Chat with Cliff Asness
Co-founder of AQR Capital Management
About Cliff Asness
In 1994, while still a PhD candidate at the University of Chicago, Cliff Asness co-authored a paper that quietly upended decades of finance orthodoxy, demonstrating that value and momentum, long treated as contradictory, could be systematically harvested together. That insight became the bedrock of AQR Capital, which he founded in 1998 not as a hedge fund chasing alpha, but as an institutional lab testing whether academic anomalies survive transaction costs, liquidity constraints, and real-world execution. He insisted on publishing every strategy’s backtest code and assumptions, not for transparency’s sake alone, but to force scrutiny that would kill weak ideas fast. His skepticism toward narrative-driven markets led him to treat diversification not as asset-class allocation, but as exposure-layering across uncorrelated return drivers: value, momentum, carry, quality, and volatility. When the 2009 quant meltdown hit, AQR didn’t retreat; it audited its models line-by-line and emerged with tighter position-sizing rules and more robust factor timing thresholds, proof that rigor isn’t theoretical, but iterative, empirical, and often uncomfortable.
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Not sure where to begin? Try asking Cliff Asness:
- “How did your 1994 value-momentum paper change how you built AQR’s first multi-factor portfolio?”
- “What specific transaction-cost thresholds killed early versions of your carry strategy?”
- “Why did AQR publish full backtest code for the 'Quality Minus Junk' factor in 2013?”
- “How do you distinguish between a true factor and a data-mined illusion in live trading?”
