Does Big Money Hurt Hedge-Fund Returns? Asness: ‘A Little Truth to That’
I’m just finished moderating a CFA Institute panel featuring AQR Capital Management co-founder and quantitative-investing king Cliff Asness. One colleague in the press room quips this is “the easiest gig in conference moderating.” It’s true: Asness loves to talk.
The counterpoint is, investors love to listen. The former research assistant to Eugene Fama almost personifies factor-based and quantitative investing, to the point that AQR’s various arms today oversee a combined $105 billion. And it’s hard to dispute the idea that most investors would benefit from more of the methodological rigor for which Asness’ firm is known.
The AQR CIO walked the audience of 1,600 or so through the reasons why value investing seems to work so well over time, among other quanty subjects. Short version: Value investors take on more risk, but they also benefit from the market’s thrall to higher-priced, sexier companies (“growth” stocks) whose long-run returns tend to be lower. There were new themes, like Asness’ reaction to the latest public thinker grabbing so much attention, Thomas Piketty – more on Asness’ Piketty comments in a moment.
I’d just like to highlight an audience question scribbled on a notecard, which I asked him....MORE
