Here's a statement of the obvious: The opinions expressed here are those of the participants, not those of the Mutual Fund Observer. We cannot vouch for the accuracy or appropriateness of any of it, though we do encourage civility and good humor.
Does anyone understand how BTAL works?
It tracks the Dow Jones Market Neutral Anti-Beta Index. Here's the index website. You can download the methodology and read exactly how they do it. Basically, long 200 low beta stocks and short 200 high bet…
Portfolio Visualizer offers a free tool to test various combinations of funds and ETFs in one portfolio to see how they perform together. They have some pre-loaded combinations if you click on the gear icon above Portfolio 1 or 2 or 3. You can cho…
Hi @ET91 and @MikeM
Despite the fact that Morningstar (wrongly) moved us from Multi-Alternative to Large Blend last August, the prospectus (link located here) makes clear that the fund is "alternative" and designed to be flexible. We are not a "s…
Greetings all. Quite the market. Hope you are safe and sound.
We've published some market commentary recently, not on our fund per se but the markets generally.
1. March 13 (after the S&P gained 9% for the day)
2. March 23 (after the …
Many believe momentum is best implemented by identifying high flying stocks who have recently corrected, betting that they resume their uptrend. In this way, losers can be cut quickly and winners can run.
Howdy @PBKCM
I've asked here and have looked about on the wonderful net over the years; as to where does the very large amounts of monies from equity sells travel during the very large sell downs. Hedge funds and some related futures funds, etc. lik…
Greetings all. It's been about a year since I've touched base here. Wishing you a joyous Thanksgiving holiday.
As I noted in the OP, happy to answer any questions you have about the industry, etc.
Agree on oversold.
I would not be surprised to see the market find a bottom next week, and launch the beginnings of a Santa Claus rally. But I've been wrong before!
Very nice issue, David!
I see you mentioned the Thompson Reuters Lipper Awards in Briefly Noted.
We are proud to be included among the Lipper Award winners this year! They honored us as the Best Alt Global Macro Fund over the last 5 years out of …
Maybe @PBKCM would give us some insight on what might change the graph in their favor?
Hi @LLJB,
We continue to focus on our process, as outlined in David's Elevator Talk piece this month, and let results take care of themselves.
https://www.m…
@PBKCM, love using portfolio visualizer!
I inputted your 3 some and compared it to AOA, which by the way is not a very good comparison at 80% equities since your 3-some ends up being about 65% equity after the L/S thing gets figured out. You were …
I think BTAL is a hidden gem ETF. It is market neutral anti-beta --> 50% long low beta and 50% short high beta. It works to diversify a portfolio and protect in drawdowns.
Go to PortfolioVisualizer at https://www.portfoliovisualizer.com/backt…
Does anyone know of a good stable "preferred" stock fund, especially in the Vanguard family.?
I would be very careful about preferred funds. Preferreds live in the space between senior debt (traditional corporate bonds) and common stock. Traditio…
Interesting comment. Thanks, Ted.
Parabolic moves in stocks that end in an up spike are rare. Typically, stocks make rounded, distributed tops and spikey bottoms when fear reigns.
Commodities are usually the opposite, making rounded accumulati…
Hi @Hank,
If go to PortfolioVisualizer.com and run a backtest of a portfolio consisting of 1/3 SPY, 1/3 GLD, and 1/3 IEF (rebalanced quarterly), and plot it against a benchmark of PRPFX, the charts look virtually identical from Sept 2015 thru Dec …
The "STF" part of the name stand for "Self-Adjusting Trend Following." As I understand it, they look at several moving averages to determine: sideways market (out of the market), regular up trend (100% long QQQ), strong up trend (200% long QQQ), or…
"The momentum factor utilized by academics typically looks at the previous three, six or 12-month performance and buys the securities that have performed the best."
Momentum strategies are very hard to build. It's a lot more complicated than the a…
Appendix: I struggled to uncover the options trading in which PRWCX engaged at one point. Geez - had to go way back to their December 31, 2011 Annual Report to locate it.
FWIW - “Before we review the portfolio, we want to briefly discuss the Capi…
Dogs of the Dow is an early rules-based strategy. Quant has come a long way since then.
I ran a simulation back to Jan 1999. One-year holding periods, rolling on a weekly basis. So 938 "years" were tested.
Dogs of the Dow (5 lowest priced Do…
I can also update a prior discussion to confirm both the institutional and R-1 share classes are now available at E*Trade. The R-1 shares are NTF with $100 minimum while the institutional shares require $250K and carry a transaction fee but the exp…
Looking at the Plumb performance chart, looks like he is always overweight metals. Nice gains into 2011. Terrible performance since 2012.
I've always thought risk parity made sense in tactical allocation between stocks, bonds, commodities and c…
Wake me up when inflation starts heating up.
Until then, the S&P at less than 20x forward earnings working on a third straight quarter of 3%+ GDP is not a recipe for a "crash."
Now, the market will NOT post another 13 straight months of ga…
Happy Thanksgiving all! And thanks Old_Skeet.
The list above is simply compiled from YTD numbers from the following M* categories:
Multialternative
Long Short Equity
Long Short Credit
Market Neutral
Managed Future
Options Based
Many of the funds…
Thanks for posting, @Ted. You do a great job of finding interesting articles!
As for judging mutual funds, YTD is a bit arbitrary and too short IMO, although I understand why John would use the metric in an article this time of year.
Personally…
Thanks @Ted.
In this part of the Swenson interview, reprinted in the article above, I was a little surprised at these comments:
The rise of quantitative investing adds another wrinkle to this equation but many in the institutional world rely more …
Thanks @Ted.
From the article:
"No doubt about it, stocks today are expensive."
I see this narrative a bunch. Yes - forward PE ratios are high. But not when considered against inflation. And earnings yields are more than twice treasury yields.…
