The Capitalism and Freedom in the Twenty-First Century Podcast Cliff Asness on Factor Investing and the History of Financial Economics | Hoover Institution
Oct 23, 2025
Cliff Asness, co-founder of AQR Capital Management and finance PhD from the University of Chicago, shares insights from his influential career. He discusses factor investing, emphasizing the importance of momentum and value strategies. Cliff reflects on his early days studying under Eugene Fama and the birth of factor research. He reveals intriguing comparisons between private and public equity returns, critiques the efficient markets hypothesis, and highlights the role of machine learning in investing. His thoughts on market elasticity add a compelling layer to the conversation.
AI Snips
Chapters
Books
Transcript
Episode notes
Right Place, Right Time At Chicago
- Cliff Asness arrived at University of Chicago just as Fama and French were developing their early work on cross-sectional expected returns.
- He describes this timing as a major lucky break that shaped his career in factor investing.
Fama's Data-First Moment
- Asness nervously told Eugene Fama he found momentum worked and Fama replied, "if it's in the data, write the paper."
- That exchange showed Fama's strict respect for data despite theoretical discomfort.
From PhD To Goldman's Quant Group
- Asness planned an academic career but accepted a quant role at Goldman Sachs after a summer job and PIMCO interest.
- He stayed to build a quant group, blending academic research with real-world trading.
