Speaker

Cliff Asness

Cliff Asness

American quantitative investor and co-founder, Managing Principal and Chief Investment Officer of AQR Capital Management, a Greenwich-based firm that manages money by systematic, rules-based strategies rather than discretionary stock-picking. He took his PhD at the University of Chicago, where he wrote his dissertation on price momentum under Eugene Fama — the economist most associated with the efficient markets hypothesis — and helped move momentum from a Wall Street folk practice into the academic factor literature. Before founding AQR he ran the quantitative research group at Goldman Sachs Asset Management.

Asness is both a working practitioner and a prolific writer: his papers in the Financial Analysts Journal and his firm’s research have shaped how value, momentum, low-risk and quality ‘factors’ are understood and combined. He writes a widely read blog, is active on X, and is known for a combative, funny public voice — as comfortable arguing about Marvel versus DC as about the sixth factor in an asset-pricing model.

Core positions

The two great anomalies in asset pricing are momentum (recent winners keep winning over 6 to 12 months) and value (cheap beats expensive over years), and they are most powerful run together because they are negatively correlated. A factor is a shared, repeatable driver of return across many securities; alongside momentum and value, Asness treats low-risk investing and profitability as robust factors that hold across stocks, bonds, currencies and commodities.

Markets are ‘efficiently inefficient’ — almost right, not perfectly right. Asness was never a pure efficient-marketer, but he is, in his own words, a startlingly strong believer in efficient markets relative to his peers. Persistent return patterns exist for one of three reasons — data-mining accident, a risk premium, or a behavioural error — and the contest between the risk story and the behavioural story is, for him, genuinely unresolved and need not have a single winner. He suspects momentum is largely behavioural and value a mix of behavioural and risk.

The anomalies survive because investors cannot endure their long droughts, so discipline, not cleverness, is the binding constraint. He reserves the word bubble for a price that cannot rationally work out under any plausible assumptions — not merely an expensive market — and argues that the most dangerous financial assets are those that look safe but are only mostly safe, such as the pre-crisis money-market fund. On fees he is blunt: no investment process is so good that a high enough fee cannot ruin it, which is why he thinks most hedge funds neither hedge enough nor justify their charges, and why ordinary savers should mostly index and trade far less.

In the wiki