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AQR's Brutal Baptism In 1998 Markets
- AQR launched in 1998 into turbulent markets and suffered large early drawdowns that tested their conviction.
- Cliff recalls starting after LTCM, an initial up month, then 18 of first 19 months losing money, teaching the pain of sticking with a process.
Keep An Open Mind But Not So Open Your Brain Falls Out
- Keep an open mind but not so open that your brain falls out; examine whether established premiums still make sense without trashing long-term evidence.
- Test rigorously and only change conviction when out-of-sample evidence and logic justify it, because sticking earns the premium over time.
Unpublished Early Papers On Bubbles And Industry Value
- Cliff described two unpublished early papers: Bubble Logic (mid-99 to 2000) and an industry-vs-within-industry factors study from 1994.
- The industry-segmentation result showed most value returns came from within-industry re-ranking, but publication delays left it underappreciated.