AQR phone interview for Global asset allocation group position: insights?

Prim.<abbr title=equity research>er</abbr>.ate:

I think you will get more responses on quantnet, assuming the AQR you refer to is Cliff Asness's place.

Yes it is. Thanks!

Notepad:

horowitz00:

I have a phone interview with AQR soon for a position in the Global Asset Allocation group. This is a junior-level position (~2-3 years of experience). Has anyone interviewed with AQR before? Any tips on what kind of questions I should expect? Thanks a lot!

Depending on your level of experience, you will be asked about programming, multifactor-alpha related things, statistics, and market questions.

Sample programming question: given a T x S matrix of return-predicting factors across time and stocks, we wish to compute a 10 day rolling average starting at day 10. How do you calculate the (T-10) x S matrix of rolling averages without using a loop in Matlab?

Sample multifactor-alpha questions: what are the Fama-French factors? Why do they predict returns? Give an example of another factor you believe predicts returns. How would you test the factor?

Sample statistics question: suppose you have two high-frequency time series. You wish to compute the correlation. However, the data do not align (i.e. suppose one time series records on even seconds, the other one on every other odd second). How do you accurately estimate the correlation?

Sample market question: explain limits to arbitrage. How does it apply to hedge funds?

Thanks. I had the interview and the questions were not as hardcore as this. Would you have expected your questions for someone with a heavy finance background, possibly with a graduate degree?

Can you share what they asked?