And so it begins...

slice and dice however you want, vast majority do not have a sustainable edge (which is the only true definition of edge, you can't perform for 5 years and then crap for 5 years and say I had an edge for the first 5...) and are hiding behind the 'uncorrelated returns' defense. Just wait for the Fed to blow this economy up (which they have begun to do) and you'll see what happens to that beauty, ain't seen nothing yet...

https://funds.aqr.com/total-returns

worth doing a double-take on those expenses too, btw...
 
Maverick1 said:
slice and dice however you want, vast majority do not have a sustainable edge (which is the only true definition of edge, you can't perform for 5 years and then crap for 5 years and say I had an edge for the first 5...) and are hiding behind the 'uncorrelated returns' defense.
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Well, that's true about almost every style out there, be it long-short, global macro or anyone else. The guys that do well consistently are usually pretty small and exploit a variety of capacity constrained opportunities, once they get big they lose their edge.
 
Like I said many times before, all trading system based on analysis of numbers, math or data all go out of the door in the time of fundamental changes!! If tomorrow the Fed announces that it's increasing the interest rate to 10%, no matter how perfectly the model based on analysis of numbers and data predicts that the market is going up, it's going to fail; it's going to fail miserably. In fact we would all be in trouble if they didn't fail because that would mean that the market is not efficient that somehow that price at t to t+1 does not follow a random walk and there is a way to accurately predict it besides insider trading. The failure of these "quants" is precisely the proof that the market is efficient. Nobody is correct every single time.
 
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helpme_please said:
I am interested to know if human active managers outperform machine-driven algorithmic factor strategies in Oct 2018.
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There was a recent story about how an "100% AI" managed fund had outperformed the SP by a couple of percent over the past year. Could be that's a coming thing... and might make some money managers obsolete.
 
JSOP said:
Like I said many times before, all trading system based on analysis of numbers, math or data all go out of the door in the time of fundamental changes!!
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You don't think these people understand that markets are non-stationary and that market regimes could potentially kill their alphas?
 
Maverick1 said:
Did LTCM understand?
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Of course they did, it's a very scientific way of thinking about the world. That was not their problem at all - it's not like they lost their alpha all at once. Pretty much every one of their trades was a money maker in the long run. In fact, people still do the same trades except with a bit less flare.

They failed primarily because they took on too much risk, were crowding their own positions and scared the sh*t out of the counterparties. The resulting feedback loop was vicious (and great for those of us who manager to get involved at the right time).
 
sle said:
You don't think these people understand that markets are non-stationary and that market regimes could potentially kill their alphas?
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I don't think most people do otherwise they wouldn't be so frustrated when their "edge" based on their quant analysis is challenged.
 
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