Clifford S. Asness

AQR Capital Management, LLC

Managing and Founding Principal

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

United States

http://www.aqrcapital.com

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 33

SSRN RANKINGS

Top 33

in Total Papers Downloads

133,236

CITATIONS
Rank 2,222

SSRN RANKINGS

Top 2,222

in Total Papers Citations

252

Scholarly Papers (26)

1.

Fact, Fiction and Momentum Investing

Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue), Fama-Miller Working Paper
Number of pages: 26 Posted: 12 May 2014 Last Revised: 03 Oct 2014
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 16,043 (70)
Citation 1

Abstract:

Momentum, Value, Market efficiency

2.
Downloads 15,924 ( 130)
Citation 88

Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper
Number of pages: 54 Posted: 20 Mar 2009
Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 10,374 (272)
Citation 88

Abstract:

value effect, momentum, commonality, liquidity risk

Value and Momentum Everywhere

Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72 Posted: 14 Nov 2012
Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 5,550 (900)
Citation 88

Abstract:

3.

Fight the Fed Model: The Relationship Between Stock Market Yields, Bond Market Yields, and Future Returns

Number of pages: 33 Posted: 23 Mar 2003
Clifford S. Asness
AQR Capital Management, LLC
Downloads 14,143 (140)
Citation 22

Abstract:

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 12,080 (206)

Abstract:

Size, Size effect, Size Anomaly, Small Cap, Microcap, Quality, Junk, Profitability, Market efficiency, January Effect, Illiquidity, Value, Momentum, Low volatility

Size Matters, If You Control Your Junk

Chicago Booth Research Paper No. 15-21
Number of pages: 68 Posted: 19 Jul 2015 Last Revised: 24 Feb 2017
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC
Downloads 403 (57,146)

Abstract:

5.

Does Dividend Policy Foretell Earnings Growth?

Number of pages: 34 Posted: 07 Jan 2002
Robert D. Arnott and Clifford S. Asness
Research Affiliates, LLC and AQR Capital Management, LLC
Downloads 9,655 (291)
Citation 4

Abstract:

6.

Do Hedge Funds Hedge?

Number of pages: 21 Posted: 10 Jan 2001
Clifford S. Asness, Robert Krail and John M. Liew
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 7,110 (510)
Citation 107

Abstract:

7.

Quality Minus Junk

Number of pages: 65 Posted: 19 Aug 2013 Last Revised: 13 Nov 2015
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,425 (263)
Citation 2

Abstract:

Quality Investing, Quality Minus Junk, QMJ

8.

Fact, Fiction, and Value Investing

Forthcoming, Journal of Portfolio Management, Fall 2015
Number of pages: 31 Posted: 19 Apr 2015 Last Revised: 21 Jul 2015
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 4,728 (540)
Citation 1

Abstract:

Value, momentum, market efficiency, behavioral finance

9.

Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull

AQR Capital Management Working Paper
Number of pages: 51 Posted: 31 Oct 2000
Clifford S. Asness
AQR Capital Management, LLC
Downloads 3,652 (1,487)
Citation 3

Abstract:

10.

Predicting Stock Returns Using Industry-Relative Firm Characteristics

Number of pages: 46 Posted: 05 Jul 2000
Clifford S. Asness, R. Burt Porter and Ross L. Stevens
AQR Capital Management, LLC, Iowa State University and Urbanfetch.com
Downloads 3,015 (2,155)
Citation 13

Abstract:

11.

Low-Risk Investing Without Industry Bets

Number of pages: 27 Posted: 03 May 2013 Last Revised: 10 May 2013
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,994 (2,052)

Abstract:

Low Beta, Betting against Beta

12.

Rethinking the Equity Risk Premium

Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1
Number of pages: 164 Posted: 12 Jun 2015 Last Revised: 19 Mar 2016
Capital Group, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF), CFA Institute Research Foundation, Yale School of Management, AQR Capital Management, LLC, University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting, London Business School - Institute of Finance and Accounting, Barclays, Blackrock, Research Affiliates, LLC, AQR Capital Management, Xi'an Jiaotong - Liverpool University - International Business School Suzhou, BlackRock, Inc, Independent, University of Pennsylvania - Finance Department and Arizona State University (ASU) - W.P Carey School of Business, Department of Economics
Downloads 274 (10,120)
Citation 2

Abstract:

ERP, Equity risk premium, CFA, CFA Institute, research foundation, Arnott, Asness, Dimson

13.

Contrarian Factor Timing is Deceptively Difficult

Journal of Portfolio Management, Forthcoming
Number of pages: 29 Posted: 09 Mar 2017
Clifford S. Asness, Swati Chandra, Antti Ilmanen and Ronen Israel
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management and AQR Capital Management, LLC
Downloads 0 (4,900)

Abstract:

factor investing, factor timing, styles, value timing, value spreads, contrarian timing, value, momentum, defensive, tactical timing, smart beta, low beta, BAB, low volatility

14.

Betting Against Correlation: Testing Theories of the Low-Risk Effect

Number of pages: 57 Posted: 08 Feb 2017
AQR Capital Management, LLC, AQR Capital Management, LLC, Copenhagen Business School and AQR Capital Management, LLC
Downloads 0 (1,614)

Abstract:

asset pricing, leverage constraints, lottery demand, margin, sentiment

15.

The Power of Past Stock Returns to Explain Future Stock Returns

Number of pages: 48 Posted: 08 Nov 2016
Clifford S. Asness
AQR Capital Management, LLC
Downloads 0 (105,697)
Citation 11

Abstract:

Asset Pricing, Factor Investing, Momentum Factor, Book-To-Market Factor, Cross Section of Stock Returns

16.

My Factor Philippic

Number of pages: 30 Posted: 25 Jun 2016 Last Revised: 15 Jul 2016
Clifford S. Asness
AQR Capital Management, LLC
Downloads 0 (1,081)

Abstract:

17.

The Siren Song of Factor Timing

Journal of Portfolio Management, Vol. Special Issue, No. 1, 2016
Number of pages: 9 Posted: 18 Apr 2016 Last Revised: 23 Jun 2016
Clifford S. Asness
AQR Capital Management, LLC
Downloads 0 (482)

Abstract:

Factor Investing, Smart Beta, Style Investing

18.

The Devil in HML's Details

Posted: 09 May 2012 Last Revised: 09 Jun 2014
Clifford S. Asness and Andrea Frazzini
AQR Capital Management, LLC and AQR Capital Management, LLC

Abstract:

Value, momentum

19.

Leverage Aversion and Risk Parity

Financial Analysts Journal, Vol. 68, No. 1, 2012
Posted: 24 Jan 2012
Clifford S. Asness, Andrea Frazzini and Lasse Heje Pedersen
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Abstract:

Portfolio Management, Portfolio Concepts from Capital Market Theory, Markowitz Portfolio Theory, Risk Management, Risk Management, Portfolio Risk Management, Risk Management Strategies

20.

Momentum in Japan: The Exception that Proves the Rule

The Journal of Portfolio Management, Forthcoming
Posted: 09 Mar 2011 Last Revised: 27 Apr 2011
Clifford S. Asness
AQR Capital Management, LLC

Abstract:

Momentum, Value, Japan

International Diversification Works (Eventually)

Financial Analysts Journal, Vol. 67, No. 3, 2011
Posted: 11 Jun 2011
Clifford S. Asness, Roni Israelov and John M. Liew
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Abstract:

equity investments, equity market valuation, return analysis, international equity investing, portfolio management, portfolio construction and revision, diversification issues

International Diversification Works (Eventually)

Posted: 05 Mar 2010 Last Revised: 27 Jan 2017
Clifford S. Asness, Roni Israelov and John M. Liew
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Abstract:

Diversification, International Diversification, Global Diversification, Home Bias

22.

Rubble Logic: What did We Learn from the Great Stock Market Bubble?

Financial Analysts Journal, Vol. 61, No. 6, pp. 36-53, November/December 2005
Posted: 02 Jan 2006
Clifford S. Asness
AQR Capital Management, LLC

Abstract:

Investment Industry, Future Directions and Sources of Change, Portfolio Management, Asset Allocation, Equity Strategies

23.

Perspectives: Stock Options and the Lying Liars Who Don't Want to Expense Them

Financial Analysts Journal Financial Analysts Journal, Vol. 60, No. 4, pp. 9-14, July/August 2004
Posted: 10 Aug 2004
Clifford S. Asness
AQR Capital Management, LLC

Abstract:

Equity Investments: Fundamental Analysis and Valuation Models; Financial Statement Analysis: Financial Accounting Standards and Proposals; Derivative Instruments: Equity Derivatives

24.

Surprise! Higher Dividends = Higher Earnings Growth

Financial Analysts Journal, Vol. 59, No. 1, January/February 2003
Posted: 27 May 2003
Robert D. Arnott and Clifford S. Asness
Research Affiliates, LLC and AQR Capital Management, LLC

Abstract:

Portfolio Management: asset allocation; Investment Theory: efficient market theory

25.

Parallels between the Cross-Sectional Predictability of Stock and Country Returns

Posted: 26 Jun 1998
Clifford S. Asness, John M. Liew and Ross L. Stevens
AQR Capital Management, LLC, AQR Capital Management, LLC and Urbanfetch.com

Abstract:

26.

The Interaction of Value and Momentum Strategies

FINANCIAL ANALYSTS JOURNAL
Posted: 20 Apr 1998
Clifford S. Asness
AQR Capital Management, LLC

Abstract: