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Wikipedia

Cliff Asness

April 11, 2023

Clifford Scott Asness (/ˈæznəs/; born October 17, 1966) is an American hedge fund manager and the co-founder of AQR Capital Management.

Clifford Asness
Born (1966-10-17) October 17, 1966 (age 56)
New York City, U.S.
Alma materUniversity of Pennsylvania
University of Chicago Booth School of Business
OccupationHedge fund manager
EmployerAQR Capital Management
SpouseLaurel Elizabeth Fraser

Early life and early education

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.[1]

Education

His undergraduate studies at University of Pennsylvania included a double major in which he studied computer science and finance at Jerome Fisher Program in Management and Technology (M&T).[2] In 1988, he graduated summa cum laude.[2] Asness's interest in finance and portfolio management began, while he worked a research assistant in the Finance Department at Wharton,[2] and learned to use "coding computer programs" to analyze markets" and "test economic and financial theories".[3]

In 1994, Asness completed his PhD in finance at the University of Chicago.[4][5] Asness was the Teaching Assistant (TA) for his dissertation adviser, Nobel laureate Eugene Fama[5][2] —who was also Asness' mentor[6] —and the economist, Kenneth French, who were both influential and widely-respected empirical financial economists, had established the foundations of their Fama–French three-factor model in 1992.[7][Notes 1] Fama and French had contrasted value stocks with growth stocks. Since Fama and French's inception of value stocks, "quants have designed algorithms that can scour market data" looking for "factors".[8]

Asness' doctoral dissertation was on "the performance of momentum trading, buying stocks with rising prices". Asness asserted that profits consistently beating market averages were attainable by exploiting both value and momentum. Asness concept of value was referred to in the context of fundamental analysis as a way of assessing the true worth of a security. His use of the concept of momentum referred to betting that the value will continue to go up or down as it did in the recent past. While he did not originate these concepts, Asness 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.[5]

Global Alpha

Asness started his career in 1990, when he was 24 and still a PhD student.[6] In the early 1990s, he had left academia, to the regret of his mentor, to become manager of Goldman Sachs Asset Management's (GSAM) "new quantitative research desk". He invited two friends from his cohort at the University of Chicago to join him at GSAM. Together, they began "developing models to evaluate risk in currencies, bonds and entire economies."[3] While the "idea of factors" came from Fama and French, it was first "put into practice" in the late 1990s by Asness, according to The Economist.[8]

Asness and his team at GSAM, built on Fama and French's idea of factors,[7] and combined their work with insights he had gained from his own PhD research.[2][8]

Asness worked as GSAM manager until 1997, when he and some members of the GSAM team, left to start their own quant hedge fund.[3][9]

In 1995, Asness persuaded a few partners at Goldman to provide him with an initial US$10-million investment to employ the computer-driven models that his team had developed, to invest in the market.[3][10][11]

When the $10 million initial investment reached $100 million, Goldman opened the fund to the public—the Goldman Sachs Global Alpha Fund.[3] Global Alpha, a systematic trading hedge fund was one of the earliest "quant vehicles" in the industry. The fund became known for high-frequency trading and furthered the careers of Asness and Mark Carhart.[11] Asness and his team 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.[12] The fund was designed to make money regardless of the direction the market was moving.[12] The Wall Street Journal described Asness and Carhart as "gurus" who managed Global Alpha, a "big, secretive hedge fund"—the "Cadillac of a fleet of alternative investments" that had made millions for Goldman Sachs by 2006.[13] By 2007, at its height, Global Alpha was "one of the biggest and best performing hedge funds in the world" with more than $12 billion assets under management (AUM).[14] Global Alpha was shutdown in the fall of 2011.[10] The quant fund had declined significantly by mid-2008, and continued its decline to $1 billion AUM through 2011.[15]

AQR Capital

In 1998 in New York, when he was 31-years old, Asness, David Kabiller, John Liew, and Robert Krail, co-founded AQR Capital Management—a "quantitative hedge fund firm".[5]

In 2002, Asness made $37 million, and in 2003, he made $50 million.[16] In 2004, AQR moved its headquarters from New York to Greenwich, Connecticut.[17]

AQR—Applied Quantitative Research—suffered losses during both the "2007 quant meltdown"[5] and the 2008 financial crisis[5]

By the end of 2010, AQR had $33 billion assets under management (AUM).[5][18][9]

An October 2010 Bloomberg article, described AQR as a "quantitative investment firm" that used "algorithms and computerized models to trade stocks, bonds, currencies and commodities."[1]

In 2016, Connecticut's State Bond Commission gave $35 million in financial aid to AQR, as part of a "broader move by the Connecticut government to persuade companies", including Bridgewater Associates, the biggest hedge fund in the world, to remain in Connecticut.[17] AQR's $28 million loan, would be "forgiven" if AQR kept "540 jobs within Connecticut" and created 600 new jobs by 2026.[17] AQR received grants worth $7 million to "help pay for an expansion."[17]

By 2017, according to Forbes, Asness had "moved away from hedge funds" and aggressively promoted lower-fees, more "liquid and transparent products", such as "mutual funds, that use computer models, often to replicate hedge fund returns".[5]

By 2019, AQR had become an "investment firm"—running "one of the world's largest hedge funds".[8] A 2020 Forbes profile described AQR (Applied Quantitative Research) as an agency that employs "factor-based investing," and offers products ranging from hedge funds to mutual funds.[18]

Selected academic publications

In a co-authored 2001 article published in the Journal of Portfolio Management, the authors described how, while some hedge fund managers are skilled in picking stocks, not all use effective methods.[Academic_publications 1] In their 2003 publication in the Financial Analysts Journal, Arnott and Asness wrote that contrary to prevailing theory, companies that paid higher dividends, actually had higher growth in earnings.[Academic_publications 2] They found that low payout ratios "preceded low earnings growth."[Academic_publications 2] In a 2003 Journal of Portfolio Management article, Asness said that it was a mistake to compare stock market's P/E ratio—earnings yield—to interest rates (called the Fed model).[Academic_publications 3]

In a 2013 co-authored article published in The Journal of Finance, Asness, Tobias Moskowitz, and Lasse Pedersen found "consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns."[Academic_publications 4][12][19] Since this 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.[12][Notes 2]

Net worth

According to an April 2020 Forbes' profile, Asness' estimated net worth was $2.6 billion.[18]

Publications about Asness

The New York Times published a profile of Asness on June 5, 2005.[16] The Times said that "what Asness really does is try to understand the relationship between risk and reward."[16]

Asness was featured in Scott Patterson's 2010 publication, The Quants,[20] along with Aaron Brown from AQR Capital Management, Ken Griffin from Chicago's Citadel LLC, James Simons from Renaissance Technologies, and Boaz Weinstein from Deutsche Bank.[21][22] a "scourge of bad practices in the money management industry" with the "intellectual chops to back up his attacks". Patterson said that Asness was known as "one of the smartest investors in the world." He had been a "standout student at the University of Chicago's prestigious economics department in the early 1990s, then a star at Goldman Sachs in the mid-1990s before branching out on his own in 1998 to launch AQR with $1 billion and change, a near record at the time."[20]

Economic and political commentary

Asness frequently comments on financial issues in print and on CNBC[23] 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.[9]

In 2008, he complained about short-selling restrictions in The New York Times.[24] In a 2010 The 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."[25] In Bloomberg columns, he discussed taxation of investment managers[26] and healthcare reform.[27] He posts commentary on financial issues, generally from a libertarian and efficient markets viewpoint.[28]

In an unpublished 2000 paper, "Bubble Logic," Asness criticized "nonsensical" and "unsustainable stock prices"[2] that caused the stock market tech bubble of 1999–2000. In a special 60th anniversary edition of The Financial Analysts Journal he said that this was also the fifth anniversary of the stock bubble peak,[29] he repeated his criticisms the tech bubble and those who claimed options should not be expensed.[30][31][32]

He was also known as an outspoken critic of U.S. president Barack Obama.[33] Two tracts he authored protest the Obama administration's treatment of Chrysler senior bondholders.[28][34][35]

In 2012, he was included in the 50 Most Influential list of Bloomberg Markets magazine.

In 2013, Asness was a signatory to an amicus curiae brief submitted to the Supreme Court in support of same-sex marriage during the Hollingsworth v. Perry case.[36][37]

Personal life

In 1999, Asness married Laurel Elizabeth Fraser of Seward, Nebraska, the daughter of a retired Methodist pastor.[38][1] Asness has four children.[1]

He listed his Miami penthouse for sale in October 2019, after purchasing it from Boris Jordan in May 2018.[39]

See also

Notes

  1. ^ The Fama–French three-factor model expanded the Capital Asset Pricing Model (CAPM) by adding risk factors—size and value.
  2. ^ According to Systemic Risk and Systematic Value, "Value investment means buying (or overweighing) securities that rank high on conventional valuation scales, such as book-price ratios or forward earnings yields. Momentum trading means 'going long' securities that have outperformed in the recent past."

References

  1. ^ a b c d Teitelbaum, Richard (October 7, 2010). "Asness Meets 'Grim Reaper' Before Fund Rebounds From 50% Loss". from the original on November 5, 2018. Retrieved February 4, 2019. A full-length 2010 biography and history of AQR.
  2. ^ a b c d e f Hu, Han (September 1, 2006). "The Long and the Short of It". Wharton Magazine. Retrieved April 25, 2020.
  3. ^ a b c d e Castaldo, Joe (October 6, 2011). "The Ode: Goldman's global alpha fund". Canadian Business. from the original on September 21, 2019. Retrieved April 25, 2020.
  4. ^ "Clifford S. Asness", Chicago Booth, Distinguished Alumni Awards, 2004, from the original on April 18, 2020, retrieved April 27, 2020
  5. ^ a b c d e f g h Vardi, Nathan. "How Cliff Asness Became A Billionaire By Building A Kind Of Vanguard Of Hedge Funds". Forbes. from the original on August 5, 2020. Retrieved April 25, 2020.
  6. ^ a b Are Markets Efficient? Baloney, Says Money Man Cliff Asness. Forbes via YouTube. April 22, 2014. Retrieved April 27, 2020.
  7. ^ a b Fama, E. F.; French, K. R. (1993). "Common risk factors in the returns on stocks and bonds". Journal of Financial Economics. 33: 3–56. CiteSeerX 10.1.1.139.5892. doi:10.1016/0304-405X(93)90023-5.
  8. ^ a b c d "The stockmarket is now run by computers, algorithms and passive managers". The Economist. October 5, 2019. ISSN 0013-0613. from the original on April 25, 2020. Retrieved April 25, 2020.
  9. ^ a b c . Archived from the original on March 17, 2010. Retrieved April 25, 2020.
  10. ^ a b Rappaport, Liz (September 16, 2011). "Goldman to Close Global Alpha Hedge Fund". The Wall Street Journal. No. Markets. United States. ISSN 0099-9660. from the original on August 1, 2020. Retrieved April 25, 2020.
  11. ^ a b "Goldman Sachs to Shut Its Global Alpha Hedge Fund". The New York Times. No. DealBook. United States. The New York Times Company. September 15, 2011. from the original on August 8, 2017. Retrieved May 18, 2017.
  12. ^ a b c d Tully, Shawn (December 19, 2011). . Fortune. Archived from the original on November 3, 2013. Retrieved April 25, 2020.
  13. ^ Smith, Randall (April 20, 2006). "Goldman Gurus Strike It Rich With Hedge Fund". The Wall Street Journal. ISSN 0099-9660. from the original on August 1, 2020. Retrieved April 25, 2020.
  14. ^ Carney, John (September 16, 2011). "How Goldman Sachs Lost One Of Its Crown Jewels, Global Alpha". Business Insider via CNBC. from the original on August 1, 2020. Retrieved April 24, 2020.
  15. ^ LaCapra, Lauren Tara; Herbst-Bayliss, Svea (September 16, 2011). "Goldman to close Global Alpha fund after losses". New York, N.Y., United States: Reuters. Thompson Reuters. from the original on March 28, 2020. Retrieved April 25, 2020.
  16. ^ a b c Nocera, Joseph (June 5, 2005). "The Quantitative, Data-Based, Risk-Massaging Road to Riches". The New York Times. ISSN 0362-4331. from the original on December 15, 2019. Retrieved April 24, 2020.
  17. ^ a b c d Stevenson, Alexandra (November 22, 2016). "Investment Funds Get Millions to Stay in Connecticut". The New York Times. ISSN 0362-4331. from the original on February 7, 2019. Retrieved February 5, 2019.
  18. ^ a b c "Cliff Asness". Forbes. Profile. April 25, 2020. from the original on May 18, 2020. Retrieved April 25, 2020.
  19. ^ "The relation between value and momentum strategies". Systemic Risk and Systematic Value (SRSV). Editorial. July 20, 2019. from the original on March 12, 2020. Retrieved April 25, 2020.
  20. ^ a b Patterson, Scott (February 2, 2010). The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It. Crown Business. p. 352. ISBN 978-0-307-45337-2.
  21. ^ "'The Quants': It Pays To Know Your Wall Street Math". NPR. February 1, 2010. from the original on May 23, 2020. Retrieved April 25, 2020.
  22. ^ Pressley, James (February 10, 2010). "Citadel's Griffin Skirts Disaster, Taleb Fumes: Books (Update1)". Bloomberg L.P. from the original on September 24, 2015. Retrieved April 25, 2020.
  23. ^ Kim, Tae (November 3, 2017). "Top Wall Street quant Cliff Asness doesn't believe AI will revolutionize investing". www.cnbc.com. from the original on February 7, 2019. Retrieved February 5, 2019.
  24. ^ Joe Nocera: Cliff Asness Is Mad as Hell December 22, 2010, at the Wayback Machine. September 21, 2008
  25. ^ Asness, Clifford S.; Brown, Aaron (May 13, 2010). "The Treasury-Financial Complex". The Wall Street Journal. ISSN 0099-9660. from the original on October 27, 2020. Retrieved August 3, 2017.
  26. ^ "Money Managers May Face New Tax Increase: Clifford S. Asness". Bloomberg.com. June 14, 2010. from the original on February 11, 2014. Retrieved March 6, 2017.
  27. ^ "'Don't Ask' Is No Way to Run Health Care: Clifford S. Asness". bloomberg.com. from the original on September 24, 2015. Retrieved March 6, 2017.
  28. ^ a b "stumblingontruth". stumblingontruth.com. from the original on August 26, 2010. Retrieved September 1, 2010.
  29. ^ Asness, Clifford S. (2005). "Rubble Logic: What Did We Learn from the Great Stock Market Bubble?". The Financial Analysts Journal.
  30. ^ Asness, Clifford S. (July 1, 2004). "Stock Options and the Lying Liars Who Don't Want to Expense Them". Financial Analysts Journal. 60 (4).
  31. ^ Eisinger, Jesse. (PDF). The Wall Street Journal. Archived from the original (PDF) on July 10, 2011. Retrieved April 25, 2020.
  32. ^ Tilson, Whitney (September 24, 2004). "Stock options hurt US competitiveness". The Motley Fool. from the original on October 10, 2012. Retrieved September 5, 2010.
  33. ^ ABC News. "Meet President Obama's Newest Opponent, Clifford Asness". ABC News. from the original on August 25, 2010. Retrieved September 7, 2010.
  34. ^ Jessica Pressler. "Hedge-Funder Cliff Asness Is Not Afraid of Barack Obama". Daily Intelligencer. from the original on September 4, 2010. Retrieved September 5, 2010.
  35. ^ Peter Robinson (May 22, 2009). "The Protest Of A Patriot". Forbes. from the original on January 4, 2017. Retrieved August 25, 2017.
  36. ^ Avlon, John (February 28, 2013). "The Pro-Freedom Republicans Are Coming: 131 Sign Gay Marriage Brief". The Daily Beast. from the original on October 6, 2014. Retrieved March 5, 2013.
  37. ^ Kampeas, Ron (May 14, 2011). . JTA. Archived from the original on December 13, 2011. Retrieved April 25, 2015.
  38. ^ "Laurel Fraser and Clifford Asness". The New York Times. Weddings. August 15, 1999. from the original on September 12, 2017. Retrieved February 7, 2017.
  39. ^ "Billionaire Cliff Asness to List Trophy Miami Penthouse for 29.5 Million". Barron. from the original on November 11, 2019. Retrieved November 12, 2019.

Academic journals

  1. ^ Asness, Cliff; Krail, Robert; Liew, John (2001). "Do hedge funds hedge? Be cautious in analyzing monthly returns". Journal of Portfolio Management. 28: 6–19. doi:10.3905/jpm.2001.319819. S2CID 219223059.
  2. ^ a b Arnott, Robert D.; Asness, Cliff (January 2003). "Surprise! Higher dividends = higher earnings growth" (PDF). Financial Analysts Journal. 59: 70–87. doi:10.2469/faj.v59.n1.2504. S2CID 43016921. (PDF) from the original on April 14, 2015. Retrieved April 24, 2020.
  3. ^ Asness, Cliff (2003). "Fight the Fed Model". Journal of Portfolio Management. 30: 11–24. doi:10.3905/jpm.2003.319916. S2CID 155012499.
  4. ^ Asness, Clifford S.; Moskowitz, Tobias J.; Pedersen, Lasse Heje (June 2013). "Value and Momentum Everywhere: Value and Momentum Everywhere". The Journal of Finance. 68 (3): 929–985. doi:10.1111/jofi.12021. hdl:10398/9cef71a9-adf5-4d83-925d-53c571dd0691. ISSN 0022-1082.

External links

 
Scholia has a profile for Cliff Asness (Q5132528).
  • Interview with John Bogle
  • Interview with Senator Charles Grassley

April 11, 2023
cliff, asness, clifford, scott, asness, born, october, 1966, american, hedge, fund, manager, founder, capital, management, clifford, asnessborn, 1966, october, 1966, york, city, alma, materuniversity, pennsylvania, university, chicago, booth, school, businesso. Clifford Scott Asness ˈ ae z n e s born October 17 1966 is an American hedge fund manager and the co founder of AQR Capital Management Clifford AsnessBorn 1966 10 17 October 17 1966 age 56 New York City U S Alma materUniversity of Pennsylvania University of Chicago Booth School of BusinessOccupationHedge fund managerEmployerAQR Capital ManagementSpouseLaurel Elizabeth Fraser Contents 1 Early life and early education 2 Education 3 Global Alpha 4 AQR Capital 5 Selected academic publications 6 Net worth 7 Publications about Asness 8 Economic and political commentary 9 Personal life 10 See also 11 Notes 12 References 12 1 Academic journals 13 External linksEarly life and early education EditAsness 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 1 Education EditHis undergraduate studies at University of Pennsylvania included a double major in which he studied computer science and finance at Jerome Fisher Program in Management and Technology M amp T 2 In 1988 he graduated summa cum laude 2 Asness s interest in finance and portfolio management began while he worked a research assistant in the Finance Department at Wharton 2 and learned to use coding computer programs to analyze markets and test economic and financial theories 3 In 1994 Asness completed his PhD in finance at the University of Chicago 4 5 Asness was the Teaching Assistant TA for his dissertation adviser Nobel laureate Eugene Fama 5 2 who was also Asness mentor 6 and the economist Kenneth French who were both influential and widely respected empirical financial economists had established the foundations of their Fama French three factor model in 1992 7 Notes 1 Fama and French had contrasted value stocks with growth stocks Since Fama and French s inception of value stocks quants have designed algorithms that can scour market data looking for factors 8 Asness doctoral dissertation was on the performance of momentum trading buying stocks with rising prices Asness asserted that profits consistently beating market averages were attainable by exploiting both value and momentum Asness concept of value was referred to in the context of fundamental analysis as a way of assessing the true worth of a security His use of the concept of momentum referred to betting that the value will continue to go up or down as it did in the recent past While he did not originate these concepts Asness 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 5 Global Alpha EditAsness started his career in 1990 when he was 24 and still a PhD student 6 In the early 1990s he had left academia to the regret of his mentor to become manager of Goldman Sachs Asset Management s GSAM new quantitative research desk He invited two friends from his cohort at the University of Chicago to join him at GSAM Together they began developing models to evaluate risk in currencies bonds and entire economies 3 While the idea of factors came from Fama and French it was first put into practice in the late 1990s by Asness according to The Economist 8 Asness and his team at GSAM built on Fama and French s idea of factors 7 and combined their work with insights he had gained from his own PhD research 2 8 Asness worked as GSAM manager until 1997 when he and some members of the GSAM team left to start their own quant hedge fund 3 9 In 1995 Asness persuaded a few partners at Goldman to provide him with an initial US 10 million investment to employ the computer driven models that his team had developed to invest in the market 3 10 11 When the 10 million initial investment reached 100 million Goldman opened the fund to the public the Goldman Sachs Global Alpha Fund 3 Global Alpha a systematic trading hedge fund was one of the earliest quant vehicles in the industry The fund became known for high frequency trading and furthered the careers of Asness and Mark Carhart 11 Asness and his team 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 12 The fund was designed to make money regardless of the direction the market was moving 12 The Wall Street Journal described Asness and Carhart as gurus who managed Global Alpha a big secretive hedge fund the Cadillac of a fleet of alternative investments that had made millions for Goldman Sachs by 2006 13 By 2007 at its height Global Alpha was one of the biggest and best performing hedge funds in the world with more than 12 billion assets under management AUM 14 Global Alpha was shutdown in the fall of 2011 10 The quant fund had declined significantly by mid 2008 and continued its decline to 1 billion AUM through 2011 15 AQR Capital EditIn 1998 in New York when he was 31 years old Asness David Kabiller John Liew and Robert Krail co founded AQR Capital Management a quantitative hedge fund firm 5 In 2002 Asness made 37 million and in 2003 he made 50 million 16 In 2004 AQR moved its headquarters from New York to Greenwich Connecticut 17 AQR Applied Quantitative Research suffered losses during both the 2007 quant meltdown 5 and the 2008 financial crisis 5 By the end of 2010 AQR had 33 billion assets under management AUM 5 18 9 An October 2010 Bloomberg article described AQR as a quantitative investment firm that used algorithms and computerized models to trade stocks bonds currencies and commodities 1 In 2016 Connecticut s State Bond Commission gave 35 million in financial aid to AQR as part of a broader move by the Connecticut government to persuade companies including Bridgewater Associates the biggest hedge fund in the world to remain in Connecticut 17 AQR s 28 million loan would be forgiven if AQR kept 540 jobs within Connecticut and created 600 new jobs by 2026 17 AQR received grants worth 7 million to help pay for an expansion 17 By 2017 according to Forbes Asness had moved away from hedge funds and aggressively promoted lower fees more liquid and transparent products such as mutual funds that use computer models often to replicate hedge fund returns 5 By 2019 AQR had become an investment firm running one of the world s largest hedge funds 8 A 2020 Forbes profile described AQR Applied Quantitative Research as an agency that employs factor based investing and offers products ranging from hedge funds to mutual funds 18 Selected academic publications EditIn a co authored 2001 article published in the Journal of Portfolio Management the authors described how while some hedge fund managers are skilled in picking stocks not all use effective methods Academic publications 1 In their 2003 publication in the Financial Analysts Journal Arnott and Asness wrote that contrary to prevailing theory companies that paid higher dividends actually had higher growth in earnings Academic publications 2 They found that low payout ratios preceded low earnings growth Academic publications 2 In a 2003 Journal of Portfolio Management article Asness said that it was a mistake to compare stock market s P E ratio earnings yield to interest rates called the Fed model Academic publications 3 In a 2013 co authored article published in The Journal of Finance Asness Tobias Moskowitz and Lasse Pedersen found consistent value and momentum return premia across eight diverse markets and asset classes and a strong common factor structure among their returns Academic publications 4 12 19 Since this 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 12 Notes 2 Net worth EditAccording to an April 2020 Forbes profile Asness estimated net worth was 2 6 billion 18 Publications about Asness EditThe New York Times published a profile of Asness on June 5 2005 16 The Times said that what Asness really does is try to understand the relationship between risk and reward 16 Asness was featured in Scott Patterson s 2010 publication The Quants 20 along with Aaron Brown from AQR Capital Management Ken Griffin from Chicago s Citadel LLC James Simons from Renaissance Technologies and Boaz Weinstein from Deutsche Bank 21 22 a scourge of bad practices in the money management industry with the intellectual chops to back up his attacks Patterson said that Asness was known as one of the smartest investors in the world He had been a standout student at the University of Chicago s prestigious economics department in the early 1990s then a star at Goldman Sachs in the mid 1990s before branching out on his own in 1998 to launch AQR with 1 billion and change a near record at the time 20 Economic and political commentary EditAsness frequently comments on financial issues in print and on CNBC 23 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 9 In 2008 he complained about short selling restrictions in The New York Times 24 In a 2010 The 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 25 In Bloomberg columns he discussed taxation of investment managers 26 and healthcare reform 27 He posts commentary on financial issues generally from a libertarian and efficient markets viewpoint 28 In an unpublished 2000 paper Bubble Logic Asness criticized nonsensical and unsustainable stock prices 2 that caused the stock market tech bubble of 1999 2000 In a special 60th anniversary edition of The Financial Analysts Journal he said that this was also the fifth anniversary of the stock bubble peak 29 he repeated his criticisms the tech bubble and those who claimed options should not be expensed 30 31 32 He was also known as an outspoken critic of U S president Barack Obama 33 Two tracts he authored protest the Obama administration s treatment of Chrysler senior bondholders 28 34 35 In 2012 he was included in the 50 Most Influential list of Bloomberg Markets magazine In 2013 Asness was a signatory to an amicus curiae brief submitted to the Supreme Court in support of same sex marriage during the Hollingsworth v Perry case 36 37 Personal life EditIn 1999 Asness married Laurel Elizabeth Fraser of Seward Nebraska the daughter of a retired Methodist pastor 38 1 Asness has four children 1 He listed his Miami penthouse for sale in October 2019 after purchasing it from Boris Jordan in May 2018 39 See also EditFed modelNotes Edit The Fama French three factor model expanded the Capital Asset Pricing Model CAPM by adding risk factors size and value According to Systemic Risk and Systematic Value Value investment means buying or overweighing securities that rank high on conventional valuation scales such as book price ratios or forward earnings yields Momentum trading means going long securities that have outperformed in the recent past References Edit a b c d Teitelbaum Richard October 7 2010 Asness Meets Grim Reaper Before Fund Rebounds From 50 Loss Archived from the original on November 5 2018 Retrieved February 4 2019 A full length 2010 biography and history of AQR a b c d e f Hu Han September 1 2006 The Long and the Short of It Wharton Magazine Retrieved April 25 2020 a b c d e Castaldo Joe October 6 2011 The Ode Goldman s global alpha fund Canadian Business Archived from the original on September 21 2019 Retrieved April 25 2020 Clifford S Asness Chicago Booth Distinguished Alumni Awards 2004 archived from the original on April 18 2020 retrieved April 27 2020 a b c d e f g h Vardi Nathan How Cliff Asness Became A Billionaire By Building A Kind Of Vanguard Of Hedge Funds Forbes Archived from the original on August 5 2020 Retrieved April 25 2020 a b Are Markets Efficient Baloney Says Money Man Cliff Asness Forbes via YouTube April 22 2014 Retrieved April 27 2020 a b Fama E F French K R 1993 Common risk factors in the returns on stocks and bonds Journal of Financial Economics 33 3 56 CiteSeerX 10 1 1 139 5892 doi 10 1016 0304 405X 93 90023 5 a b c d The stockmarket is now run by computers algorithms and passive managers The Economist October 5 2019 ISSN 0013 0613 Archived from the original on April 25 2020 Retrieved April 25 2020 a b c AQR Capital Management Archived from the original on March 17 2010 Retrieved April 25 2020 a b Rappaport Liz September 16 2011 Goldman to Close Global Alpha Hedge Fund The Wall Street Journal No Markets United States ISSN 0099 9660 Archived from the original on August 1 2020 Retrieved April 25 2020 a b Goldman Sachs to Shut Its Global Alpha Hedge Fund The New York Times No DealBook United States The New York Times Company September 15 2011 Archived from the original on August 8 2017 Retrieved May 18 2017 a b c d Tully Shawn December 19 2011 Cliff Asness A hedge fund genius goes retail Fortune Archived from the original on November 3 2013 Retrieved April 25 2020 Smith Randall April 20 2006 Goldman Gurus Strike It Rich With Hedge Fund The Wall Street Journal ISSN 0099 9660 Archived from the original on August 1 2020 Retrieved April 25 2020 Carney John September 16 2011 How Goldman Sachs Lost One Of Its Crown Jewels Global Alpha Business Insider via CNBC Archived from the original on August 1 2020 Retrieved April 24 2020 LaCapra Lauren Tara Herbst Bayliss Svea September 16 2011 Goldman to close Global Alpha fund after losses New York N Y United States Reuters Thompson Reuters Archived from the original on March 28 2020 Retrieved April 25 2020 a b c Nocera Joseph June 5 2005 The Quantitative Data Based Risk Massaging Road to Riches The New York Times ISSN 0362 4331 Archived from the original on December 15 2019 Retrieved April 24 2020 a b c d Stevenson Alexandra November 22 2016 Investment Funds Get Millions to Stay in Connecticut The New York Times ISSN 0362 4331 Archived from the original on February 7 2019 Retrieved February 5 2019 a b c Cliff Asness Forbes Profile April 25 2020 Archived from the original on May 18 2020 Retrieved April 25 2020 The relation between value and momentum strategies Systemic Risk and Systematic Value SRSV Editorial July 20 2019 Archived from the original on March 12 2020 Retrieved April 25 2020 a b Patterson Scott February 2 2010 The Quants How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It Crown Business p 352 ISBN 978 0 307 45337 2 The Quants It Pays To Know Your Wall Street Math NPR February 1 2010 Archived from the original on May 23 2020 Retrieved April 25 2020 Pressley James February 10 2010 Citadel s Griffin Skirts Disaster Taleb Fumes Books Update1 Bloomberg L P Archived from the original on September 24 2015 Retrieved April 25 2020 Kim Tae November 3 2017 Top Wall Street quant Cliff Asness doesn t believe AI will revolutionize investing www cnbc com Archived from the original on February 7 2019 Retrieved February 5 2019 Joe Nocera Cliff Asness Is Mad as Hell Archived December 22 2010 at the Wayback Machine September 21 2008 Asness Clifford S Brown Aaron May 13 2010 The Treasury Financial Complex The Wall Street Journal ISSN 0099 9660 Archived from the original on October 27 2020 Retrieved August 3 2017 Money Managers May Face New Tax Increase Clifford S Asness Bloomberg com June 14 2010 Archived from the original on February 11 2014 Retrieved March 6 2017 Don t Ask Is No Way to Run Health Care Clifford S Asness bloomberg com Archived from the original on September 24 2015 Retrieved March 6 2017 a b stumblingontruth stumblingontruth com Archived from the original on August 26 2010 Retrieved September 1 2010 Asness Clifford S 2005 Rubble Logic What Did We Learn from the Great Stock Market Bubble The Financial Analysts Journal Asness Clifford S July 1 2004 Stock Options and the Lying Liars Who Don t Want to Expense Them Financial Analysts Journal 60 4 Eisinger Jesse Long and short PDF The Wall Street Journal Archived from the original PDF on July 10 2011 Retrieved April 25 2020 Tilson Whitney September 24 2004 Stock options hurt US competitiveness The Motley Fool Archived from the original on October 10 2012 Retrieved September 5 2010 ABC News Meet President Obama s Newest Opponent Clifford Asness ABC News Archived from the original on August 25 2010 Retrieved September 7 2010 Jessica Pressler Hedge Funder Cliff Asness Is Not Afraid of Barack Obama Daily Intelligencer Archived from the original on September 4 2010 Retrieved September 5 2010 Peter Robinson May 22 2009 The Protest Of A Patriot Forbes Archived from the original on January 4 2017 Retrieved August 25 2017 Avlon John February 28 2013 The Pro Freedom Republicans Are Coming 131 Sign Gay Marriage Brief The Daily Beast Archived from the original on October 6 2014 Retrieved March 5 2013 Kampeas Ron May 14 2011 Jewish Republican pro gay rights JTA Archived from the original on December 13 2011 Retrieved April 25 2015 Laurel Fraser and Clifford Asness The New York Times Weddings August 15 1999 Archived from the original on September 12 2017 Retrieved February 7 2017 Billionaire Cliff Asness to List Trophy Miami Penthouse for 29 5 Million Barron Archived from the original on November 11 2019 Retrieved November 12 2019 Academic journals Edit Asness Cliff Krail Robert Liew John 2001 Do hedge funds hedge Be cautious in analyzing monthly returns Journal of Portfolio Management 28 6 19 doi 10 3905 jpm 2001 319819 S2CID 219223059 a b Arnott Robert D Asness Cliff January 2003 Surprise Higher dividends higher earnings growth PDF Financial Analysts Journal 59 70 87 doi 10 2469 faj v59 n1 2504 S2CID 43016921 Archived PDF from the original on April 14 2015 Retrieved April 24 2020 Asness Cliff 2003 Fight the Fed Model Journal of Portfolio Management 30 11 24 doi 10 3905 jpm 2003 319916 S2CID 155012499 Asness Clifford S Moskowitz Tobias J Pedersen Lasse Heje June 2013 Value and Momentum Everywhere Value and Momentum Everywhere The Journal of Finance 68 3 929 985 doi 10 1111 jofi 12021 hdl 10398 9cef71a9 adf5 4d83 925d 53c571dd0691 ISSN 0022 1082 External links Edit Scholia has a profile for Cliff Asness Q5132528 Interview with John Bogle Interview with Senator Charles Grassley Retrieved from https en wikipedia org w index php title Cliff Asness amp oldid 1146762477, wikipedia, wiki, book, books, library,

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