You can relabel it all you want for marketing purposes but you’re an active stock picker, not an indexer (or whatever else you might call it). You have succeeded more than not, quite fabulously long-term, and you’ve indeed picked stocks better than chance. But, David, you (and we!) do play that game. So, why even play that game? You don’t need to.” Absolutely true. Quoting David Booth from DFA’s website “The number of managers that can successfully pick stocks are fewer than you’d expect by chance. I wrote peeve #6 back in the day arguing this in general, though it clearly applies to DFA and to AQR, and it’s still true. But they don’t seem to make the analogous point about the active stock picking pond they fish in (well, they say it stinks but they then recommend their own active stock picking), and I don’t think I’m imagining that this isn’t really their point – their real point is STAY AWAY! And relabeling aside, it is active stock picking. 5 5 Close If they genuinely meant “the whole pond isn’t so great so be careful while fishing” I really couldn’t object – and again we have been making this same point for 20+ years. Piece is that no asset deemed a “liquid alt” deserves to be in a diversified portfolio. Yet – and you can call me paranoid for thinking so – the clear implication of the DFA 4 4 Close I’m not sure if they still use “DFA” at all versus ”Dimensional”, but I grew to know and love them as DFA, so they’ll always be DFA to me. That comparison goes too far even for me! Jack was, of course, quite gracious about it.īut since when is the failure of “buying one of everything in a category” a verdict on everything in that category? When we wrote the original (and still champion) " Do Hedge Funds Hedge?" and found sobering results for broad hedge fund indices, we never said the task was impossible, just that the industry as a whole wasn’t fulfilling it. 3 3 Close I actually called Jack Bogle, a long time friend, to apologize for the last of those four links where Forbes compares our efforts to demystify, actually hedge, and change the pricing of hedge funds to what Jack built at Vanguard. That hedge funds (and their mutual fund cousins liquid alts) charge too much, don’t hedge enough, and don’t deliver enough alpha is very well known. Besides discussing their piece, below I take this opportunity to review the general rationale behind holding uncorrelated assets (in particular, equity “factors” held in a long-short manner 2 2 Close I won’t defend the entire category of “liquid alts” as it’s a hodgepodge of many different things, some of which I believe in, and some of which I don’t.Įssentially, using a few slices of historical mutual fund returns and a particular selection criteria they show that the universe of all liquid alt mutual funds has disappointed from 2006-2022 – not disastrous, just disappointing. I won’t defend the entire category of “liquid alts” as it’s a hodgepodge of many different things, some of which I believe in, and some of which I don’t.īut they also draw some odd conclusions that if applied more generally would not be to their (or our) liking. We have generally done so while discussing “hedge funds” and analyzing hedge fund indices, but it is pretty much the same story. Recently, Dimensional Fund Advisors wrote critically on “ liquid alts.” They make some good points, 1 1 Close Though not many that we have not led the industry in repeatedly making since at least 2001.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |