Cliff Asness

Cliff Asness, trained under Nobel laureate Eugene Fama, co-founded AQR Capital around the idea of systematic factor investing — buying baskets of stocks based on measurable, tested characteristics like "cheapness" (value) or recent strength (momentum), rather than picking individual companies by story.

The pain: Between roughly 2018 and 2020, the "value" factor went through one of the worst multi-year stretches in its recorded history, badly underperforming growth stocks. Financial media and even some professional peers openly declared that value investing was permanently broken in the modern market — a painful, public, years-long stretch of being told your entire approach no longer worked.

The lesson: Asness's response wasn't to abandon the strategy the moment it hurt — it was to go back to the data and ask whether the underlying logic had actually broken, or whether this was simply a normal, if unusually painful, drawdown that well-tested strategies go through periodically. He argued (and later data vindicated, as value strategies recovered strongly afterward) that abandoning a well-tested, evidence-based strategy purely because of a difficult stretch — without new evidence the edge itself was gone — is one of the most common and costly mistakes in systematic investing.

The lesson generalizes far beyond factor investing: every real edge, including a good intraday playbook, will have losing stretches. The discipline is knowing the difference between "this specific edge has statistically broken" and "this is just a normal bad patch," and not confusing the two under emotional pressure.