aqr   12

Pulling the Goalie: Hockey and Investment Implications by Clifford S. Asness, Aaron Brown :: SSRN
We build a simple, but powerful and intuitive, model for when a hockey coach should pull the goalie when trailing. When the model reports that the coaches aren’t doing it nearly early enough, we then ask why, and take away some key lessons for portfolio and risk management, and business in general.
aqr  asness  brown  edu 
march 2018 by ludaavics
FT 20140629 - Hedge fund correlation risk alarms investors
Hedge funds’ correlation with the equity market has risen back to pre-financial crisis highs, raising fears that the $2.7tn industry could again suffer sharp losses in the event of a market slide.

Data compiled by AQR show the three-year rolling correlation of the HFRI Fund Weighted Composite index, a broad industry measure, with equity markets is at a near-record high of 0.93, comfortably above the highs seen before the financial crisis.

Other industry measures suggest correlations are a little lower, at around 0.84, although this is still well above historic norms.

The hedge fund industry’s correlation with equity markets rose sharply in the two years leading up to the financial crisis, and was widely blamed for the 20 per cent losses suffered in 2008, by far the sector’s worst ever year.
hedge_funds  correlation  AQR 
july 2014 by mjaniec
FT 20100210 - Business books - Maths geniuses’ models did not add up
At their peak, quantitative traders were a force with which to be reckoned. Between them they controlled about $150bn (€109bn, £96bn) and, because many used lots of borrowed money as well, they collectively had assets of as much as $1,000bn. But many of them were then crushed in the market meltdown, having failed to factor in just how vulnerable their models were. “Even as the mortgage market imploded, quant funds such as AQR, Renaissance, Saba [Weinstein’s group at Deutsche] and Citadel believed they were immune to the trouble,” Patterson writes, “either because they didn’t dabble in subprime or because they believed they were the smart guys in the room and had either hedged against losses or were on the right side of the trade and were poised to cash in.” The whizzes who studied market relationships so exhaustively failed to grasp some elementary truths, such as that distress in one market can lead to selling in an entirely different and hitherto unrelated market.
hedge_funds  Renaissance_Technologies  James_Simons  Citadel  Ken_Griffin  AQR  Cliff_Asness  Boaz_Weinstein  Peter_Muller  PDT  Morgan_Stanley  algorithmic_trading  Global_Alpha 
february 2010 by mjaniec

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