AQR Capital Management
BlackRock slashes book as IR swap market volume rises
Counterparty Radar: Pimco’s book surpassed $40 billion in Q2, growing to half of mutual fund space
Keep risk parity simple, stupid
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
It’s amateur hour: how retail traders upended options market
Cutting-edge data shows non-professionals are driven by news events and desire to make a quick buck
Lazard and Pimco profit from shorting Hong Kong dollar
Repeat interventions from HKMA fail to revive a currency under pressure from rising US rates
Correlation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth
LGIM blasts ‘dangerous’ netting of short positions on carbon emitters
Netting shorts on big polluters distracts investors from task of persuading firms to slow climate change
Aaron Brown: war could usher in new sanctions era, hurting US
Investors must think long-term, warns risk expert; west may lose out to crypto and new financial hubs
AQR quant on the network effects behind GameStop frenzy
New model captures how ‘fanatical’ investors can influence asset prices
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
Aaron Brown: to learn how to handle a crisis, create one
Scenario analysis still isn’t taken seriously; it should be, says AQR’s former risk chief
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