[mjfl]

With all due respect to Asness, the returns from his fund and quant "factors" in general are complete crap compared to what the Medallion fund has consistently experienced over the past 20 years.

Most of Asness-type funds run "rotating" strategies whereby they have 30 or so different "flavors" (one invests in small cap value, another in US low-vol, etc..). Due to probability, one of the "flavors" is usually doing very well and they put that on the front of flip books. If any of them do badly, they "fire" that strategy and therefore ensure that all their running strategies have decent histories. It's basically engineering selection bias.

Quant factor funds are barely related to Renaissance.

[cepth]

I’ll grant you that AQR’s actual performance is middling. This is doubly true next to the consistency of Renaissance.

However, I’d stand by the academic research they put out. Especially because Renaissance famously eschews finance PhDs, preferring pure math and physics, AQR is still an industry leader in terms of the empirical studies they do.

The original comment in this thread asked about the EMH, I don’t think Asness’s returns as an investor should necessarily reflect on the academic research he’s done.

[mjfl]

perhaps the ratio of their returns to their academic output explains why Renaissance doesn't hire Finance PhDs.