Cliff Asness - "...But Not So Open Your Mind Falls Out" (S3E13)
Flirting with Models
Aqr
AQR has a very strong preference for factors and styles that are not only well founded in the data but have a strong corresponding economic or behavioral rationale behind them. I've always sort of said if you don't override the process and you call yourself a discretionary manager you're really just a closet systematic manager because then you can codify it. If there is that asymmetry in picking a factor that doesn't really work, why not risk more type two errors? Why not lean into factors and things you find in the data that are maybe a little less clear cut?"
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