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Perspective

In Praise of High-Volatility Alternatives

September 4, 2024 - Cliff Asness

This note argues that good higher-volatility alternative investments, that are indeed often very hard to stick with, can be important tools in constructing the best overall portfolio. I think if (a big if) investors can stick with them, they are often a more effective tool than their lower-volatility cousins. Basically, I think they are underutilized

Perspective

The Less-Efficient Market Hypothesis

September 3, 2024 - Cliff 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

Journal Article

CIO Perspectives: An Interview with Cliff Asness

September 1, 2024 - Cliff Asness

In a wide ranging interview, AQR managing principal Cliff Asness discusses many aspects of AQR’s investment philosophy and approach from the perspective of a CIO – how we adapt our process to changing market conditions, how we think about adding innovative technology such as machine learning to our process, and more.

The President’s Trophy Curse

May 20, 2024 - Cliff Asness

Continuing my occasional foray into sports analytics, in this post I look at the President's Trophy curse. This ubiquitous observation can be summed up as “the winner of the President’s Trophy, awarded for the best record in the regular season, usually doesn’t go on to win the Stanley Cup. Thus, winning the trophy is cursed.” The President’s Trophy winner usually doesn’t win The Cup. It’s true, and yet it’s still really dumb.

Perspective

Cognitive Dissonance

April 1, 2024 - Cliff Asness

My latest covers a few things I would’ve thought were hard for investors to believe at the same time. Experience has proven me quite wrong.

Perspective

Why Not 100% Equities

February 12, 2024 - Cliff Asness

Recently, a new paper has been making a big splash in our small pond of academic/quant investing. By “new,” I just mean “recently written,” as much of it ain’t new. In this piece, I offer a concise (relative to my norm) rebuttal, as this is well-trod ground.

Perspective

Opining for the 10th Time

October 9, 2023 - Cliff Asness

I just published my 10th op-ed in The Wall Street Journal. This one is on the movie “Dumb Money” and, more importantly, the broader implications of the meme stock craze for today’s society as a whole. I thought it would be fun to put all ten op-eds out together. Be forewarned – if you aren’t a U. Chicago free marketer, you may not like them all.

Journal Article

Fact, Fiction, and Factor Investing: Practical Applications

September 1, 2023 - Michele L. Aghassi Cliff Asness Charles Fattouche Tobias J. Moskowitz

This piece distills the central concepts and practical takeaways of our Fact, Fiction, and Factor Investing article, which examined many claims about factor investing, referencing an extensive academic literature and performing simple, yet powerful, analysis to address those claims.

Journal Article

International Diversification—Still Not Crazy after All These Years

May 3, 2023 - Cliff Asness Antti Ilmanen Daniel Villalon

International diversification has hurt US-based investors for over 30 years, but the long-run case for it remains relevant. We show that both financial theory and common sense favor international diversification, buttressed by empirical supportive evidence. Additionally we show it would be dangerous to extrapolate the post-1990 outperformance of US equities.

Perspective

Holding Our Breadth

February 6, 2023 - Cliff Asness

Regular readers probably noticed I’ve been talking a lot about value lately. While I’m all for shining the spotlight onto the value dislocation, my colleagues also continue to produce a great breadth of research worth adding to your non-value-reading-list. I preview some of my recent favorites.