by Clifford Asness, Ph. D. AQR Capital Management, Inc.
OK, that’s obviously not true. Let me downgrade it to “kind of neat.” Aaron and I build a simple, but powerful and intuitive, model for when a hockey coach should pull the goalie when trailing. Then, when the model reports that the coaches aren’t doing it nearly early enough, we ask why, and take away a perhaps surprisingly large number of lessons for portfolio and risk management, and business in general.
Here it is. Let us know what you think.
SSRN-id3132563 by dpbasic on Scribd
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The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.
This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such.
The investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation.
Diversification does not eliminate the risk of experiencing investment losses.
Please note that changes in the rate of exchange of a currency may affect the value, price or income of an investment adversely.
The factual information set forth herein has been obtained or derived from sources believed by the author and AQR Capital Management, LLC (“AQR”) to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision.
Information contained on third party websites that AQR Capital Management, LLC, (“AQR”) may link to are not reviewed in their entirety for accuracy and AQR assumes no liability for the information contained on these websites.
Toy Risk Model Source: AQR, using data from Bloomberg, for the period Jan 23, 1990 through Feb 12, 2018. For illustrative purposes only and not representative of a portfolio that AQR currently manages. Hypothetical Data has inherent limitations, some of which are disclosed herein. Not to be construed as investment advice or a specific recommendation. There is no guarantee, express or implied, that long-term return and/or volatility targets will be achieved. Realized returns and/or volatility may come in higher or lower than expected. There is no guarantee that this strategy will be successful.
The results shown represent a hypothetical illustration. Hypothetical or simulated performance results assume the portfolio holding(s) were purchased on the first day of the period indicated. The hypothetical or simulated performance results are compiled with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. Changes in the assumptions may have a material impact on the model presented. Other periods may have different results, including losses. There can be no assurance that the analysis will achieve profits or avoid incurring substantial losses.
AQR did not manage or recommend this allocation to clients during periods shown, and no clients invested money in accounts managed by AQR in accordance with the recommended allocation.
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