Clifford S. Asness is the co-founder and managing principal of AQR Capital Management. A student of eugene-fama at the University of Chicago, Asness bridges academic factor research and systematic investment practice.
Key contributions in this collection
- Value and Momentum Everywhere (2013): with Moskowitz and Pedersen, documented value and momentum premia across eight asset classes and their strong common factor structure
- Fact, Fiction, and Momentum Investing (2014): with Frazzini, Israel, and Moskowitz, systematically refuted ten myths about momentum investing
- Quality Minus Junk (2019): with Frazzini and Pedersen, defined quality as profitability, growth, and safety, and documented a significant quality premium across 24 countries
- There Is No Size Effect: Daily Edition (2020): demonstrated that the simple size effect disappears after correcting for beta misestimation from illiquidity, using daily data to make the point most starkly. Separately showed that quality-adjusted size is robust. See size-effect-debate.
- Is Value Just an Interest Rate Bet? (2022): argued that value is not an interest rate bet, showing trivial long-term correlation (~0.10) between HML and rate changes and negligible duration difference between diversified value and growth portfolios
Intellectual stance
Strong advocate for combining value and momentum strategies, emphasizing their negative correlation (~-0.6) and the superior risk-adjusted returns of the combination. Vocal defender of momentum against critics from the value investing community.
Sources
- Value and Momentum Everywhere (File, DOI)
- Fact, Fiction, and Momentum Investing (File, DOI)
- Quality minus junk (File, DOI)
- There Is No Size Effect: Daily Edition (File, URL)
- Is Value Just an Interest Rate Bet? - AQR (File, URL)
- Betting Against Beta (File, DOI)
- Contrarian Factor Timing is Deceptively Difficult (File, DOI)