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Does anyone know why de Prado left AQR so quickly? It seems kind of funny: AQR hates on ML, AQR reconsiders and hires this guy, and pretty much instantly ditche

Does anyone know why de Prado left AQR so quickly? It seems kind of funny: AQR hates on ML, AQR reconsiders and hires this guy, and pretty much instantly ditches him...bad look for ML. Btw, I think some of this is correct. It still amazes me that anyone thinks the CFA is relevant (it is largely done by Chinese/Indian students who will never work in finance). But there will always be a place for fundamental investing (i.e. you should be aware that not everything in life can be measured quantitatively).

soniman 7y ago
Even granting that not everything can be measured quantitatively, how would I identify these talented non-quantitative investors?
- hogFeast 7y ago
  One important thing to understand about fundamental investing: most fund managers can't outperform the index the way they manage money, and so the business model is lever up on beta, hope to catch heat (close fund down and reopen until you do), take the fees, and then repeat in the next cycle after it blows up...and that is if the manager is actually trying. Skilled management doesn't really work as a business (without luck). So it is actually very rare. I have probably come across less than 10 managers who are +EV, and the majority don't manage any public money (again, economics of the business). But it is straightforward: are they doing actual research (the majority of fund managers don't)? Are they turning over their portfolio frequently? Do they say dumb shit (i.e. constantly use buzzwords)? It isn't magic.
  - soniman 7y ago
    My point was that a quant manager can at least point to a strategy that's been backtested. The non-quant manager, who doesn't have a method, can't point to any test of his method. I agree with you that there are talented non-quant managers, I just think it would be hard to measure and identify who they are other than by the eyeball test.
    - hogFeast 7y ago
      All backtesting proves is that you have discovered a technique that worked in the past. Unless you have a time machine, that isn't very useful. The competitive advantage in quant and non-quant is identical, it is only the tools that are different. It isn't hard. As I said, the first thing you have to understand is that 99% of managers cannot outperform and are not trying to.
      - deleted 7y ago
        [deleted]

soniman 7y ago

Even granting that not everything can be measured quantitatively, how would I identify these talented non-quantitative investors?

hogFeast 7y ago
One important thing to understand about fundamental investing: most fund managers can't outperform the index the way they manage money, and so the business model is lever up on beta, hope to catch heat (close fund down and reopen until you do), take the fees, and then repeat in the next cycle after it blows up...and that is if the manager is actually trying. Skilled management doesn't really work as a business (without luck). So it is actually very rare. I have probably come across less than 10 managers who are +EV, and the majority don't manage any public money (again, economics of the business). But it is straightforward: are they doing actual research (the majority of fund managers don't)? Are they turning over their portfolio frequently? Do they say dumb shit (i.e. constantly use buzzwords)? It isn't magic.
- soniman 7y ago
  My point was that a quant manager can at least point to a strategy that's been backtested. The non-quant manager, who doesn't have a method, can't point to any test of his method. I agree with you that there are talented non-quant managers, I just think it would be hard to measure and identify who they are other than by the eyeball test.
  - hogFeast 7y ago
    All backtesting proves is that you have discovered a technique that worked in the past. Unless you have a time machine, that isn't very useful. The competitive advantage in quant and non-quant is identical, it is only the tools that are different. It isn't hard. As I said, the first thing you have to understand is that 99% of managers cannot outperform and are not trying to.
    - deleted 7y ago
      [deleted]