Quant’s winter tail

Kevin Schmit said:
Congratulations, you may be the single most stubbornly ignorant poster on this site! From your inception as botpro, through TheCoder and EarthEmperator, and now Quanto, you have shown yourself impervious to good advice and incapable of learning anything.

AQR has, over time, been extremely generous in its publications. Options, Factors, Trading... covering a broad range of market related subjects. Papers by Bryan Kelly (mentioned in the article) are particularly insightful. I've cited his work previously here on ET and here is another extremely useful quote from a recent working paper:

"Contrary to conventional wisdom, low in-sample variance principal
components (PCs) are key to out-of-sample model performance."

In fact, most of the non-predictive noise in your model design matrix reside in the larger (higher variance) components. And those noise factors are much more temporally stable than factors with high predictivity. Constant noise-beta models have smaller forecast errors than dynamic noise-beta models across nearly all model structures, which is in contrast to predictive-beta models, where dynamic beta models dominate.

By filtering out even some of the noise in the larger components, you can improve your forecast models significantly. And all from reading just a few AQR sponsored papers!
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The value of all the wisdom in the I agree generous and abundant publications can be distilled in one time series: The annual returns of AQR’s Absolute Return strategy — its oldest investment vehicle. Do you have it?
 
metalztrader said:
Give me a break. You are obviously an insecure moron. I hate people like you. Always such a fucking pussy in person too. Thankfully people like you on here make yourself so easy to block and don't have to read
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That comment is out of bounds. Please reel the name-calling and insults back a few notches.
 
For those who actually do want to learn about factor risk and how to think about the world from that perspective, I can recommend a really good book - send me a PM.
 
Slow Learning Elf said:
For those who actually do want to learn about factor risk and how to think about the world from that perspective, I can recommend a really good book - send me a PM.
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Why is a PM required for a book recommendation? Just post it.
 
Slow Learning Elf said:
Did not want it to come across as a promotion:

https://read.amazon.ca/kp/embed?asi...e=kpe&ref_=cm_sw_r_kb_dp_QGE8T8WR6JEXVFQ6CYB4

Can't figure out how to get a preview, but here is the link to it
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The link below shows more data, incl. some reviews and ratings, as well a preview ("Read sample", incl. TOC).
It's the first edition, and one of the reviewers says that it's a good book but has some errors.
I would wait for the next edition.
I couldn't find any mention of options, so the book is not for me :)

Reviewed in the United States on 11 January 2022
Verified Purchase
This is a nicely written book. It is probably the best book I have read on factor models and their use in practice for risk management or alpha research. However, the biggest issue with this book is that significant fraction of the mathematical formulas is wrong, e.g., check c~ or eps above eqn 11.3. Or, does eqn. 11.9 make any sense as t goes to infinity?
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"Advanced Portfolio Management: A Quant's Guide for Fundamental Investors", 1st Edition
by Giuseppe A. Paleologo (Author)

US Price: hardcover $27.75. Kindle-edition $25

Product details
  • Publisher ‏ : ‎ Wiley; 1st edition (August 10, 2021)
  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 208 pages
  • ISBN-10 ‏ : ‎ 1119789796
  • ISBN-13 ‏ : ‎ 978-1119789796
  • Item Weight ‏ : ‎ 1 pounds
  • Dimensions ‏ : ‎ 6.1 x 0.8 x 9.1 inches

 
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Slow Learning Elf said:
Doesn't make me less of an insecure moron :)

BTW, for all the haters out there. A friend who is a fund allocator is gonna get me long-term historical performance for AQR’s Absolute Return fund. I remember seeing their tearsheet at some point so now I am curious if I remember their performance correctly.
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Did you get it?
 
qlai said:
Long read but a glimpse inside

https://www.ft.com/content/e0f98278-432e-4ece-b170-2c40e40d2835
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%%
Some good stuff in there;
but his cool looking 5 phase line chart with green value sector line doing better past 20 years than the other 4 = fake. But it's an obvious fake.
Even though Warren Buffet may have somewhat of a value sector line chart % like that , 20 years but not even close for the whole value sector.
Bubble seems to be a subjective term by people who missed a major RE or Tech move LOL:D:D
But that may not be related to headline, which seems to be the main point.
 
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Maverick2608 said:
Show me one factor fund. Just one that have achieved this outperformance in practice. I know Cliff Asness has become a billionaire based on these graphs. But where is the actual real world fund with real world returns?

https%3A%2F%2Fd6c748xw2pzm8.cloudfront.net%2Fprod%2Fd56d4300-9913-11ee-a933-b78f25c05c83-standard.png
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%%
ACTUALLY even W Buffets value green line% may not be that good, as excellent as his was.
 
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