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AQR’s Asness Is Right. It’s a ‘Crappy’ Time for Factor Investing

  • Stock strategy loved by quants comes unstuck in choppy markets
  • Latest sell-off boosts momentum factor after months of pain

When the ultimate champion of factor investing uses the words “crappy” and “terrible” to describe recent performance, you know times are tough in quant land.

Cliff Asness, pioneer of quantitative trading and co-founder of industry giant AQR Capital Management LLC, remains an avowed proponent of strategies that pick stocks based on common traits like quality or value. But he got blunt about the current miserable climate while speaking at a conference last week.