AQR’s Asness: No Simple Explanation For Quant Failure In 2018

Ted

FYI: Quantitative investment strategies suffered poor performance last year, but there isn’t one intuitive way to pinpoint exactly why it happened, said Cliff Asness, managing principal and chief investment officer at AQR Capital Management.

It’s easier to explain why one individual component of a multifactor strategy underperformed, such as why the value factor lagged, he said. But explaining total performance in down years is difficult, especially over the short to medium term.
Regards,
Ted
https://www.fa-mag.com/news/aqr-s-asness--no-simple-explanation-for-quant-failure-in-2018-44771.html?print

Sven

Glad to stay away from someone who mix politics with investment. Not only it detracts from his main duty to his investors and it shows as the performance lags badly several years in a row.

catch22

Mr. Asness states,

“Success is sticking with [the strategy] with its ups and downs. To survive long term, brace for the short term,” he said.

He admits that it’s easier to stick with a strategy that is intuitively easier to understand, “even if it’s not a better strategy.”

I state, "Whatever floats your boat, Mr. Asness". No money or recommendations from me, however.

Example: FBALX, inception date, 11-6-1986

--- 10 year annualized return = 12%
--- Lifetime annualized return = 9.17%

FBALX , not unlike similar funds; has been through several market turmoil periods.

Have a good remainder.
Catch

LewisBraham

And yet there is a simple explanation for the fees quants continue to charge even when they fail.

VintageFreak

His ASSness. Enough said.