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Cliff Asness: Value Stocks Still Look Like a Bargain

The AQR co-founder on how to deal with low expected returns, the case for alternatives, private equity and the “illiquidity discount,” and more.

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Our guest this week is Cliff Asness. Cliff is a founder, managing principal, and chief investment officer at AQR Capital Management. Cliff writes often about investing and financial matters on AQR’s website and has been a prolific researcher throughout his career, with his contributions appearing in many of the leading scholarly journals, including the Journal of Portfolio Management, Financial Analyst Journal, the Journal of Finance, and the Journal of Financial Economics. This work has earned him accolades, including the James R. Vertin Award, which the CFA Institute bestows on those who produced a body of research notable for its relevance in enduring value to investment professionals. Before cofounding AQR, Cliff was a managing director and director of quantitative research for the asset-management division of Goldman Sachs. He earned dual bachelor’s degrees, one in economics from the Wharton School and another in engineering from the Moore School of Electrical Engineering at the University of Pennsylvania, as well as an MBA and Ph.D. in finance from the University of Chicago. We recorded this episode live and in person at the annual Morningstar Investment Conference, which was recently held in Chicago.




Return Environment

Antti Ilmanen

Investing Amid Low Expected Returns: Making the Most When Markets Offer the Least, by Antti Ilmanen

Demystifying Illiquid Assets: Expected Returns for Private Equity,” by Antti Ilmanen, Swati Chandra, and Nicholas McQuinn,, Jan. 31, 2019.

The Illiquidity Discount?” by Cliff Asness,, Dec. 19, 2019.

Why Not 100% Equities,” by Clifford Asness,, Dec. 1, 1996.

Leverage Aversion and Risk Parity,” by Clifford S. Asness, Andrea Frazzini, Lasse H. Pedersen,, January/February 2012.

An Update to Cliff Asness’s Study on the Benefits of a Levered 60/40,” by Jeremy Schwartz,, May 20, 2021.

Are Value Stocks Cheap for a Fundamental Reason?” by Cliff Asness,, Aug. 30, 2021.

The Long Run Is Lying to You,” by Cliff Asness,, March 4, 2021.

Quant Legend Cliff Asness Is Back to Defending Value Again,” by Justina Lee,, July 15, 2021.

Still Crazy After All This YTD,” by Cliff Asness,, May 9, 2022.

Everything and More,” by Cliff Asness,, April 4, 2022.

Bonds Are Frickin’ Expensive,” by Cliff Asness,, Aug. 13, 2019.

Should Taxable Investors Shun Dividends?” by Ronen Israel, Joseph Liberman, Nathan Sosner, Lixin Wang, The Journal of Wealth Management, Winter 2019.


Cliff Asness Says ESG Is Here to Stay Amid Growing Interest,” by Isabelle Lee and Silla Brush,, May 17, 2022.

Shorting Counts,” by Cliff Asness,, Feb. 23, 2022.

Shorting Your Way to a Greener Tomorrow,” by Cliff Asness,, Sept. 7, 2021.

Virtue Is Its Own Reward: Or, One Man’s Ceiling Is Another Man’s Floor,” by Cliff Asness,, May 8, 2017.


Now There’s Nothing Certain But Death,” by Cliff Asness,, Jan. 15, 2021.