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Clifford Asness

T1InvestorsQuantitative and systematic

Hedge fund manager; Forbes estimated his net worth at $8 billion in September 2026.

AQR Capital ManagementGoldman Sachs Asset Management

Cliff's Perspective

Wrote no trade book, but his journal papers on value, momentum and quality are primary sources the factor-investing literature and industry build on directly.

106 letters · 32 articles

Letters 106Writing 32Profiles 3
A Positive Stock-Bond Correlation Is a Terrible Reason to Add More Equity Risk to Your PortfolioAQR argues that a positive stock-bond correlation does not justify more equity risk, and that any asset replacing bonds must clear a high diversification bar.2 20262026-04-08
I Did Not Predict What Is Going on in PrivatesCliff Asness looks at falling private equity manager stocks and private credit worries, and at what investors do not know about private portfolios' real performance.1 20262026-03-25
There Ain't No Such Thing as a Free LunchCliff Asness argues that products marketed as making equity risk easier to bear rarely deliver a free lunch, while low-correlated return sources can add value.3 20252025-08-11
(So) What If You Miss the Market's N Best Days?Cliff Asness revisits his 25-year-old paper showing that the claim that missing the market's N best days ruins returns is no argument against market timing.2 20252025-06-05
Buffer MadnessDan Villalon answers critics of Rebuffed, restating that most buffered and defined-outcome funds beat neither returns nor drawdowns of passive equities plus cash.2 20252025-05-08
Antti Is (Still) Trying to Understand Return ExpectationsCliff Asness introduces Antti Ilmanen's series on how investors form return expectations, building on AQR's annual capital market assumptions.2 20252025-04-28
Should Hedge Funds Hedge?: Why Some Alts Should Have a Beta of 1.0Cliff Asness argues that hedge funds still hedge too little, 24 years after his paper Do Hedge Funds Hedge?, and that some alternatives should carry a beta of 1.0.1 20252025-03-28
Rebuffed: A Closer Look at Options-Based StrategiesDan Villalon shows that most options-based buffered and defined-outcome strategies fail to beat a simple mix of passive equities and cash.1 20252025-03-21
2035: An Allocator Looks Back Over the Last 10 YearsAQR imagines an endowment in 2035 looking back on a decade of poor returns, and the lessons it learns about diversification and private assets.1 20252025-01-02
In Praise of High-Volatility AlternativesCliff Asness argues for offering alternatives at high volatility, so investors can hold less of them and shift more of the rest to higher-return assets.3 20242024-09-04
The Less-Efficient Market HypothesisCliff Asness argues that stock markets have become less efficient over 30 years at relative pricing, with social media the likely main cause.3 20242024-09-03
The President's Trophy CurseCliff Asness tests hockey's President's Trophy curse, finding that the best regular-season team usually fails to win the Stanley Cup for statistical reasons.2 20242024-05-20
Cognitive DissonanceCliff Asness lists beliefs investors hold at once though they conflict, on U.S. dominance, ESG and the patience privates supposedly bring.2 20242024-04-01
Why Not 100% EquitiesCliff Asness rebuts a widely downloaded paper claiming long-term investors should hold 100% equities rather than a diversified portfolio.1 20242024-02-12
Opining for the 10th TimeCliff Asness collects his ten Wall Street Journal op-eds, the latest on the film Dumb Money and what the meme-stock craze says about society.4 20232023-10-09
Holding Our BreadthCliff Asness points readers to the breadth of AQR research beyond value, which he has written about since 2019.1 20232023-02-06
Uncorrelated Assets: An Important Dimension of an Optimal PortfolioCliff Asness answers Dimensional's critique of liquid alts, arguing uncorrelated assets are a key part of an optimal portfolio.1 20232023-01-12
Volatility LaunderingCliff Asness criticises private equity's lack of mark-to-market, arguing that illiquidity once seen as a flaw is now sold as smoothing volatility.1 20232023-01-06
The Bubble Has Not PoppedCliff Asness argues that the value spread shows the bubble in expensive stocks against cheap ones has not popped.1 20232023-01-04
Is Value Just an Interest Rate Bet?Cliff Asness tests whether value is just a bet on interest rates and finds the link far weaker than commonly claimed.3 20222022-08-11
Value Spreads Are Back to Tech Bubble Highs: Is Everyone Out There Cray-Cray?Cliff Asness reports value spreads back at tech-bubble highs in 2022 and argues the market's pricing of cheap against expensive stocks is irrational.3 20222022-08-05
Value Investing Is Not All About TechCliff Asness shows that the value spread is wide outside technology too, so value investing is not just a bet against tech.2 20222022-05-27
Still Crazy After All This YTDCliff Asness updates value spreads in 2022, which stayed extreme even as value recovered.2 20222022-05-09
Everything and MoreCliff Asness reviews Antti Ilmanen's second book, Investing Amid Low Expected Returns.2 20222022-04-04
Shorting CountsAQR argues that shorting the worst climate offenders should be part of how investors address climate change in portfolios.1 20222022-02-23
That's It, That's the UpdateCliff Asness gives a brief update showing value spreads still near record highs in 2022.1 20222022-02-04
That's It, That's the BlogCliff Asness updates the value spread, still near record highs in 2021.4 20212021-12-16
Shorting Your Way to a Greener TomorrowCliff Asness argues that shorting polluters' stocks is a valid tool for responsible investors who want to raise those firms' cost of capital.3 20212021-09-07
Are Value Stocks Cheap for a Fundamental Reason?Cliff Asness tests whether value stocks are cheap for fundamental reasons and finds the value spread, at the 90th percentile or above, is not explained by fundamentals.3 20212021-08-30
The Replication Crisis That Wasn'tCliff Asness argues that AQR colleagues' paper shows finance's factor research has largely replicated, so there was no replication crisis.1 20212021-03-24
The Long Run Is Lying to YouCliff Asness argues that value's realised returns since 1990 understate its expected return, because falling valuations, not weak fundamentals, drove the losses.1 20212021-03-04
Now There's Nothing Certain But DeathCliff Asness argues that taxable investors should focus on after-tax returns, which the industry has long neglected.1 20212021-01-15
There Is No Size Effect: Daily EditionCliff Asness shows with daily data that there is no reliable size effect, and that small stocks' apparent premium comes from illiquid stale prices.3 20202020-09-18
Is (Systematic) Value Investing Dead?Cliff Asness argues systematic value is not dead but exceptionally cheap, cheapest ever under realistic implementations.2 20202020-05-08
The Valuesburg AddressCliff Asness parodies the Gettysburg Address to urge value investors to endure the Fama-French factor's long drawdown.1 20202020-02-27
Sic Transit Gloria MundiCliff Asness responds to a story on managed futures funds, including AQR's, failing to beat Treasury bills four years after praise for its liquid alternatives.1 20202020-02-25
Never Has a Venial Sin Been Punished This Quickly and Violently!Cliff Asness admits AQR's modest contrarian tilt toward value was punished quickly and violently in 2020.1 20202020-02-19
The Illiquidity Discount?Cliff Asness argues investors may pay an illiquidity discount rather than earn a premium, because they prize private equity's smoothed returns.4 20192019-12-19
It's Time for a Venial Value-Timing SinCliff Asness argues value is now cheap enough to justify a modest overweight, a venial sin of market timing.4 20192019-11-07
Bonds Are Frickin' ExpensiveCliff Asness argues bonds are extremely expensive in 2019, while not advocating market timing.3 20192019-08-13
Quant CassandraCliff Asness shows a slide from 2017 warning that quant strategies would face a painful drawdown, a year before AQR's began.3 20192019-07-02
Serenity NowCliff Asness invokes the Serenity Prayer: AQR cannot control 15 months of poor short-term returns but trusts its long-term process.2 20192019-06-20
Introducing the New AQR S.M.O.O.T.H. FundCliff Asness satirises private equity's smoothed returns by launching a fictional S.M.O.O.T.H. fund.1 20192019-02-25
Once More, Without FeelingCliff Asness puts 2018's U.S. stock market return in perspective, arguing it was not the crisis commentary claimed.4 20182018-12-19
AQR Insight Award 2018Cliff Asness explains why the AQR Insight Award day, honouring academic research, is his favourite working day of the year.2 20182018-06-28
It Ain't What You Don't Know That Gets You Into TroubleCliff Asness applies Mark Twain's line about what you know for sure that just ain't so to investing beliefs.2 20182018-06-20
The Hedgie in WinterCliff Asness argues hedge funds should not be judged against 100% equities, but they still deserve worry for other reasons.2 20182018-05-31
Perhaps the Most Important Essay I Will Ever Co-AuthorCliff Asness and Aaron Brown model when hockey coaches should pull the goalie and draw lessons for portfolio and risk management.1 20182018-03-01
Wild but Not CrazyCliff Asness puts February 2018's market volatility in historical perspective, separating the merely big from the very big.1 20182018-02-15
High-Frequency Derangement SyndromeCliff Asness rebuts renewed claims that high-frequency trading harms investors, arguing it has cut trading costs.1 20182018-02-08
Risk Parity Derangement SyndromeCliff Asness rejects blaming February 2018's turbulence on risk parity, trend-following or "the machines."1 20182018-02-07
Fixed Income FantasiesCliff Asness comments on new AQR papers that challenge conventional wisdom in fixed income investing.4 20172017-12-08
Repurchases are the Devil's Work! (not...)Cliff Asness argues, citing AQR's paper on stock repurchases, that buybacks are far less harmful than critics claim.4 20172017-12-07
You Can Have Your Momentum Factor and Eat it TooCliff Asness introduces AQR's paper showing momentum survives real-world trading costs.4 20172017-12-05
Going Deep on Contrarian Factor TimingCliff Asness introduces AQR's Deep Value paper on episodes when the valuation spread between cheap and expensive assets is extreme.4 20172017-12-04
Add More Fama to Your PortfolioCliff Asness recommends The Fama Portfolio, a collection of Eugene Fama's papers, recalling his years as Fama's teaching assistant.4 20172017-10-26
Little Things Mean a LotCliff Asness argues that craftsmanship in building factor portfolios matters as much as which factors you choose.3 20172017-09-15
The August of Our Discontent: Once More Unto the Breach?Cliff Asness reviews the August 2007 quant crisis ten years on and whether it could recur given factor investing's popularity.3 20172017-08-07
Please Stop Talking About the VIX So MuchCliff Asness argues the VIX mostly reflects recent realised volatility and deserves far less attention than it gets.3 20172017-07-30
A Fanatic is One Who Can't Change his Mind and Won't Change the SubjectCliff Asness rebuts Rob Arnott's claim that factors owe their past returns to rising relative valuations.3 20172017-07-16
Still (Not) Crazy After All These YearsCliff Asness updates AQR's analysis of the FANG stocks and finds less concentration of market returns than first appears.2 20172017-06-14
Virtue is its Own Reward: Or One Man's Ceiling is Another Man's FloorCliff Asness argues that ESG negative screening raises sin stocks' expected returns, so virtuous investors must accept lower returns as the price.2 20172017-05-18
Lies, Damned Lies, and Data MiningCliff Asness answers an article and Rob Arnott's charge that AQR's factor research is data mining, calling the accusation false.2 20172017-04-12
Factor Timing is HardCliff Asness presents AQR's most exhaustive evidence that contrarian factor timing is hard and current factor valuations are not extreme.1 20172017-03-15
Killed This but Forgot to Stuff Garlic in its MouthCliff Asness attacks a Wall Street Journal proposal not to expense stock options for employees earning under $100,000: an expense is an expense.1 20172017-02-13
Betting Against CorrelationCliff Asness introduces AQR's Betting Against Correlation paper, a new factor that separates competing explanations of the low-risk effect.1 20172017-02-12
Caveat Investor?Cliff Asness discusses the Department of Labor's fiduciary rule for retirement plans, due in April 2017, and what it means for investors.1 20172017-01-16
2016 Beyond Equities: Still BoringCliff Asness extends his analysis beyond equities and finds no evidence that 2016's financial markets were unusually crazy.1 20172017-01-10
2016 Was Not a Particularly Volatile YearCliff Asness shows that 2016 was not a particularly volatile year for the S&P 500, despite commentary calling it crazy.1 20172017-01-04
Factor Investing Explicitly Tries to Look Lousy on Active ShareCliff Asness argues factor investing is designed to look bad on active share, so the measure misjudges it.4 20162016-11-10
Hedge Funds Search for Their Real KillersCliff Asness argues hedge funds' real problem is high fees for too little true alpha, not lagging equities in a bull market.4 20162016-10-21
Turning Over Accepted Wisdom with TurnoverCliff Asness discusses a counterintuitive AQR result on turnover that overturns accepted wisdom.4 20162016-10-12
The Active Manifesto KerfuffleCliff Asness responds to Bernstein's note calling indexing worse than Marxism, arguing free riding by passive investors matters more.3 20162016-09-02
Response to Thomas Hoenig's "Why 'Risk-Based' Capital Is Far Too Risky"AQR answers Thomas Hoenig's op-ed, arguing a simple notional leverage limit for banks is riskier than risk-based capital.3 20162016-08-18
My Factor PhilippicCliff Asness responds to Arnott, Beck, Kalesnik and West's claim that most factors owe their returns to rising valuations.2 20162016-06-22
Response to Miles JohnsonCliff Asness answers Miles Johnson of the FT over articles marvelling at the 2015 pay of the top 25 hedge fund managers.2 20162016-05-16
Hedging on Hedge Funds (postscript on correlations, beta, and "alpha")Cliff Asness adds a postscript on beta, correlation and alpha to his defence of hedge funds.2 20162016-05-16
Hedging on Hedge FundsCliff Asness argues criticism of hedge funds in 2016 is an overreaction based on a false comparison with equities.2 20162016-05-12
Holy Cow the Rangers are Worse than the Cubs!Cliff Asness shows the New York Rangers' 54-year Stanley Cup drought was statistically worse than the Chicago Cubs' far longer World Series drought.2 20162016-04-29
Resisting the Siren Song of Factor TimingCliff Asness argues in the Journal of Portfolio Management that investors should resist the siren song of factor timing.2 20162016-04-15
Fama on MomentumCliff Asness uses Eugene Fama's work to rebut claims that momentum works only in small stocks or only on the short side.1 20162016-02-05
SNAFU: Situation Normal, All-FANGed UpCliff Asness tests the story that 2015's market was narrow and driven by the FANG stocks, and finds less there than claimed.1 20162016-01-11
Putting Parity Performance Into PerspectiveCliff Asness puts risk parity's 2015 performance in perspective after critics blamed it for August's sell-off.4 20152015-12-03
Quibble Fight!Cliff Asness answers Kalesnik and Beck's paper on small-cap alpha, agreeing factors work better in small caps but quibbling with their conclusions.4 20152015-12-03
From Momentum to Marvel, a Conversation With Tyler CowenCliff Asness talks with economist Tyler Cowen about value and momentum, markets and Marvel films.4 20152015-11-19
Sin a LittleCliff Asness, Antti Ilmanen and Thom Maloney apply value and momentum to market timing and conclude investors should sin only a little.4 20152015-11-11
Don't Go for the ExactaCliff Asness warns against two-step bets, such as a currency forecast turned into a bet on a different asset.4 20152015-10-27
Risk Parity: The Dog That Did Not BiteCliff Asness argues risk parity did not drive August 2015's equity volatility, as commentators claimed.3 20152015-09-21
I Can't Define Short-Term Silliness but, Like Justice Stewart, I Know It When I See ItCliff Asness argues the media and investors focus far too much on short-term performance.3 20152015-09-01
How Can a Strategy Everyone Knows About Still Work?AQR argues well-known strategies such as value and momentum can keep working because they are rewarded risks or persistent behavioural errors.3 20152015-08-31
It's Not Data Mining - Not Even CloseCliff Asness argues AQR's factor results are not data mining, citing out-of-sample evidence across markets and time.2 20152015-06-02
Risk Parity Is Even Better Than We ThoughtCliff Asness argues risk parity is even better than thought, while expecting low long-term returns from expensive stocks and bonds.2 20152015-06-01
Efficient Inefficiency: The Oxymoron That Explains the Investing WorldCliff Asness argues markets are efficiently inefficient, an oxymoron he takes from Antti Ilmanen's book.2 20152015-05-05
An Annual Article About NothingCliff Asness criticises annual lists of top-earning hedge fund managers, which measure wealth, not pay.2 20152015-05-05
Active Share: Different Does Not Equal BetterAQR argues higher active share does not predict higher excess returns: different does not equal better.2 20152015-04-10
Yes, Lever, but With CareCliff Asness argues leverage, used prudently to diversify rather than amplify, is widely misunderstood and valuable.1 20152015-02-13
The Small-Firm Effect Is Real, and It's SpectacularAQR resurrects the size premium by controlling for quality, putting it alongside value and momentum.1 20152015-01-23
Shareholder Value Is UndervaluedCliff Asness defends maximising shareholder value against claims that it causes underinvestment and inequality.1 20152015-01-06
Our Model Goes to Six and Saves Value From Redundancy Along the WayCliff Asness explains, for factor specialists, why value stays useful in AQR's six-factor model despite claims it is redundant.4 20142014-12-17
Efficient Frontier "Theory" for the Long RunCliff Asness defends modern portfolio theory in the long run, asking critics to be nicer to theory.4 20142014-12-10
Introducing the AQR Data LibraryCliff Asness introduces the AQR Data Library, a public database of factor returns.4 20142014-12-03
A Comment on Cochrane's Recent Blog PostCliff Asness gives brief thoughts on a blog post by John Cochrane.4 20142014-11-25
Hedge Funds: The (Somewhat Tepid) DefenseCliff Asness gives a tepid defence of hedge funds: critics may give good advice for the wrong reasons.4 20142014-10-24
Risk Parity: Why We LeverCliff Asness explains why risk parity uses modest leverage: to build a more diversified, balanced portfolio with higher return for its risk.3 20142014-09-24
Hotel California: You Can Never Leave, Until You Are Asked ToCliff Asness reiterates AQR's views on hedge funds after CalPERS decided to liquidate its hedge fund portfolio, broadly sympathising with the decision.3 20142014-09-16
Cliff's Perspective (introductory post)Cliff Asness introduces Cliff's Perspective, a running commentary on investing with an emphasis on quantitative investing.3 20142014-09-10
The letter archive → See all 106 in the Letters table →

Tags

aqr-capital-managementgoldman-sachseugene-famaandrea-frazzinilasse-pedersentobias-moskowitzquantitative-investinghedge-fundsequitiesfactor-investingvalue-investingmomentumefficient-marketsbehavioral-finance