TTU135: Moving Beyond Pure Price Trends ft. Yao Hua Ooi, Principal at AQR Capital Management

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.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.Learn more about the Trend Barometer here.Send your questions to [email protected] please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Alan on Twitter.Learn more about AQR Capital Management.Episode Timestamps:02:50 - Introduction to AQR 04:12 - Their investment philosophy 08:47 - Risk premia strategies 11:55 - A historical perspective 13:55 - Too focused on Sharpe? 22:24 - Changing the narrative 30:41 - Being unconventional 35:13 - Getting comfortable with the data 39:22 - The future for economical trend following 42:55 - Their research process 47:05 - The managed futures space 48:39 - Pricing trend following 55:00 - The need for daily liquidity 57:32 - The portfolio construction...