Cliff Asness on Comics and Why Never to Share a Gym with Cirque du Soleil (Live at Mason)
Conversations with Tyler
Conversations with Tyler
4.8 • 2.4K Ratings
🗓️ 18 November 2015
⏱️ 83 minutes
🧾️ Download transcript
Summary
Tyler and investment strategist Cliff Asness discuss momentum and value investing strategies, disagreeing with Eugene Fama, Marvel vs. DC, the inscrutability of risk, high frequency trading, the economics of Ayn Rand, bubble logic, and why never to share a gym with Cirque du Soleil.
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Transcript
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| 0:00.0 | Conversations with Tyler is produced by the Mercatus Center at George Mason University, |
| 0:08.4 | bridging the gap between academic ideas and real-world problems. |
| 0:12.5 | Learn more at mercatis.org. |
| 0:15.2 | And for more conversations, including videos, transcripts, and upcoming dates, visit |
| 0:20.4 | ConversationsWithT Tyler.com. |
| 0:25.2 | Cliff is one of the most influential figures in global finance. |
| 0:29.0 | He has a PhD from the University of Chicago. |
| 0:31.7 | He studied there with Gene Pharma, and he is a founder and principal of AQR Capital Management |
| 0:39.1 | in Connecticut. |
| 0:40.4 | So Cliff, when I think of your work, the very first word which comes to my mind is momentum. |
| 0:45.4 | Could you first give us just the super short version of what is a momentum trading strategy? |
| 0:50.0 | Sure. |
| 0:51.0 | A momentum investing strategy is the rather insane proposition that you can buy a portfolio |
| 0:57.2 | of what has been going up for the last six to twelve months, sell a portfolio of what |
| 1:00.0 | has been going down for the last six to twelve months, and you beat the market. |
| 1:03.8 | Unfortunately for sanity, that seems to be true. |
| 1:07.0 | Seems to be true. |
| 1:08.0 | Now you call it insane, but if you were to give us a simple example on average, statistically |
| 1:13.6 | speaking, not in a free lunch way, but what kinds of super normal returns might you |
| 1:19.2 | possibly earn through a momentum trading strategy? |
| 1:21.7 | Sure. |
| 1:22.7 | One example, if you were running against large cap U.S. equities, something like the Russell |
... |
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