Index | Recent Threads | Who's Online | Search

Posts: 99    Pages: 10    Prev 1 2 3 4 5 6 7 8 9 10
Last Post
New Thread
This topic has been viewed 5837 times and has 98 replies
WERNER
Re: Renaissance Technologies

Georg:

"....Download the holdings of QGRO...."

I found no way to download all the constituents for an ETF like QGRO.
On Yahoo Finance the first 10 are listed but not more.
Is there a website providing all of them?

Thanks.

Werner

Dec 14, 2019 2:17:00 PM       
Edit 1 times, last edit by WERNER at Dec 14, 2019 2:17:29 PM
geov
Re: Renaissance Technologies

Werner, you have to go to the ETF provider. They have to give you daily the holdings of the ETF.
https://ipro.americancentury.com/content/ipro...s-quality-growth-etf.html

Dec 14, 2019 2:20:07 PM       
WERNER
Re: Renaissance Technologies

Georg,

thanks for the quick reply.
Will do that.

Dec 14, 2019 2:42:36 PM       
judgetrade
Re: Renaissance Technologies

@Chipper6 very good Framework!
well, then international stocks come just in time!!!


SPY is dominated by mega caps. (See the attached chart). Mega caps have been outperforming. That might not explain everything, but it does explain some of it.

Why are megacaps now dominating? Here is what I wrote in 2012:
...in the long run (over the next 7 years) large (as a class) will almost certainly do better than small.
Source
Here we are 7.5 years later and my prediction has come true.

I see the market going in cycles. Mega caps outperformed in the U.S. during the 1960's, the 1990's, and the 2010's. The common denominator is that all three periods were preceded by a long bull market.

Stage 1.
Bear market: Stocks are dumped. Stocks; especially small caps, take huge price hits, sometimes for reasons that have nothing to do with earnings; such as margin calls.

Stage 2.
1.5-3 years. Fundamental investors get to choose between buying fair businesses at great prices or great businesses at fair prices. The long-term investor would prefer great businesses, but in the short term prices for fair companies rebound sharply. That causes small value to outperform.

Stage 3.
People looking at past history stick with small value because of past performance.
Fundamental investors get to choose between fair businesses at fair to good to great prices and great business at good prices.

Stage 4.
The small value juice has been squeezed.
Fundamental investors get to choose between fair businesses at fair prices and great businesses at great prices. This starts a rotation into large growth.

Stage 5.
Momentum is king.
People start jumping off the small value bandwagon. Why own small caps? Past performance shows better returns and lower volatility for mega caps!

Stage 6.
Bubble trouble. As investors become less valuation conscious and more momentum conscious, valuation gets ignored. Nifty-Fifty, Dot-Com, FANG, stocks look like great deals at any price! Until they aren't.

Stage 7.
Small value stocks do best in the next bear market because they started from depressed prices, had few momentum investors on the bandwagon (who jump abandon ship when prices fall, creating selling pressure) and have little room to fall. If prices were low enough, people will jump back onto the small value bandwagon during the next bull market.

We don't always get stage 7. But in 2000-2002 as large growth was collapsing, small value was up!

Where are we now? Probably either stage 5 or 6. We will find out.


Dec 16, 2019 11:33:22 AM       
yuvaltaylor
Re: Renaissance Technologies

I was very impressed by Chaim's seven-stage model and found myself convinced.

I was also convinced by some observations from Verdad Research's weekly e-mail, which I attach.

If you look at the trend in this manner, a correction is bound to come soon.

On the other hand, I don't see it coming soon because the CAUSES for this crazy outperformance of large-cap expensive over small-cap cheap don't seem to be going away. I don't see any economic changes at hand.

It's a fool's errand to assign causes to market movements, so here goes my fool's errand: if you have lots of money to play around with, you don't care if something's cheap or expensive. You just want to buy whatever's shiniest. That is precisely how the market has been working over the last few years, and Trump's tax cuts really exacerbated the problem. There are tons of people with too much money to spend. If, on the other hand, money is tight, you're going to look for cheap stuff to buy. Does anyone think that money will become tight in the near future? That's the only way I can see this trend reversing and small-cap value beating large-cap expensive.

I REALLY hope I'm wrong. And I'm of two minds. I have no idea if the trend will reverse or continue . . . In the meantime I'm trying to thread the needle by assigning less weight to value factors than I used to in some of my ranking systems.

Attachment Verdad Research email.doc (617472 bytes) (Download count: 8)


Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 17, 2019 10:45:06 PM       
Edit 2 times, last edit by yuvaltaylor at Dec 17, 2019 10:47:57 PM
regallow
Re: Renaissance Technologies

On the other hand, I don't see it coming soon because the CAUSES for this crazy outperformance of large-cap expensive over small-cap cheap don't seem to be going away. I don't see any economic changes at hand.
While staying within the S&P500, I find some evidence that large is cheaper than small, and that might go a VERY long way to providing a cause for the large outperformance. I have not looked at small-cap outside of the S&P500.

Comparing the median PE, PEG, PEGY, and PERel factors for the largest 100 and the smallest 100 market-cap stocks in the S&P500 over time, the largest market-cap stocks appear to be less expensive for all of those factors and have been less expensive for some time. Below are just those factors over time. For me, it doesn't get much easier to find factors that could favor one portion of the market over another for investors wanting a simple method to choose what stocks to purchase. The better PE measures for large-caps as a group should have underlying causes that are easy to guess at or assume, but I want to see proof. I haven't worked on that yet.

Attachment SP100PE.PNG (66072 bytes) (Download count: 70) (Median PE factor comparisons of top 100 versus bottom 100 market-cap stocks in the S&P500)


Attachment SP100PEG.PNG (72949 bytes) (Download count: 70) (Median PE factor comparisons of top 100 versus bottom 100 market-cap stocks in the S&P500)


Attachment SP100PEGY.PNG (72939 bytes) (Download count: 70) (Median PE factor comparisons of top 100 versus bottom 100 market-cap stocks in the S&P500)


Attachment SP100PERel.PNG (69928 bytes) (Download count: 70) (Median PE factor comparisons of top 100 versus bottom 100 market-cap stocks in the S&P500)


Bob
"Logic is a systematic method of coming to the wrong conclusion with confidence." - Unknown

Dec 18, 2019 12:56:02 AM       
RTNL
Re: Renaissance Technologies

Werner, you have to go to the ETF provider. They have to give you daily the holdings of the ETF.
https://ipro.americancentury.com/content/ipro...s-quality-growth-etf.html


Thanks Georg, but how do you keep these updated in real time? I thought Marco was working on a solution that would allow us to define a custom universe constituents that change with time. But you seem to have found a way around this problem.

Could you please elaborate?

Dec 18, 2019 8:22:38 AM       
InspectorSector
Re: Renaissance Technologies

It is simple. The custom universe calls out an InList. You can change the InList any time.

Dec 18, 2019 11:00:51 AM       
Edit 1 times, last edit by InspectorSector at Dec 18, 2019 11:24:53 AM
yuvaltaylor
Re: Renaissance Technologies

Thanks Georg, but how do you keep these updated in real time? I thought Marco was working on a solution that would allow us to define a custom universe constituents that change with time. But you seem to have found a way around this problem.

Could you please elaborate?


We are working on the possibility of getting ETF constituents integrated into our database, but it is a big task and may have to wait until after our transition to FactSet.

Users will very soon be able to import their own factors and data series and work with them in screens, ranking systems, and simulations. We're putting the final touches on this project. At that point if you can get historical ETF constituents from the ETF provider, you'll be able to import that data pretty easily.

If you want to get masses of historical ETF data, you can subscribe to http://www.masterdatareports.com/ for $150/month. And shortly you'll be able to import all that data and use it on P123.

In the meantime, be careful not to design models based only on CURRENT holdings of an ETF, because your models will have survivorship bias.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 18, 2019 11:15:55 AM       
Edit 1 times, last edit by yuvaltaylor at Dec 18, 2019 11:16:49 AM
Posts: 99    Pages: 10    Prev 1 2 3 4 5 6 7 8 9 10
 Last Post