Cliff Asness

AQR Capital Management: The Ominous Shapes of Strategy

"The cave you fear to enter holds the treasure you seek." - Joseph Campbell   For 12 straight years beginning Q4 2001, AQR Capital Management, LLC (AQR) - one of the great and legendary quant hedge funds of the current era - grew equity positions until peaking at 2,346 (long equity) positions by Q4 2013. Since that time, AQR's long US equity book has found an ominously consistent plateau averaging 2,140 positions. Here, in what would normally seem to be a benign factoid, lie the seeds of the story for why AQR has been suffering performance challenges of late; and, apparently, performance challenges for the foreseeable future according to co-founder and front-man, Cliff Asness. We start that story with the exhibit, below, where Alphacution presents the full 72-quarter record of total 13F (long) positions for the lineage of AQR Capital Management entities beginning Q4 2001 and ending Q3 2019. With these first shapes, we want to highlight that stocks are the dominant product class, thereby implying that there is little [...]

By | 2020-03-01T22:17:17-05:00 February 9th, 2020|Alphacution Feed|

AQR: The Shape of Strategy (Teaser)

For 12 straight years beginning Q4 2001, AQR Capital Management, LLC (AQR) - one of the great and legendary hedge funds of the current era - grew equity positions until peaking at 2,346 (long equity) positions by Q4 2013. Since that time, AQR's long US equity book has found an ominously consistent plateau of about 2,050 positions. And, in what would normally seem to be a benign factoid, lie the seeds of the story for why AQR has been suffering performance challenges of late - and apparently, for the foreseeable future (according to co-founder, Cliff Asness). Hold that thought. More (very) soon...

By | 2020-03-01T22:17:58-05:00 February 6th, 2020|Alphacution Feed|

More Bridgewater Associates: Modeling Ray Dalio’s Modeling

"Treat your life like a game." - Ray Dalio   In many ways, aspects of this research are like playing a game of "Name That Tune." With a few snippets of data, we try to figure out what's going on with a trading or investment strategy - and by extension, the business strategy, too. Certainly, boosting the signal of a snippet or two of data can be done with contextual evidence; other snippets of data from neighboring strategies and players that help improve the accuracy of our interpretations. And yes, by now, this is all starting to sound a little rudimentary. "Of course. Obviously. Sure, that's been well known for a while..." But, though it now seems like years, it's only been eleven months since publishing our first "Hiding in Plain Sight" post. It's an understatement to say that we've learned a ton in that time because certain components of the landscape - a spectrum of strategies; zones and emerging rankings of competitors among them can now be seen with [...]

By | 2020-03-02T17:13:15-05:00 October 30th, 2019|Alphacution Feed|