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The different volatility level funds are interesting (the LV commodity fund still hasn't come out yet, but was announced), but I think I'll stick with the standard AQRNX. Thank you for posting, though (and I'd guess they're feeling the Risk Parity fund is successful if they're bringing out new variations.)
I continue to like the RP space, and have 4% allocations to both AQRIX and ABRIX. These funds are poorly correlated with all asset classes that I have studied at assetcorrelation.com, and they approach RP differently, as shown by their 0.7 correlations to each other over the past 1-2 year period.
Reply to @kevindow: Kevin, as someone who owns both, do you have a sense of the different approaches and strengths/weaknesses as you've observed them? TIA, Mac
Reply to @AndyJ: Looking at the portfolio and fact sheet, the Invesco fund (NOT saying it's not a good fund or implying anything) is commodities/govt bonds/equities versus the AQR fund, which invests in global TIPs, commodities, equities, credit, currency, fixed income - the AQR fund has a broader scope. Otherwise, they seem similar in intent - risk balanced multi-asset portfolio with active/tactical management within the buckets. The Invesco fund is in thirds, so more volatile equities would get a larger allocation.
Sorry for my delayed response as I was at work and busy.
I agree with Scott's comments. These funds have a few more important differences. Unlike ABRIX, AQRIX may have long and short positions in all asset classes, has a targeted volatility of 7-13%, and it relies heavily on quantitative models to guide portfolio transactions and composition.
Reply to @kevindow: Not a problem; thanks both of you for the replies. I can't quite square the (short term) higher standard deviation of AQRIX (1 year = 10.3 vs. ABRIX at 8.1, per Google Finance) with the portfolios - seems like from the asset makeup, ABRIX would be more volatile. Unless it's the former's shorting, currencies, and stock selection? Any thoughts on that score?
The exact methods these funds use to select securities are sophisticated and complex -- especially the case for AQRIX -- and may be perceived to be essentially black box investing by common investors like us. That being stated, I think that AQRIX has had a higher standard deviation over the past year due to its heavy reliance on quantitative modeling which results in a much higher annual turnover of holdings (66% vs. 33% for ABRIX).
"Our tactical over and under-weights around the risk parity framework use the same models used in our global macro hedge funds and include signals based on momentum, valuation, carry and other important economic variables."
Reply to @AndyJ: I suppose I think of them somewhat as a very modern, actively managed version of Permanent Portfolio, with a global scope. Not an apples-to-apples comparison really, but just offering sort of a way to view them.
Comments
Kevin
Sorry for my delayed response as I was at work and busy.
I agree with Scott's comments. These funds have a few more important differences. Unlike ABRIX, AQRIX may have long and short positions in all asset classes, has a targeted volatility of 7-13%, and it relies heavily on quantitative models to guide portfolio transactions and composition.
Kevin
The exact methods these funds use to select securities are sophisticated and complex -- especially the case for AQRIX -- and may be perceived to be essentially black box investing by common investors like us. That being stated, I think that AQRIX has had a higher standard deviation over the past year due to its heavy reliance on quantitative modeling which results in a much higher annual turnover of holdings (66% vs. 33% for ABRIX).
Kevin
There is a lot else, as well, discussed in the fund commentary.
https://www.aqrfunds.com/Portals/0/FundDocuments/Quarterly Updates/Commentary$text/RPMF.pdf