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Top Traders Unplugged

TTU135: Moving Beyond Pure Price Trends ft. Yao Hua Ooi, Principal at AQR Capital Management

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8670 Ratings

🗓️ 27 February 2023

⏱️ 81 minutes

🧾️ Download transcript

Summary

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.

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

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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...

Transcript

Click on a timestamp to play from that location

0:00.0

The most exciting thing is that investors are now kind of waking up to the fact that we do need additional tools within our portfolio that are truly diversifying.

0:17.4

Trend is obviously a huge good piece of that answer to that question, but as I say, AQR also runs

0:23.9

multiple other strategies that also fit the bill. It's been exciting in terms of being able to

0:29.4

re-engage. There's a lot of energy, I feel like, both on our side and also on the investor's side

0:34.2

of wanting to delve deeper into these kind of questions on how do I

0:38.5

really diversify my portfolio, how do I really, you know, make an impact in my portfolio,

0:43.8

if inflation stays high, if equities go through another tough period. So that overall, I think,

0:49.2

recognition of the fact that we diversify us are important and we want to learn more about them and engage

0:58.3

with them with our clients. That's that's kind of very, very exciting for us.

1:04.3

Imagine spending an hour with the world's greatest traders. Imagine learning from their

1:09.3

experiences, their successes, and their failures.

1:12.6

Imagine no more. Welcome to Top Traders Unplugged, the place where you can learn from the best

1:18.9

hedge fund managers in the world so you can take your manager, due diligence, or investment career

1:23.8

to the next level. Before we begin today's conversation, remember to keep two things

1:28.5

in mind. All the discussion we'll have about investment performance is about the past, and past

1:33.5

performance does not guarantee or even infer anything about future performance. Also understand that

1:38.9

there's a significant risk of financial loss with all investment strategies, and you need to

1:43.3

request and understand the

1:44.9

specific risks from the investment manager about their product before you make investment

1:49.1

decisions. Here's your host, veteran hedge fund manager, Nealz Kostrup Larson.

1:59.4

Hey everyone, and welcome to another edition of Top Traders on Block where today

2:03.3

Alan Don and I are joined by Yao Hua Oi, co-head of macro strategies at AQR as part of our mini-series

...

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