Today, we are joined by Yao Hua Ooi, Principal at AQR Capital Management, for a conversation on how they use systematic tools like trend following, to take advantage of inefficiencies in markets. We discuss the pros and cons of risk premia strategies and how they manage to improve the Sharpe ratio while making sure the "dual" mandate is fulfilled, how they have moved beyond pure price trends as part of the evolution of their trend programs. We also discuss the process of building a trend following strategy and why they prefer to build models rather than mimic a strategy through linear regression, their approach to adding alternative markets to their portfolio, why they are always concerned about capacity and much more.

-----

50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

-----

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.

Learn more about the Trend Barometer here.

Send your questions to [email protected]

And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.

Follow Alan on Twitter.

Learn more about AQR Capital Management.

Episode Timestamps:

02:50 - Introduction to AQR

04:12 - Their investment philosophy

08:47 - Risk premia strategies

11:55 - A historical perspective

13:55 - Too focused on Sharpe?

22:24 - Changing the narrative

30:41 - Being unconventional

35:13 - Getting comfortable with the data

39:22 - The future for economical trend following

42:55 - Their research process

47:05 - The managed futures space

48:39 - Pricing trend following

55:00 - The need for daily liquidity

57:32 - The portfolio construction process

01:00:12 - The pros and cons of replication

01:04:25 - Applying risk management

01:05:40 - Adding new markets

01:09:19 - The role of trend following

01:13:08 - Reaching the limit

01:16:05 - Trend following disagreements

01:17:52 - Expectations for 2023

01:19:47 - Thanks for listening

Copyright © 2024 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer