Masters in Business Cliff Asness on Quant Value Investing
01:53:52
Path to Chicago
- Cliff Asness became a professor after a coding job for Wharton professors.
- They advised him to pursue a PhD at the University of Chicago.
Dissertation on Momentum
- Asness's PhD thesis explored momentum investing and its efficacy.
- Gene Fama, despite being an efficient markets proponent, supported his research.
Consistency of Value and Momentum
- Value and momentum strategies, while profitable, are not always consistent.
- They can underperform for extended periods, like the tech bubble or the period from 2018-2020.
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Introduction
00:00 • 3min
Do You Believe That Momentum Is a Fama French Factor?
02:42 • 2min
Quant Finance - Value, Momentum, and Size
04:49 • 3min
How Did You End Up Launching a QR?
08:03 • 4min
How Has AQR Developed Over the Last 25 Years?
12:19 • 2min
What Is Low Risk Investing?
14:38 • 3min
How to Create a Diversifying Stream of Returns
17:54 • 2min
Is AQR a Value Shop?
19:27 • 2min
The Footnotes and Multiple Strategies
21:07 • 2min
The Value Factor in Multi Strategy
22:38 • 4min
Value and Growth After the Financial Crisis
26:28 • 3min
Innovation Refunds - How to Qualify for ERC Assistance
29:22 • 4min
Is AQR on an Academic Resume?
33:44 • 2min
Is It Time to Sin?
36:08 • 3min
How Much Do I Have to Save to Retire?
38:53 • 4min
Using the Shiller Cape in a Timing Strategy
43:18 • 6min
How to Get the Most Out of a Quarterly Drawdown
48:59 • 2min
Is This Real? Is It Arbitraged Away?
50:46 • 2min
I'm a Quant and My Wife Is a Behaviorist
52:26 • 2min
I Love TikTok, I Love Dun and Kruger Tiktok
54:50 • 3min
Stock Options and the Lying Liars Who Don't Want to or Won't Expense Them
57:28 • 3min
Is It Causation or Correlation?
01:00:19 • 3min
Buyback Derangement Syndrome
01:03:03 • 2min
Is There Really a Small Cap Effect?
01:05:16 • 2min
Is Small Cap Making More Money?
01:07:34 • 3min
The Small Cap Effect Is Not a Bad Idea
01:10:26 • 2min
The Metaverse - A Daily Reminder From Innovation Refunds
01:12:24 • 2min
The CTA Industry Trend Following
01:14:39 • 4min
Naseem's Brilliant, but He's Insufferable
01:18:45 • 2min
Puts Hedge Bolt From the Blue Crash
01:20:21 • 4min
Manage Futures - I Still One Time This Very Much
01:24:06 • 2min
Stock Selection Strategies on Auntie, You Should Have Had Him on Instead of Me
01:26:06 • 3min
The Six Blind Men Defining the Elephant
01:28:43 • 2min
The Value Side of the Value Strategy
01:30:24 • 2min
Investing in Growth Stocks - Value Over Growth?
01:32:34 • 3min
The Goldman Sachs, a Non Profitable Tech Basket, and Another Basket of Low Quality Stocks
01:35:12 • 2min
What's Going on in the Stock Market?
01:37:24 • 4min
Is There More Uncertainty?
01:41:27 • 3min
How Early Do You Pull a Goalie?
01:44:17 • 2min
What's Your Favorite Marvel Movie?
01:46:05 • 2min
What Are Your All-Time Favorite Comics?
01:47:36 • 2min
Frank Herbert - My All-Time Favorite Book
01:49:14 • 2min
Do You Like the Hobbit or the Lord of the Rings?
01:51:06 • 2min
Are You Thinking About a Career in Value Investing?
01:53:05 • 2min
Applied Quantitative Finance - What Do You Wish You Knew About the World of Investing Today?
01:54:43 • 2min
Bloomberg Invest - Master's in Business on Bloomberg Radio
01:56:49 • 2min
Bloomberg Radio host Barry Ritholtz speaks with Cliff Asness, who cofounded AQR Capital Management — which has $100 billion in assets under management — and serves as its chief investment officer. Also an active researcher, Asness has contributed to publications such as The Journal of Portfolio Management, The Journal of Finance and The Journal of Financial Economics, and has received a variety of accolades, including the James R. Vertin Award from CFA Institute in recognition of his lifetime contribution to research. Asness earned his master's in business administration as well as his Ph.D. in finance from the University of Chicago.
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