It's awkward and surprisingly difficult. For one thing, Stone Ridge--don't know about the others--discloses maybe a tenth the information that mutual fund companies customarily disclose. It's not like AQR where you can just jump in and download monthly returns for the whole history of a fund in spreadsheet format.Looking up the returns from the annual statements is something I presume he has done, and I wonder why he doesn't keep score for his recommendations.
For another, interval funds don't really have a market value except during the four times a year when they make repurchase offers, if they make them. In the case of the Stone Ridge funds Larry Swedroe was recommending, well, believe it or not the funds don't use the same repurchase schedules. And none of them line up with calendar years. So the annual report e.g. for LENDX shows "annual returns," but for 1-year and 5-year periods ending 2/29/2024. They have started to include growth charts but they have very weird looks to them, and even fewer axis tick marks than usual. Look at that long near-straight-line segment--what's with that? Just a guess, but maybe the weirdness has something to do with lack of true market values. Could the straight line be a time period when they weren't making repurchase offers?
Back when Larry Swedroe was saying something like (too lazy to get the exact language) "we expect a portfolio of equal amounts of QSPIX, AVRPX, LENDX, and SRRIX to have equity-like returns with half the standard deviation," I spent a noticeable amount of time trying to gather the data to see whether or not that had actually happened. I gave up.
Statistics: Posted by nisiprius — Fri Sep 20, 2024 8:29 pm — Replies 47 — Views 2339