Quant Investor Cliff Asness Hasn’t Smashed His Screen This Year—Yet
The billionaire chief of AQR Capital Management is having a lousy 2018 with the $226 billion he's running. He says factor-based strategies can still prevail.
Billionaire, blogger, charismatic quant, and fount of Twitter rage: That’s Clifford Asness. Over 20 years, the former Goldman Sachs managing director and graduate student of Nobel laureate Eugene Fama has built AQR Capital Management into a systematic investing giant by capitalizing on two trends: the growing power of computers and demand for lower fund fees. Today, AQR runs $226 billion in strategies built on so-called factors—behaviors that securities tend to exhibit over time. The problem is the “over time” qualifier. Asness, who turns 52 in October, is having such a miserable 2018 that he penned a 23-page essay defending AQR’s faith in factors. Here, the quick-tempered native New Yorker tells Erik Schatzker why he’s assembled a team of Ph.D.s on par with the finest finance faculties and how he keeps his sangfroid.
ERIK SCHATZKER: The performance of quants in 2018 has turned some faithful into skeptics and raised doubts as to whether some of these strategies are still viable. Is there a crisis in quant land?