YouSaid · the spoken record

Scott Cliff Asness

lines on the record: 171
first: 2015-02-21
most recent: 2015-02-21
sittings or episodes: 1
sources: podcast

Every line below is reproduced as it was said and linked to the record it came from. Nothing here is summarised or generated. Directory · Search · Corrections

“Very nice of you to say I appreciate that. I also punch computers when we lose, and I have a face for radio, but I will take the compliment.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Separately, I wasn't trying to create a steel cage match. But and I pointed out to both of them, and I think they both, I think they both agreed with this, that they both put on pretty similar portfolios. Mostly value tilts, a momentum to what they do, again, probably more momentum for Schiller than Fama, more market timing for Schiller than FAMA, but they would interpret it as working for radically different reasons. So it's kind of like, remember me and Rob Arnott, fundamental indexing wins. He thinks it's brand new. I think it's the value effect. But we get to the same place.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“I signed for that in a heartbeat quality wise. I think philosophy-wise, For long, long time, and it all comes back to thinking markets are not perfect, but they're harder to beat than people think. There's the Schiller's the first part, Fama's the second part, taking risk, and it's, again, mixed with science, taking risk gets paid off over time, taking too much risk, and you won't live to see the ending. And then the things, you know, it's very funny, Fama Schiller Fama would probably believe in value more than momentum, but the firm he works with DFA uses some momentum in their process. We would use more. I'm not saying there aren't differences. Momentum is more of an inefficient market story, but they try to avoid shorting momentum. And I won't get into the geeky side. So even there, we're a point on a spectrum difference. We're not a sea change. One joke, I did a little TV where I had fama and Schiller come on after their Nobel Prize.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“This comes up with investment advisors a lot. And this is something you know much more about than I am. I think they have a huge role in helping structure a portfolio, but I think the single most important thing they do is make sure people stick with their plan through the long term.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“That's exactly right. Things like weather leverage is useful, how much leverage is safe, how much volatility you can take, getting those lines of credit lined up right if you do that, how much you can take. Are all about surviving the short term. At no point should you do a strategy, and this is art not science, I'm not claiming that I have a perfect quant model for this, but you should, the perfect strategy that you can't stick with, whether for real reasons that your creditors say, you're done, or emotional reasons, that we all have a breaking point. You can't take it. The great strategy you can stick with, and this is obvious, but I think really important, the great strategy you can't stick with, is obviously vastly inferior to the very good strategy you can.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Haven't done it in more than a decade, but a few times you don't say I'm violating this. You convince yourself. Well, this is the exception to my rule. You convince yourself it's the right thing. You get data on it. You change your model, you tweak it. The whole world is failing. And by the way, this is not just quants. How many non-quants have a strong investment thesis that will turn out to be right but occasionally cave on it when it gets too painful?”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“So if you see an actual reason why your strategy shouldn't work anymore, I'm not saying you should keep doing what you've done in the past forever. But if you see no reason why what you've done in the past, what you think has worked for 100 years in 50 different places should not continue to work. You should not let short-term results dissuade you. And we have gotten very, very good. And I think we've always been good, but even better over time at learning that lesson. The few times I've ever violated that, and those stories I'll take to the grave, I ever regret it.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Proven itself unlikely. So you should look at him with an open mind, expecting not to find anything, but if you do, you know, for instance, there are certain strategies, strategies that are about speed. There are famous ones, earnings surprise when earnings announcements come out. Maybe that still has a little bit of efficacy, but nowhere near what it once had. Because the world has gotten much faster.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“And you love that intellectually. It doesn't mean Yakishka's a not battling each other. I'm going to say that more often. We've gotten very good at sticking with things while keeping that ajar sounds a little crazy. I'm going to have to come up with a separate phrase. But I know exactly not quite open. That's too willy-nilly. That's like, yeah, maybe we're wrong. We'll throw it off.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Now it's a schedule. And I'll tell you, we took too much comfort. I mentioned it earlier that it wasn't expensive in the beginning. It was about the 50th percentile. By the Nader, by the low point, it was the 95th percentile attractive.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“I wish I were good at having it not get to me the same way. I and my firm have gotten very good and always have been pretty darn good at not letting it affect what we actually do. I like to put it this way. We trade on what we think are at least partially, some at risk, and we're still in the pharma camp partially, but somewhat behavioral biases. That desire to run away and take off a process you know is a good process. A behavioral bias. What is a run on the strategy where too many people try to get out? That makes it better. Going forward, if you're a believer, you've been right all along”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“We try every time there's a bad result, and that was the ultimate example, but every time we've had, you know, we've done this for almost 20 years, including Goldman Sachs. Life's been net good to us, but if we're not better than Warren Buffett and he's had bad times.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Just do something, sit there. Exactly. And that's very often the right thing to do far more often. I think you want to keep your mind, if not open, slightly ajar. You could take that a few different ways. You know, has the world really changed? It almost never does when they say it does, but could happen. Is there some reason our process won't work going forward?”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Even It was really bothering you. The Kishkas were aflame. But we did a few things. Now, when something's not working. I think 98% of the time the right thing to do is nothing. Maybe some risk control if the bet's too big, but almost nothing.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“What I've actually and I and my firm are actually pretty good at is not letting our emotions affect our investment process.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“And it's for frustrat All day long. Absolutely. And you get something that I and others have called time dilation. We're trying to be physicists here. But what feels like a very long time is actually not. You stared at it for a whole day, which we're not supposed to do, by the way. You're supposed to, you know, it's a statistical thing. You check a few times, but staring at it every day is not all day. It's not productive. You stare at something all day, you'll feel like you just went through every up and down since the flood.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“I'll try to be very introspective about this. I'm really bad at internalizing something I preach, that this is a statistical process and a fat-tailed world. Stuff will happen. It will work long term. I do get emotional because I want it to work.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, I'd hate to try to sell this to clients at the time as no, it's okay because we are market neutral. But I would prefer it to happening there than in a crash because it does fit the spirit. So emotion.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“How do you keep faith within your mother? World was miserable. One thing left out occasionally is this was after a bad month and before the GFC, but over the full painful period for Quants, the S&P was actually up slightly We didn't rattle the world. The world had nothing to do. I like to say we lost money all on our own Our shorts went up and our longs went down.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“That's awesome. I have a Winston Churchill line that he said he prefers pigs as pets because dogs look up to you, cats look down to your pigs look you straight in the eye. Which I don't know if that's actually true. I like it. It's a great”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“I know that's absolutely true. Spouses and children have no respect for you no matter who you are. That's why you get dogs.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“That because that's really people like that human foibles are okay, but being able to laugh for yourself is okay too. Of course. And I do find myself ridiculous at times. You met my wife.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“But I forgot that as the subject of a story, they feel, and they have great journalistic integrity, I think. They feel that they should publish your response. But I wrote what I thought was a whimsical response that had no chance of being published. I wrote, your reporter wrote that on several occasions, on bad days I punched the computer. I can't disagree with the facts, but he left out a very important thing on each of those days, the monitor deserved it.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“I wrote a letter to the journal thinking they would never publish it. I love the Wall Street Journal, but they're not known for their hilarity. And I wrote what I thought was a humorous letter.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah, and either I throw a lousy punch or view Sonic really well. I should have been a commercial for them because I hit it with my best cross and did no damage to it. I'm sorry for the segue, but the journal.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“I had several friends from high school call me up and go, Yeah, you're chubby now, but you were okay back then. No, to your point, this is a little embarrassing, but I might have punched my computer screen a couple times and had it visible and had the Wall Street Journal actually write about it.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“As the CIO, everyone at my firm is laughing here because I wish this was not public information, but the Wall Street Journal ran a couple stories and the Quan Book talked about this too. By the way,”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“And roughly, the first half of that was down, and the next half of it was making two-thirds of it back. And you are right, we did stick with what we do, which is a question.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“I came up with it in the car on the way here. I'd never flash slower than the flash crash, but it was three weeks instead of a day, but it's not...”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“And then this is hard, literally still hard to prove. But what we think happened is credit got slammed in July. And a lot of these people said, we just got a lower risk. We weren't particularly against Quant. We just got a lower risk and all tried to lower everything they do at once. And we're very common in their quant trades. And then like all these stories, it just got rolling. And this was much more, this was not a bare market for Quant. This was closer to a Quant flash crash.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“It was the first kind of echoing, the first adumbration of the financial crisis was in July following that Bear Stern stuff, in July credit got really pummeled And a lot of particular hedge funds had added quant during a great five-year run. And this is, I think, dangerous. They weren't quants in their DNA. They added it. They saw it was doing well.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Was really And my version of what happened in July and August of 07, it's very similar to what you said, but I think we've actually tracked it. We still don't know the actual firm that began the selling. We joke, we call them Patient Zero.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“It turns out, and this is really quite obvious, I just thought it was less likely and impossible that if everyone tries to sell on the same day, it doesn't matter if it's expensive or cheap.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Everyone has a different version. After half an hour, if you can't spot the soccer, it's you. It's the trading version, the strategy version of that. So what we said to ourselves is this has not been arbitraged away. This is not a ton of capital that has made cheap stocks no longer very cheap for compressed that whole spectrum. And here's where I think we went further than most in even worrying about it. A lot of people were pretty blas ⁇ about it, but we didn't get it right. We still had a disaster. So what happened is if you had asked me before August of 2007, I would have thought. That not a precondition, but for something to crash, it was far more likely to crash if it was expensive. And this was not expensive.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah. That's very interesting. Now there are a lot more people doing quant, but someone is on the other side. This is a question we try to ask ourselves all the time. My colleague Aunt Dielman and I are going to write a paper on this with the title Who's on the Other Side. Anytime you do a strategy, a trade, whatever you do, you should say whose money am I taking? And if you don't have a good answer, you probably shouldn't be doing it.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Going into August of 07, and we were thinking about this, we were worried it was crowded, this number was about its long-term average.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“As you can imagine, at the peak of the tech bubble was the most that number's ever been. The expensive stocks were ridiculously way more than historical. Walk the charts, crazy.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“You drove overlap. And it's going to be the most extreme in that period. Now, I can speak for ourselves. We were not, I think, maybe we were, but I don't think we were naive about this going into that time. We knew a ton of more people were doing quants than when we started 15. We started in mid-90s, 2007, 12 years later. A ton more people were doing it. measure. We wrote a paper on this during the tech bubble and we still do it. We measure. The longs versus the shorts. How cheap are they? They're always a little bit cheaper. Remember, value is a big part of our model. So, if they weren't cheaper, we're just doing it wrong. So we hope they're cheaper or else we're adding it up wrong. If cheap is part of your model, a big part of your model, and what you're long is not cheaper than what you're short, that's...”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Subgroup. It can work a little bit for industries, but it is stronger, risk adjusted, certainly. One tiny example, everyone has a twist as my only example, but they're correlated. If you're running a quan shop and let's do a hedge fund, not a beat the benchmark. Right. You're long, cheap with good momentum, and you're short, expensive with bad momentum. Again, the models do other things than that, but let's say that's it. And I'm doing the same, and we've worked for 10 years separately, and we've done tweaks, and we both think our model is better than the other guy and better than they were 10 years ago. That might, it's not going to be true for both of us, but we both can be better than 10 years ago, and one of us is in reality better. It's not going to matter in the 10 days value and momentum both get utterly obliterated.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“He wants to buy us. We've got to stay with him. I will be honest. For most people, I am a contrarian. With Ken, I start to think maybe he knows something I don't know. Maybe he knows it's worse than I think. So let's roll back. What happened? You are exactly right. I do not deny for a second that quants do related things. Everyone has their own twist on it. How to measure it better, some parts of what we do or others do are completely different than others, but by and large two of the key things in all of quantitative management I've talked about with you for a few hours now are value and momentum investing. You can have every twist in the world you want. We think value works better if you don't make an industry bet, for instance, if you buy the cheap and sell the expensive within every industry.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Wagner. And I literally said, you know, I think we're actually pretty stable here. I don't think we're, but if Ken thinks we're dying, we must be dying.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“We were Well, I mean a particular person. I'm friendly. I'm friends with Ken Griffin, who is one of the hedge fund managers, I believe in. I think this guy's a pretty amazing guy who runs Citadel. Citadel. He is famous for being a smart investor when something's very distressed and facing doom. He goes and buys it very cheaply. Ken called me near the nador of this, and my assistant just goes, Ken Griffin's on the line. And I think I actually wrote, I could see the Valkyries coming. I could feel. And in fact, he just wanted to chat.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“We actually didn't lose a ton of clients. We lost some, but mostly we watched our asset shrink with the markets. But none of that makes your figures for August wrong. This was a harrowing. I remember. Maybe it wasn't near death, but it felt near death. Hold on.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“A couple of months the whole market moved back. And then over the whole financial crisis, it was more than a 50% drawdown for stocks.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“With that said, one thing that I should have made clear much earlier is, and I think this, Barry, is we're not by any means only a hedge fund. That's a minority of what we do. A lot of what we do is long only. So a fair amount of that came from just market shrinking.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“You stuck with the model In that month when Assets get destroyed. If you'll permit me, I want to back up one second on your numbers sound exactly right on the shrinkage of our firm, which is another sign. I told you”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“And the way he structured his business exactly, there's a form of alpha to that. We say he stuck with things through thick and thin. That requires incredible mental fortitude, even with a great structure. Anyone can cave on their own just from panic. He didn't do that, but he also structured it so no one else could make him throw in the towel”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“He wanted to eat them. People always say you can't eat risk adjusted returns with some mild leverage, you can, you can go too far, 25 to 1? No. Warren Buffett's 1.6 to 1. Pretty good idea.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“Correct. Correct. Having said that, if you don't apply some leverage, Buffett actually went to vouchperformed. He would have kept up at low risk.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source
“It always has been, and there's always the Lord, and it always happens again. Now, here's where we think leverage can be useful. And you and I just talked about the case of Warren Buffett, where he has low risk, low beta stocks. So those do tend to outperform their risk over time. There has been strong results for very long periods that low-risk stocks do better than they should. But that doesn't mean they actually do better than high-risk stocks. They're supposed to lose, and they refuse to lose. If a lower stock keeps up with a high risk stock, just keeps up. You go, wow, that's not supposed to happen.”
2015-02-21 · Masters in Business · Masters in Business: AQR Scott Cliff Asness (Audio) · IDENTIFIED FROM THE TRANSCRIPT · source