Cliff Asness

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Clifford Asness
Born (1966-10-17) October 17, 1966 (age 47)
Queens, New York
Fields Mathematical Finance
Institutions AQR Capital Management
Goldman Sachs
Alma mater B.S. Eng./B.S. Econ.University of Pennsylvania
M.B.A. Chicago Booth School of Business
PhD University of Chicago Booth School of Business
Doctoral advisor Eugene Fama
Notable awards --2000 Graham and Dodd Excellence Award
--2001 Journal of Portfolio Management Best Paper award
--2003 Graham and Dodd Award for the Year's Best Paper
--2003 Journal of Portfolio Management Best Paper award
--2004 Graham and Dodd Award for the Year's Best Shorter Perspectives Piece
Spouse Laurel Elizabeth Fraser

Clifford Scott "Cliff" Asness (born October 17, 1966) is the co-founder of AQR Capital Management and a quantitative financial theorist.


Asness was born to a Jewish family,[1] in Queens, New York, the son of Carol, who ran a medical education firm, and Barry Asness, an assistant district attorney in Manhattan. His family moved to Roslyn Heights, New York when he was four. He attended the B'nai B'rith Perlman Camp and graduated from Herricks High School where "(he) wasn’t an academic star".[2] He graduated from the Jerome Fisher Program in Management & Technology (M&T) with dual degrees from the University of Pennsylvania. Thereafter, he entered the finance PhD program at the University of Chicago and became the research assistant to Eugene Fama, an influential efficient market theorist and empiricist.[2]

Asness' dissertation, in opposition to his mentor, showed that consistent market-beating profits were attainable by exploiting both value and momentum; in his context, value means using fundamental analysis to assess the true worth of a security and momentum means betting that it will continue to go up or down as it has in the recent past. Neither idea was original with Asness but he was credited with being the first to compile enough empirical evidence across a wide variety of markets to bring the ideas into the academic financial mainstream. Per Asness, the two ideas are supposed to work together. Value investors make money, but may have to wait a very long time for it, with a lot of mark-to-market pain along the way. Momentum investors also make money, but can suffer huge drawdowns when bubbles pop. Buying cheap things after they have already started going up, and selling expensive things after they have already started going down, can be the best of both worlds.[3] However, the strategy for accumulation is subject to the same constraints as any other and systemic effects in markets can invalidate it: AQR and other similar ventures lost massive amounts of wealth in the Financial crisis of 2007-2010 with assets declining from $39 billion in 2007 to $17 billion by the end of 2008.[3]

After completing his PhD, Asness accepted a job with Goldman Sachs as managing director and director of quantitative research for Goldman Sachs Asset Management. At Goldman, he founded the Goldman Sachs Global Alpha Fund, a systematic trading hedge fund and one of the earliest "quant vehicles" in the industry. The fund used complicated computerized trading models to first locate underpriced equities, bonds, currencies, and commodities and then use short selling to take advantage of upward or downward price momentum.[3] The fund was designed to make money regardless of the direction the market was moving.[3] In 1997 he left to found AQR Capital Management.[4]

Economic and political commentary[edit]

Asness frequently comments on financial issues in print and on CNBC and other television programs. He has frequently spoken out against high hedge fund fees. In particular, he has been critical of hedge funds with high correlations to equity markets, delivering stock index fund performance (which is available cheaply) at prices that could only be justified by extraordinary market insight that only the best hedge funds seem to deliver consistently.[4]

He appeared in the 2012 documentary film Ayn Rand & the Prophecy of Atlas Shrugged and in it claimed the United States financial crisis that began in 2008 was the result of government policies. In the film he stated, "If government wasn't so all-intrusive; if they weren't setting arbitrary rules; if they weren't trying to get the whole country into a house they can't afford, there would not be a profit to be made by trading securities in houses people could not afford."

In 2008, he complained about short-selling restrictions in The New York Times.[5] In a 2010 Wall Street Journal op-ed (written with Aaron Brown) he claimed the Dodd-Frank financial reform bill would lead to regulatory capture, crony capitalism and a massive "financial-regulatory complex."[6] In Bloomberg columns, he discussed taxation of investment managers[7] and healthcare reform.[8] He posts commentary on financial issues, generally from a libertarian and efficient markets viewpoint.[9]

He is known for taking some outspoken contrarian stances, like in calling out the tech bubble (Bubble Logic, 2000)[10] and those who claimed options should not be expensed (Stock Options and the Lying Liars Who Don't Want to Expense Them, 2004).[11] He is also known as an outspoken critic of U.S. president Barack Obama.[12] Two tracts he authored protest the Obama administration's treatment of Chrysler senior bondholders.[13][14][15][16]

In 2012 he was included in the 50 Most Influential list of Bloomberg Markets Magazine.

He sits on the Board of Trustees of the American Enterprise Institute.[17]

In 2013, Asness was a signatory to an amicus curiae brief submitted to the Supreme Court in support of same-sex marriage during the Hollingsworth v. Perry case.[18]

Personal life[edit]

In 1999, Asness married Laurel Elizabeth Fraser of Seward, Nebraska, the daughter of a retired Methodist pastor, of Seward, Nebraska. The service was officiated by Rabbi Philip H. Berkowitz at the James Burden Mansion in New York.[19]

Selected academic publications[edit]

Arnott, Robert D. and Cliff Asness. “Surprise! Higher Dividends = Higher Earnings Growth”, Financial Analysts Journal, Jan/Feb 2003, Vol. 59, Number 1, AIMR Graham and Dodd Award, 2003.
Asness, Cliff, 1992, “Changing Equity Risk Premia and Changing Betas Over the Business Cycle and January”, University of Chicago.
Asness, Cliff, 1992, “Negative Expected Equity Returns and the Business Cycle”, University of Chicago.
Asness, Cliff, 1992, “The Term Structure of Expected Equity Returns and the Business Cycle”, University of Chicago.
Asness, Cliff, 1993, “OAS Models, Expected Returns, and a Steep Yield Curve”, Journal of Portfolio Management, Summer.
Asness, Cliff, 1995, “Fundamental Differences Between Agency and Non-Agency Mortgage-backed Securities”, Whole Loan CMOs, eds. Frank Fabozzi, Chuck Ramsey and Frank Ramirez.
Asness, Cliff, 1995, “The Power of Past Stock Returns to Explain Future Stock Returns”, Goldman Sachs Asset Management.
Asness, Cliff, 1996, “Global Tactical Asset Allocation”, Goldman Sachs Pension and Endowment Forum, September.
Asness, Cliff, 1996, “One Reason Not to Avoid Market Timing”, AQR Capital Management working paper.
Asness, Cliff, 1996, “Why Not 100% Equities”, Journal of Portfolio Management, Winter.
Asness, Cliff, 1997, “The Interaction Between Value and Momentum Strategies”, Financial Analysts Journal, March/April.
Asness, Cliff, 1998, “Market-neutral Investing: Putting the ‘Hedge’ in ‘Hedge Funds’ ”, AQR Capital Management working paper.
Asness, Cliff, 2000, “Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull”, AQR Capital Management working paper, 2001.
Asness, Cliff, 2000, “Stocks vs. Bonds: Explaining the Equity Risk Premium”, Financial Analysts Journal, March/April.
Asness, Cliff, 2003, “Fight the Fed Model”, Journal of Portfolio Management, Fall.
Asness, Cliff, 2004, “Stock Options and the Lying Liars Who Don’t Want to Expense Them”, Financial Analysts Journal, July/August 2004
Asness, Cliff, 2004, "An Alternative Future: An exploration of the role of hedge funds.", The Journal of Portfolio Management, 30th Anniversary Issue 2004.
Asness, Cliff, 2004, "An Alternative Future II: An exploration of the role of hedge funds.", The Journal of Portfolio Management, Fall 2004.
Asness, Cliff, 2005, "Rubble Logic: Or, What Did We Learn From the Great Stock Market Bubble?", Financial Analysts Journal, November/December 2005.
Asness, Cliff, and Jonathon Beinner, 1994, “Forward Rates and CMO Portfolio Management”, CMO Portfolio Management, ed. Frank Fabozzi.
Asness, Cliff, Jacques Friedman, Robert Krail and John Liew, 2000, “Style Timing: Value vs. Growth”, Journal of Portfolio Management, Spring.
Asness, Cliff, Robert Krail and John Liew, 2001, “Do Hedge Funds Hedge?” AQR Capital Management
Asness, Cliff, John Liew and Ross Stevens, 1997, “Parallels Between the Cross-sectional Predictability of Stock and Country Returns”, Journal of Portfolio Management, Spring.
Asness, Cliff, R. Burt Porter and Ross Stevens, 2000, “Predicting Stock Returns Using Industry-relative Firm Characteristics”, On Review with the Journal of Finance.
Asness, Cliff, and Michael Smirlock, 1991, “REIT Bankruptcy and Intra-industry Information Transfers: An Empirical Analysis”, Journal of Banking and Finance, December.
Asness, Cliff, and Michael Smirlock, 1994, “Valuation of PAC Bonds Without Complex Models”, CMO Portfolio Management, ed. Frank Fabozzi.
Asness, Cliff, Tobias Moskowitz, and Lasse Heje Pedersen, “Value and Momentum Everywhere”, (July 2008).
Asness, Cliff, Roni Israelov, and John Liew, 2010, “International Diversification Works (in the Long Run)”, AQR Capital Management Working Paper.


External links[edit]

CNBC Interviews[edit]