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Post by yogibearbull on Apr 28, 2024 12:05:46 GMT
mnfish , 3-mo T-Bills are the benchmark for many absolute-return fund because there is no other reasonable benchmark. But investors can judge their performance over a market cycle, and by how much they beat the benchmark. But their purpose is not to just match the benchmark.
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Post by mnfish on Apr 28, 2024 12:36:19 GMT
mnfish , 3-mo T-Bills are the benchmark for many absolute-return fund because there is no other reasonable benchmark. But investors can judge their performance over a market cycle, and by how much they beat the benchmark. But their purpose is not to just match the benchmark. Thanks yogibearbull, I learned something. From the absolute-return fund Google search I did and compared on PV, QDSNX handily beat many others.
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Post by anitya on Apr 28, 2024 12:47:04 GMT
A lot of good points posted. chang post directly addressed the title of the thread. Comparing to 3 mo T bill is to suggest that you buy and forget. Can you really? If you can not buy and forget or even watch like a hawk at least at 10% of PV, benchmark is not suitable. Norbert’s uncorrelated comment and the chart are difficult to overlook or to be dismissive about but may be there is a good reason why it’s AUM is not running away, while look at how fast JEPI gathered AUM - one would not think looking at the charts. (Last 3 months AUM ramped up for QDSNX though.)
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Post by archer on Apr 28, 2024 17:17:29 GMT
While the cautionary points regarding QDSNX are quite valid and worthy of consideration, I think overall a case could be made that they are being a little too hard on this fund. I would buy it if I had something I wanted to replace. It is true that this fund is mysterious in its holdings. But as for me, I have only a surface understanding of any of my funds. For example, my largest single PF allocation is in FBALX. I know it is a 60/40 fund, and I can see what sectors it holds, and it's bond make up, but I don't have the smarts to assess how FBALX will do in the future any more than QDSNX. So, I rely on track records for performance, SD and Sharpe. While QDSNX doesn't have many years behind it, it is looking good for most of its history, and can always be gotten rid of should it lose it's success. Can any fund really be trusted enough to buy and forget? I think that is more to do with investors temperament than the fund.
I used Fidelity's screener to see how it rates among other funds of 5-10% SD, multi strategy, allocation, US equity, sector equity, alternative, (mostly wanting to exclude funds that are way out of its league), and it comes out near the top, for YTD, 1 yr, and 3 yr. performance, and actually THE top for Sharpe if I exclude funds with a transaction fee.
Interesting find in this exercise is Vangard's VMNFX. While it lags QDSNX YTD, it is neck to neck in the past 1 and 3 years, and it has a much longer history. But as with many funds it had it's low performing years.
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Post by anitya on Apr 28, 2024 18:31:59 GMT
archer , Pl elaborate on what you mean by you would buy it if you wanted to replace something else. To me that means it is uncorrelated to anything in your portfolio. It also means, this fund has not performed (or expected to perform) as well as anything else in your portfolio, even though you claim to have only a surface understanding of your holdings. Pl elaborate on your apprehension why you are not jumping to buy this fund. May be you need the surface understanding which is lacking here? The past SD and sortino is like window shopping. We all do but not enough to make the final purchase. You say one can always gotten rid of the fund if its losses it success. I had asked too many times in this forum for sell strategies. Besides, any new investment in size for a retiree should be one your heir can retain. we had threads and threads of posts about trading funds based solely on SD, sortino, etc. alone and not worry about knowing or understanding the fund but I do not see too many adopt that strategy. That is for highly evolved beings! VMNFX is a good mention. We know what can drive its success or failure. It is a simple long-short equity fund that tries to be net zero (neutral). It seems the managers have a good quant screening model which presumably they update constantly cause it has a long history showing it self corrects its underperformance. I would own it before I am comfortable owning QDSNX. VMNFX outperformance (and better chart) over past one and three years vs QDSNX is a bonus. You ask, Can any fund be trusted to buy and forget? While I would with FBALX (I can even do with the niche JHQAX), may be the criterion should be, is this the fund you would like to pass on to heirs or you would be comfortable not looking at it for at least a year (there can be many life events that can vacuum your attention for an extended period of time)? There are many funds with 10-15-20 yr history with large fund companies that meet this criteria for me. There are not that many at AQR. All these 3 mo T Bill benchmarked funds made some sense during the ZIRP and QE world when we were looking for alternatives to fixed income asset class.
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Post by fred495 on Apr 28, 2024 19:27:03 GMT
But as for me, I have only a surface understanding of any of my funds. For example, my largest single PF allocation is in FBALX. I know it is a 60/40 fund, and I can see what sectors it holds, and it's bond make up, but I don't have the smarts to assess how FBALX will do in the future any more than QDSNX. So, I rely on track records for performance, SD and Sharpe. While QDSNX doesn't have many years behind it, it is looking good for most of its history, and can always be gotten rid of should it lose it's success. Can any fund really be trusted enough to buy and forget? I think that is more to do with investors temperament than the fund.
Well said, archer. You describe my sentiments exactly.
Good luck,
Fred
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Post by fred495 on Apr 28, 2024 19:39:41 GMT
Can any fund be trusted to buy and forget? While I would with FBALX (I can even do with the niche JHQAX), May be the criterion is, is this the fund you would like to pass on to heirs or you would be comfortable not looking at for at least a year (there can be many life events that can vacuum your attention for an extended period of time)? There are many funds with 10-15-20 yr history with large fund companies that meet this criteria for me. There are not that many at AQR.
As a retired investor with a limited investment horizon, I would not "be comfortable not looking at a fund for at least a year".
Can you name a few "funds with 10-15-20 yr history with large fund companies" that meet your one year criteria?
Much appreciated.
Fred
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Post by anitya on Apr 28, 2024 19:40:33 GMT
Between MFO and this forum this fund has been discussed for more than a couple of weeks. There have been cheerleaders and there have been posters with apprehension. How many posters between the two forums have actually invested in this fund and in what %age of portfolio? P.S.: I had invested in QMNIX many years ago (much before pandemic) - I think more than 10% of PV. If my memory is correct, I think Norbert had also invested in it. I ask myself why is that posters are cheering on QDSNX but I am not seeing commitments. Good for entertainment? MFO discussion - www.mutualfundobserver.com/discuss/discussion/comment/174699/#Comment_174699
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Post by archer on Apr 28, 2024 19:59:08 GMT
anitya, I'm probably don't have an answer to each of your questions, but I will try to clarify some of the questions and points you brought up. I don't try to have a well correlated PF. Maybe I should, but I focus more on short term performance moving in and out of funds based on technicals. For more of a buy and hold portion of my PF I leave that to FBALX. I considered selling some FBALX to buy QDSNX, because of it performing better with less SD, but decided against due to lack of history. When I look at the rest of my PF which has a more short term focus all of them are doing better Jan-March, but 2 of them have lagged in Apr. relative to QDSNX. I agree deciding when to sell is a tough call. It is easier to use technicals for buying than selling because the market spends more time going up than down, and it seems when it does go down the losses come quicker than the gains. For me, sometimes selling is just based on finding what I believe to be a better replacement for a given timeframe. VMNFX IMO doesn't really look good until 2021. I would rather pass FBALX to my heirs than VMNFX. I mostly brought it up due to seeing how it compared to QDSNX during the lifetime of the later. Also to your comment of SD, sortino, etc being for highly evolved beings, I think I rely on those metrics as much as I do due to lack of evolvement, and aptitude to understand in more depth why different funds work or not at any given time!
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Post by anitya on Apr 29, 2024 2:27:45 GMT
archer , Thanks for the reply. "For more of a buy and hold portion of my PF I leave that to FBALX." As I said in my previous post, I too trust FBALX to be a buy and hold (or buy and forget) fund in my portfolio. "I focus more on short term performance moving in and out of funds based on technicals." You are an evolved being IMO. "When I look at the rest of my PF which has a more short term focus all of them are doing better Jan-March, but 2 of them have lagged in Apr. relative to QDSNX." Let me know when you become interested in managing money, I might be able to give you a large part of my portfolio to manage. "I don't try to have a well correlated PF. Maybe I should" I was not suggesting you should. Uncorrelated assets are good in long term portfolio to smooth out portfolio volatility so you can keep that part of the portfolio - not that you need me to tell you! Your short term portfolio largely a trend following book I presume does not need to include uncorrelated assets, which is why trend following traders sometime load up on a single fund far in excess of 50% of their portfolio. You are definitely the right person to own QDSNX.
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Post by Norbert on Apr 29, 2024 7:04:03 GMT
Another interesting quant fund is BPLSX (Boston Partners Long/Short fund). It's been around for a long time. I see that it killed the market 2000-2010, when the S&P 500 went nowhere. Blue: BPLSX Red: Wellington Yellow: 50%/50% (Click to enlarge.) After 2010 it lagged, as the market performed well. Owning the right "quant" fund during an extended bear market could be useful. BPLSX was the right fund. The problem is that we didn't know it back then. Hussman's HSGFX also looked terrific 2000-2010. Then it proceeded to lose nearly 50% from January 2011 until now. Blue: HSGFX Other alternative funds like TEAMX and WAGFX (mentioned by chang) don't even exist anymore. All this reminds me of the famous university lecture hall experiment. The prof asked everyone to stand up and guess the outcome of a coin flip. He flipped the coin multiple times, asking those who were wrong to sit down. After several flips only a few students were still standing. Then he asked the winners about their strategy: "How were you able to correctly guess the coin flip so many times?" So, are the AKR funds different? Can we count on recent history to project good future returns?
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Post by anitya on Apr 29, 2024 17:13:33 GMT
One of the successful Long-short funds in the post Covid era is BIVIX. I think they closed it to new investors as it reached $1b AUM. The first three years, it was flattish but in the next three years it had 300% return. In hindsight, my mistake was I did not want to put money if it is going to go no where but is a great fund to trade.
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Post by fred495 on May 1, 2024 2:42:03 GMT
QDSNX has shown itself again to be quite a steady performer, even on days like today when the market turned ugly.
For example: QDSNX +0.1% VWELX -1.1 PRWCX -1.1 S&P 500 -1.6
So far, so good. Fred
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Post by Norbert on May 1, 2024 4:15:42 GMT
fred495 Excellent upside vs. downside capture ratio! The component funds have performed like this recently: (Click to enlarge.) The longer term numbers aren't as impressive, but they're all positive ... ... with considerable variation year to year: It would have been frustrating to hold QDSNX in 2020, when some components fared badly compared to the overall market; but the inverse would have been true in 2022.
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Post by anitya on May 2, 2024 8:36:47 GMT
On 5/1, the FOMC day, the fund lost -0.40%. How did its competition do?
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Post by anitya on May 2, 2024 23:53:31 GMT
On 5/1, the FOMC day, the fund lost -0.40%. How did its competition do? On 5/2, dropped another -0.32%. How did the competitors do? On 5/3, dropped another -0.48%, dropping three days in a row. How did the competitors do?
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dily
Ensign
Posts: 8
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Post by dily on May 3, 2024 1:04:54 GMT
Not direct competition, but fred495 previously compared to VWELX and PRWCX, which were up 0.76% and 0.46%, respectively on 5/2.
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Post by Norbert on May 3, 2024 10:09:59 GMT
AQR's "Managed Futures" fund dropped 3% yesterday. That's the culprit behind QDSNX's small loss on a good day for the market.
Someone bet in the wrong direction.
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