RentierCap

I’ve started a model portfolio that I will watch as 2018 unfolds:

 

  • AUMF – IShares Edge MSCI Australia Multifactor ETF (factsheet).
  • BAF – Blue Sky Alternatives Access Fund (shareholder site).
  • BLA – Blue Sky Alternative Investments Limited (shareholder site).
  • IHVV – IShares S&P 500 AUD Hedged ETF (factsheet).
  • IHWL – IShares Core MSCI World All Cap (AUD Hedged) ETF (factsheet).

 

The initial impetus for this emerged from reading S.M. Amadae, David Graeber, David Harvey, Michael Hudson, David Michael Kotz, Philip Mirowski, and James Rickards about neoliberal capitalism. These authors converged on the FIRE sector (finance, insurance, and real estate) as a socio-economic elite that would continue to charge debt and economic rents, as rentiers.

 

Current and former colleagues have looked to innovations like the sharing economy as a way to deal with growing economic inequality. I came to different conclusions: I spent six years learning how hedge funds and proprietary trading works. The topics ranged from macro plays (Kondratieff winter) and fund flows (Richard D. Wyckoff’s influence on technical analysis) to using global markets to hedge against home bias, and the success of momentum-value combined strategies.

 

I’ve dubbed the model portfolio RentierCap as it benefits from the FIRE sector. The model portfolio aims to accumulate wealth over a longer period of time than a catalyst-based intraday strategy. It uses Smart Beta and Exchange Traded Funds. I’ve selected BlackRock ETFs (in a nod to the Adam Curtis documentary HyperNormalisation), although State Street SPDRs and Vanguard ETFs could be used, and may have lower expense ratios and management fees.

What I’m Reading: Momentum Investing & Hedge Fund Strategies

This week I did some research program planning on hedge funds as strategic subcultures. Some recent material:

 

1. AQR Capital Management focuses on the momentum anomaly as an investment strategy (PDF).

 

2. The investor information for Goldman Sachs Asset Management LP contains some useful information (PDF).

 

3. AQR’s Cliff Asness and index fund pioneer Jack Bogle have a great discussion on active / passive management and pension fund investing.

 

4. BlackRock’s guide to Absolute Return investment strategies (PDF).

 

5. Nassim Nicholas Taleb talks with James Altucher about anti-fragility and uncertainty.

 

6. Slate’s John Swansburg dissects the American myth of the self-made man.

 

7. Wagner Award 2014 submissions to the National Association of Active Index Managers.

 

8. Trend-follower Michael Covel asks: Does momentum investing work?

 

9. Patrick O’Shaughnessy on two ways to improve the momentum strategy.