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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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Learn more about AQR Capital Management.

Episode Timestamps:

02:50 - Introduction to AQR\\t

04:12 - Their investment philosophy\\t

08:47 - Risk premia strategies\\t

11:55 - A historical perspective\\t

13:55 - Too focused on Sharpe?\\t

22:24 - Changing the narrative\\t

30:41 - Being unconventional\\t

35:13 - Getting comfortable with the data\\t

39:22 - The future for economical trend following\\t

42:55 - Their research process\\t

47:05 - The managed futures space\\t

48:39 - Pricing trend following\\t

55:00 - The need for daily liquidity\\t

57:32 - The portfolio construction...'