The Adviser’s core beliefs are that (1) equity markets are neither completely efficient nor completely inefficient and (2) a disciplined quantitative approach can be used effectively in seeking to outperform market benchmarks. In implementing its investment philosophy, the Adviser uses quantitative tools to analyze and understand the vast amount of data available regarding the markets and securities in which the Adviser is investing. In contrast to the stereotypical “black box” concept of quantitative investing (i.e., obscure mathematical models generating unintuitive trades with no transparency), the Adviser’s investment process is “quantitative” in the sense that the Adviser employs quantitative tools to implement a fundamental investment process. The Adviser also believes that a large set of small trades, coupled with systematic risk controls, can offer a more attractive risk-adjusted return than a small set of large trades.
AQR FUNDS [sec.gov]
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First!
too quant didnt leverage
EP could you grace us with insight as to what exactly is hilarious about a fundamental fund that uses quant screens?
Nice trend line.
“Posted by BSD, Jan 16, 2009 3:34PM
EP could you grace us with insight as to what exactly is hilarious about a fundamental fund that uses quant screens?”
See #5.
Is that a trend line? One point does not represent a trend. Nor does two. Is that a return figure for 2007? Help.
EP usually seems incredibly attractive. Luckily, her occasional posts like this prevent me from becoming obsessed.
OK so the joke is they only had one year of crap returns? I would just think there are funnier jokes about that you can make, and have made, about Clifass.
Agree with Cliff — large sets can be more attractive than small sets
Hey #7, two points make a line. I take it you’re not a quant…
@10:
of boobies!!!
“The Adviser’s portfolio optimization process also has a strong risk-control element”
Is this the “element” that has the fund -40% this year? Doesn’t Tontine use a similar element?
Portfolio optimization process: next season’s MacGuffin on “24″
“the Adviser’s investment process is “quantitative” in the sense that the Adviser employs quantitative tools to implement a fundamental investment process.”
What? Isn’t this super-generalized horse manure funny enough for ya?
I mean, I could replace perhaps 10 words and make this entire paragraph about US Foreign Policy, or the mating habits of manatees.
@13 see – now that’s comedy.
Unless there’s a photo of someone fishing, I’m just not interested.
@13 you mean like what if some terrorists try to get hold of a non-invertible matrix for evil purposes?
@ 11 – two points make a line but not a trend.
Seriously, is _anyone_ buying into the AQR bs?
CLiff, how are the redemptions coming along? I hope they don’t hit you too hard on the way out.
Your guys still trying to re-write matlab? Oh wait, everyone’s in support mode! Forgot! I shall say no more.
Ciao bud.
FYI, his Assness also has an article in the last edition of the CFA Advisor.
Given their methodology –using value and momentum factors– it’s not surprising that they’ve gotten value-like results this year.
This is laughable. they’re reaching for straws. Nobody at aqr believes in what they do except delusional cliffy and a few of his direct minions. other people are trapped because they have nowhere else to go.
@17: They’ll have to hire Chloe to work on the model and get Bill Buchanan to kick some ass(ness).
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xsC4tz Thank you ever so for you blog.Really looking forward to read more. Will read on…