Cliff Asness — On Markets, Buffett, Cryptocurrencies, and Hockey

AQR Capital Management

Cliff Asness — On Markets, Buffett, Cryptocurrencies, and Hockey

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Alexander Lubnevsky

Mar 26, 2025

Cliff Asness is one of the gurus of quantitative investing and the founder of AQR Capital Management with $126 billion under management. He easily quotes 'The Big Lebowski' on his X (formerly Twitter) and writes scientific articles about the world of investments with formulas that can make an unprepared reader's monitor smoke.

His scientific interests even include sports. He once calculated that a hockey goalie in a losing situation before the end of the match should be pulled 6 minutes and 10 seconds before the final whistle, while usually, a coach makes this decision no earlier than 1–2 minutes. The article was published in the Journal of Portfolio Management. Now, the tactic proposed by Asness is used by most NHL teams, notes Barron’s.

Asness's investment philosophy is not based on trying to make a good forecast or a deep understanding of macroeconomics, but on capturing persistent statistical anomalies. His team analyzes thousands of stocks, builds factor models, and forms portfolios of long and short positions on stocks worldwide. This is an attempt to extract premiums from behavioral and structural market distortions. Briefly about how the company uses artificial intelligence, we told here.

And this approach works. After the failed period of 2018–2020, when AQR's assets more than halved, the fund returned to its former shape. The flagship strategy delivers 21% annually over 5 years, confidently outpacing the market. More about the history of AQR and its funds we wrote here.

Cliff Asness believes that Warren Buffett's value approach is not so different from quantitative investing, as he does not consider markets to be fully efficient and tries to exploit opportunities from this. Why quantitative analysis can and should be applied to the value concept was explained by Movchan’s Group senior partner and GEIST fund advisor Elena Chirkova here.

AQR also released a paper titled 'Buffett's Alpha' about what if Buffett were a quantitative investor. His genius lies in the fact that he figured out to invest in quality low-volatility stocks first, without any complex research, which is how he earned, notes Elena Chirkova.

Asness believes that the main mistake investors make is having too short an investment horizon. Momentum appears to be strong enough for 3–12 months. The value factor works for 5 years. Many investors with a five-year horizon go in the direction of what worked before. They invest like momentum investors on a horizon where it is wiser to be a contrarian investor.

Do not confuse the growth of multipliers with real returns, Asness warns investors: if you bought a stock in 1981 with a P/E of 5, and after 30 years this indicator grew to 25, then your return for this period will be greatly overestimated relative to what could be expected in the long term. You can try to forecast earnings, but you are unlikely to predict valuations.

In his recent essay '2035: An Allocator Looks Back Over the Last 10 Years,' Asness shared his vision for the next decade, in which the market may teach investors a painful but instructive lesson. Asness presents the following scenario: American stocks are overvalued at the beginning of the period, bringing only a couple of percentage points above cash, despite corporate earnings growth. Bonds beat inflation, but not by much. Private Equity and Bitcoin also show poor results. However, markets outside the US unexpectedly outperform the US in real returns.

Why this matters

At the end of 2024, our GEIST fund made an investment in AQR. The Movchan’s Group team thoroughly studied Cliff Asness's strategy and fully shares his approach.

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