Asness: AQR models live factor returns at half the backtested result
Cliff Asness · Cliff Asness - Simple Investing is Hard (EP.385) · May 13, 2024 · at 17:57
Cliff Asness, founder and CIO of AQR Capital Management, discusses quantitative model decay and setting realistic performance expectations for backtested factors.
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“Literally, since our Goldman Sachs days, this is more than 25 years ago, we've generally used half a backtest out of sample as a bogey. And life has worked out fairly close to that.”
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