Cliff Asness

Clifford Asness
Born	October 1, 1966 (1966-10-01) (age 45) Queens, New York
Fields	Mathematical Finance
Institutions	AQR Capital Management Goldman Sachs
Alma mater	University of Chicago Booth School of Business Wharton School
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

Clifford Scott 'Cliff' Asness (born October 1966) is an American hedge fund manager and quantitative financial theorist.

Background

After graduating with dual degrees from the University of Pennsylvania, Cliff Asness entered the finance PhD program at the University of Chicago and became the research assistant to Eugene Fama, the influential efficient market theorist and empiricist. Asness' dissertation, however, showed that consistent market-beating profits were attainable by exploiting value and momentum. In this 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 is original with Asness, but he was the first to compile enough empirical evidence across a wide variety of markets to bring the ideas into the academic financial mainstream. 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.

From Chicago, Cliff Asness moved to Goldman Sachs to be managing director and director of quantitative research for Goldman Sachs Asset Management. In that capacity he founded the Goldman Sachs Global Alpha Fund, a systematic trading hedge fund run for Goldman Sachs employees and clients. In 1997 he left to found AQR Capital Management, which today manages about $26 billion in a variety of traditional products and hedge funds. He continued to author academic papers in the field of portfolio management.^[1]

Books about Asness

• Richard Lindsey and Barry Schachter's How I Became a Quant: Insights from 25 of Wall Street's Elite (Wiley, 2009) contains an autobiographical chapter by Cliff Asness.
• Scott Pattersons  The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It (Crown Business, 2010) contains extensive accounts of Cliff Asness' career and credits him with ending the Quant Equity Crash of August 2007 by being the first quant manager to go back into the market.
• Joe Nocera's Good Guys and Bad Guys: Behind the Scenes with the Saints and Scoundrels of American Business (and Everything in Between) (Portfolio, 2008).^[2]

Economic and political commentary

Cliff 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.^[1]

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^[3] and healthcare reform.^[4] He posts commentary on financial issues, generally from a libertarian and efficient markets slant.^[5]

Asness is known for taking some outspoken contrarian stances, like in calling out the tech bubble (Bubble Logic, 2000)^[6] and those who claimed options should not be expensed (Stock Options and the Lying Liars Who Don't Want to Expense Them, 2004).^[7]

He is also known as an outspoken critic of the Obama Administration.^[8] Two tracts he authored protest Obama administration treatment of Chrysler senior bondholders.^{[9][10][11][12]}

Education

BS in Economics summa cum laude from the Wharton School at the University of Pennsylvania
BS in Engineering summa cum laude from the Moore School of Electrical Engineering at the University of Pennsylvania
MBA with high honors from the University of Chicago
Ph.D. in Finance from the University of Chicago^[13]

Boards

Editorial board of the Journal of Portfolio Management
Editorial board of the Financial Analysts Journal
Governing board of the Courant Institute of Mathematical Finance at NYU
Co-head of the Leadership Council of the Robin Hood Foundation
Board of the International Rescue Committee.^[1]

Selected academic publications

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.

References

1. ^ ^{a b c} AQR Capital Management website
2. ^ Cliff Asness is Mad as Hell NYT
3. ^ Money Managers May Face New Tax Increase
4. ^ "Don’t Ask, Don't Tell" Is No Way to Run Health Care
5. ^ Stumbling on Truth website
6. ^ Cliff Asness a Hero of the First Rank to the Financial Freedom Community and to the Retire Early Movement
   Encyclopedia Brittanica
7. ^ Jesse Eisinger in the Wall Street Journal
   Whitney Tilson in the Motley Fool
8. ^ Meet President Obama's Newest Opponent, Clifford Asness ABC News
9. ^ New York Magazine: Hedge-Funder Cliff Asness Is Not Afraid of Barack Obama
10. ^ Healthcare Mythology
11. ^ Forbes: The Protest of a Patriot
12. ^ Unafraid in Greenwich Connecticut
13. ^ Wharton Club of New York website

External links

CNBC Interviews

• With John Bogle
• With Senator Charles Grassley

Persondata
Name	Asness, Cliff
Alternative names
Short description
Date of birth	1966-10-01
Place of birth	Queens, New York
Date of death
Place of death