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AQR Capital Management Comments On August Volatility

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As we mentioned on Sunday in Enough Already! Raise The Rate To 3 Percent risk parity strategies were unjustifiable scapegoats by people reiterating the hot phrase of the week. Cliff Asness of AQR agrees according his latest written commentary published late Monday.
In the letter Asness laments over the "lining up to blame risk parity" for the August market volatility.

Asness views the comments heard on TV and read in newspapers and online as silliness, to wit: "I can’t define short-term silliness, but like Justice Stewart I can identify short-term silliness when I see it."

The Head of AQR does offer his view of what happened and it's simple: investors grew more negative on economic fundamentals.

In line with a view shared by this analyst Agness closes his letter writing "I guess that’s a more boring story [investor sentiment changed] than “Risk parity man bites market”..."

Posted-In: AQR Capital Management Cliff AsnessHedge Funds General


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