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May 28, 2020 11:11 AM

Cliff Asness reiterates AQR’s conviction to value investment on webcast

Christine Williamson
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    Bloomberg

    Cliff Asness, co-founder and CIO of AQR Capital Management, talked about value investing, COVID-19 impacts and hockey during a recent webcast.

    Clifford S. Asness, managing and founding partner of AQR Capital Management, touched on a broad range of topics including value investing, the impact of the COVID-19 crisis on investment management and his love of sports during a free-ranging conversation with Frank J. Fabozzi, editor-in-chief of the Journal of Portfolio Management.

    During a webcast on the JPM's website that aired Wednesday, in response to a question from Mr. Fabozzi, Mr. Asness reiterated AQR's conviction that systematic value investing isn't dead, based on the firm's extensive research which he presented in a May 8 blog post.

    "Value has worked on average for 100 years," Mr. Asness said and will continue to work because it depends on human behavior, especially the tendency of people to "overreact" to market conditions regarding cheap and expensive stocks. AQR expects a large recovery for value stocks going forward, he said.

    Mr. Fabozzi asked how the coronavirus pandemic has affected AQR's investment approaches.

    Mr. Asness admitted that "value had a terrible month in March," but stressed that the crisis "doesn't really change anything we do," noting that the firm's macro strategies are neutral to markets and industries and the firm's portfolio managers aren't making huge bets. "Most of our investments are very, very small. COVID-19 will buffet the world and us, but it doesn't much change the fundamental processes we use."

    See more of P&I's coverage of the coronavirus

    On a lighter note, Mr. Fabozzi acknowledged Mr. Asness' well-known love of sports and posed the question: "If you retired, which sports team would you buy and what would be your role?"

    Mr. Asness admitted that he's "not quite sports-team wealthy, especially after value strategy underperformance over the last two years," but said that if he could, he would buy the New York Rangers because he loves hockey.

    Mr. Fabozzi remarked on the 2018 paper "Pulling the Goalie: The Investment Implications of Hockey," Mr. Asness co-authored with former AQR managing director Aaron Brown.

    "That was my most downloaded paper," Mr. Asness said, noting that he was thrilled when he met former New Jersey Devils coach Lou Lamoriello who said he had read the goalie paper twice.

    If Mr. Asness did buy the Rangers, he stressed "I would use more analytics in managing the team."

    AQR manages a total of $143 billion.

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