AQR Capital Management
Intercept: AQR’s risk-catching machine
CRO Mike Patchen has helped build a system to identify risks before they grow or spread
Some quant shops doomed to ‘struggle’ – López de Prado
Theory-first firms must modernise their methods or wither, says machine learning expert
AQR takes step into exotic trend following
$200-billion quant firm joins those plugging new take on strategy that’s struggled
Quants clash: machine learning or linear models?
Some studies say the algorithms beat the common models; other studies say the opposite
Arnott, Harvey: machine learning dangerous when data thin
Experts warn ML should be used “for its correct purpose”
What’s in the box? Bad year reveals alt premia’s gaps
Average fund is down almost 5%, but gap between best and worst performers is 14%
Lesson from alt premia’s horrible year: be patient
Investment approach’s diversification benefits can’t be relied on in the short term
Fears persist about forced unwind from ‘implicit’ short vol funds
February sell-off could presage a bigger slide if correlations change, buy-siders say
Seeds of destruction? Funds grapple with index effect
Rapid growth fuels anxiety over passive sector’s vulnerability to frontrunning
Fear of CTA sell-offs could trigger wider stampede
Trend followers could not roil markets alone, but anxiety about them might, say BAML analysts
Full up already? Industry divided over smart beta capacity
Research Affiliates argues trading costs will wipe out returns; critics say assumptions overblown
The risk-parity fire sale that didn’t happen
Have fears of a co-ordinated sell-off by risk-parity funds been proven wrong?
Buy-side risk managers doubt own liquidity metrics
Risk Hedge Europe attendees say they lack formal measures of liquidity
People: Top quant Lipton leaves Bank of America after 10 years
Return to academia for derivatives pricing expert
Hedge fund AQR hires Isaac Chang as co-head of global trading
Chang was formerly global head of FICC at KCG
Buy side targets leverage cap in SEC derivatives plans
AQR says its managed futures fund could suffer larger drawdowns under new rule
25 banks fail ECB stress check on financial health
Finances still need to be fixed across the EU, tests find
Risk Italia Rankings 2013
Plain sailing for Barclays in Italy
AQR puts academic theory into practice
Putting theory into practice
Photo gallery: Qualitative awards Americas Awards 2013
Americas Awards 2013
Winners announced for Americas Awards 2013
Citadel, Blackstone AAM, Hildene and SkyBridge were among the big winners at the Hedge Funds Review Americas Awards 2013. Paloma Partners' Donald Sussman received the lifetime achievement award
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better