The Investor's Shelf — one person
Clifford Asness
Co-founder, managing principal and CIO, AQR Capital Management, 1998-present; previously head of quantitative research, Goldman Sachs Asset Management
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 106
www.aqr.com/Insights/Perspectives
Cliff's Perspective is Asness's running commentary at AQR and is the closest thing he has to a letter series: 106 posts, September 2014 to April 2026, indexed at aqr.com/Insights/Perspectives. Most posts also have a PDF at the same URL with ?aqrPDF=1. AQR does not publish client letters.
- A Positive Stock-Bond Correlation Is a Terrible Reason to Add More Equity Risk to Your Portfolio2026 · April 8, 2026
- I Did Not Predict What Is Going on in Privates2026 · March 25, 2026
- There Ain't No Such Thing as a Free Lunch2025 · August 11, 2025
- (So) What If You Miss the Market's N Best Days?2025 · June 5, 2025
- Buffer Madness2025 · May 8, 2025
- Antti Is (Still) Trying to Understand Return Expectations2025 · April 28, 2025
- Should Hedge Funds Hedge?: Why Some Alts Should Have a Beta of 1.02025 · March 28, 2025
- Rebuffed: A Closer Look at Options-Based Strategies2025 · March 21, 2025
- 2035: An Allocator Looks Back Over the Last 10 Years2025 · January 2, 2025
- In Praise of High-Volatility Alternatives2024 · September 4, 2024
- The Less-Efficient Market Hypothesis2024 · September 3, 2024
- The President's Trophy Curse2024 · May 20, 2024
- Cognitive Dissonance2024 · April 1, 2024
- Why Not 100% Equities2024 · February 12, 2024
- Opining for the 10th Time2023 · October 9, 2023
- Holding Our Breadth2023 · February 6, 2023
- Uncorrelated Assets: An Important Dimension of an Optimal Portfolio2023 · January 12, 2023
- Volatility Laundering2023 · January 6, 2023
- The Bubble Has Not Popped2023 · January 4, 2023
- Is Value Just an Interest Rate Bet?2022 · August 11, 2022
- Value Spreads Are Back to Tech Bubble Highs: Is Everyone Out There Cray-Cray?2022 · August 5, 2022
- Value Investing Is Not All About Tech2022 · May 27, 2022
- Still Crazy After All This YTD2022 · May 9, 2022
- Everything and More2022 · April 4, 2022
- Shorting Counts2022 · February 23, 2022
- That's It, That's the Update2022 · February 4, 2022
- That's It, That's the Blog2021 · December 16, 2021
- Shorting Your Way to a Greener Tomorrow2021 · September 7, 2021
- Are Value Stocks Cheap for a Fundamental Reason?2021 · August 30, 2021
- The Replication Crisis That Wasn't2021 · March 24, 2021
- The Long Run Is Lying to You2021 · March 4, 2021
- Now There's Nothing Certain But Death2021 · January 15, 2021
- There Is No Size Effect: Daily Edition2020 · September 18, 2020
- Is (Systematic) Value Investing Dead?2020 · May 8, 2020
- The Valuesburg Address2020 · February 27, 2020
- Sic Transit Gloria Mundi2020 · February 25, 2020
- Never Has a Venial Sin Been Punished This Quickly and Violently!2020 · February 19, 2020
- The Illiquidity Discount?2019 · December 19, 2019
- It's Time for a Venial Value-Timing Sin2019 · November 7, 2019
- Bonds Are Frickin' Expensive2019 · August 13, 2019
- Quant Cassandra2019 · July 2, 2019
- Serenity Now2019 · June 20, 2019
- Introducing the New AQR S.M.O.O.T.H. Fund2019 · February 25, 2019
- Once More, Without Feeling2018 · December 19, 2018
- AQR Insight Award 20182018 · June 28, 2018
- It Ain't What You Don't Know That Gets You Into Trouble2018 · June 20, 2018
- The Hedgie in Winter2018 · May 31, 2018
- Perhaps the Most Important Essay I Will Ever Co-Author2018 · March 1, 2018
- Wild but Not Crazy2018 · February 15, 2018
- High-Frequency Derangement Syndrome2018 · February 8, 2018
- Risk Parity Derangement Syndrome2018 · February 7, 2018
- Fixed Income Fantasies2017 · December 8, 2017
- Repurchases are the Devil's Work! (not...)2017 · December 7, 2017
- You Can Have Your Momentum Factor and Eat it Too2017 · December 5, 2017
- Going Deep on Contrarian Factor Timing2017 · December 4, 2017
- Add More Fama to Your Portfolio2017 · October 26, 2017
- Little Things Mean a Lot2017 · September 15, 2017
- The August of Our Discontent: Once More Unto the Breach?2017 · August 7, 2017
- Please Stop Talking About the VIX So Much2017 · July 30, 2017
- A Fanatic is One Who Can't Change his Mind and Won't Change the Subject2017 · July 16, 2017
- Still (Not) Crazy After All These Years2017 · June 14, 2017
- Virtue is its Own Reward: Or One Man's Ceiling is Another Man's Floor2017 · May 18, 2017
- Lies, Damned Lies, and Data Mining2017 · April 12, 2017
- Factor Timing is Hard2017 · March 15, 2017
- Killed This but Forgot to Stuff Garlic in its Mouth2017 · February 13, 2017
- Betting Against Correlation2017 · February 12, 2017
- Caveat Investor?2017 · January 16, 2017
- 2016 Beyond Equities: Still Boring2017 · January 10, 2017
- 2016 Was Not a Particularly Volatile Year2017 · January 4, 2017
- Factor Investing Explicitly Tries to Look Lousy on Active Share2016 · November 10, 2016
- Hedge Funds Search for Their Real Killers2016 · October 21, 2016
- Turning Over Accepted Wisdom with Turnover2016 · October 12, 2016
- The Active Manifesto Kerfuffle2016 · September 2, 2016
- Response to Thomas Hoenig's "Why 'Risk-Based' Capital Is Far Too Risky"2016 · August 18, 2016
- My Factor Philippic2016 · June 22, 2016
- Response to Miles Johnson2016 · May 16, 2016
- Hedging on Hedge Funds (postscript on correlations, beta, and "alpha")2016 · May 16, 2016
- Hedging on Hedge Funds2016 · May 12, 2016
- Holy Cow the Rangers are Worse than the Cubs!2016 · April 29, 2016
- Resisting the Siren Song of Factor Timing2016 · April 15, 2016
- Fama on Momentum2016 · February 5, 2016
- SNAFU: Situation Normal, All-FANGed Up2016 · January 11, 2016
- Putting Parity Performance Into Perspective2015 · December 3, 2015
- Quibble Fight!2015 · December 3, 2015
- From Momentum to Marvel, a Conversation With Tyler Cowen2015 · November 19, 2015
- Sin a Little2015 · November 11, 2015
- Don't Go for the Exacta2015 · October 27, 2015
- Risk Parity: The Dog That Did Not Bite2015 · September 21, 2015
- I Can't Define Short-Term Silliness but, Like Justice Stewart, I Know It When I See It2015 · September 1, 2015
- How Can a Strategy Everyone Knows About Still Work?2015 · August 31, 2015
- It's Not Data Mining - Not Even Close2015 · June 2, 2015
- Risk Parity Is Even Better Than We Thought2015 · June 1, 2015
- Efficient Inefficiency: The Oxymoron That Explains the Investing World2015 · May 5, 2015
- An Annual Article About Nothing2015 · May 5, 2015
- Active Share: Different Does Not Equal Better2015 · April 10, 2015
- Yes, Lever, but With Care2015 · February 13, 2015
- The Small-Firm Effect Is Real, and It's Spectacular2015 · January 23, 2015
- Shareholder Value Is Undervalued2015 · January 6, 2015
- Our Model Goes to Six and Saves Value From Redundancy Along the Way2014 · December 17, 2014
- Efficient Frontier "Theory" for the Long Run2014 · December 10, 2014
- Introducing the AQR Data Library2014 · December 3, 2014
- A Comment on Cochrane's Recent Blog Post2014 · November 25, 2014
- Hedge Funds: The (Somewhat Tepid) Defense2014 · October 24, 2014
- Risk Parity: Why We Lever2014 · September 24, 2014
- Hotel California: You Can Never Leave, Until You Are Asked To2014 · September 16, 2014
- Cliff's Perspective (introductory post)2014 · September 10, 2014
Research papers 31
- The Less-Efficient Market HypothesisThe Journal of Portfolio Management, 2024
- Pulling the Goalie: Hockey and Investment ImplicationsSSRN working paper / journal article, 2018
- Deep ValueSSRN working paper / journal article, 2017
- Betting Against Correlation: Testing Theories of the Low-Risk EffectSSRN working paper / journal article, 2017
- Buyback Derangement SyndromeSSRN working paper / journal article, 2017
- Contrarian Factor Timing is Deceptively DifficultSSRN working paper / journal article, 2017
- The Siren Song of Factor TimingSSRN working paper / journal article, 2016
- My Factor PhilippicSSRN working paper / journal article, 2016
- The Power of Past Stock Returns to Explain Future Stock ReturnsSSRN working paper / journal article, 2016
- Size Matters, If You Control Your JunkSSRN working paper / journal article, 2015
- Fact, Fiction, and Value InvestingSSRN working paper / journal article, 2015
- Rethinking the Equity Risk PremiumSSRN working paper / journal article, 2015
- My Top 10 PeevesFinancial Analysts Journal, 2014
- Fact, Fiction and Momentum InvestingThe Journal of Portfolio Management, 2014
- The Devil in HML's DetailsThe Journal of Portfolio Management, 2013
- Value and Momentum EverywhereThe Journal of Finance, 2013
- Low-Risk Investing Without Industry BetsSSRN working paper / journal article, 2013
- Value and Momentum EverywhereSSRN working paper / journal article, 2012
- Leverage Aversion and Risk ParitySSRN working paper / journal article, 2012
- Momentum in Japan: The Exception that Proves the RuleSSRN working paper / journal article, 2011
- International Diversification Works (Eventually)SSRN working paper / journal article, 2011
- Rubble Logic: What Did We Learn from the Great Stock Market Bubble?SSRN working paper / journal article, 2005
- Stock Options and the Lying Liars Who Don't Want to Expense ThemSSRN working paper / journal article, 2004
- Fight the Fed Model: The Relationship between Stock Market Yields, Bond Market Yields, and Future ReturnsThe Journal of Portfolio Management, 2003
- Surprise! Higher Dividends = Higher Earnings GrowthSSRN working paper / journal article, 2003
- Does Dividend Policy Foretell Earnings Growth?SSRN working paper / journal article, 2002
- Do Hedge Funds Hedge?SSRN working paper / journal article, 2001
- Bubble Logic: Or, How to Learn to Stop Worrying and Love the BullSSRN working paper / journal article, 2000
- Predicting Stock Returns Using Industry-Relative Firm CharacteristicsSSRN working paper / journal article, 2000
- Parallels between the Cross-Sectional Predictability of Stock and Country ReturnsSSRN working paper / journal article, 1998
- The Interaction of Value and Momentum StrategiesSSRN working paper / journal article, 1998
Articles and essays 1
- Quality Minus JunkReview of Accounting Studies, 2019