Portfolio Construction
Cliff's Perspective
September 10, 2014
Topics - Portfolio Construction
I have some firm opinions, but I don’t really know exactly what this running commentary will become. Like most new things of this nature, it will evolve. There are some things I do strongly expect. It will be about investing, with a non-shocking emphasis on quantitative investing. It may entail some macroeconomics, but little to no politics, unless it bears directly on the ability to create returns for clients (e.g., a hypothetical new law restricting some type of strategy). It’s also a place I might simply point to new papers or other news related to us, or the topics I care about. It might entail short observations on issues of recent interest in quantitative finance, perhaps referencing outside pieces with which I either agree or disagree. An open question is how often I’ll be making entries. I simply can’t forecast that! It will clearly depend on how many interesting topics come along, and what else is going on at AQR, my life, and the world.
My colleagues at AQR and I already publish in academic journals, in journals that help bridge the gap between academics and practitioners, and in white papers where we focus more directly on what we do at AQR. Some, or even many, of the future entries in this forum can perhaps best be described as “mini quant papers.” These would be on topics that on their own are either too small an issue (sometimes something really needs to be cleared up but doesn’t quite warrant a standalone paper) and where our ideas are perhaps early in the development process. Or where we have some comments on other results in the news but not a paper of our own (yet). Some of these ideas may develop into full-fledged papers and investment stances, while others may turn out to be blind alleys — our tolerance for blind alleys will be much greater in this forum than in print! I also anticipate these posts will be more colloquial (e.g., far fewer references, including to our own papers, and far fewer “robustness checks,” which are a big part of published papers). Unlike published papers, these posts are not trying to carefully delineate original work and contributions; they are just my attempts to make a point and start a dialogue.
All the standard disclaimers that come with published research — don’t try this at home, I might be wrong, I hope examining the past helps but it isn’t close to a guarantee, etc. — apply here in even greater strength given the more preliminary and conversational nature I intend.
Again, many of the above are still guesses. The content, tone, and coverage may evolve over time (and I might flame out and produce very little!). But, even with, or perhaps buoyed by, this uncertainty, I’m very excited to be introducing this new method of interacting with our clients (and the general public — well, the very tiny part of the general public that’s interested in these things!). I hope you will sign up to our RSS or Twitter feeds to learn about new posts and will share your feedback with me or your AQR contact person. Thanks in advance!
Cliff Asness
Managing and Founding Principal
CliffsPerspective@aqr.com
Twitter: @AQRCapital
This document is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.
This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and AQR Capital Management, LLC (“AQR”) to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. This document is not to be reproduced or redistributed to any other person. The information set forth herein has been provided to you as secondary information and should not be the primary source for any investment or allocation decision. Past performance is not a guarantee of future performance. Diversification does not eliminate the risk of experiencing investment losses.
This material is not research and should not be treated as research. This paper does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.
The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. The information in this presentation has been developed internally and/or obtained from sources believed to be reliable; however, neither AQR nor the author guarantees the accuracy, adequacy or completeness of such information. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such. Diversification does not eliminate the risk of experiencing investment losses.
The information in this paper may contain projections or other forward-looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein, and is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and may be significantly different from that shown here. The information in this document, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.