Invest Like the Best with Patrick O'Shaughnessy Cliff Asness – The Past, The Present & Future of Quant [Invest Like the Best, EP.111]
19 snips
Nov 13, 2018 
Cliff Asness, managing and founding principal at AQR Capital Management, discusses the past, present, and future of quant investing. They touch on major changes in factor investing, the balance between sharing and keeping proprietary information, the application of value, momentum, and volatility in asset allocation, attributes of good researchers, transitioning into less exciting aspects of the business, and the importance of understanding HML for value managers.
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Scale And Equalize Factor Exposures
- The ideal use of factors is to run every believable factor across every applicable asset class and scale them to equal risk contributions.
- Matching factor exposures across assets and using leverage/deleverage lets you equalize risk-adjusted returns across opportunities.
Diagnose 'Too Much Money' With Metrics
- Ask whether a strategy has too much capital and whether prices, spreads, or transaction costs have meaningfully compressed.
- Check specific metrics (e.g., long/short valuation spreads) rather than relying on vague claims that a factor is 'overcrowded'.
Value Still Within Historical Bands
- Historical factor valuations mostly remain within long-run bands, so crowding is not obvious across every factor.
- Price-to-book (HML) sits within its historical range and value overall looks only slightly cheap versus history.