Well, you need to adjust but you shouldn’t be draconian right? If you’re just overlaying a higher beta and letting it ride and outperforming for 8 up years then eating it every down year, then yes that is not alpha. But if are laying risk on and risk off and your beta is fluctuating and the way it works out is that you are beating in up AND down markets with equal proportion, then yes that is alpha no matter how you achieved it. If you give an asset manager money and a universe within a benchmark and they can beat that across varied market environments (up and down) and people are finding ways to rationalize that not being alpha, then I’m not convinced they know what alpha is. The track record is the track record right? It’s GIIPS compliant reporting. The simple fact is I left three years ago, they fought to retain me and I’m leaving for a new role now and there was a scramble to attempt to retain, there seems to be a growing recognition lately that I’m good at what I do and I put in enough work to get here that I’ve dropped the pretense of being particularly shy about it.
No worries man. It’s just papers like this that make me ask the question. I hope you keep being perceived as a rock star 
https://www.aqr.com/Insights/Research/Alternative-Thinking/The-Illusion-of-Active-Fixed-Income-Alpha
I just had a call with a epidemiologist at Harvard, and I agree that people are conflating containing the breakout with flattening the curve. However, flattening the curve requires an economic hit and the duration and depth of the hit and its interplay with the fiscal/monetary response are the focus wrt market sentiment.
I’m fully invested with exception of 50% of the position in Teladoc and the cash from a building I sold in Feb. So, I actually have a lot of dry powder, but my view is that right now it is not cheap enough to risk this cash given I would like to buy more RE later this year (especially if it goes on sale, but either way).
I will say that I extended the mortgage on the beach house for 3 months (makes sense for seasonal rental), and I’d imagine many are doing the same thing.
Also, school is currently closed through April 17…anybody have guesses on how long this goes on?
I mean you can find a white paper for anything, you need to delineate between HY and IG (this paper didn’t look at high yield). I also think that people who look at people like Gundlach and try to deny his track record exists have ceased being relevant.
This is IMO the core of that problem with these papers:
“Second, our empirical analysis
includes explanatory variables that are
tradable assets (e.g., corporate credit excess
returns or emerging market excess returns),
which we assume are costless to access.
While this is reasonable for some of the very
liquid traditional risk premia we examine
(e.g., term risk, emerging currency risk, and
volatility risk), it is arguably less appropriate
for the riskier spectrum of traditional risk
premia such as the credit risk premium
embedded in high yield bonds, corporate
loans, and emerging hard currency bonds.
Thus, it is possible that excess of benchmark
performance of active FI managers may be
a cost effective way to procure exposure to
more expensive traditional risk premia.”
Basically they’re saying, ok, t-stats show the majority of FI managers are smoking their benchmarks day in and day out net of fees. But if we adjust out a lot of these active risks that they manage to do that frictionlessly, then see! Not so special! But the reality is you’re largely creating an alternate reality. Because what managers are doing is actually creating risk exposure efficiently. Most people when they invest passively they are looking at HYG, LQD or some such and the reality is they are better served in active funds net of fees based on the available research and this paper actually agrees with that. If you can find a smart beta passive fund that attempts to replicate that, good, but there will be fees associated and ultimately you’re going to walk away with a coin flip net of fees between the smart beta fund and the manager and you’re trading fund and risk selection for manager selection.
Again, in HY which they ignored this becomes more pronounced.
Last point, is one from Munger:
“Efficient market theory is a wonderful economic doctrine that had a long vogue in spite of the experience of Berkshire Hathaway. In fact one of the economists who won — he shared a Nobel Prize — and as he looked at Berkshire Hathaway year after year, which people would throw in his face as saying maybe the market isn’t quite as efficient as you think, he said, “Well, it’s a two-sigma event.” And then he said we were a three-sigma event. And then he said we were a four-sigma event. And he finally got up to six sigmas — better to add a sigma than change a theory, just because the evidence comes in differently. [Laughter] And, of course, when this share of a Nobel Prize went into money management himself, he sank like a stone.”
My guess is end of April, first week of May before gradual staged reopening by sector and geography. But we will begin to have clarity on that occurring before that, like mid April we will see light at the end of the tunnel. Anyhow, I generally don’t disagree with anything you’re saying.
What do you mean extended the mortgage on the beach house?
Pushed the mortgage out 3 months without penalty or hit to credit score, as all weekly renters are cancelling.
Interesting, I don’t do much RE, is that something that’s typically available?
No, completely abnormal. This is in traditional mortgages. I think in private credit/second lien/mezz/etc you are going to see the shops with really strong drafting shine and enhance IRRs through extension penalties and fees/renegotiations from tech defaults. There are basically no new loans being originated, but there may be opportunities with existing assets (especially if you have the ability to take ownership and complete/enhance/dispose of a project).
dafuq. why the ■■■■ is tdoc doing so well? ppl are nuts.
Interesting times
also i think a good benchmark to look at is china’s recovery. eerything is back open. but domestic demand has shriveled up cause everyone is much more cautious. then again it could be because internationally, corona is still ongoing.
I think its the latter. Industrial still running at 80% and export end markets shut down.
lol treasury has purchased 1 trillion in treasury securities and mbs over the past two weeks. vs b4 during qe it was 60b a month.
I just bought puts on EEM
lol balls of steel. you are literally made for wsb.
Yeah… soo… There’s this: 1-month portfolio change: +199.38%
so GTFO nerdy.
not hating. these are literally the type of bets they do in that channel. you should check it out.
I don’t take offense to much, with the exception to jokes about my salary, and comparing me to WSB.
I doubt you meant anything personal, but what I’m doing here is a LITTLE more calculated than just pure gambling.
No it’s not. But at least he complimented your steel balls.
Get those tendies CEO.