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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 02:19 PM   #21
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Re: New Replacement for PCRIX, PCRDX!!!

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Originally Posted by saluki9
Them are fightin words!
I think Swedroe looked at commodities as a diversifier. * He found that if you took energy out of the basket, commodities were consistently a drag on returns. * *And, of course, we've all seen recently how well historic covariance predicts future covariance. *

If you're looking for an inflation hedge and something with low covariance with other assets, I would just focus on energy. * Oil is the new gold. * Of course, that doesn't mean it won't be getting cheaper in the short-term.
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 03:49 PM   #22
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Re: New Replacement for PCRIX, PCRDX!!!

I have not seen the work that Swedroe did, but I fail to see how what you indicate is possible.

If you look at historical data the Gorton and Rouwenhorst put together 3 of the 4 highest returning components were in energy (Crude, refined gas, and propane) but they were far from the most valuable when it comes to correlation. (and don't discount the 24%+ return from butter!)

That being said, considering where I think we are in this cycle, I have become a flithy dirty market timer and sold all of my PCRIX a month ago.

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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 04:43 PM   #23
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Re: New Replacement for PCRIX, PCRDX!!!

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I have become a flithy dirty market timer and sold all of my PCRIX a month ago.
I wish I had.....I haven't been that impressed since last Dec.
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 04:45 PM   #24
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Re: New Replacement for PCRIX, PCRDX!!!

Is it worth pointing out that commodities have been good diversifiers/uncorrelated asset classes predominately when they were hard for the average retail investor to own? Is that still going to be true now that funds and etf's out the wazoo exist?
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 05:07 PM   #25
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Re: New Replacement for PCRIX, PCRDX!!!

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Originally Posted by Diaper Bunny
Is it worth pointing out that commodities have been good diversifiers/uncorrelated asset classes predominately when they were hard for the average retail investor to own?* Is that still going to be true now that funds and etf's out the wazoo exist?
Also, IIRC, a lot of the return to passive commodities historically came from the gain that occurs when futures prices in backwardation rise to meet spot.

With a lot of new money passively invested on the long side, we may see less backwardation than before.

Ha
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 05:09 PM   #26
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Re: New Replacement for PCRIX, PCRDX!!!

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Originally Posted by Diaper Bunny
Is it worth pointing out that commodities have been good diversifiers/uncorrelated asset classes predominately when they were hard for the average retail investor to own? Is that still going to be true now that funds and etf's out the wazoo exist?
Funny you ask that. If I ever accumulate enough in my FIRE portfolio to live my (one of) my dream and get a PhD in Finance its something I'd like to study.

I'm actually more interested in how that relates to Real Estate and whether the mass securitization of it will impact its correlation and return characteristics.

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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 05:11 PM   #27
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Re: New Replacement for PCRIX, PCRDX!!!

Quote:
Originally Posted by HaHa
With a lot of new money passively invested on the long side, we may see less backwardation than before.
In case anyone is wondering (like I was), "backwardation" is the opposite of "contango."

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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 06:09 PM   #28
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Re: New Replacement for PCRIX, PCRDX!!!

i switched from pcrdx to dbc
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 07:12 PM   #29
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Re: New Replacement for PCRIX, PCRDX!!!

Quote:
Originally Posted by saluki9
I have not seen the work that Swedroe did, but I fail to see how what you indicate is possible.
I just searched for it myself, and I may have misrepresented him.* *I think he just doesn't like the CRB index.* *Here's a recent thread (discussing a paper that shows that only energy commodities pay any risk premium) in which Swedroe gives his take:

Thread

Anyway, lots of good words like backwardation, contango, skewness, and kurtosis.*
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-14-2006, 07:15 PM   #30
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Re: New Replacement for PCRIX, PCRDX!!!

i switched to dbc from pcrdx because i felt the heavy energy weighting was more realistic to my life....i dont care for lean hogs or soy beans but i do care about oil.pcrdx while being the diversification king in commodities it ofton gets pulled in to many different directions...dbc i think is about 55% energy and heating oil..11% gold and the rest a handful of more representive commodities like wheat and aluminum
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-15-2006, 04:54 AM   #31
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Re: New Replacement for PCRIX, PCRDX!!!

A couple of points on DJP:
the total costs are NOT the same as PCRIX. It is about 0.5% cheaper as PCRIX have the cost of buying the notes(0.5% or 0.35% depending on source) so PCRIX ends up at 1.25% or so in total costs vs. 0.75% for DJP. This is confirmed by Larry Swedroe at M* boards.

PCRIX paid close to a whopping 20% in dividends in 2005 and about 7% in more "normal" years - so if one pays say 15%(like alien me!) in tax on same (nothing on capital gains) it corresponds to an additional 1-3% in tax drag (making my 2005 costs+tax for PCRIX 4.25%!).

With that difference I am willing to take some Barclays credit risk, as well as see collateral in tbills rather than tips (I simply keep my US bond exposure in TIPs only with no tbills there).

I will wait a bit to see some more volume, but it certainly looks like a no-brainer to this alien. Cheers!

Ps. in addition we evil aliens can not auto-re-invest dividends so an additional $50 is paid to throw those divies back into PCRIX. DJP does not have that problem/costs.
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-15-2006, 11:50 AM   #32
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Re: New Replacement for PCRIX, PCRDX!!!

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Originally Posted by ben
I will wait a bit to see some more volume, but it certainly looks like a no-brainer to this alien. Cheers!
With that puny share volume, DJP is worth the investment just to benefit from all the hot money sloshing over from PCRIX...
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Re: New Replacement for PCRIX, PCRDX!!!
Old 06-15-2006, 01:34 PM   #33
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Re: New Replacement for PCRIX, PCRDX!!!

I saw that there's a mechanism (can sell big blocks once a week at NAV-expenses) to prevent big discounts, but has anyone noticed what would keep it from having a big premium?

Or would there just be more offerings if Barcley sees enough demand?

Really, a discount is a much greater concern to me for exchange traded investments, as one could simlpy not buy if it's at a premium. Should a discount exist when you want to sell, tough cookies.
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