| Cliff Asness and three quant crises |
| 09/21/24 | | Asness |
"I don't think I was wrong from that period for our form of value, but the old saw in this industry is 'early is the same thing as wrong.'"
|
| The less-efficient market hypothesis |
| 09/08/24 | | Asness |
"I argue that over the past 30+ years markets have become less informationally efficient in the relative pricing of common stocks, particularly over medium horizons. I offer three hypotheses for why this has occurred, arguing that technologies such as social media are likely the biggest culprit. Looking ahead, investors willing to take the other side of these inefficiencies should rationally be rewarded with higher expected returns, but also greater risks."
|
| The president's trophy curse |
| 05/25/24 | | Asness |
"It's true. The President's Trophy winner usually doesn't win The Cup. It's true and yet it's still really dumb."
|
| Cliff Asness interview |
| 05/18/24 | | Asness |
"Our conversation covers Cliff's journey from studying market efficiency under Eugene Fama to capitalizing on market inefficiencies at AQR. We discuss regime changes in factors, difficult periods for performance and AQR's business, research innovation, machine learning, index funds, pod shops, areas of cognitive dissonance, private equity, and serving on investment committees." [Video]
|
| Cliff Asness interview |
| 04/06/24 | | Asness |
"We talk about diversifying by both asset class and geography, the challenge of managing short-term expectations while keeping a long-term perspective, and ..." [video]
|
| Cognitive dissonance |
| 04/06/24 | | Asness |
"Here are a few things I would've thought were hard for investors to believe simultaneously. I would've been wrong"
|
| Why not 100% equities |
| 02/16/24 | | Asness |
"The paper comes to the rather startling game-changing conclusion that long-term investors should be 100% in equities, not in a more diversified portfolio. We have been down this road before with this idea refuted with alacrity and panache at least as far back as the mid-1990s."
|
| 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."
|
| Uncorrelated assets |
| 01/15/23 | | Asness |
"Recently, Dimensional Fund Advisors wrote critically on 'liquid alts.' They make some good points, but they also draw some odd conclusions that if applied more generally would not be to their (or our) liking. Besides discussing their piece, below I take this opportunity to review the general rationale behind holding uncorrelated assets (in particular, equity 'factors' held in a long-short manner)."
|
| Clifford Asness talks value |
| 07/11/20 | | Asness |
"AQR's Clifford Asness on fundamental value with Tobias on The Acquirers Podcast" [video]
|
| Quant Cassandra |
| 07/07/19 | | 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."
|
| Cliff Asness interviwew |
| 11/26/18 | | 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]
|
| Cliff Asness vs. Warren Buffett |
| 11/05/18 | | 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]
|
| 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."
|
| 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."
|
| 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."
|
