A momentum investing strategy is the rather insane proposition that you can buy a portfolio of what’s been going up for the last 6 to 12 months, sell a portfolio of what’s been going down for the last 6 to 12 months, and you beat the market. Unfortunately for the case of sanity, that seems to be true. - Cliff Asness
Every time someone says, ‘There is a lot of cash on the sidelines,’ a tiny part of my soul dies. There are no sidelines. Those saying this seem to envision a seller of stocks moving her money to cash and awaiting a chance to return. But they always ignore that this seller sold to somebody, who presumably moved a precisely equal amount of cash off the sidelines. - Cliff Asness
Global diversification to us is about the chance that it turns out that your country is the world’s basket case. - Cliff Asness
Hedge funds are investment pools that are relatively unconstrained in what they do. They are relatively unregulated (for now), charge very high fees, will not necessarily give you your money back when you want it, and will generally not tell you what they do. They are supposed to make money all the time, and when they fail at this, their investors redeem and go to someone else who has recently been making money. Every three or four years they deliver a one-in-a-hundred year flood. They are generally run for rich people in Geneva, Switzerland, by rich people in Greenwich, Connecticut. - Cliff Asness
I used to think that being great at investing long-term was about genius. Don’t get me wrong, genius is still good, but more and more I think it’s about doing something reasonable, that makes sense, and then sticking to it sticking to it like grim death through the tough times. - Cliff Asness
I’m in a business where if 52 percent of the days I’m right, I’m doing pretty well over the long-term. That’s not so easy to live with on a daily basis. - Cliff Asness
If I ever get an economic law named after me I want it to be ‘There is no investment product so good gross, that there isn’t a fee that could make it bad net'. - Cliff Asness
If you have a three year period where something doesn’t work, it ages you a decade. You face an immense pressure to change your models, you have bosses and clients who lose faith, and I cannot really convey the amount of discipline you need. - Cliff Asness
It’s riding a statistical beast which can make it hard to live with. Having a guiding star to come back to, like long-term evidence in lots of places and an intuitive economic story, helps a lot. - Cliff Asness
Market-cap based indexing will never be driven from its deserved perch as core and deserved king of the investment world. It is what we should all own in theory and it has delivered low-cost equity returns to a great mass of investors the now and forever king-of-the-hill. - Cliff Asness
The rules are quite simple: Diversify. Rebalance. Keep costs low. There aren’t many others. But no one writes that book because it’s three pages. - Cliff Asness
The term bubble should indicate a price that no reasonable future outcome can justify. - Cliff Asness
There are small inefficiencies often and very rarely there are large inefficiencies. But people overuse the word bubble. They use it for things they don’t like. They say it’s in a bubble when they really mean I think it’s a bad bet as I think it’s overpriced. I believe bubbles happen but much less often than many claim. - Cliff Asness
What we do or not do is much more important than how we finance it. A bad idea fully funded is still bad and a good idea unfunded is still good. - Cliff Asness
When I say a strategy works, I kind of mean six or seven out of 10 years or just a little more than half the days. If your car worked like this, you’d fire your mechanic. - Cliff Asness
You’ve got to guess at worst cases: No model will tell you that. I’m fond of pointing out the obvious – that the worst case wasn’t the worst case until it happened, so you can’t always assume the worst case going forward is the worst we’ve ever seen. One rule of thumb is double the worst that you have ever seen. Though, I should say that’s more of a guideline than a rule, as if you do that with the global financial crisis you’re assuming caves and canned goods! - Cliff Asness
Material goods and services must be taken from others, or provided by their labor, so if you believe you have an absolute right to them, and others don't choose to provide it to you, you then have a 'right' to steal from them. But what about their far more fundamental right not to be robbed? - Cliff Asness