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Frontline

Hedge fund gurus guide new trading book

In researching his new book, Lasse Heje Pedersen says he drew upon the expertise and opinions of eight hedge fund “gurus.”

The AQR Capital Management principal and finance professor at both Copenhagen Business School and New York University's Stern School of Business, said in an interview that he worked on the book, “Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined,” for more than four years. “I wanted to really research how trading works, the nature of trading and how it affects financial markets,” Mr. Pedersen said.

Mr. Pedersen said he “learned a lot from each guru.”

First up was John A. Paulson, a donor to NYU, whom Mr. Pedersen interviewed through the university connection. (Mr. Pedersen in fact is the John A. Paulson Professor of Finance and Alternative Investments at Stern.)

From James Chanos, Mr. Pedersen learned more about short selling. So systematic and thorough was Mr. Chanos, that he presented Mr. Pedersen with a pile of information to study, and then invited him back to conduct the interview two weeks later.

Mr. Pedersen also spoke with Lee Ainslie III, George Soros, David Harding, Myron Scholes and Kenneth Griffin. AQR's Clifford Asness talked quant and momentum trading.

“Efficiently Inefficient” is published by Princeton University Press.

This article originally appeared in the June 15, 2015 print issue as, "Hedge fund gurus guide new trading book".