Cliff Asness

Clifford S. Asness is the co-founder, managing principal and CIO of AQR Capital Management, one of the largest quantitative asset managers. He is a prominent and influential voice in factor-investing research. He appears in this vault as the author of the 2016 Journal of Portfolio Management editorial “The Siren Song of Factor Timing,” which argues that timing equity style factors is a tempting but largely illusory edge — valuation-based timing signals are historically weak, highly collinear with the value factor itself, and easily overfit — and that investors should instead diversify across factors they believe in for the long haul. His skepticism is the vault’s reference prior against which HMM-driven Factor Timing and Style Factor Rotation claims are graded.

Connections

• Factor Timing — contradicts, source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763956
• Style Factor Rotation — contradicts, source: https://www.aqr.com/Insights/Perspectives/Resisting-the-Siren-Song-of-Factor-Timing
• AQR Capital Management — part-of, source: https://www.aqr.com/Insights/Perspectives/Resisting-the-Siren-Song-of-Factor-Timing