October 17, 1966 |
Queens, New York
|Institutions||AQR Capital Management
|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 financial analyst.
Asness was born to a Jewish family, 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". 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.
Asness' dissertation, in opposition to his mentor, asserted 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. 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.
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. The fund was designed to make money regardless of the direction the market was moving. In 1997 he left to found AQR Capital Management.
Economic and political commentary
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.
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. 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." In Bloomberg columns, he discussed taxation of investment managers and healthcare reform. He posts commentary on financial issues, generally from a libertarian and efficient markets viewpoint.
He is known for taking some outspoken contrarian stances, like in calling out the tech bubble (Bubble Logic, 2000) and those who claimed options should not be expensed (Stock Options and the Lying Liars Who Don't Want to Expense Them, 2004). He is also known as an outspoken critic of U.S. president Barack Obama. Two tracts he authored protest the Obama administration's treatment of Chrysler senior bondholders.
Asness has falsely claimed that "That more people would be insured [after Obamacare] was never in dispute", even though e.g. House Speaker John Boehner has claimed that Obamacare has resulted in a net loss of people with health insurance.
In 1999, Asness married Laurel Elizabeth Fraser of Seward, Nebraska, the daughter of a retired Methodist pastor.
Selected academic publications
Asness, Cliff et al., 2001, "Do Hedge Funds Hedge? Be cautious in analyzing monthly returns.", Journal of Portfolio Management
Asness, Cliff, 2003, “Fight the Fed Model”, Journal of Portfolio Management
Asness, Cliff et al., 2013, “Value and Momentum Everywhere”, Journal of Finance
Asness, Cliff et al., 2003, "Surprise! Higher dividends = higher earnings growth" , Financial Analysts Journal
- JTA: "Jewish, Republican, pro-gay rights" By Ron Kampeas May 14, 2011
- JTA: "Asness Meets ‘Grim Reaper’ Before Fund Rebounds From 50% Loss" By Richard Teitelbaum 7 October 2010
- Fortune: "Cliff Asness: A hedge fund genius goes retail" By Shawn Tully December 19, 2011
- AQR Capital Management website
- Joe Nocera: Cliff Asness Is Mad as Hell. September 21, 2008
- Clifford S. Asness & Aaron Brown: The Treasury-Financial Complex. May 13, 2010
- Money Managers May Face New Tax Increase
- "Don’t Ask, Don't Tell" Is No Way to Run Health Care
- Stumbling on Truth website
- Cliff Asness a Hero of the First Rank to the Financial Freedom Community and to the Retire Early Movement
- Jesse Eisinger in the Wall Street Journal
Whitney Tilson in the Motley Fool
- Meet President Obama's Newest Opponent, Clifford Asness ABC News
- New York Magazine: Hedge-Funder Cliff Asness Is Not Afraid of Barack Obama
- Healthcare Mythology
- Forbes: The Protest of a Patriot
- Unafraid in Greenwich Connecticut
- [American Enterprise Institute Board of Trustees]
- New York Times: "WEDDINGS; Laurel Fraser and Clifford Asness" August 15, 1999