stonksanalyst

@choffstein @HML_Compounder looks like iMGP/DBi is coming out with a portable alpha fund. 100% managed futures, 30% US equity target exposure. sec.gov/Archives/edgar…

@losonn @BowTiedLobster This isn't true; it's 100% replication, it's just using two replication models, one at 30% weighting and the other at 70%.

@BowTiedLobster Only a small slice of RSBT is actual SG Trend replication. Fund is 100% bonds + 100% MF sleeve. MF sleeve = 70% Newfound’s single-manager trend algo + 30% SG Trend replication.

“Alright, Lobster, you spent all Christmas night reposting yourself from a year ago saying what sounded crazy at the time, then BTC gained 0% and gold doubled, you absolute genius. But what’s in it for me? What do you think about next year?” Sadly it’s not as easy. Cash is king. You can’t gain a lot of yield on cash. Bonds seem to be “the best option,” but they are in a huge secular bear market. I don’t like the risk reward. I don’t fight the big picture trend even when it could work out. For my long only savings portfolio my preferred “cash with yield” is managed futures hedge fund replication: HFMF, RSBT, DBMF. Thankfully you can diversify across 3 managers. But you have to understand how these work so you believe in what you own. I think the absolute best risk reward going into next year is to be short the equity indices (you should be able to infer my view on crypto from this). I do NOT recommend shorting for the vast majority of my readers. So things aren’t easy the way they were last year when I could say “jamming gold is a great idea.” Gold and silver could easily correct big time here. For most, it is the right time to practice patience. Merry Christmas.

@taobanker try looking into cap gains distributions for CTAs in these kinda funds and look at total returns.

The backdrop: It was 2022. The market was in turmoil. No one knew where to turn but $DBMF number was going up. The solution: "Macro Strategist" Mike Green launches and aggressively markets competing product $CTA as a refuge from "passive flows" The outcome:

@17catspaw @pnlcorrect @Fabian_v4 QCFIX would be a better comp. QHFIX, uses 3 different strategies, and none of them are MF trend.

@pnlcorrect @Fabian_v4 Would $RSST be more tax/cost efficient? FD don’t know anything about that mutual fund

fukit, 3 posi portf going forward: 1/3 gldm 1/6 avnm 1/2 qhfix when it starts closed vug vgt vbr voe vxus fxi cqqq shld euad kdef mftnx ebsix etc etc goal: cut daily market screen time from 45 min to 5 check back in a year

@HML_Compounder @HPierre_ @Fidelity Haven’t tried yet, but that’s not typical with I shares from what I’ve seen. I made one large lump sum purchase and am a bit overweight rn but plan on rebalancing via cash flows. Was trying to avoid the transaction fees

@stonks_analyst @HPierre_ @Fidelity Ya 401k gets a little more fun… does the fee go down to $50 for recurring purchases at least?

@HML_Compounder @HPierre_ @Fidelity They're available on my brokeragelink Fidelity account, without mins. transaction fees are $50

@stonks_analyst @HPierre_ @Fidelity Vanguard too. In due time for Fidelity.

@HML_Compounder @weltluster @BobEUnlimited In this white paper, they discuss their multi-strategy fund. It's tagged as a suggested article when you're viewing the Apex fund. Looks like it is written about the Apex Fund but applies to QMFIX aqr.com/Insights/Resea…,

@stonks_analyst @weltluster @BobEUnlimited It’s more or less the same 3 core strats (at moment it’s more diverse with commodities, although I think MS will get that eventually), but Apex has more proprietary alpha strats, some dynamic adjustments between the cores, etc is my understanding.

When most portfolios are long only, flexible strategies that can go short to cushion negative return periods are uniquely diversifying. The challenge is finding cash efficient, low cost, positive return strategies that do it. Managed Futures run at 2x is an option. Thread.

@HML_Compounder @weltluster @BobEUnlimited Is that a good proxy tho? It seems like they are different strategies. I am not very familiar with QRPIX, so I may not have understood it very well.

@stonks_analyst @weltluster @BobEUnlimited Good evaluation here, but QRPIX also includes these same 3 sleeves, has a 5-15% vol target (has been in upper range since instituting that), and charges only 1.43%. So there must be more alpha in there too, or at least more work to reduce cross-sleeve correlation.

@HML_Compounder @weltluster @BobEUnlimited I did some simple math by backing into each sleeve's necessary vol to achieve the 6-14% vol target. I assumed varying levels of correlation from 0-0.5 and assumed each sleeve has equal correlation for each bucket. These 3 sleeves could be running at pretty high vol.

@weltluster @BobEUnlimited AQR Fusion funds enticing you? Fee is hefty, but they sound pretty juiced up. QLFIX supposedly around 30% more vol in the l/s overlay than QMNIX. QHFIX all kinds of vol/diversification (but man that fee...).

@BigBreakfastLob Which paper? Always love nerding out on AQRs research

@stonks_analyst RSST + other generic managed futures construction have naive long short equities component when it is supposed diversify away from it. It lost its raison d’etre. See cliff’s paper on it.

Oh I didn't realize AQR already has a $RSST type of product called $QNZIX ?? Also hate to be a party pooper: you should sell your $RSST because the trend construction is indexed to a shit CTA index that should have not existed this long. It is closeted beta.

@BigBreakfastLob well is this really a fair comparison? AQRs fund is ran at 0.5 beta so the equity exposure should outperform by 50% during equity market drawdowns. I think you would have to strip out the equity beta and create a new return stream to make a fair comparison

If you need to see for yourself still, 1.5 year of data but superiority of construction during downtime by AQR already starts to show; $RSST

@TrendingValue @weltluster The strategy has been running longer in other vehicles. I remember seeing extended returns somewhere lol

@weltluster DBMF is not pure trend. Not a good comparison. And I actually still don't think that's enough time.

Looking at the fees of AQR's new Fusion funds. I'm really hoping that either: A) they bring them down soon B) it's a mistake C) they make it very clear why they are priced the way they are priced and/ D) or help me understand why I am mistaken that the fees should be lower

Another filing sec.gov/ix?doc=/Archiv…

Looks like the new portable alpha products by AQR got tickers. looks like it could launc next weeks. $QCFNX $QLFNX $QHFNX $QMFIX sec.gov/Archives/edgar… @egr_investor @HML_Compounder

@TheBloggins @choffstein That was when bonds were in a secular bull run and managers could just take on more risk and outperform. I haven't done this in a while but last time I tried running attribution on the largest active funds, they were just adding risk, and did not have superior security selection

@choffstein This is what got it in my head. Its old. Makes me wonder if or how studies like that could have conflicts of interest pimco.com/us/en/document…

"With broad US Treasuries at a weighted average yield to maturity of 4.34% and 3-month T-Bills at 4.30%, I don't see the added value given the increase in volatility." I hear this from advisors all the time. Do we just completely ignore path dependency in financial planning?

@choffstein @returnstacked @InvestReSolve @GestaltU Thanks for shedding some light on this. Hopefully they eventually approve something, even if it’s a handicapped version.

There was a Q1 commentary that was written. It just has never seen the light of day as the compliance group basically took a big red pen to it.

Is $RDMIX going to come out with a quarterly commentary? It would be nice to see how it was positioned/performed in April. @choffstein @returnstacked @InvestReSolve @GestaltU

@choffstein @returnstacked @InvestReSolve @GestaltU Yeah! I couldn’t find the Q1 one so I wasn’t sure if you were planning on making one for Q2

@stonks_analyst @returnstacked @InvestReSolve @GestaltU Do you mean at the end of Q2?