e. single digits years) really gives you more of a sense of the typical volatility of a fund—though it will likely not catch the tails of distributions, which particularly for leveraged alternatives funds could be severe generally—than the mean.

User avatar
tarheel
Posts: 359
Joined: Fri Sep 17, 2010 8:33 am

Re: Why is QSPIX steadily declining?

Post by tarheel » Wed Oct 25, 2017 12:10 pm

grap0013 wrote:
Wed Oct 25, 2017 7:23 am
^^^That's exactly what I'm wondering.

I think I'm too lazy to do anything and I don't want to pay the $49.95 fee to purchase it. Think I'll just stick with my 15% QSPIX and 5% QMHIX. Might add some volatility scaling at some point eg AVRPX. It basically gets you to the same place.
I'm basically with grap here. With 7.5% QSPIX and 7.5% QMHIX I don't really see the need to make any changes involving the new fund. Unless we find out something new about it.....maybe this is the new alternative for people who didn't get in on QSPIX earlier.

ilan1h
Posts: 709
Joined: Mon Oct 22, 2007 3:40 pm

Re: Why is QSPIX steadily declining?

Post by ilan1h » Sun Oct 29, 2017 12:36 pm

I climbed on this bandwagon in late 2015/early 2016 partly based on Larry Swedroe's enthusiastic comments on this fund. As of today my ROI on this has been about 23%. I initially bought the fund as a defensive hedge against a market downturn and because I wanted at least one part of my portfolio to be completely uncorrelated to the stock or bond markets. I am not concerned that it has "underperformed" the market because obviously that is not the benchmark to use. It does appear to have done better than many of the alt funds during this same period. My main worry is whether or not this fund will hold up well in a nasty bear market. Ultimately this is probably why most people get into alt funds ie: participate somewhat in rising markets but to not get soaked when they decline. I realize that this could also be achieved by mixed stock/bond portfolios and I also own a fair chunk of Wellesely for precisely this reason; but it is not impossible for both stocks and bonds to decline in tandem. QSPIX represents another arrow in the quiver of diversification and it's possible that its true worth has not really been tested yet.

User avatar
Toons
Posts: 12791
Joined: Fri Nov 21, 2008 10:20 am
Location: Hills of Tennessee

Re: Why is QSPIX steadily declining?

Post by Toons » Sun Oct 29, 2017 12:40 pm

Gravity
:happy
"One does not accumulate but eliminate. It is not daily increase but daily decrease. The height of cultivation always runs to simplicity" –Bruce Lee

lack_ey
Posts: 6579
Joined: Wed Nov 19, 2014 11:55 pm

Re: Why is QSPIX steadily declining?

Post by lack_ey » Sun Oct 29, 2017 1:32 pm

Toons wrote:
Sun Oct 29, 2017 12:40 pm
Gravity
:happy
Oh dear, gravity works in mysterious ways.

Image

The thing that always jumps out to me in return graphs is how different the return for US and ex-US can be over any period even with the unmistakably very high correlation.

For reference, if you didn't catch it, the thread was started a while back. Actually, even looking at inception to mid-late 2016 that would be one of the most successful alternative mutual fund runs ever, never mind if you look at performance through today. But any way you look at it, about an 8.4% annualized nominal return, some 8.1-8.2% above the risk-free rate after fees and trading costs is unusual for any market neutral-type mid-term trading strategy, especially one with billions of dollars in AUM (over $4B in the mutual fund, plenty more billions in the institutional version). That's a bit better than even the fund managers expected, and everybody assumed that was likely optimistic.

It's probably a bit of a lucky break to start.

SpaceCowboy
Posts: 864
Joined: Sun Aug 12, 2012 12:35 am

Re: Why is QSPIX steadily declining?

Post by SpaceCowboy » Thu Nov 02, 2017 3:34 am

Wow up 1.57% today is a sideways market. I have no idea why, but I'm enjoying the ride. :happy

User avatar
nisiprius
Advisory Board
Posts: 36035
Joined: Thu Jul 26, 2007 9:33 am
Location: The terrestrial, globular, planetary hunk of matter, flattened at the poles, is my abode.--O. Henry

Re: Why is QSPIX steadily declining?

Post by nisiprius » Thu Nov 02, 2017 5:36 am

lack_ey wrote:
Tue Oct 24, 2017 10:14 pm
...Maybe this should be another thread. If somebody wants to create it, please do. Otherwise, maybe I will tomorrow or something...
By all means do it. Or, I'd be interested in someone trying to do some kind of grand overview of AQR's mutual fund family, in general. I was disappointed that Larry Swedroe really was focussed on QSPIX specifically and sidestepped occasional questions about their other funds. AQR obviously has some kind of recognizable house style and house philosophy.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

User avatar
nisiprius
Advisory Board
Posts: 36035
Joined: Thu Jul 26, 2007 9:33 am
Location: The terrestrial, globular, planetary hunk of matter, flattened at the poles, is my abode.--O. Henry

Why WAS QSPIX steadily declining (currently, it's rising)

Post by nisiprius » Thu Nov 02, 2017 5:42 am

Image

Somebody really ought to edit the thread title. I believe I will report the thread to the moderators and ask them to do it. As it stands, it's inaccurate information. The original poster, taojaxx, hasn't posted since May so I'm going to assume he's not following the thread.

Even the (meaningless) price per share has been climbing for the last six months.

Image
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

User avatar
LadyGeek
Site Admin
Posts: 46136
Joined: Sat Dec 20, 2008 5:34 pm
Location: Philadelphia
Contact:

Re: Why [was] QSPIX steadily declining?

Post by LadyGeek » Thu Nov 02, 2017 3:33 pm

nisiprius wrote:
Thu Nov 02, 2017 5:42 am
Somebody really ought to edit the thread title. I believe I will report the thread to the moderators and ask them to do it. As it stands, it's inaccurate information. The original poster, taojaxx, hasn't posted since May so I'm going to assume he's not following the thread.
Report received, thanks. I modified the thread title to "Why [was] QSPIX steadily declining?"
Wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.

SpaceCowboy
Posts: 864
Joined: Sun Aug 12, 2012 12:35 am

Re: Why [was] QSPIX steadily declining?

Post by SpaceCowboy » Sun Jun 03, 2018 4:11 pm

Resurrecting an old thread, but does anyone have a clue as to why QSPIX had such a terrible month in May 2018? It's off about 5% for the month and the year. Certainly continues to be uncorrelated, but I'm not sure why it had such a steep drop in the month.

User avatar
zaboomafoozarg
Posts: 1930
Joined: Sun Jun 12, 2011 12:34 pm

Re: Why [was] QSPIX steadily declining?

Post by zaboomafoozarg » Sat Jul 07, 2018 11:01 pm

SpaceCowboy wrote:
Sun Jun 03, 2018 4:11 pm
Resurrecting an old thread, but does anyone have a clue as to why QSPIX had such a terrible month in May 2018? It's off about 5% for the month and the year. Certainly continues to be uncorrelated, but I'm not sure why it had such a steep drop in the month.
Not sure, I just noticed today that the drop has been over 10% since January. The high point was actually the day that I rebalanced into QSPIX... guess I should've warned to everyone :D

grok87
Posts: 8121
Joined: Tue Feb 27, 2007 9:00 pm

Re: Why [was] QSPIX steadily declining?

Post by grok87 » Sun Jul 08, 2018 7:18 am

i"m also interested in this. maybe someone can do a factor attribution analysis.
main point is that the fund is very leveraged. check out qslix for a less leveraged version or vasfx for an even less leveraged option.
cheers,
grok
Keep calm and Boglehead on. KCBO.

SpaceCowboy
Posts: 864
Joined: Sun Aug 12, 2012 12:35 am

Re: Why [was] QSPIX steadily declining?

Post by SpaceCowboy » Sun Jul 08, 2018 11:33 am

I haven’t seen a recent attribution analysis. However, the carry trade was probably negative. Momentum should have been positive. Unclear to me why the drop has been so dramatic. Anyone in touch with Larry who might have some insight?

User avatar
matjen
Posts: 1886
Joined: Sun Nov 20, 2011 11:30 pm

Re: Why [was] QSPIX steadily declining?

Post by matjen » Thu Jul 12, 2018 7:23 am

Although not as good as a report from Larry Swedroe, this probably includes much of the info that is relevant.

Value has struggled but then so has Momentum recently. Gonna have a bad time when that happens at the same time.

Stocks Quants Are Reeling From the Worst Run in 8 Years
One reason: factors that tend to move in the opposite direction failed to offset each other, dropping in unison last month. A market-neutral version of value -- which bets on companies priced cheaply while offsetting the broader market -- rounded off its worst quarter since 2011. Meanwhile, momentum, which bets on the highest fliers like tech stocks, saw its biggest monthly drawdown in more than two years.
https://www.bloomberg.com/news/articles ... gn=markets
A man is rich in proportion to the number of things he can afford to let alone.

grok87
Posts: 8121
Joined: Tue Feb 27, 2007 9:00 pm

Re: Why [was] QSPIX steadily declining?

Post by grok87 » Thu Jul 12, 2018 7:48 am

matjen wrote:
Thu Jul 12, 2018 7:23 am
Although not as good as a report from Larry Swedroe, this probably includes much of the info that is relevant.

Value has struggled but then so has Momentum recently. Gonna have a bad time when that happens at the same time.

Stocks Quants Are Reeling From the Worst Run in 8 Years
One reason: factors that tend to move in the opposite direction failed to offset each other, dropping in unison last month. A market-neutral version of value -- which bets on companies priced cheaply while offsetting the broader market -- rounded off its worst quarter since 2011. Meanwhile, momentum, which bets on the highest fliers like tech stocks, saw its biggest monthly drawdown in more than two years.
https://www.bloomberg.com/news/articles ... gn=markets
Yep, and leverage magnifies the downside
Keep calm and Boglehead on. KCBO.

SpaceCowboy
Posts: 864
Joined: Sun Aug 12, 2012 12:35 am

Re: Why [was] QSPIX steadily declining?

Post by SpaceCowboy » Fri Jul 13, 2018 12:24 am

Actually momentum has done fine this year. Value has struggled. Carry has also not done well with the steepening of the yiel curve.
http://pages.marketintelligence.spgloba ... AifQ%3D%3D

grok87
Posts: 8121
Joined: Tue Feb 27, 2007 9:00 pm

Re: Why [was] QSPIX steadily declining?

Post by grok87 » Sun Jul 15, 2018 3:21 pm

Anyone know what the momentum factor returns for q1 and q2 of this year were.
Keep calm and Boglehead on. KCBO.

SpaceCowboy
Posts: 864
Joined: Sun Aug 12, 2012 12:35 am

Re: Why [was] QSPIX steadily declining?

Post by SpaceCowboy » Sun Jul 15, 2018 4:37 pm

grok87 wrote:
Sun Jul 15, 2018 3:21 pm
Anyone know what the momentum factor returns for q1 and q2 of this year were.
Per the S&P report linked above YTD +8.86% Q2 +5.29%

Post Reply