Black Swan Debate Fueled by AQR and a 3,612% Return

A recent Bloomberg article reports that the attention garnered by options-based hedge products that have “dominated the headlines for making a killing in the sell-off” has fueled a fierce debate on Wall Street, “pitting proponents of tail-risk hedging for a volatile world against those who warn insurance premiums can eat long-term returns.” Among the naysayers of such “black swan” hedge strategies is quant pioneer AQR, who is warning investors that gains they earned in March… Read More

AQR’s Jeremy Getson is Best-Connected Man in Hedge Funds

A recent article in Institutional Investor profiles Jeremy Getson, AQR Capital Management’s head of North American sales, who “leads a rarefied class of the ultraconnected in a disparate industry, according to dozens of investors, competitors, trade reporters, and other insiders.” The article describes Getson as one of the “best-connected people in the game” not only for the number of investor relationships he has forged, but also for the impact of those connections.” Getson joined a… Read More

Small-Caps are on the Upswing

After a brief post-election surge at the end of 2016, small-caps “went nowhere” for nine months, but the asset class has “finally decided to join the party,” writes Ben Carlson of Ritholtz Wealth Management in a recent Bloomberg article. “Although 2013 was a breakout year for small-cap stocks,” writes Carlson, “there have been a steady number of all-time highs in the ensuing years.” Since small-caps can be volatile, this could be a sign that investors… Read More

Warren Buffett’s Strategy Based on Market Anomalies

Part of Warren Buffett’s fortune was made by “exploiting two market mistakes: the tendency for quality companies and low-risk stocks to outperform,” says last week’s Wall Street Journal. Referring to the recently foiled Kraft-Unilever deal, the article says that both are “high-quality companies with predictable earnings and strong cash flow, whose shares have lower-than-average volatility and move less closely in line with the market than the norm.” And, the article points out, “investors bought into… Read More

AQR’s Antti Ilmanen Predicts Low Returns

Low expected returns are going to anchor bad news for all of us for the rest of our working lifetimes, warned AQR principal and researcher Antti Ilmanen at the 2016 CFA Institutes European Investment Conference. This according to an article earlier this month in Enterprising Investor. “I’ve got bad news as a starter,” Ilmanen told the conference audience. He suggested that for a balanced portfolio, the real return would be closer to 1% annually than… Read More

How to Invest Like Buffett but via Factors

As the debate continues concerning how quantitative model performance compares to that of active funds, a Bloomberg article from earlier this month discusses the findings of an AQR study that suggest how some quant models could generate returns that approximate those of legendary fund managers. AQR Capital Management, as described in the article, is a “program-driven investment firm whose founders made their names finding the math behind investment success.” The firm’s study compared the investment… Read More

Investing Like Buffett and Soros Could be Within Reach

New research shows that “ordinary” investors may be able to emulate the extraordinary tactics of legends such as Warren Buffett or George Soros by using factor-based strategies. This according to Validea CEO John Reese in last week’s issue of  The Globe and Mail. The study, conducted by AQR Capital Management, compared returns for “superstar investors to portfolios it constructed with a small set of buy and sell signals that tracked the investing styles of Mr.… Read More