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Post by FD1000 on May 20, 2022 16:11:35 GMT
We have seen this movie before, these funds look great for a while just to disappoint later. I would just use them for a trade. I prefer to be out of the market...months already. Markets may be trickier to predict now after big losses for stocks+bonds.
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Post by Norbert on May 21, 2022 15:15:03 GMT
We have seen this movie before, these funds look great for a while just to disappoint later. I would just use them for a trade. I prefer to be out of the market...months already. Markets may be trickier to predict now after big losses for stocks+bonds. I tried to infuse my opening post with a big dose of skepticism ... and agree that these markets are tricky to play. |
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Post by retiredat48 on May 21, 2022 17:27:12 GMT
fred495 ,...about 90% cash--bold move! Is there a thread or discussion of PQTIX...any links to writeups or literature? TIA R48 The first post in this thread has a link to Pimco's info. My bad...I "forgot it" in the opening post. It is very difficult to ascertain what PQTIX owns. It appears it would be "all short" with that performance to date. However in portfolio holdings it appears to own treasuries etc. In one place (M*)I found ...short 607%, fixed income". Yes, by prospectus PQTIX can go long or short...but didn't expect any fund would go so far short. High expense ratio/management fee as well. I'm currently using PSTIX for a reverse -market short...not fully satisfied, but working OK since January. Now deciding when to sell some gains. Looking for alternatives in the future. R48 |
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Post by anitya on May 21, 2022 19:14:58 GMT
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Post by fred495 on May 21, 2022 21:46:28 GMT
PQTIX - Portfolio composition (% Risk Allocation) as of 3/31/2022 per PIMCO fact sheet: Currency........ 20.7% Equity............. 5.3 Rates ........... 28.9 Commodity... 45.1
Total...........100.0%
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Post by FD1000 on May 22, 2022 13:22:07 GMT
We have seen this movie before, these funds look great for a while just to disappoint later. I would just use them for a trade. I prefer to be out of the market...months already. Markets may be trickier to predict now after big losses for stocks+bonds. I tried to infuse my opening post with a big dose of skepticism ... and agree that these markets are tricky to play. As you know, I like new ideas. Maybe we can use PQTIX longer term as a ballast to stocks (zig-zag), see 3 year correlation( link). Attachments:
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Post by yogibearbull on May 22, 2022 13:54:44 GMT
I held PQTAX (no-load NTF at Fido & Schwab) for a while some years ago. I also found that it moved counter to the market - it was down or dud on market up days, but up on market down days. It had a great run initially. People involved with it then have left. I eventually got tired of it and dumped it. Of course, that was well before 2022. BTW, PQTAX was the last in my experiments with the futures-based funds - on the whole disappointing.
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Post by FD1000 on May 22, 2022 14:58:03 GMT
I held PQTAX (no-load NTF at Fido & Schwab) for a while some years ago. I also found that it moved counter to the market - it was down or dud on market up days, but up on market down days. It had a great run initially. People involved with it then have left. I eventually got tired of it and dumped it. Of course, that was well before 2022. BTW, PQTAX was the last in my experiments with the futures-based funds - on the whole disappointing. Pretty much sum up my experience. I used to own these type of funds just to find later, they don't work for years. I prefer trend following for mainstream funds. |
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Post by Norbert on Jun 11, 2022 5:33:20 GMT
I tried to infuse my opening post with a big dose of skepticism ... and agree that these markets are tricky to play. As you know, I like new ideas. Maybe we can use PQTIX longer term as a ballast to stocks (zig-zag), see 3 year correlation( link). PQTIX pairs well with stocks and has been working, while IG bonds have failed to provide the desired ballast in a rising rates environment. Last week it definitely zagged while stocks zigged, up almost 5%. It's been an excellent diversifier. When stocks recover down the road, I won't be surprised to see PQTIX languish again. |
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Post by anitya on Jun 11, 2022 5:51:59 GMT
Next time you think dip buying in equities will start, sell PQTIX and buy SPY and do the reverse when you think SPY has reached a shorterm top.
I thought PQTIX had a counter trend move yesterday but just realized that yesterday was ex-dividend date.
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Post by Norbert on Jun 11, 2022 9:02:17 GMT
Next time you think dip buying in equities will start, sell PQTIX and buy SPY and do the reverse when you think SPY has reached a shorterm top. I thought PQTIX had a counter trend move yesterday but just realized that yesterday was ex-dividend date. I think it's very challenging to trade in and out of SPY and PQTIX successfully. What looks interesting is using PQTIX in place of IG bonds in a buy & hold portfolio. For example, 60% SPY + 40% PQTIX. |
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Post by FD1000 on Jun 11, 2022 12:28:02 GMT
As you know, I like new ideas. Maybe we can use PQTIX longer term as a ballast to stocks (zig-zag), see 3 year correlation( link). PQTIX pairs well with stocks and has been working, while IG bonds have failed to provide the desired ballast in a rising rates environment. Last week it definitely zagged while stocks zigged, up almost 5%. It's been an excellent diversifier. When stocks recover down the road, I won't be surprised to see PQTIX languish again. Every time I think I found it...it doesn't work...but, selling to cash worked for me each meltdown in the last 10 years. Good luck!! |
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Post by fred495 on Jun 11, 2022 12:51:32 GMT
FYI, here is another, rather newish but intriguing fund in this category, that is currently on my watch list. PGAGX - PGIM Wadhwani Systematic Absolute Return Fund gained 1.46% yesterday. According to the Financial Times, the investment objective of the related UK fund is to seek a positive return on capital while simultaneously attempting to limit the risk of capital loss using a multi-faceted risk management. The Fund intends to achieve its investment objective through investment in financial markets globally, gaining exposure through the use of financial derivative instruments as detailed below to currencies (through forward foreign exchange contracts), fixed income securities (through bond futures) and equity securities (through equity index futures and equity index swaps) or by investing directly in equities. Per M*, the manager, Dr. Sushil Wadhwani, CBE, is the Chief Investment Officer for QMAW, originally founded as Wadhwani Asset Management in October 2002. Prior to joining QMA, Sushil served as the Founder and Chief Executive Officer of Wadhwani Asset Management. He was formerly a full-time member of the Monetary Policy Committee at the Bank of England from 1999 to 2002. Prior to this, his roles included director of research, head of systems trading and partner at the Tudor Group, and director of equity strategy at Goldman Sachs International Ltd, and as an academic economist at the London School of Economics. He has over 25 years of quantitative modelling experience and runs a high calibre team of quantitative and qualitative research analysts... Fred
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Post by Deleted on Jun 11, 2022 13:19:00 GMT
Next time you think dip buying in equities will start, sell PQTIX and buy SPY and do the reverse when you think SPY has reached a shorterm top. I thought PQTIX had a counter trend move yesterday but just realized that yesterday was ex-dividend date. PQTIX had a huge income distribution (0.1957) on 6/9/22. That reduced yesterday's 6/10/22 NAV increase to .01. amid the market turmoil. |
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Post by FD1000 on Jun 11, 2022 13:34:29 GMT
Another problem: if PQTIX is the "reverse" of SPY then you don't make much. The key is to find something that works in all markets, and why it's hard to find a fund like that. So, then you try to hold PQTIX only in risky markets and/or a small % in it. Basically, you use timing or the protection isn't big enough. On the other hand, if you can do timing, using cash is better.  |
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Post by Deleted on Jun 11, 2022 14:17:40 GMT
Another problem: if PQTIX is the "reverse" of SPY then you don't make much. The key is to find something that works in all markets, and why it's hard to find a fund like that. So, then you try to hold PQTIX only in risky markets and/or a small % in it. Basically, you use timing or the protection isn't big enough. On the other hand, if you can do timing, using cash is better. It's not a question of "making much'" rather it is buffering or hedging risk. Going completely to cash and jumping back in for a day or so isn't practical over time, and the risk there is having losses cancelling gains, so there's risk there, too. |
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Post by Norbert on Jun 11, 2022 15:56:49 GMT
Another problem: if PQTIX is the "reverse" of SPY then you don't make much. The key is to find something that works in all markets, and why it's hard to find a fund like that. So, then you try to hold PQTIX only in risky markets and/or a small % in it. Basically, you use timing or the protection isn't big enough. On the other hand, if you can do timing, using cash is better. PQTIX made 15% in 2021, while the S&P 500 was up 29%. YTD PQTIX is up 22%, while the S&P is off about 18%. So, it's obviously not the "reverse" of the S&P. We get it that you consider yourself a "trader". This thread is not about what you do. It's about trend following mutual funds. My argument is that with bonds getting clobbered by rising rates, some of these alternative investments might be worth a look to provide portfolio ballast. Anyway, I'll take PQTIX's 22% YTD over cash. |
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Post by FD1000 on Jun 11, 2022 19:19:27 GMT
Another problem: if PQTIX is the "reverse" of SPY then you don't make much. The key is to find something that works in all markets, and why it's hard to find a fund like that. So, then you try to hold PQTIX only in risky markets and/or a small % in it. Basically, you use timing or the protection isn't big enough. On the other hand, if you can do timing, using cash is better. It's not a question of "making much'" rather it is buffering or hedging risk. Going completely to cash and jumping back in for a day or so isn't practical over time, and the risk there is having losses cancelling gains, so there's risk there, too. Maybe not for you but it worked for me. I'm out exactly when the market is falling and back, after risk is lower ( link). The other great option I would recommend for most, know your goals, invest accordingly with hardly any changes = KISS. =========== Norbert, good point about last year, but when we look LT, since the beginning of PQTIX, 100% SPY made more than 50/50 PQTIX/SPY. In fact, PQTIX made nothing for 5 years in 2015-6-7-8-9. I don't know how many investors can hold for 5 years and do nothing...and that's the main problem.See PV( link). |
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Post by Norbert on Jun 12, 2022 2:41:40 GMT
Maybe not for you but it worked for me. I'm out exactly when the market is falling and back, after risk is lower ( link). The other great option I would recommend for most, know your goals, invest accordingly with hardly any changes = KISS. =========== Norbert, good point about last year, but when we look LT, since the beginning of PQTIX, 100% SPY made more than 50/50 PQTIX/SPY. In fact, PQTIX made nothing for 5 years in 2015-6-7-8-9. I don't know how many investors can hold for 5 years and do nothing...and that's the main problem.See PV( link). Your PV link shows that 50% SPY plus 50% PQTIX provided the best risk adjusted returns (Sharpe & Sortino) over the full period. Yes, 100% SPY resulted in higher total returns, but with high volatility. Not many conservative investors can tolerate such high volatility levels and most aren't interested in frequent trading. The maximum SPY drawdown was 19%, but the maximum SPY+PQTIX drawdown was 7%. Yet CAGR has been 12% vs. 9.8%. Not bad. Again, IG bonds have typically been used to dampen portfolio volatility, but that hasn't worked recently. What matters is portfolio performance, not the performance of each component. N. |
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Post by FD1000 on Jun 12, 2022 4:09:58 GMT
Maybe not for you but it worked for me. I'm out exactly when the market is falling and back, after risk is lower ( link). The other great option I would recommend for most, know your goals, invest accordingly with hardly any changes = KISS. =========== Norbert, good point about last year, but when we look LT, since the beginning of PQTIX, 100% SPY made more than 50/50 PQTIX/SPY. In fact, PQTIX made nothing for 5 years in 2015-6-7-8-9. I don't know how many investors can hold for 5 years and do nothing...and that's the main problem.See PV( link). Your PV link shows that 50% SPY plus 50% PQTIX provided the best risk adjusted returns (Sharpe & Sortino) over the full period. Yes, 100% SPY resulted in higher total returns, but with high volatility. Not many conservative investors can tolerate such high volatility levels and most aren't interested in frequent trading. The maximum SPY drawdown was 19%, but the maximum SPY+PQTIX drawdown was 7%. Yet CAGR has been 12% vs. 9.8%. Not bad. Again, IG bonds have typically been used to dampen portfolio volatility, but that hasn't worked recently. What matters is portfolio performance, not the performance of each component. N. I saw it too. We had about 20% decline in 2018+2022 and over 30 in 2020. If that's the new norm for the next several years, you are correct. I admit I can't hold anything that hardly makes money for 5 years. IG bonds may work next time. If I was younger and held stocks, I would probably own lots of high div stock(HDV) + energy + commodities and even PQTIX. Fred, from memory, look at FARIX, consistent 3 years of 24+%. PV( link). Attachments:
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Post by bf22 on Jun 12, 2022 19:52:42 GMT
I have a full position (for me) in PQTIX since last year. It works well for me. Like others on this thread, I hold it instead of bonds for the time being. For me, it does work better than cash (I sold most bonds last year) as it has returned 22% YTD.
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Post by anitya on Jun 12, 2022 21:58:32 GMT
"What matters is portfolio performance, not the performance of each component."
That is true. But if one is holding a component that is not (or can not be) easily understood, it is difficult to hold if it starts losing money. Loss of money has a different meaning for different people. E.g., loss of profits, loss of principal, loss of opportunities (opportunity cost), etc.
With an IG bond fund, we know for the most part how it is going to behave - the manager's skill (ability, luck, etc.) has limited effect on the performance. But that is not the case with macro trading funds or long-short funds. This makes it very difficult to employ a buy-and hold strategy with these funds and shareholders are more apt to follow trend. Taking it a step further, I never sold any SPY I bought but I have sold both fixed income and equity active funds because SPY is more easily understood and predictable whereas active fixed income and equity funds' performance is at the mercy of the manager. The more predictable the behavior of a fund, the more likely one may buy and hold, notwithstanding volatility and losses.
I had owned PQTIX in 2013 through sometime in 2015. It had not decidedly surpass 2015 peak again until for 5.5 yrs in 2020. Even though it had not lost much money in the interim, it is difficult to keep an eye on it for that many years. Sometime in 2017-2018, I even sold the foothold of it to just clean out clutter in my account and watch list - which I think was a mistake. I would have gotten back sooner if I held on to the foothold or in the watch list and followed it.
Let us see how long I will hold this time but what you say makes sense.
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Post by fred495 on Jun 13, 2022 2:28:31 GMT
FD said: "Fred, from memory, look at FARIX, consistent 3 years of 24+%. PV(link)."
Thanks, FD. FARIX looks like a very promising, low volatility fund. Will check it out.
Fred
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Post by FD1000 on Jun 13, 2022 3:13:43 GMT
I have a full position (for me) in PQTIX since last year. It works well for me. Like others on this thread, I hold it instead of bonds for the time being. For me, it does work better than cash (I sold most bonds last year) as it has returned 22% YTD.
Great job, I wish I have done that. |
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Post by Norbert on Jun 14, 2022 5:52:28 GMT
Up 2.61% yesterday. The managers must have decided to actually short equities directly.
We'll see today. Futures are up. Will PQTIX decline if stocks close in the green?
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Post by retiredat48 on Jun 14, 2022 6:39:24 GMT
Up 2.61% yesterday. The managers must have decided to actually short equities directly. We'll see today. Futures are up. Will PQTIX decline if stocks close in the green? The hedge I posted above that I own, PSTIX, went up FRIDAY +2.72%, and +3.39% Monday. Hmmmmm. Face it Norbert, this is a form of market timing! R48 |
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Post by fred495 on Jun 15, 2022 23:32:10 GMT
Up 2.61% yesterday. The managers must have decided to actually short equities directly. We'll see today. Futures are up. Will PQTIX decline if stocks close in the green?
Sorry, but PQTIX lost 1.70% today.
But, PGAGX - PGIM Wadhwani Systematic Absolute Return Fund gained 0.66%! PGAGX, a fairly new fund, is currently on my watch list. Looking for lower volatility funds in this category. So far, so good.
As previously posted, according to the Financial Times, the investment objective of the related UK fund is to seek a positive return on capital while simultaneously attempting to limit the risk of capital loss using a multi-faceted risk management. PGAGX intends to achieve its investment objective through investment in financial markets globally, gaining exposure through the use of financial derivative instruments to currencies (through forward foreign exchange contracts), fixed income securities (through bond futures) and equity securities (through equity index futures and equity index swaps) or by investing directly in equities.
Per M*, the manager, Dr. Sushil Wadhwani, CBE, is the Chief Investment Officer for QMAW, originally founded as Wadhwani Asset Management in October 2002. Prior to joining QMA, Sushil served as the Founder and Chief Executive Officer of Wadhwani Asset Management. He was formerly a full-time member of the Monetary Policy Committee at the Bank of England from 1999 to 2002. Prior to this, his roles included director of research, head of systems trading and partner at the Tudor Group, and director of equity strategy at Goldman Sachs International Ltd, and as an academic economist at the London School of Economics. He has over 25 years of quantitative modelling experience and runs a high calibre team of quantitative and qualitative research analysts...
Fred
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Post by anitya on Jun 24, 2022 20:06:10 GMT
Probably a few days late but got out of PQTIX yesterday. It would have been correct to get out when SPY hit $365 and sat there for a bit. When the market was down 23% and all the indications were showing an oversold condition, the probability of benefitting from PQTIX diminished. Only if I could master the art of timing!
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Post by Norbert on Sept 14, 2022 7:29:20 GMT
We started looking at PQTIX back in May. Let's see how it's been doing ...
Longer term it's had positive returns, tending to zig when equity markets zag, but not behaving like an inverse fund. Had I owned it for years, it would have done a good job dampening volatility while not sacrificing much in terms of returns. But, I didn't.
During 2022 PQTIX has behaved like an inverse fund. That's interesting, as PQTIX generated positive returns during the bullish years, unlike inverse funds. PQTIX has been doing something right.
Since our May discussion, PQTIX has not been particularly helpful in dampening volatility and has not been able to catch the mini rallies. However, it will probably look better if stocks crash to new lows. The limitations of a quant fund like this one are evident.
FWIW, N.
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Post by Norbert on Nov 9, 2022 7:00:01 GMT
End-of-October update regarding managed futures funds when included in a portfolio based on SCHD. Portfolio 1: 50% AMFAX + 50% SCHD Portfolio 2: 50% PQTAX + 50% SCHD Portfolio 3: 100% SCHD  (Am using a June start date because of the mid May thread launch date. Have included AMFAX, a recent find. PV reports total returns.) The hedged portfolios are outperforming a 100% SCHD portfolio since May, when I started this thread. What's most interesting to me is that both PQTAX and AMFAX recently removed their equities short positions. It looks like both are taking interest rate and currency exposure, but it's hard to tell with so many moving parts. Fwiw. N. |
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