As an investment advisor for almost 30 years, one of the most common situations I’ve been asked to address is related to investors’ heavily concentrated position—concentrations of 50%-80% have not been unusual—in an individual stock (typically the stock of their employer).
I have significant investments in both AQR Flex and their TA Delphi Strategies, you can use FLEX in combination with a prepaid forward of course, or using other assets as collateral.
Larry, with respect to AQR Flex, do you have a preference between Russell 3000 vs MSCI World as the index used? Also, prefer to run with beta set to 1.0 or something different? Thanks
I chose the 250/150 version to try to get as much losses as possible quickly and then plan to ramp the leverage to lowest when I have accumulated sufficient losses to offset K gains I expect from sale of some assets
Quantinno and AQR both have solutions in this area. They are a little different and complicated to compare. With these solutions you get potentially tax benefits. For diversification only and no tax benefits, Morgan Stanley and Goldman are the clear leaders in Exchange Funds with Alpha Architect working on it.
FWIW IMO the clarity (certainty) of the tax benefit with AQR strategy is on much safer ground than Quantinno which is aggressive in pushing the tax benefit.
Larry, can you please expand a bit on why you believe this? Any whitepaper posted somewhere that goes into more detail? It's interesting to me because I believe Quantinno spun off from AQR.
I use the 250/150 as have expected large capital gain from an investment coming and after couple/few years expect to delever to 145/45
Prefer not to discuss publicly, can email me at lmswedroe@charter.net
Unfortunately don't know UK market. In US many banks and investment firms offer both these products
Are these products available in the uk ?
Larry, do you like these solutions better than AQR Flex ?
I have significant investments in both AQR Flex and their TA Delphi Strategies, you can use FLEX in combination with a prepaid forward of course, or using other assets as collateral.
Out of curiosity Larry, what flavor of leverage do you run with flex? 145/45?
Larry, with respect to AQR Flex, do you have a preference between Russell 3000 vs MSCI World as the index used? Also, prefer to run with beta set to 1.0 or something different? Thanks
I am using the flex 250/150.
I chose the 250/150 version to try to get as much losses as possible quickly and then plan to ramp the leverage to lowest when I have accumulated sufficient losses to offset K gains I expect from sale of some assets
Quantinno and AQR both have solutions in this area. They are a little different and complicated to compare. With these solutions you get potentially tax benefits. For diversification only and no tax benefits, Morgan Stanley and Goldman are the clear leaders in Exchange Funds with Alpha Architect working on it.
FWIW IMO the clarity (certainty) of the tax benefit with AQR strategy is on much safer ground than Quantinno which is aggressive in pushing the tax benefit.
Larry, can you please expand a bit on why you believe this? Any whitepaper posted somewhere that goes into more detail? It's interesting to me because I believe Quantinno spun off from AQR.
can email me at lmswedroe@charter.net
Thank you for writing on this subject, Larry.