| Cliff Asness interview |
| 03/18/23 Markets Asness |
"Neither he nor AQR engages in market timing, but the spread between value and growth had gotten so huge that he felt comfortable 'sinning a little.'" [audio]
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| Cliff Asness interview |
| 01/15/23 Asness |
"Cliff joins the show to discuss FTX, AMC, why hedge funds aren't hedging, the role of index funds and a whole lot more."
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| The bubble has not popped |
| 01/08/23 Value Investing Asness |
"Value spread at 94th percentile"
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| Bucked the trend that was your friend |
| 08/19/22 Markets Asness |
"Even over one of the tougher decades you'll see for managed futures, it did what it's supposed to do. It delivered non-trivial positive returns and excelled when it was supposed to and was most needed."
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| The long run is lying to you |
| 03/07/21 Value Investing Markets Asness |
"To state the obvious, when strategies get more expensive, all-else-equal they do better while that richening is occurring. Yet to assume these changes are the expectation going forward, as simply examining past returns does, strikes us as folly. I examine the returns on various markets, market differentials, and most importantly, the value factor, using a regression framework that accounts for these valuation changes."
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| A gut punch |
| 01/03/21 Momentum Asness |
"If, still an if, as we hope and expect, value continues to perform well over the next 6+ months, we should see the drag from the other factors greatly lessen and the net, we believe, turn sharply positive."
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| There is no size effect |
| 09/18/20 Markets Asness |
"Adding in lags to account for illiquidity takes the historically weak small firm effect and renders it non-existent."
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| Fight the Fed model |
| 07/12/20 Academia Markets Asness |
"This has the appearance but not the reality of common sense. The empirical evidence tells us the Fed model has no power to forecast long-term real stock returns. On the contrary: Traditional methods, like examining the market's unadjusted P/E alone, have been very effective."
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| Clifford Asness talks value |
| 07/11/20 Asness |
"AQR's Clifford Asness on fundamental value with Tobias on The Acquirers Podcast" [video]
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| Value investing is not dead |
| 05/09/20 Value Investing Asness |
"We think the medium-term odds are now, rather dramatically, on the side of value, with no 'this time is different' explanation we can find (and we've tested a lot of them!) holding a drop of water and no other period in the 50+ year history matching today."
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| The illiquidity discount |
| 12/27/19 Markets Behaviuor Asness |
"The preference for illiquid, infrequently-priced assets that don't smash you in the face with their volatility (even though it's really there) could be rational in the same sense. Perhaps a levered small cap portfolio is a rational investment for long-term investors, but there's little chance they'd stick with it full-cycle. However, they find PE easy to stick with? It's not hard for me to imagine these are both true for some (or many)."
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| Quant Cassandra |
| 07/07/19 Markets Value Investing Asness |
"But the real magic skill of his is that despite some fairly horrific and none-too-short relative and absolute return periods, he's stuck with his style, and his risk level, like grim death."
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| Cliff Asness interviwew |
| 11/26/18 Value Investing Asness |
"Cliff was an original quant researcher and he has long been one of the financial writers and thinkers that I look to for education and for inspiration." [audio]
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| Cliff Asness vs. Warren Buffett |
| 11/05/18 Buffett Asness |
"An interview with billionaire quantitative investor and co-founder of AQR Capital Management, Cliff Asness. In this interview, Cliff discusses learning about and his views on free markets and quantitative investing. Cliff also talks about fighting Warren Buffett on Twitter and critiquing Obama." [video]
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| Cliff Asness hasn't smashed his screen this year - yet |
| 10/09/18 Asness |
"There is part of investing that must be done with great skill. There is part of investing that was automatable. Part of what Warren Buffett does is to always own cheaper, more profitable, lower-risk stocks. I think it's been a pretty good deal for Warren Buffett's investors. But with most active managers, you paid through the nose for it. Nowadays, you pay tiny amounts for it. There are ETFs out there charging nine basis points on factors for U.S. large-cap stocks."
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| 12 rules for life |
| 07/09/18 Behaviour Asness |
"Crucial life lessons from the end of hockey games, Idris Elba, and some Wall Street guys with a lot of time on their hands." [audio]
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| Lessons from Cliff Asness |
| 07/02/18 Asness |
"Learning about the approaches of investors like Cliff helps me in my daily work even though what I do in my work is very different. Cliff is trying to identify statistical factors that can generate a persistent positive disparity of return across large numbers of stocks in an environment where there is extensive historical data. What Cliff is doing is both important and valuable."
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| Lies and data mining |
| 04/16/17 Asness |
"We are the whipping boy for a recent article on the dangers of data mining in our field. And the whipping is delivered largely based on an unsupported shot taken by my frequent foil and sparring partner, Rob Arnott."
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| Can it work if everyone knows about it? |
| 09/05/15 Academia Markets Behaviour Value Investing Asness |
"We're going to argue that certain well-known classic strategies that have worked over the long term will continue to work going forward, though perhaps not at the same level and with different risks than in the past."
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| Cliff Asness interview |
| 03/01/15 Funds Asness |
"In a far-ranging 90 minute conversation, we discuss everything from value to momentum to the small cap effect. We also discuss the Efficient Market Hypothesis, how and why markets can be irrational, and what it was like to be part of the Quant Flash Crash of 2007. If you are interested in what quants actually do, be sure to check out the podcast portion when its posted."
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| Shareholder value is undervalued |
| 01/12/15 Markets Asness |
"Those who say maximizing shareholder value is something like 'the worst idea ever' are essentially saying markets are wildly inefficient - disastrously and obviously so - at setting prices. Now, one is free to believe this extreme hypothesis. One can believe that markets are horrifically bad no matter how much I, and the legion of evidence, may disagree. One is free to cite the handful of exceptions that actually prove the rule here (exceptional managers and exceptional times for markets) and believe market prices consistently have no toehold on reality. But one must acknowledge that the trendy denunciation of 'maximize shareholder value' is exactly this self-same extreme radical denunciation of markets themselves. If you believe maximize shareholder value is the 'worst idea ever' you aren't simply cynical about how well markets function. No, you go much further. You directly claim they are utter disasters and that you have a better way. Good luck with that. Of course, you could temper your view, perhaps rephrase as 'maximizing shareholder value is a pretty good though imperfect idea and here are a few suggestions for improvement,' but those articles are way less exciting..."
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