AQR Hedge Fund moving into Trend Following

J

JezLiberty

AQR is a top hedge fund, managing around $24B in Assets. Lately, they have been making noise about their moving into the Managed Futures space (a.k.a. Trend Following).
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The trend following space is just getting a bit more crowded…

The "noise" they are making include a CNBC interview and a marketing research paper. You can find them all, video, paper and a summary of their paper over there...

Can there be too many big fish in the pond? :eek:
 
Quote from JezLiberty:
----The trend following space.....
----Can there be too many big fish in the pond? :eek:
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1) Managed futures funds trade futures contracts.
2) Trend following can be done with any instrument.
3) Trend following can work well in a trending market, usually not during a sideways market.
4) New fish/meat is always welcome to the "party". :cool:
 
Quote from nazzdack:

1) Managed futures funds trade futures contracts.
2) Trend following can be done with any instrument.
3) Trend following can work well in a trending market, usually not during a sideways market.
4) New fish/meat is always welcome to the "party". :cool:
More...

valid points, but I think one of the main aspect of trend following is profiting from diversification and I dont know of many instruments that allow you to get access to so many markets - hence why trend followers, in their majority, use futures.

Of course, there are stock trend followers also...
 
Quote from JezLiberty:

The trend following space is just getting a bit more crowded
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'In some seasons, trend following is good; in others, reversing is good. The problem is how to differentiate the two seasons in advance.' -- Vic Niederhoffer, 'Education of a Speculator', pg 98
 
They have a bunch of funds now. There is an fund that M&A/convertible arb, another that does momentum in stocks, and now the futures fund.

Nice way to put small amounts of your cash to work on strategies that would have to be done in larger sizes just to make the minimum commissions reasonable. For example, running something Turtle-like on all-liquid futures takes at least 150k or so, unless you're using the mini contracts. And I'll bet Asness's models are better than mine :)
 
Quote from Rodney King:

'In some seasons, trend following is good; in others, reversing is good. The problem is how to differentiate the two seasons in advance.' -- Vic Niederhoffer, 'Education of a Speculator', pg 98
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nieder always makes thing more complicated. its simple--above 20o day SMA buy pullbacks, below, sell upthrusts.

nothing to it.

ZMW
 
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