Masters in Business Cliff Asness on Celebrating 25 Years With AQR
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Nov 27, 2023 
Cliff Asness, co-founder of AQR Capital Management, discusses his journey from academia to finance, the challenges of their value-focused approach during market crashes, the evolution of their investment strategies and the importance of diversification. They also touch on the usefulness of value and momentum factors, the changing investment landscape, and the influence of central banks.
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From Academia To Applied Investing
- Cliff left a PhD program to work at Pimco after a summer at Goldman Sachs and an academic paper opened doors for him.
- He found applied research at asset managers let him test academic ideas in markets and paid better than academia.
Treat Countries Like Stocks
- Cliff describes building a small quant group at Goldman that treated countries like stocks to apply value and momentum.
- That simple idea expanded across asset classes and seeded the approach that later became AQR.
Big Launch, Bigger Early Pain
- AQR launched an aggressive hedge fund in 1998, raised about $1 billion, then suffered a rough first 18 months amid the LTCM crisis and market drawdowns.
- Early success in fundraising didn't protect them from big early performance pain.