1Mo
Very informative. I already looked at your portfolio at the end of last year. I find it courageous, but unfortunately the strategy (3xGTAA) as well as the investment class (certificate) and on top of that Wikifolio and the high TER and the order costs are the sticking point, which is why I do not invest in your product.
All points are harmless on their own, but in combination they are inappropriate for me.
Nevertheless, I must praise you. After researching the largest wikifolios, I realized that if I wanted to invest in a wikifolio, your strategy + your positions + performance history would clearly appeal to me the most.
What do you see your certificate as? As a modern version of an actively managed fund? Or where do you classify it?
All points are harmless on their own, but in combination they are inappropriate for me.
Nevertheless, I must praise you. After researching the largest wikifolios, I realized that if I wanted to invest in a wikifolio, your strategy + your positions + performance history would clearly appeal to me the most.
What do you see your certificate as? As a modern version of an actively managed fund? Or where do you classify it?
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1Mo
@Tacticus First of all, thank you for your frank words. I can understand that.
If you find the strategy interesting, you can simply replicate it in your own portfolio, with or without leverage. Anyone can. But Wikifolio is particularly interesting from a tax perspective. If that doesn't play a role for you yet, implementing it yourself is the cheapest option.
What do I see the certificate as? Probably not as an actively managed fund, because they usually depend on the direct decisions of the fund managers. This is not the case because of the clear rule base. Rather, it is a listed shell of a rule-based multi-asset momentum strategy. So somewhere between ETF, mixed and hedge funds. 🤷
If you find the strategy interesting, you can simply replicate it in your own portfolio, with or without leverage. Anyone can. But Wikifolio is particularly interesting from a tax perspective. If that doesn't play a role for you yet, implementing it yourself is the cheapest option.
What do I see the certificate as? Probably not as an actively managed fund, because they usually depend on the direct decisions of the fund managers. This is not the case because of the clear rule base. Rather, it is a listed shell of a rule-based multi-asset momentum strategy. So somewhere between ETF, mixed and hedge funds. 🤷
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•1Mo
I see. In other words, since it is an exchange product, you are not allowed to change the rules you have set for the composition of this certificate at all or only to a limited extent?
Are you allowed to deregister your product from exchange trading or even liquidate it at any time?
Of course, I am primarily excluding allocation changes to existing positions from the above.
Are you allowed to deregister your product from exchange trading or even liquidate it at any time?
Of course, I am primarily excluding allocation changes to existing positions from the above.
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•1Mo
@Tacticus Correct. The rules of a wikifolio remain unchanged. It's hard to control, of course, but that's the idea behind the rule that you can't change your wikifolio description after publication.
And yes, I can request the closure of the wikifolio at any time. Then all holdings are sold and the certificate continues to run like cash until all holders have sold.
And yes, I can request the closure of the wikifolio at any time. Then all holdings are sold and the certificate continues to run like cash until all holders have sold.
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•1Mo
@Epi
This is of course important to know. You might want to add this answer as a Q&A point in your post.
Would you agree that hedge funds are a science in themselves and too complex, even for experts to manage, for investors to profitably invest in passive index funds over the long term?
Would you mix your certificate into an asset class like $GERD $K0MR? Or what would be the structural differences for you?
For me, the two go well together:
- Broadly diversified across several asset classes
- Rule-based active investing
- Multi-factor (smart beta)
- High volatility possible and priced in
This is of course important to know. You might want to add this answer as a Q&A point in your post.
Would you agree that hedge funds are a science in themselves and too complex, even for experts to manage, for investors to profitably invest in passive index funds over the long term?
Would you mix your certificate into an asset class like $GERD $K0MR? Or what would be the structural differences for you?
For me, the two go well together:
- Broadly diversified across several asset classes
- Rule-based active investing
- Multi-factor (smart beta)
- High volatility possible and priced in
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1Mo
@Tacticus Good point, I'll add the note about the closure.
But I don't quite understand your question. Hedge funds are not a science in themselves, they are based on the findings of financial market science. They are also not too complex for experts, as you can see from the fact that there are some very successful hedge funds that have consistently outperformed for decades. Passive index funds are not hedge funds.
Kommers funds are relatively complicated and expensive variations of an AllWorldETF. In other words, they are not multiple asset classes, but only equities. The activity is limited to rebalancing, i.e. rather passive.
But that's fine. Your basic question is whether Kommers funds and 3xGTAA complement each other well. Yes, they do. That is one of the systematic ideas behind the wikifolio: an uncorrelated, high-performance multi-asset momentum strategy fits perfectly into a world ETF portfolio. 3xGTAA brings everything that the Kommer fund does not have (both share the scientific basis, the rule-based nature and the investability).
Another interesting question would be what the optimal mixing ratio is. The calculation will come in the monthly update, but with the Kommer fund in the portfolio it should probably be around 75% Kommer, 25% 3xGTAA.
But I don't quite understand your question. Hedge funds are not a science in themselves, they are based on the findings of financial market science. They are also not too complex for experts, as you can see from the fact that there are some very successful hedge funds that have consistently outperformed for decades. Passive index funds are not hedge funds.
Kommers funds are relatively complicated and expensive variations of an AllWorldETF. In other words, they are not multiple asset classes, but only equities. The activity is limited to rebalancing, i.e. rather passive.
But that's fine. Your basic question is whether Kommers funds and 3xGTAA complement each other well. Yes, they do. That is one of the systematic ideas behind the wikifolio: an uncorrelated, high-performance multi-asset momentum strategy fits perfectly into a world ETF portfolio. 3xGTAA brings everything that the Kommer fund does not have (both share the scientific basis, the rule-based nature and the investability).
Another interesting question would be what the optimal mixing ratio is. The calculation will come in the monthly update, but with the Kommer fund in the portfolio it should probably be around 75% Kommer, 25% 3xGTAA.
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1Mo
I made a mistake with the asset classes. Sorry for the confusion. It's already late. I'll get back to you tomorrow 😅
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1Mo
@Epi
I'm starting all over again.
Basically, to describe the purpose of hedging: Risk or currency hedging in the sense of insurance.
In my opinion, unsuccessful and unattractive for private investors, I am referring here to the return performance of the hedged products (see examples below). It reduces the return in order to have security. Implementation costly for private investors due to the option premium to be paid for put options and the transaction costs.
In the case of active hedge funds, I was thinking primarily of the "star fund" Long-Term Capital Management (LTCM). Founded in 1993/94 by Meriwether, together with Nobel Prize winners such as Merton and Scholes. Was ultimately rescued by 14 banks and liquidated and dissolved in 1998-2000.
But even with passively hedged index funds, there is a systematically significant difference in performance to the detriment of the hedged products.
Namely with:
MSCI World
- $IWDE
- $XDWD (benchmark)
Gold
- $XAD1
- $EWG2 (Benchmark)
Kommers' opinion: The costs of hedging (put options) eat up almost the entire return of the stock market in the long term.
The fact that hedging costs money is also not reprehensible. Hedging with options is a good alternative, especially for funds that are not allowed to sell in anticipation of a crisis due to regulations.
Can you enlighten me? Do I have the wrong idea about hedge funds? What benchmark does your own fund have (certificate)? How is your product performing compared to your benchmark?
I'm starting all over again.
Basically, to describe the purpose of hedging: Risk or currency hedging in the sense of insurance.
In my opinion, unsuccessful and unattractive for private investors, I am referring here to the return performance of the hedged products (see examples below). It reduces the return in order to have security. Implementation costly for private investors due to the option premium to be paid for put options and the transaction costs.
In the case of active hedge funds, I was thinking primarily of the "star fund" Long-Term Capital Management (LTCM). Founded in 1993/94 by Meriwether, together with Nobel Prize winners such as Merton and Scholes. Was ultimately rescued by 14 banks and liquidated and dissolved in 1998-2000.
But even with passively hedged index funds, there is a systematically significant difference in performance to the detriment of the hedged products.
Namely with:
MSCI World
- $IWDE
- $XDWD (benchmark)
Gold
- $XAD1
- $EWG2 (Benchmark)
Kommers' opinion: The costs of hedging (put options) eat up almost the entire return of the stock market in the long term.
The fact that hedging costs money is also not reprehensible. Hedging with options is a good alternative, especially for funds that are not allowed to sell in anticipation of a crisis due to regulations.
Can you enlighten me? Do I have the wrong idea about hedge funds? What benchmark does your own fund have (certificate)? How is your product performing compared to your benchmark?
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1Mo
@Tacticus I think you are equating (currency) hedged funds with hedge funds (at least with the tickers).
The goal of hedge funds is absolute return, i.e. a return independent of the market. This is also the goal of 3xGTAA.
I don't really have a benchmark for the certificate, except perhaps the target return of 50%pa. I missed it quite clearly last year with 30%pa. But it didn't really matter. 😅 Which benchmark would be useful for such key figures in your opinion? Bitcoin?
I realize that 3xGTAA is far beyond Kommer's financial categories. That is the intention. 3xGTAA is supposed to be a stake in the flesh of the efficient market theory. 😈
The goal of hedge funds is absolute return, i.e. a return independent of the market. This is also the goal of 3xGTAA.
I don't really have a benchmark for the certificate, except perhaps the target return of 50%pa. I missed it quite clearly last year with 30%pa. But it didn't really matter. 😅 Which benchmark would be useful for such key figures in your opinion? Bitcoin?
I realize that 3xGTAA is far beyond Kommer's financial categories. That is the intention. 3xGTAA is supposed to be a stake in the flesh of the efficient market theory. 😈
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1Mo
@Epi
I like to use $SPYI or $XDWD as a benchmark to compare my portfolio
So how would you perform against a simple world ETF - Bitcoin is of course more demanding as a benchmark, but I think a world ETF is more representative of the average market and a realistic benchmark that you can and should beat.
To be honest, I can't think of a specific benchmark for your product. I'm not sure about that. Is Bitcoin your favorite benchmark?
Can you name the three most iconic hedge funds? Would you include Pure Alpha (Ray Dalio)?
I like to use $SPYI or $XDWD as a benchmark to compare my portfolio
So how would you perform against a simple world ETF - Bitcoin is of course more demanding as a benchmark, but I think a world ETF is more representative of the average market and a realistic benchmark that you can and should beat.
To be honest, I can't think of a specific benchmark for your product. I'm not sure about that. Is Bitcoin your favorite benchmark?
Can you name the three most iconic hedge funds? Would you include Pure Alpha (Ray Dalio)?
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1Mo
@Tacticus So, I apply my actual benchmark to my entire portfolio: 1.5%pM. That's what I measure myself against. 3xGTAA is just one important element of that.
The "three most iconic hedge funds" - is this supposed to be a quiz question? 😅 My personal performance role models are Simons' Medallion Fund and Soros' Quantum Fund. Both well above the 30%pa for decades. How does finance explain this?
The "three most iconic hedge funds" - is this supposed to be a quiz question? 😅 My personal performance role models are Simons' Medallion Fund and Soros' Quantum Fund. Both well above the 30%pa for decades. How does finance explain this?
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