Invest Like the Best with Patrick O'Shaughnessy Cliff Asness – The Past, The Present & Future of Quant [Invest Like the Best, EP.111]
19 snips
Nov 13, 2018 
Cliff Asness, managing and founding principal at AQR Capital Management, discusses the past, present, and future of quant investing. They touch on major changes in factor investing, the balance between sharing and keeping proprietary information, the application of value, momentum, and volatility in asset allocation, attributes of good researchers, transitioning into less exciting aspects of the business, and the importance of understanding HML for value managers.
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Use Machine Learning As An Interpretable Tool
- Treat machine learning as an evolutionary tool to find nonlinearities, not a black-box magic bullet.
- Require economic explanations and interpretability before deploying ML-driven signals in portfolios.
Stop If A Strategy Loses Economic Edge
- If a factor's pricing band collapses sustainably and transaction costs spike, stop offering products that rely on it.
- Don't keep selling a strategy that has become economically dead; close or rework the product for clients' sake.
Client Called AQR Best Yet Redeemed
- During the tech bubble a client told Cliff AQR was the firm's most attractive holding yet redeemed because they'd wait four years to recoup losses.
- Cliff later realized the client likely faced internal constraints and felt sympathy rather than scorn.