Bloomberg Talks AQR Capital Management's Cliff Asness Talks Markets
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Dec 3, 2024 
Cliff Asness, Founder and CIO of AQR Capital Management, dives into the intriguing world of quantitative investing. He asserts that while extreme valuation differences exist, there's no market bubble. The conversation highlights the success of equity market neutral funds, explores the small cap premium debate, and critiques traditional value investing. Asness also discusses tax-efficient strategies and how AI is reshaping finance, all while unpacking the complexities of market mechanics and the broader implications of investment trends.
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Long-Short Strategy
- AQR Capital Management often uses a long-short strategy, holding 750 long and 750 short positions.
- This approach allows them to avoid the risks of market concentration, like the dominance of the MAG-7 stocks.
Beyond Value Investing
- Cliff Asness clarifies that AQR's success isn't solely due to value investing.
- Other strategies, like quality, low volatility, and proprietary machine learning models, have driven recent strong performance.
Small-Cap Premium Debate
- Cliff Asness argues against the existence of a historical small-cap premium, citing issues with early research.
- He highlights how factors like delisting returns and market sensitivity were not adequately accounted for.