https://www.bloomberg.com/news/feat...sness-hasn-t-smashed-his-screen-this-year-yet Good long interview with AQR's Asness. Some highlights. ERIK SCHATZKER: The performance of quants in 2018 has turned some faithful into skeptics and raised doubts as to whether some of these strategies are still viable. Is there a crisis in quant land? We looked at some of the standard possibilities, like maybe quant’s gotten too big. We looked at the actual numbers in quant. We looked at the transaction costs, which we think would be directly affected by size. It’s plausible. I don’t reject that, but we don’t see any evidence. Are the strategies too expensive? If the long positions were much more expensive than the shorts compared to the past, you could say there’s some evidence that maybe quants have changed the world. We absolutely don’t see that. ES: Why have quants done so poorly of late? CA: The big culprit on the year is systematic value investing. That one has been bad for quite a long time, probably since just after the financial crisis. And, to answer a question you didn’t ask, our faith in that doesn’t change a drop either. So in a given year, value might have a tough time, but if quality, momentum, and carry all do well, we can do well. This year, the other ones are not making up for value. ES: David Harding, the quant who founded Winton Capital Management, says this time is different. He’s concluded that at least one factor or risk premium—trend following—doesn’t work as well as it once did. He’s said he’s reducing the weighting of that factor in his multifactor funds, and he’s charging less for his trend-following fund. CA: I believe he’s doing that in response to competitor pressure from people like us who do trend following and charge less than he does. So he can blame us for this, and I’ll happily take the blame. I’m not really smart enough to figure out small nuances like, “It will work, but not as well as in the past.” We’ve always said a good estimate for the future is maybe half [the performance] of your backtest. Trend following has been a very good strategy. It still belongs in most investors’ portfolios. And if I’m not mistaken, it’s still a substantial part of David’s portfolio, just less. We don’t tell anyone that their whole portfolio, God forbid, should be trend following. ES: Harding blames the relative lack of success in that factor on crowding. CA: We don’t think there’s a tremendous case that it’s too crowded; we just think trends have reversed more in the last few years. That’s a tautology, trend following not working, but it happens. ES: You believe there will be a reversion to the historical mean? CA: I do believe going forward, these strategies will work at a relatively similar level to how they’ve worked in the past. Reversion to the mean doesn’t mean a huge comeback. It just means the factor is about as good a deal as it used to be. One thing I try to avoid, and there’s a lot of pressure to do this, even internally, is to tell people the comeback is coming. Every once in a while there’s a tactical opportunity. But I’m not sure you want that, because it’s usually preceded by body bags. ES: Can a few bad quants ruin everything? CA: A few bad quants can create short-term volatility. And that’s what we think happened in August of ’07. I think the quant world is a safer world than it was in 2006 or 2007, but not perfectly safe. Our chief thing is to tell clients at some point we will see a non-normal event again. Our job as managers is to survive it, and your job as investors is to allocate the right amount so you can stick with it. I would prefer, to be honest, it never happens again. And I don’t mean this year. This year is not anything weird