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AQR are certainly not a high frequency trading firm, and Renaissance may do some high frequency trading, but they are not primarily a high frequency trading fir

AQR are certainly not a high frequency trading firm, and Renaissance may do some high frequency trading, but they are not primarily a high frequency trading firm. Where did you get that idea? The paper explicitly addresses the point that large-scale systematic collection of public records may be indicative of the kind of fund that outperforms, rather than an indication that the public records add alpha in and of themselves - it's in the abstract > The effect is not due to differences in fund type as the results hold within-fund. I think you need a more convincing argument than just saying "There are a great number of additional factors at play" and "Trying to link public information to an increase in performance is far fetched".

scarletham 9y ago
They're not HFT, although they are more blackbox / quant than the "traditional" hedge fund, which I think still supports OP's point.
- dsacco 9y ago
  Most "black box" quantitative hedge funds still use massive amounts of public data, even public data that might appear somewhat obvious. They absolutely develop new insights from that data.
  - scarletham 9y ago
    Yeah, to clarify I was agreeing that those firms certainly pull and use that data, but not necessarily in the same traditional fashion that paper seems to imply.
osrec 9y ago
Having worked with AQR, I would say they are more HF + coupled with some tend following than anything else. What makes you say they are not?
- auntienomen 9y ago
  Does that just mean that they do their own execution, or does it mean that their short-holding-time strategies are a major profit center?
- dsacco 9y ago
  To be clear, when you say AQR is primarily a "high frequency" firm, do you mean they are mostly position neutral with execution in (at most) a few microseconds?
  - smittywerben 9y ago
    I do not think HFT has a very clear definition anyways. I'm pretty sure most we hear of comes from regulatory cases/exposure. This is how the SEC characterizes HFT firms. 1. Use of extraordinarily high speed and sophisticated programs for generating, routing, and executing orders. 2. Use of co-location services and individual data feeds offered by exchanges and others to minimize network and other latencies. 3. Very short time-frames for establishing and liquidating positions. 4. Submission of numerous orders that are cancelled shortly after submission. 5. Ending the trading day in as close to a flat position as possible (that is, not carrying significant, unhedged positions overnight). From pages 4-5 https://www.sec.gov/marketstructure/research/hft_lit_review_march_2014.pdf https://www.sec.gov/marketstructure/research/hft_lit_review_...
- yellowstuff 9y ago
  FWIW, Cliff Asness disagrees with you: > we are not high-frequency traders https://www.aqr.com/Insights/Perspectives/High-Frequency-Derangement-Syndrome https://www.aqr.com/Insights/Perspectives/High-Frequency-Der...
  - osrec 9y ago
    I understand he does, but our definitions are different. Firstly, they are not a buy-and-hold sort of fund. Their strategy is more momentum based, and in my experience, to be good at that you need a deep understanding of HFT in current market conditions. I'm not saying they're market makers, but I will say that they employ some sub-minute strategies - to me, that is high frequency (not super high frequency, but high frequency nonetheless). Also, they seem to hire a fair few ex-HF guys in senior positions (e.g. https://nypost.com/2015/07/31/aqrs-head-of-trading-on-paid-leave-amid-probe/ https://nypost.com/2015/07/31/aqrs-head-of-trading-on-paid-l...)

scarletham 9y ago

They're not HFT, although they are more blackbox / quant than the "traditional" hedge fund, which I think still supports OP's point.

dsacco 9y ago
Most "black box" quantitative hedge funds still use massive amounts of public data, even public data that might appear somewhat obvious. They absolutely develop new insights from that data.
- scarletham 9y ago
  Yeah, to clarify I was agreeing that those firms certainly pull and use that data, but not necessarily in the same traditional fashion that paper seems to imply.

osrec 9y ago

Having worked with AQR, I would say they are more HF + coupled with some tend following than anything else. What makes you say they are not?

auntienomen 9y ago
Does that just mean that they do their own execution, or does it mean that their short-holding-time strategies are a major profit center?
dsacco 9y ago
To be clear, when you say AQR is primarily a "high frequency" firm, do you mean they are mostly position neutral with execution in (at most) a few microseconds?
- smittywerben 9y ago
  I do not think HFT has a very clear definition anyways. I'm pretty sure most we hear of comes from regulatory cases/exposure. This is how the SEC characterizes HFT firms. 1. Use of extraordinarily high speed and sophisticated programs for generating, routing, and executing orders. 2. Use of co-location services and individual data feeds offered by exchanges and others to minimize network and other latencies. 3. Very short time-frames for establishing and liquidating positions. 4. Submission of numerous orders that are cancelled shortly after submission. 5. Ending the trading day in as close to a flat position as possible (that is, not carrying significant, unhedged positions overnight). From pages 4-5 https://www.sec.gov/marketstructure/research/hft_lit_review_march_2014.pdf https://www.sec.gov/marketstructure/research/hft_lit_review_...
yellowstuff 9y ago
FWIW, Cliff Asness disagrees with you: > we are not high-frequency traders https://www.aqr.com/Insights/Perspectives/High-Frequency-Derangement-Syndrome https://www.aqr.com/Insights/Perspectives/High-Frequency-Der...
- osrec 9y ago
  I understand he does, but our definitions are different. Firstly, they are not a buy-and-hold sort of fund. Their strategy is more momentum based, and in my experience, to be good at that you need a deep understanding of HFT in current market conditions. I'm not saying they're market makers, but I will say that they employ some sub-minute strategies - to me, that is high frequency (not super high frequency, but high frequency nonetheless). Also, they seem to hire a fair few ex-HF guys in senior positions (e.g. https://nypost.com/2015/07/31/aqrs-head-of-trading-on-paid-leave-amid-probe/ https://nypost.com/2015/07/31/aqrs-head-of-trading-on-paid-l...)