Masters in Business Masters in Business: AQR Scott Cliff Asness (Audio)
13 snips
Feb 21, 2015 
Cliff Asness, co-founder and CIO of AQR Capital Management, is a leading voice in quantitative investing. He delves into the principles of quant investing, discussing averages, diversification, and the factors of value and momentum. Asness critiques hedge fund structures and emphasizes the importance of low fees, especially in AQR's Delta Fund. He also addresses the challenges of rising expected returns, shares insights on the 2007 quant crisis, and explains the balance between rigorous models and behavioral discipline, all while pondering the intricacies of market behavior.
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Quant Investing Is About Averages And Diversification
- Quants focus on averages and broad diversification rather than single-stock bets.
- Cliff Asness says value, momentum and quality work across assets when applied broadly and diversely.
Use Robust Out‑Of‑Sample Testing
- Validate strategies with out-of-sample tests across time and markets to avoid data-mining.
- Cliff Asness stresses testing in other countries, asset classes and future periods before trusting results.
Hedge Funds Often Charge For Cheap Market Exposure
- Many hedge funds were effectively net-long and charged high fees for exposures investors could buy cheaper.
- Asness argues some hedge funds should fully hedge and charge less to provide appropriate value.
