文字记录：克里夫·阿斯内斯
以下是本周《MiB：Cliff Asness, AQR 》的文字记录。
您可以在iTunes、Spotify、Stitcher、Google、YouTube和Bloomberg上在线观看和下载我们的完整对话，包括所有播客附加内容。我们之前关于您最喜欢的播客主持人的所有播客都可以在这里找到。
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播音员：这里是彭博电台巴里·里索尔茨主持的《商业硕士》节目。
巴里·里索尔茨，《商业硕士》主持人：本周的播客，这将是我最短的开场白，我和克利福德·阿斯内斯将全面回顾量化因子和价值投资的整个领域。这堪称大师级的课程。如果你不相信，我就闭嘴，直接说说我和AQR的克利夫·阿斯内斯的对话吧。
我们先来简单介绍一下你的背景。你在芝加哥大学获得博士学位，当时你是一位名叫吉恩·法玛（Gene Fama）的名不见经传的教授的助教。跟我们讲讲你的情况吧。
克利福德·阿斯内斯，AQR资本管理公司联合创始人：是的，基本上是我发现了他的。我最终去了芝加哥大学。当时我读的是商科和工程学本科。我决定成为一名教授，因为我当时的工作只是为了赚钱，为沃顿商学院的三位教授编写研究代码。我喜欢他们的工作。我问，我该怎么做你现在的工作？他们说，去读博士学位。我说，我应该去哪里？他们说，关上大门，因为我们在沃顿商学院。沃顿商学院很棒，但博士项目的排名可能和……
里霍尔茨：当然。
ASNESS：他们几乎对每个人都说，因为我去找了大约 10 位教授，他们说要去芝加哥。
里索尔茨：真的吗？
ASNESS：我的意思是，我进去了，我去了，而吉恩·法玛就是那个人。
RITHOLTZ：至少可以这么说。所以你的博士论文断言，持续超越市场平均水平可以通过同时利用价值和动量来实现。换句话说，你采用了Fama的价值因子，并添加了你自己的动量因子，最终形成了Fama-French因子，对吗？
ASNESS：是的。Fama-French 仍然没有将其纳入他们的官方五因素模型中。
里索尔茨：真的吗？
ASNESS：我们很多人认为他们应该这样做。我认为这只是一种理念上的差异。我总是这样描述：我一生中最害怕的时刻之一就是去Gene的办公室。我已经是他的助教了。他差不多答应担任我的论文指导老师，甚至还没有确定主题，然后他就走进来，说，我想写。我就写了。不仅仅是这个，我想探索的主要内容之一是动量策略，然后我就开始含糊其辞。顺便说一句，它非常有效。因为，你知道，学术界一直存在着这种争论：如果你相信某种东西有效，它有效是因为市场在风险补偿方面是有效的，还是出于行为原因？
而动量，本质上来说，我想我们当时都本能地知道这一点，很难想出一个理性的故事，一个基于风险的故事。我很紧张，因为他是“有效市场先生”，而且很理性。值得称赞的是，我松了一口气的是，他说，如果数据支持，就写论文，他非常支持这篇论文。他与Dimensional公司合作密切，Dimensional是我非常敬佩的一家公司。他们不像我们那么重视动量，但他们在交易过程中会用到它。所以我觉得我已经成功了一半——
里霍尔茨：对。
ASNESS：——随着时间的推移。你提到的唯一一点我可能会稍微有点不同意见，那就是“持续性”。我们认为价值加动量策略的风险调整后回报率确实很高，而且长期来看能够盈利。但是，当你经历过像科技泡沫那样的两年期，以及像2018年到2020年那样的三年期时，我想我自己、我的家人和我的一些客户可能会对“持续性”这个词产生质疑。
里索尔茨：那我们再具体点儿。要明确我们讨论的内容，你需要找出最便宜的价值股，但只持有那些看起来已经开始上涨的股票。
阿斯尼斯：是的。
里霍尔茨：这似乎有些道理？
ASNESS：是的。你无意中卷入了又一场量化金融的争论：是否每只股票都需要同时具备这两种特征？或者，是否可以有一些股票在某一方面表现优异，而在另一个方面表现平平，最终的投资组合结果如何？但你所说的直觉完全正确。在这一点上，文献已经取得了两方面的进展。这就像1990年代左右的量化金融。你可以加上规模效应，仅此而已。
RITHOLTZ：我们稍后会讨论这个——
阿斯尼斯：当然了。
RITHOLTZ：——因为我读过一些论文，它们表明——
ASNESS：是的，我们——
RITHOLTZ：——它可能不存在。
ASNESS：我们对此持怀疑态度。但价值、动量和规模，与我刚才说的顺序相反，从时间上看，规模几乎是第一位的，然后是价值，最后是动量，这三个指标在文献中仍然占据重要地位。大约在1990年，价值指标在最初的指标中占据主导地位，我认为从那时起它们就一直在进步，市净率是Fama和French使用的著名指标。
里霍尔茨：对。
ASNESS：他们会第一个告诉你，他们确实有点喜欢它，但它没有什么特殊地位。它基本上就是价格除以任何合理的基本面。
RITHOLTZ：所以它可以是市销率——
里霍尔茨：是的。
ASNESS：——市盈率，价格无论多少。
ASNESS：你会遇到疯狂反对的人。在我们公司，我们并不擅长判断哪种方法才是完全正确的。但如果你买入低倍数，卖出高倍数，无论是以跑赢基准的方式做多，还是以超配或低配的方式做多，你都会像其他人一样，然后就叫我“对冲基金经理”了。这大约占我们资产的一半。
里霍尔茨：好的。
ASNESS：我们大约一半的资产都是非常传统的，基金经理在这些资产中表现很好，你知道，有很多方法可以打败他们，比如不做空、不做杠杆，或者任何类似对冲基金之类的操作。但原则是一样的。价值策略中的增持是指低倍数，减持是指高倍数。如果你采用的是纯动量策略，那么增持（这也是1990年左右的动量）是指谁在过去一年中表现更好？就这么简单。
我过去常常轻蔑地称之为“两份报纸策略”。你需要一份报纸，一份最近的，一份一年前的。最好有一台电脑，因为它比你快一点，但你关注市场，买入正在上涨的股票。事实证明，这一点令人惊讶，两者都能在任何合理的时间范围内盈利。或许并不令人惊讶的是，用专业术语来说，它们呈负相关。如果你是一个纯粹的价值投资者，或者我是纯粹的动量投资者，我们偶尔会达成共识。我们以后可能会讨论这个问题，但现在我们比平时更加一致，因为价值股在某种程度上具有动量。
但通常情况下，廉价股票之所以便宜，是因为它们一直在亏损。所以它们属于负相关策略。这并不能创造10的夏普比率，但量化金融的终极目标是找到两个平均而言可以盈利且相互对冲的因素。价值和动量就是两者的结合，无论是相对于基准的相对优异表现，还是对冲基金的绝对表现。
RITHOLTZ：那么我们来聊聊你是如何创立AQR的吧。博士论文完成后，你最终去了高盛，有效地组建了他们的量化研究团队。
ASNESS：不过，我稍微修改一下这个故事，因为有些事情是同时发生的。1991年末，我离开了博士项目，休息了一年。现在我已经休息了32年了——
里霍尔茨：好的。
ASNESS：——看来它已经扎根了。
RITHOLTZ：所以你从博士学校辍学了？
ASNESS：没有，我确实完成了博士学位。
里霍尔茨：哦，好的。
ASNESS：我去了高盛。我已经开始写论文了。我觉得很多人离开的时候都想在工作中写论文，但我认为包括我在内的所有人都没能成功。但如果你已经完成了初稿，那么完成它可能需要几年的时间。
里索尔茨：哇。
ASNESS：但初稿完成后，工作更像是Yeoman式的。你只是在回应各种事物，进行新的测试。所以我完成了初稿，去了高盛大概一年，当时我的想法是期权的价值只能为零。我一开始打算当教授，但让我看看我是否喜欢现在的工作。大约一年，大概一年半之后，我又待了一段时间，我真的觉得我应该回归学术的根基。
我曾经做过固定收益投资组合经理和交易员，这真是太有趣了。我建议任何以此为生的人都应该在场外交易市场交易一段时间，了解那里的优缺点。但这跟博士课程里教的技能不一样。感觉不太对劲。后来我很幸运。在西海岸的太平洋投资管理公司（PIMCO）读到了我在《投资组合管理杂志》上发表的第一篇文章。标题很精彩，叫《期权调整利差和陡峭的收益率曲线》。以后会拍一部电视电影。
里霍尔茨：谁会在电影里扮演你？这是个大问题。
ASNESS：不管是谁，我都不会感到受宠若惊，就这么说吧。而且他们不会有头发，这会很烦人，因为我写那篇论文的时候，我还有头发。
里霍尔茨：对。
ASNESS：他们喜欢这篇论文，还跟我聊了聊。他们甚至不知道我晚上在写一篇关于量化股票的论文。他们基本上是给我提供了一份工作，让我从零开始创建一个研究小组。讽刺的是，考虑到后来发生的事情，长期资本帮助了我，因为当时他们的业绩非常好。突然之间，你知道，所有企业，不仅仅是华尔街，都取得了不错的成绩，我们需要其中之一。
里霍尔茨：对。
ASNESS：所以，我们应该聘请一些学者来帮助我们的想法，得到了他们极大的支持。实际上，我认为有些才华横溢的人，显然并没有在那里得到好结果。所以，讽刺的是，他们帮忙，而太平洋投资管理公司却想成立一个团队。我去了高盛，说我认为这是完美的结合。我可以从事学术工作，但在现实世界中，既可以看看它是否真的有效，又能赚更多的钱。任何告诉你他们做资金管理比当教授好，却从未考虑过这一点的人，可能不是——
RITHOLTZ：你一秒钟也不会想到这一点。
ASNESS：——没有完全说实话。Goldman 在你不知情的情况下说，我们正在考虑成立这样一个小组。直到今天，我都觉得这可能是真的，但我不知道这是否是对我的反应。但他们确实这么说过，也给了我这份工作，而且我觉得纽约市的天气比加州拉古纳海滩好多了——
里霍尔茨：纽波特海滩。
ASNESS：或者纽波特海滩，不好意思，加州。我还选择了芝加哥而不是斯坦福。
里霍尔茨：对。
ASNESS：——攻读博士学位。
里霍尔茨：所以你显然不关心天气。
ASNESS：不，芝加哥大学和斯坦福大学我都选了。
里霍尔茨：是的。
ASNESS：他们提供了津贴。博士生很幸运。他们实际上会付钱让你上学。一切都一样，只是芝加哥的预算里有钱可以支付我去参观的机票。
里索尔茨：就这样吗？
ASNESS：斯坦福没有。而且我也没钱。所以我去了芝加哥，而不是斯坦福，那是一个美丽的春日。
里霍尔茨：对。
ASNESS：所以我喜欢告诉人们我是世界上唯一一个选择芝加哥大学而不是斯坦福大学的人——
RITHOLTZ：根据天气情况。我更感兴趣的是，你白天在固定收益领域就像布鲁斯·韦恩，晚上在股票领域就像蝙蝠侠。
ASNESS：是的，那是我人生中最疯狂的时刻。还有一次，我和妻子，你知道，她比我更爱她，我们生了两对双胞胎，相差18个月。
里霍尔茨：哦，天哪。
ASNESS：这确实很有趣，但也很荒谬。
里霍尔茨：是的。
ASNESS：对吧？所以夜间活动和写论文有点不同。但在高盛工作，带着四个孩子，和写论文非常相似，论文就像你的孩子一样。
里索尔茨：我能想象。所以我们开始讨论AQR。1998年，你离开高盛，创立了AQR。今年是你入职25周年。
ASNESS：是的，太神奇了。
RITHOLTZ：首先，我要向你表示祝贺。
ASNESS：我想说四分之一个世纪，它有更多的思想基础（ph）。
里索尔茨：好的。确实如此。四分之一个世纪过去得真快，真是令人震惊。
ASNESS：所有的陈词滥调，特别是关于孩子的，但关于整个生活，它们之所以成为陈词滥调是有原因的。
里霍尔茨：对。
ASNESS：有一天你醒来然后问自己，过去 25 年我做了什么？
RITHOLTZ：好的。这是怎么发生的？
ASNESS：我记得大概三年。我喜欢跟别人说，我的记忆力非常好，可以追溯到两个时期。
里霍尔茨：对。
ASNESS：高中的最后两周。
里索尔茨：我想很多人可能都是这样。这取决于你的巅峰在哪里——
阿斯尼斯：是的。
RITHOLTZ：——就我个人而言。如果你在高中或大学达到巅峰，那你所有的记忆都会在那个时候最鲜活。那么，鉴于AQR已经成立25年了，你的投资理念在这段时间里是如何演变的？假设它真的发生了变化？
阿斯尼斯：当然了。
里索尔茨：我想是的。
ASNESS：确实如此，但保持不变的比变化的多。添加新的因子，衡量因子更好。我认为这不是理念的改变。这只是运用理念并进行更深入的挖掘。我们的总体信念始于90年代初在高盛的价值和动量，随着文献的扩展，我们的一些人帮助创建了低风险投资、优质投资、基本面投资，而不仅仅是价格动量等其他因子。
里霍尔茨：那我们来定义一下。比如，我想我们明白什么是优质投资，但什么是低风险投资呢？
ASNESS：低风险投资，最简单的说，所有这些，你在一个房间里找到10个量化分析师，这听起来像个糟糕的笑话的开头。他们每个人都有不同的方法和一套不同的方法来衡量这一点。但最简单的说，这是我的两位同事Lasse Pedersen和Andre Frazzini写的一篇论文。Andrea Frazzini，对不起，我漏掉了你名字的最后一个音节，Andrea。我再也不会那样做了，我写了一篇名为《押注贝塔系数》（Betting Against Beta）的论文。我忘了那是多少年前的事了。
RITHOLTZ：这就是众所周知的 BAB。
ASNESS：BAB，所有内容都是三个字母，因为 Fama 和 French —
里霍尔茨：对。
ASNESS：——用三个字母来命名它们的因素。
里霍尔茨：对。
ASNESS：所以现在我们都照搬他们。我得先告诉你，他们实际上是在延续费希尔·布莱克（Fischer Black）10年或20年前的研究成果。他当时发现了资本资产定价模型（Capital Asset Pricing Model）的基本理论，你知道，我们差不多都是在MBA金融课的第三周学到的。
里霍尔茨：比尔·夏普。
ASNESS：比尔·夏普。高贝塔系数股票的平均回报率应该高于低贝塔系数股票。事实上，其他因素都无关紧要。所以这是一个单因素模型，而且确实过于简单。即使是它的创造者也不会告诉你这就是万能的，但它确实是一种非常有用的思考方式。它让你明白一个非常重要的概念：可分散风险不应该让你获得报酬，因为你不必承担。你承担的是那些你无法通过分散化规避的风险。贝塔系数，这种风险你无法通过分散化规避，因为你的投资组合中很多已经是多头贝塔系数了——
里霍尔茨：对。
ASNESS：——应该支付。所以问题当然在于，从某种意义上说，你可以说贝塔系数是有偿的，因为股票在长期内往往表现为债券。但在市场内部，所谓的证券市场线几乎完全是平的，并且在样本内外存在了很长一段时间，在很多地方都存在。这意味着，低贝塔系数股票一直与高贝塔系数股票保持同步，而从最简单的理论来看，它们不应该如此。
你可以用很多方法运用它。你可以用低贝塔系数的股票构建投资组合，以较小的波动赚取尽可能多的收益；或者，如果你是一个对冲基金经理，你也可以把它运用到只做多头的投资组合中，但这会稍微复杂一些。你可以做多低贝塔系数的股票，做空高贝塔系数的股票，但最好使用对冲比率。如果你做多一美元的高贝塔系数股票或低贝塔系数股票，我有时会在面试中弄错符号。我保证，在现实生活中，当我们交易时，我们四次中有三次都能猜对符号。
里霍尔茨：好的。这是一个相当不错的数字。
ASNESS：希望大家都明白，4 选 3 是个笑话。但你做多低 Beta 值，做空高 Beta 值。如果你做多一美元，做空一美元，你就是在大规模做空市场。做多低 Beta 值，做空高 Beta 值，Beta 值是有效的。
里霍尔茨：对。
ASNESS：所以你应用一个对冲比率，做空的比做多的少，并试图创造一个接近零贝塔系数的模型。这就创造了一个非常不完美的模型，就像所有这些东西一样，它经历了低迷时期，但无论在样本内还是样本外，长期来看，它的风险调整后回报率都非常有吸引力。然后你就可以深入探讨它为何有效。
RITHOLTZ：那么我想问的是，如果低贝塔系数的回报率与高贝塔系数的回报率差不多，那为什么还要这么复杂呢？为什么不直接持有低贝塔系数的股票呢？这样，在风险调整后，高贝塔系数的回报率会更高。
ASNESS：嗯，当然有些股票确实如此。但如果你是对冲基金经理，试图创建一种真正不相关的另类投资，低贝塔系数股票仍然与市场高度相关。
里霍尔茨：对。
ASNESS：所以通过做多低贝塔值并做空少量高贝塔值，这取决于你的偏好以及你想要的积极程度——
里索尔茨：但是你消除了这种相关性。
ASNESS：是的，你可以创造。我总是对不相关的担忧持谨慎态度。我只是想……
里索尔茨：这有关联吗？
ASNESS：嗯，我努力追求不相关，但我脑子里的合规官却说，有时候它并不总是为零。
里霍尔茨：对。
ASNESS：但结果很接近。所以你可以创造一个非常多元化的回报流，如果你只想投资低贝塔系数的股票，你创造的回报流会更具吸引力，但仍然可能与你持有的其他股票高度相关。所以它可以用于不同的用途。
里索尔茨：所以我认为大多数人想到AQR时，都会想到价值型商店。但当我在为我们的谈话做准备时，我找到了我之前的所有笔记——
ASNESS：你不是即兴发挥吗？
里索尔茨：不，我尽量不这么做。你知道，我跟雷·达利欧（Ray Dalio）做过，我只是即兴发挥。但跟你在一起，我觉得我必须全力以赴。
ASNESS：这是华尔街无意间开的一个好玩笑，对吧？
里索尔茨：是故意的。但当时不是。
ASNESS：好的，很好。
里索尔茨：你知道，我拥有这一切——
ASNESS：我有一百万个。
里索尔茨：好的。我已经让他们都准备好了，等着你。所以人们倾向于认为AQR是一家价值投资公司。但实际上，你们是一家深度量化投资公司，拥有许多不同的策略。我们来谈谈你们投资的各种方式吧。
ASNESS：好吧，我可以稍微回顾一下吗？
里霍尔茨：当然。
ASNESS：——谈谈为什么人们认为我们是一家物有所值的商店？
里索尔茨：绝对是。
ASNESS：有几个原因。首先，在遥远的过去，曾经有一个时间点，它更接近真相。
里霍尔茨：好的。
ASNESS：有些东西，比如押注贝塔值、质量或盈利能力、套利策略，都是随着时间的推移逐渐增加的。所以很多人关注我们，但任何从一开始就关注我们的人，一开始都是这么想的。另外，几个月前我刚在我们的网站上写了一篇文章，标题充满防御性和担忧，标题是“我们不仅仅关注价值”（括号里是“我们关注价值，除了偶尔关注价值”）。因为你确实会经历这些时期，而价值似乎是罪魁祸首，99——
RITHOLTZ：所以，即使你的标题有一半——
阿斯尼斯：是的。
RITHOLTZ：——是对冲基金。所以你们是半对冲基金？
ASNESS：嗯，你知道，提醒我一下我们工作的地方，因为我会像你一样跑题，但我确实写了很多模棱两可的陈述，而且我的脚注也挺出名的，因为我会把幽默写在那里，而且我会把所有可能出错的地方都写进去。这真的不是出于合规性的原因，我希望这更多的是出于学术诚实的原因。任何确信自己是对的人都是非常非常危险的。
RITHOLTZ：脚注可以帮助你理解这一点。
阿斯尼斯：是的。
里索尔茨：首先，我想说，我们不想杀死我们所爱的人——
阿斯尼斯：是的。
里索尔茨：——任何写作的人都可以。但其次，你很容易陷入困境。我先在脚注里加上这一点——
阿斯尼斯：是的。
里索尔茨：——结束它，继续前进。而且它允许——
阿斯尼斯：是的。
RITHOLTZ：——好的，我——
阿斯内斯：没有。
RITHOLTZ：——为我接下来的思考扫清了道路。
ASNESS：脚注对我来说有三个作用，我把幽默融入其中。它们是模糊的界限。我刚才说的话可能会被加粗，也可能是错误的。最后，还有一些我喜欢的句子，我的编辑却不喜欢。
里霍尔茨：对。
ASNESS：我们双方都同意，这值得加个脚注。但是这个——
里索尔茨：对了，你的编辑跟你一样，天哪，我今天得去处理克里夫的事。把它写在脚注里，然后继续。
ASNESS：是的。有这样的废纸篓很有帮助。
RITHOLTZ：我以前用的是单独的文档，里面的内容我都会编辑。所以当我遇到困难时，我就把这句话挪一下——
阿斯尼斯：是的。
RITHOLTZ：——这一段在这里，因为它干扰了叙述。
ASNESS：几乎所有写作的人都会发现，他们想用七种不同的方式论证。
里霍尔茨：对。
ASNESS：因为你既想消灭反驳的观点，又想暂时跳到它的坟墓上。
RITHOLTZ： 预计会出现混乱的情况。
ASNESS：一位好的编辑会建议你挑选一个或两个最好的论点并采用它们。
里霍尔茨：对。
ASNESS：脚注再次发挥了作用。
RITHOLTZ：那么，抛开题外话，让我们回到多重策略的讨论上来。
ASNESS：不，我还没说完。我得继续说下去——
RITHOLTZ：又说题外话了。
ASNESS：——为什么我们并非都具有价值。
里霍尔茨：好的，我们走吧。
ASNESS：这可能需要剩余的时间。
RITHOLTZ：我利用晚餐的时间清理了我的日程安排。
ASNESS：我们采用多策略。我们经历了很长一段时间，几乎长达十年，几乎很少谈论价值。坦率地说，这是一个相对重要的因素，但并非我们工作的主要内容。我们经历了很长一段时间，一个很好的例子就是从全球金融危机之后到2017年，价值投资都面临挑战。
里霍尔茨：过去十年。是的。
ASNESS：我们过去近十年表现优异，因为我们做的其他所有事情都有效，盈利能力、基本面、动量以及低风险。我们不需要价值也能成功。很大程度上是因为那段时期价值的损失，我称之为理性的原因，Gene Fama 也请原谅我。
里索尔茨：什么意思？
ASNESS：总的来说，那些估值高的公司，表现优异并非因为价格——价格本身也确实如此——而是因为它们的执行力更强。它们在盈利、销售额和现金流方面都增长更快。如果你是一个纯粹的量化价值投资者，只买入低倍数的股票，你平均而言会盈利，因为平均而言，股价涨幅过大。这背后有一个基于风险的解释。
里霍尔茨：当然。
ASNESS：我又一次因为这个惹恼了Fama。但我们认为，你之所以能赢，很大程度上是因为那些价格高昂的股票通常表现更好，但好不了多少，这跟股价反映的因素无关。这只是平均水平。幸运的是，有时价格高昂的股票最终会物有所值，甚至物超所值，这种情况并不常见，但仍然相当常见。当这种情况发生时，价值因子，也就是量化价值因子，与格雷厄姆和多德投资者（我们稍后会讨论这个，我们会使用“价值”这个词）截然不同，在这种时候，价值因子就会受到影响。
但其余过程我们基本上是同时进行的。并非先做一件事再做另一件事。你可以把它看作是试图避免价值陷阱。这个东西盈利能力高，市场正在朝着正确的方向发展，风险又低，所以有人应该支付高倍数吗？而你想避免仅仅为了价值而做空它。在理性的市场，在泡沫中，这招非常有效。再说一次，我尽量最后一次这么做。我是吉恩·法玛的异端者，因为我爱他。
里霍尔茨：对。谁具体说了什么是泡沫？
ASNESS：是的。我觉得我的情况介于两者之间。在我的职业生涯中，我见过一些这样的人。我认为他们确实存在。我认为他们比华尔街很多人对他的描述要少得多。很多华尔街人士会说，他们认为价格昂贵的股票正处于泡沫之中。
里霍尔茨：对。
ASNESS：单只股票不可能存在泡沫。
里霍尔茨：对。
ASNESS：不过，我确实认为科技泡沫，尤其是新冠疫情中期，我们都经历过各种各样的泡沫。泡沫中，价值会缩水。当然，几乎可以肯定的是，人们都想买那些“宠儿”。但“宠儿”并非那些执行力超群的公司，而是那些拥有最精彩故事的公司。所以我们流程的其他部分并没有给我们带来太多的保护。那段时期对我们的流程来说极其痛苦，我认为我们仍然处于1999年底和2000年之间，我们已经从那次“往返”中恢复过来了。这段时间过得不错，但也带来了一些非常艰难的等待。
我的目标是想出一些东西来添加到我们的流程中，这些东西在泡沫中会表现得很好，但不会让我们长期花钱，因为我认为我们无法把握时机。
里霍尔茨：这很有趣。
ASNESS：我不觉得我能找到。顺便说一句，我这么说有点自私，但如果你最糟糕的时候是其他人都在泡沫中狂欢，而你最好的时候是泡沫破裂导致所有人都丧命的时候——
里霍尔茨：是的。
ASNESS：——你的财产并不糟糕。
里索尔茨：不，绝对不是。所以我们稍后会进一步讨论价值和增长。既然你提到了这一点，我想跟你提几点想法——
阿斯尼斯：当然了。
RITHOLTZ：大约在金融危机之后的十年里，增长不仅超越了价值，而且彻底击败了价值。
阿斯尼斯：是的。
里索尔茨：我听到过一些理论，我觉得值得讨论一下。首先，在金融危机爆发前的十年，至少是八九年，价值股占据了上风——
阿斯尼斯：是的。
里索尔茨：——而且增长正在受到扼杀。所以你们的起点相对不平衡。也许这其中有些是为了迎头赶上。但我觉得更有趣的是，在金融危机爆发之前，华尔街和市场系统性地低估了无形资产的价值——
阿斯尼斯：是的。
RITHOLTZ：——比如专利、版权——
阿斯尼斯：当然了。
RITHOLTZ：算法等等。2010年代的反弹有多少是无形资产的追赶？
ASNESS：早期确实可能存在一些问题。很多量化分析师在过程中都做了一些调整。我们大多数人都不是纯粹主义者，不会说我们自1990年以来就不改变我们的模型。
里霍尔茨：对。
ASNESS：例如，研发被视为一项支出，也许是全部，也许是其中的一部分，实际上应该资本化——
里霍尔茨：对。
ASNESS：——这将计入账面价值，使公司看起来不那么昂贵。
RITHOLTZ：因此，一家在研发上投入大量资金的公司就是在投资未来。
ASNESS：没错。所以我认为这可能是我认为在某些方面有些过度解读的原因。首先，它不仅适用于市净率，而且最直接地适用于市净率，因为市净率不包括研发等资本化因素。它可以适用于盈利。但很多估值指标并不适用于市销率。是——
RITHOLTZ：应该没什么区别。
ASNESS：我不明白您对无形资产有何看法。
里霍尔茨：对。
ASNESS：这代价是什么？它能带来多少收入？这类措施的效果和那些可污染的措施差不多。这是个词吗？我不确定这算不算个词。
里霍尔茨：当然，现在就是了。
ASNESS：但现在确实如此。所以我绝对认为你应该在市净率（AQR）等盈利指标中考虑到这一点。我认为，从整体来看，不仅仅是AQR，这改进了我们衡量价值的方式，世界也发生了一些变化。关注价格而非其他任何因素，即使它不受无形资产的影响，在2020年末（全球金融危机爆发以来，大约11年）之前都不是一件好事。你知道，现实世界总是更加复杂。每个人都在寻找单一的解释——
里霍尔茨：对。不是这样的。
ASNESS：很多事情都有多种解释。所以我认为这肯定是原因之一。但我不认为这是主要驱动因素。
RITHOLTZ：是的。至少可以这么说，金融领域对细微差别的重视程度被严重低估了。我们来谈谈您的研究和写作吧。我想引用您最喜欢的刊物《纽约时报》的一段话，它曾这样评价您：“他以敢于写作、敢于表达自己的想法而闻名。在学术界，他以在《金融分析师杂志》等刊物上发表的诙谐犀利的论文而闻名。” 我知道您写作不是为了打造品牌，但您个人从源源不断的、深刻而有思想的学术论文中获得了什么呢？
ASNESS：首先，你太客气了。我写作当然是为了打造品牌。
里霍尔茨：好的。
ASNESS：我经营一家现实世界的企业，我希望人们认为我们擅长于此，我认为这是合理的。
里索尔茨：这很公平。
ASNESS：如果我写的东西被人们认为很糟糕，或者他们不同意，或者没有抓住重点，那就会损害我们的业务。所以我不会假装这部分不是商业决策，但实际上大部分都不是。很大程度上是我们的DNA。我们的四位创始人中有三位是在芝加哥大学的博士课程中相识的。我们认为写作是学术性的，或者通常是一种介于学术和应用之间的领域。你知道，我们在《金融杂志》（JFE）上发表过很多论文，这才是真正的学术。我们的很多作品都发表在《金融分析师杂志》和《投资组合管理杂志》等知名刊物上，这些刊物可以说是这两者的结合点。这听起来可能有点幼稚，但其中相当一部分只是个人消费。
里霍尔茨：什么意思？
ASNESS：我们很享受成为这个世界的一部分。我们从小就认为，衡量成功的标准之一，就是你是否能影响知识界的辩论，以及你在这些圈子里被如何看待，这只是我们效用函数的一部分。我确实有几点想法。首先，我总是指出，我不知道确切的细分，但我们所做的相当一部分是公开的。但我们认为也有相当一部分是专有的。有些东西，如果AQR的研究人员发表出来，我会追查到底。
里索尔茨：哦，真的吗？
ASNESS：是的。我的合规部门想让你们知道，我说的只是夸张，而不是夸大其词。但是，你知道，即使有些事情我们认为世界终将发现，有些事情我们认为我们在某种程度上领先，我们也会努力坚持下去。但我们做的很多事情是，你知道，价值策略是否便宜？有人会写一篇论文，说押注贝塔策略实际上只针对小盘股，我们会对此做出回应。所以，这实际上不会泄露一些我认为确实存在、非常独特的东西。这确实符合我们的口味。
我确实认为，除了广告方面，我们业务的一大优势是我们聘请了很多博士，包括教授。我们聘请了一些全职的博士，并且我们与他们保持着非常牢固的关系，他们为我们工作，但通常情况下，他们也能为学校全职工作。
里索尔茨：可以这么说，我可以想象。
ASNESS：他们身兼数职。这是因为他们为我们做的事情也是他们研究的内容。这其实挺美好的。我觉得在那个世界里，我们并没有受到那么认真的对待。
RITHOLTZ：这意味着这将是一个招聘挑战。
阿斯尼斯：是的。
里索尔茨：你可以对教授说，你可以为你正在做的任何事情写文章。你可以帮助我们。
阿斯尼斯：是的。
RITHOLTZ：如果你想与我们一起出版，我们也可以尝试一下。
ASNESS：没错。这绝对是双重的。他们被允许，但前提是，如果内容是绝对专有的，那就不行。但总的来说，我们也在帮助他们的学术生涯，因为我们同意他们撰写大量相关内容。这比那些说你一个字都不能说的公司更有吸引力。
其次，如果我们既不是这项研究的生产者，也不是消费者，我认为我们根本无法像现在这样接触到这些人。当你至少偶尔在他们所在的期刊上发表文章时，你会获得不同程度的尊重。
里索尔茨：你们已经发展成为一个足够有影响力的机构，与AQR的合作对任何人的简历都不会有什么坏处，反之亦然。这让你们有机会接触到一些顶尖的学者。
ASNESS：当然。也有例外。我想，大概在2020年底左右，人们可能对这种关系保持了一段时间的沉默。
里霍尔茨：那是一场短期演出。
ASNESS：是啊。不，我开玩笑的。开玩笑的。
RITHOLTZ：这与您的研究无关。
ASNESS：开玩笑的。我很自豪，因为我确实认为学术简历上的AQR至少不会有害处，甚至可能有帮助。
里索尔茨：我想说，你的谦虚超出了必要的程度。
ASNESS：我可以假装很多次。
里索尔茨：好的。你知道，只要你能假装真诚，这就够了，对吧？
ASNESS：你说服我了。
里索尔茨：没错。那我们来谈谈你的几篇让我感到有趣的文章吧。2019年末，你写道，债券现在贵得吓人。你是如何围绕这个论点进行投资的？因为回顾1981年开始的牛市和债券市场，感觉整个2010年代债券价格都很高。
阿斯尼斯：当然了。
RITHOLTZ：是什么让你最终在 2019 年哭诉说，好吧，不再有了吗？
ASNESS：首先，我要说的是，我们不会根据估值来判断资产类别的时机，这类观点上押注过高，这可能会让你有些失望。我和安蒂·伊尔马宁（Antti Ilmanen）写了一篇论文，我忘了具体标题，我记得其中一篇叫做《略微犯错》（Sin a Little），我们在文中指出，把握市场时机——这适用于债券市场和股票市场——是一种投资上的“罪孽”。最后，我们建议你偶尔犯点小错误。
RITHOLTZ：并不是说我已经完成了所有作业，但那是 2019 年 11 月 7 日。
ASNESS：你比我了解得多。
里索尔茨：引用“是时候犯罪了”这句话。我最近研究了一下，这是你三年前写的。
ASNESS：我其实不太擅长整理自己的作品目录。这里面有很多东西。你提到的那个是关于价值时机的。
RITHOLTZ：好的。相反呢？
ASNESS：这其实是同一个概念。我们确实相信，如果你系统地遵循一个合理的策略，也就是说，你不看前瞻，只看过去数据，试图根据股市、债市，甚至价值投资的便宜或昂贵程度来判断时机，那么这些策略通常能带来非常非常温和的长期正风险调整回报。正如你所说，你可能会经历很长很长的一段时间——
里索尔茨：很长。
ASNESS：——它们被高估了，并且变得更加高估。
里霍尔茨：对。
ASNESS：我们确实会将估值与动量、盈利能力等因素结合起来考虑，因为估值现在开始变得更好，因为在其他条件相同的情况下，估值与这些因素呈负相关。如果你拥有动量，而且估值没有被高估——
RITHOLTZ：时机很重要，对吧？如果你用的是动量，时机到底有多重要？
阿斯尼斯：是的。
RITHOLTZ：——只要他们按照你的方式去做。
ASNESS：因为它一直存在并且势头强劲。
里霍尔茨：对。
ASNESS：关于债券价格过高的文章最终会成为一个技术术语，我会推动它。
里霍尔茨：对。
ASNESS：正如我之前强调的，我不知道该如何把握时机。这是一个5到10年的视角。我尝试了各种方法来观察债券。这远在收益率回升和通胀飙升之前。
里索尔茨：对，
ASNESS：与任何预测或追踪通胀数据相比，债券收益率几乎是有史以来最低的。我认为，最差的收益率是昂贵的。
里霍尔茨：没错。
ASNESS：如果人们着眼于长远，他们会如何看待这一点？现在我们可以进入TNA（长期市场），别无选择，股市表现也不容乐观。我认为我们发布这些长期预测（我的同事安蒂·伊尔曼宁在这方面确实很精通）的很大一部分原因是我们对此很感兴趣，而且我们的客户似乎也非常重视它。但我们不会根据10年的预测进行交易。
里霍尔茨：对。
ASNESS：我举个例子。假设价值投资具有影响力，这甚至可能存在争议，但我们相信它确实如此，它可以告诉你未来十年的表现会比正常情况更好还是更差。通常情况下，答案是，我们预测会有正回报，但远低于历史水平。好的。你会怎么做——
RITHOLTZ：您只是在进行规避，还是这只是一个总体预测？
ASNESS：不，这实际上通常只是模型的预测。
里霍尔茨：那么 40% 这个数字，发生这种情况的几率是多少？40%。
阿斯尼斯：是的。
里霍尔茨：你这么说肯定没错。
ASNESS：是的。这些东西总是模棱两可。你知道，统计学家从来不说我们知道这些。他们说我们出错的可能性很小。但这在理论上也是准确的。你永远不知道。但想象一下你有一个预测。股票通常每年盈利10%，而且不要让我局限于这些数字。我们认为它们每年会盈利5%，但不会是负数。你知道吗？如果有人做空未来10年的股票，或者相对于基准减持，你知道如果你做空的是正收益，但低于历史收益，会发生什么吗？
里霍尔茨：你会损失钱。
ASNESS：你的损失比历史上任何时候都要少。十年后，你可以去找你的客户，说，我亏了你十年的钱。但好消息是，我亏的钱比平均十年的损失要少。这是一个很好的例子，说明预测十年期的收益可能很有趣，也可能至关重要，对吧？从个人到养老基金，无论你是在何处，我都需要存多少钱才能退休？你能用这笔钱赚多少钱，这是一个重要的数字。但这不一定是可以操作的数字。
多年来，我爸爸一直在用电子表格。那只是一张小纸片，而且很可能计算错误，因为不管你信不信，我爸爸根本不懂数学。我妈妈是数学老师，所以——
里霍尔茨：好的。
ASNESS：——我从某个地方看到的。但他有一张小表格，上面写着我需要多少钱才能退休，我想每个人，包括机构投资者，都或多或少地都有这张表格。所以我们认为这个数字非常重要。但我不建议仅仅根据估值进行交易，除非这有点儿问题。我喜欢开玩笑说要达到120%的水平。当然，这个笑话是说，根本没有120%这个数字。
里索尔茨：对。也就是说，这超出了我们一生的经验范围——
ASNESS：是的。这超出了我们以往所见的任何情况。我的成绩比之前的100百分位，也就是新的100百分位，高出了20%。我们已经尽力了，却找不到任何合理的解释。这只是一个小举动，不要逞英雄，因为这些事情可能会变得越来越疯狂。这就是所谓的“小罪”。我们建议你偶尔犯点小罪。Barry，我建议你在你的个人生活中，在非常不同的环境中也这样做。你可以以任何你喜欢的方式运用它。
所以，在2019年那个时候，对于债券，我想我们会告诉人们，我们可能希望在很长一段时间内，跌幅低于正常水平。但大多数情况下，我们告诉人们，你赚得会更少。现在，2019年末，是时候犯下罪行了。我想我尝试用“可宽恕的”（venial）这个词，一种轻微的罪行。
里索尔茨：可耻的。可耻的。
ASNESS：这里有两个犹太人。
里霍尔茨：是的。
ASNESS：我们需要一名天主教徒。
里霍尔茨：对。
ASNESS：我基本上说是时候了，我想说的是，可有可无的价值罪，可有可无的价值时机罪，我当时正在观察便宜和昂贵之间的价差。我想说我们创造了它。这可能是错的。你永远不知道是谁私下创造了一些东西，却没有分享。我们是第一个发表这方面研究的人，那是在科技泡沫时期，1999 年的 24 年前的结果，与 2019 年和 2020 年非常相似。价值扼杀了我们的理性思考，所以这个过程的其他部分也无济于事，之后的恢复过程极其痛苦，需要巨大的努力。
但在最痛苦的时刻，我们想要衡量它的极端程度。你不能总是只看回报。回报能告诉你你承受的痛苦，但如果这些回报是由巨大的盈利增长所支撑的，比如你的盈利翻倍，你的市盈率保持不变，而你的回报率是100%。这不会让你变得更贵，而只是一个很棒的结果。而且其中的一些因素总是会考虑进去的，所以你需要有前瞻性。
所以我们建立了一个非常简单的指标。当时发表的所有学术和应用研究都根据估值指标对股票进行分类，通常做多或增持廉价股票，做空或减持昂贵股票，但从未真正解决过究竟是便宜还是昂贵。你总是会得到一个价差。我喜欢说，否则你的电子表格就坏了，或者每只股票的市销率都恰好相同。
里霍尔茨：对。
ASNESS：但有时这种差距很大，有时又很小，而且它确实与直觉上让你觉得泡沫化的时期相对应。
RITHOLTZ：因此价差越大，估值越有吸引力。
阿斯尼斯：是的。
RITHOLTZ：低价值股票与成长型股票。
ASNESS：从三到五年来看，价值型股票看起来比增长型股票更好。而且，纯粹的价值型股票永远不是一个好的择时工具。我认为，当估值如此极端时，你确实应该站在所谓的催化剂的对立面。对你来说，坏的催化剂会有点伤害，而好的催化剂会有很大帮助。不过，我写这篇文章是在2019年末，当时利差正逼近我从未想过会再次看到的水平。
RITHOLTZ：不过，还是回到 1999 年吧。
ASNESS：他们当时正接近科技泡沫顶峰。
里索尔茨：真的吗？这太令人震惊了。1999年，疫情低点之后我们经历了什么？标准普尔指数上涨了68%，第二年又上涨了28%。所以现在是19年末了。
ASNESS：现在是 19 年末了。我们还没到那一步。
里霍尔茨：是的。
ASNESS：我说的是便宜和昂贵之间的价差，而不是整个市场。如果你愿意，可以把整个市场，或者说席勒CAPE之类的指标，在1999年和2000年表现得更糟糕。当时它达到了45左右，而在2020年的峰值时，它达到了30多美元的低位到中位。
RITHOLTZ：您如何在工作中使用 Shiller CAPE？
ASNESS：同样如此。
RITHOLTZ：因为我知道很多人都喜欢耸肩表情。
ASNESS：有些指标显示，当席勒周期调整市盈率 (Shiller CAPE) 很高时，市盈率 (PE) 也很高，但 10 年预期回报率却很低。我们实际上不会因为席勒周期调整市盈率而做空股票。
里霍尔茨：是的。看起来几十年来一直处于高位。
ASNESS：是的。这是我和Antti关注的主要问题之一，我们说，仅仅基于席勒CAPE很难进行积极的择时。更合理的做法是对历史标准进行10年期的修正，因为席勒CAPE有高有低。但在2019年末，我写道，现在是时候犯一个可怜的价值择时错误了。我写道，我在这里忽略了动量或趋势，这违背了我们的很多理念，主要是因为我认为这太疯狂了，它可能会非常非常快地反弹，因为平均而言，趋势和动量是平均的。
你想做一件平均而言有效的事情，而且要多次成功。你只有一次机会，对吧？如果这发生在价值股的三个月融涨中，如果你不这样做，你可能会错过很多机会。所以事实证明，如果我听从趋势和价值的指引，它对我们来说效果很好。甚至可能更好。所以这有点像一个道德故事。我承认我的错误，也承认我的……
里霍尔茨：对。
ASNESS：但我写了这篇文章。然后大约，我不知道，四五个月后，我写了一篇后续文章，说从来没有任何罪恶受到过如此猛烈和迅速的惩罚。
里霍尔茨：我记得。
ASNESS：我会找个借口。但我觉得就借口而言，这个借口已经算是比较好的了。
里霍尔茨：是的。
ASNESS：它被称为 COVID。
里霍尔茨：对。
ASNESS：当然，这超出了我的预测能力。另外，我认为市场事后对新冠疫情的反应确实很疯狂。基本上，你还记得，你只需要持有Peloton和特斯拉，价值股在封锁期间将不复存在。
RITHOLTZ：嗯，在新冠疫情之前，特斯拉就开始上涨，期待被纳入标准普尔指数，然后股价就真正进入了下一个阶段。
ASNESS：不过，我们或几乎任何其他人衡量的价值，在新冠疫情爆发后的前六个月里都被摧毁了，甚至连方向性都证明不是。价值股的基本面，我称之为在市场关注之外的执行，只是在公司内部执行——
里霍尔茨：对。
ASNESS：实际上，即使算上疫情，市场表现也相当强劲。所以之前的担忧并没有成真。我们以为这些利差已经疯狂了。但与接近科技泡沫高点的情况相反，科技泡沫之后，我从未想过我的职业生涯中还会再看到这种情况，我承认我错了，当新冠疫情来袭时，它们已经超越了泡沫，远远超过了泡沫。我们坚持自己的立场，甚至还稍微加剧了这种倾向。
基本上，任何来自外部人士，无论是战略家、专家、客户、顾问还是内部人士，我们都能找到解释我们可能犯错的原因。你知道，我的想法是，你必须保持一个真正开放的心态，思考你可能犯错的地方，并检验那些说法。如果最终发现某些说法看起来空前疯狂，而你在保持开放心态之后，拒绝了那些说法，那么你必须脚踏实地，坚定地说，我不会被左右。我认为我们在这方面已经做得相当好了。我以前从来都不想那样。
你之前问到投资理念的转变，我们又聊了20个基金相关的话题。我的投资理念发生重大转变的时期是在我职业生涯的初期，实际上是30年前。如果你回溯到高盛时代，如果你问我什么造就了伟大的投资者，我指的是量化投资，但总的来说，我可能会傲慢地回答，哦，就是比别人更聪明。你知道，比其他投资者更聪明，甚至比整个市场更聪明。傲慢的部分在于，我隐含地认为我就是其中之一。
我仍然认为这是一个大胆的论断。聪明是好事。我并没有改变聪明的标志。但我现在认为，长期的成功，一半的成功在于保持开放的心态，你不能跳过这一步。如果你认定自己是对的，那么拥有一种极其执着的坚持和聪明同等重要。
里索尔茨：好的。我稍微修改一下你刚才说的内容，因为我完全理解你的意思，但我想重新表述一下。市场情报是关键。你必须假设你交易的每个人，无论对手是谁——
阿斯尼斯：是的。
RITHOLTZ: — is intelligent, even if it’s not true. You have to assume that that’s what’s on the other side, hey, I don’t know who’s on the other side of my trade, but I’m going to assume they know at least what I know, if not more. What you’re also sort of suggesting is you have to learn when your high conviction trades become I stick to my guns and ride this out, even if I’m wrong for a quarter or more or four, this will eventually work out.
ASNESS: Or 11.
RITHOLTZ: Right.
ASNESS: Because I know these numbers precisely. Drawdowns have this amazing subjective, we borrow the term from physics, time dilation, even though we use it differently, where if you look at a back test, or even real life returns and you see a fairly horrible drawdown, but you know it ends well, you look at and go, of course, I’d stick with that. It’s a great process. Look at what it delivers.
Two, three years, as some of these can take, they are an eternity. Everyone wants quarterly numbers which means you’ve gone back to people 11 times, 12 times and said, we stink again. It becomes a proof statement and you show a partial anecdote to this. But the financial media does a great job of coming up with stories why whatever is working is the truth and whoever is losing is —
RITHOLTZ: Right. That shows what’s working right now.
ASNESS: So you’re defending yourself. I do think we’ve done a great job of sticking our guns at these times. But I do worry that some years at the end of my life have been used up.
RITHOLTZ: But what’s the quote? There are some days that lasts decades —
ASNESS: Yeah.
RITHOLTZ: — and some decades that go by in days.
ASNESS: When we talk about children, that’s an example of decades that go by in days. Drawdowns are an example of days that go by —
RITHOLTZ: Right. Days are long and decades are short.
ASNESS: It feels far longer than it really is and what I might call, I don’t think there’s a real term, but statistical time.
RITHOLTZ: Right.
ASNESS: When can you actually say this is wrong?
RITHOLTZ: It’s pain time. When you’re in pain, time goes much more slowly. Time flies when you’re having a good time. And this the inverse.
ASNESS: And this is perhaps self-serving, but this raising of a rational, after being open-minded and cynical stick-to-itiveness to half the battle is also why I think some of these things last and don’t get arbitrage the way in the real. This latest 2017 which again was a bad period for value, but a very good period for us and our firm grew.
Most common question I get, particularly in public forums, would be, and it’s an intelligent question, if this is as good as it looks like, why isn’t arbitrage the way? And literally, I did not expect or want to be as right as I was over the following three years. But I would say particularly having lived through the tech bubble, you have no idea how hard this can be to stick with at times. It is not that easy. It seems easy now over full cycles. And I am schizophrenic about this, half of me hates it because these times are hell, but half of me realizes that if they didn’t exist —
RITHOLTZ: Right.
ASNESS: Right? Every value manager on earth and this probably applies to non-value, but this is the people I talk —
RITHOLTZ: Every discipline on Earth —
ASNESS: Yeah.
RITHOLTZ: — in finance. anyway, I’m going to steal your line, you don’t get the full glory of the upside without suffering through the out of favor downside.
ASNESS: No. Wes Gray, someone you and I talked about before we started, I think it’s Wes’s term.
RITHOLTZ: It is Wes’s. I know exactly where you’re going to go.
ASNESS: No pain, no premium.
RITHOLTZ: Oh, no, I was going to say even God would get fired as an active manager —
ASNESS: Oh, okay.
RITHOLTZ: — is a line from Wes.
ASNESS: Maybe Corey Hoffstein said no pay, no premium. I’m good at offering attribution. I’m not always good at getting it right.
RITHOLTZ: Right.
ASNESS: But they’re both awesome so —
RITHOLTZ: Yeah.
ASNESS: But I do think there’s truth to that. My favorite story which I’m going to make you listen to now.
RITHOLTZ: Okay.
ASNESS: This is from the tech bubble. I am, probably late ‘99, early 2000, at home at night talking to my new wife, and I’m whining and worse than whining. I’m cursing up a blue streak about how stupid and crazy this world is, none of which I can repeat even with the laxer laws today on George Carlin’s seven words. I still wouldn’t go through —
RITHOLTZ: Right.
ASNESS: — what I was screaming that night. And she said to me, she only said one sentence, the rest was implied. She said, I thought you make your money because people have some behavioral biases and the rest is implied. She’s saying, but when those biases get really ugly and they make really big mistakes, you whine like a stuck pig.
RITHOLTZ: So wait, you’re a quant and your wife is a behaviorist. Is that right?
ASNESS: My wife has master’s in social work, so I guess behaviorist is accurate. And anyone who’s been happily married, which I’m going to search she is and she can rebut if you invite her on, to me, for a quarter century, it has to be a bit of a behaviorist.
RITHOLTZ: Right.
ASNESS: But what we all want, which we’ll never get, is a world where there are opportunities. We’re active investors. We think we make the market a more efficient place. We think we make capital markets better. That’s important for society. But we exist to a large extent to take the other side of errors and correct that. We don’t want a world with no errors because there’s nothing to do. We want a world where there are significant errors. And after barrier Cliff puts the position on, 11 minutes later, the market realizes we were right and hands us our money.
RITHOLTZ: That doesn’t work that way.
ASNESS: And it doesn’t work that way.
RITHOLTZ: Right.
ASNESS: It is almost perfectly calibrated and make sure most people can’t do it.
RITHOLTZ: I like that phrase. I wouldn’t say it’s almost perfectly calibrated. The countryside is littered with people. By the way, I know you spend time on Twitter. We’ll talk about that. On investment TikTok, which has since shrunk dramatically, I love —
ASNESS: I never got on investment TikTok. Thank God.
RITHOLTZ: Well, I access it via Twitter. But —
ASNESS: Do you, like, wrap your stuff on investment TikTok?
RITHOLTZ: No, never. Never.
ASNESS: You may put it to a Sinatra melody, it might be more appropriate for you.
RITHOLTZ: No. What I love is what TikTok calls investing TikTok, I call it Dunning-Kruger TikTok. And my favorite is the young couple, both good-looking people.
ASNESS: But why wouldn’t you choose good-looking people?
RITHOLTZ: The way we make money is we only buy stocks that are going up. And once they stop going up, we sell them. And that’s how we subsidize our whole lifestyle. I am not paraphrasing. That is like a verbatim quote.
RITHOLTZ: As one of Jagadish and Tippmann are the two academics who really deserve probably to play some momentum, but as one of the very early discoverers of momentum. There’s a little truth to what they’re saying. But they tend to do it in a very disciplined way. And very often, individuals and institutions and professional investors tend to be what I call momentum investors at a value time horizon. They look at something that’s been strong —
RITHOLTZ: Okay.
ASNESS: — for three, five years, and they go, it’s got to keep going. And at that time horizon, you want to be a contrarian, not a momentum investor. So I feel obligated as a co-author of some of the momentum stuff to defend that a little bit. But this is not adding up well for these people, I promise.
One last thing about it, a running joke I’ve had for years, is people in describing this kind of thing, often subtly use the wrong tense. They talk about buying what has been going up, but the implication is —
RITHOLTZ: It is —
ASNESS: — it is going up. And you just got to watch your tense. It’s very easy to identify what has gone up and it’s part of our process.
RITHOLTZ: Right.
ASNESS: By the way, I would not be a pure momentum trader. Momentum has what the geeks will call a very bad left tail. Some famous periods of reversals in market, the most famous spring of 2009 when we came off the GFC.
RITHOLTZ: Yeah.
ASNESS: For multifactor, it was actually enough, and value did well enough. But if you were a pure momentum investor, that was a very, very ugly period. So in another way, I think this couple that I’ve never watched is probably getting it wrong.
RITHOLTZ: Yeah, to say the very least. So I could talk about your publications forever. Why don’t I throw three or four at you —
ASNESS: Go ahead.
RITHOLTZ: — and you tell me which ones you want to talk about. Stock options and the lying liars who don’t want them; stock buybacks, unmitigated good or incomprehensible evil. That’s a paraphrase.
ASNESS: Okay.
RITHOLTZ: AQR zone research has disproven the size factor and undermines long-term investing; or four, what is volatility laundering. I mean —
ASNESS: Okay, I’m going to try.
RITHOLTZ: — that’s three hours’ worth of material right there.
ASNESS: I usually lie about this, but I’m going to try to be quick and just go through them. Stock options and the lying liars who don’t want to or won’t expense so much, to get the exact title —
RITHOLTZ: Yeah.
ASNESS: — as a play in an Al Franken book back in the time. I think Rush Limbaugh was the villain in his title. This was particularly post tech bubble. This has been an issue forever, that stock-based compensation, be they options, particularly if they’re options are not considered an expense of the company. The paper I wrote does this beat to death, let’s look at the 22 ways you could argue this and why they’re all stupid.
RITHOLTZ: Right.
ASNESS: The best argument is the simplest one. These people accept a lower salary and want these things. Obviously, they’re costly.
RITHOLTZ: They have that.
ASNESS: Ultimately, the shareholders, I won’t go through all the other subtleties, what’s a little sad is we kind of won the battle in that current accounting standards make you expense stock options and that was a change. But we also lost the battle because plenty of firms, particularly in the tech world, still issue kind of pro forma earnings that don’t expense them. And a lot of Wall Street analysts to their shame, in my opinion, let them get away with it and use those numbers. They’re just not real.
RITHOLTZ: Let’s go to one of your favorites, buybacks.
ASNESS: Buybacks, you gave this Manichean evil or good.
RITHOLTZ: Right.
ASNESS: My position, actually, I don’t say it mildly, but much more mild than that. My position is they’re largely nothing.
RITHOLTZ: Really?
ASNESS: They’re largely very close to a dividend. You can argue they’re —
RITHOLTZ: A more tax efficient than that?
ASNESS: More tax efficient dividend. And by the way, I don’t take a great stance on how they should be taxed. That’s a separate issue. I take a stance on the idea that they’re evil. And by the way, this is one of the fun ones today, because it’s horseshoe theory, both the left and the right hate buybacks.
RITHOLTZ: Yeah, it’s kind of interesting, isn’t it?
ASNESS: You know, for different levels of innumeracy and paranoia, they think this is just a scam. Again, there could be 40 arguments for why buybacks are neutral and are not the evil thing you think about.
RITHOLTZ: Let me give you one argument.
ASNESS: Sure.
RITHOLTZ: In a world where some companies do buybacks and other companies don’t, the companies that do buybacks tend to perform better than the ones that don’t.
ASNESS: That’s been a very mild effect, but it has been true and it’s been a relatively short term.
RITHOLTZ: Now, whether it’s causation or correlation is a whole another conversation.
ASNESS: Yeah. If it is causation, the most likely estimate, which is not crazy as management has more information than you do about the stock. And by the way, if they do believe the stock is undervalued, and very often this is public information, they’re just saying we’re really undervalued.
RITHOLTZ: Right.
ASNESS: They shouldn’t be buying things back. It’s voluntary whether you sell and those who don’t choose to sell will benefit from that. So I have no problem with that. It is a relatively small effect.
RITHOLTZ: That’s interesting. You and I have debated it on Twitter, and I’m not so far from your position. But I’ve watched you demolish people on Twitter as if it’s a giant, hey, this is like the value effect.
ASNESS: Okay.
RITHOLTZ: It’s much smaller than that.
ASNESS: It’s much smaller. If I’ve done that, that is one of my many Twitter exaggerations. I will not claim that I always keep a calm head on Twitter. But the simplest way to explain it, now, let me give you two quick ones. One is most of it is a reallocation of the stocks. When most investors participate in a buyback, they put it back in the stock market —
RITHOLTZ: Right.
ASNESS: — with another stock.
RITHOLTZ: It’s a diversifier, actually.
ASNESS: So you know, a company that has great investment opportunities is seeking more capital and a company that doesn’t should be giving capital back. So that’s how it’s supposed to work.
Second is even more basic, and this does not get enough play. The shareholders earn the money or they own the money. If there’s cash on the balance sheet or assets on the balance sheet, it’s the shareholders. There’s only one group that’s allowed to get upset at them. If they choose to move it from the company to their own balance sheet, which is not stealing because they owned it when it was in the company.
RITHOLTZ: Right.
ASNESS: Corporate bonds can have covenants that say you can’t lever beyond a certain point. And if buybacks push past that point, then there’s a legitimate argument. But that’s contractual. The bondholders should fight that.
RITHOLTZ: There be a lawsuit that would stop that.
ASNESS: I think —
RITHOLTZ: That’s got to be a pretty a tiny —
ASNESS: I think it’s small.
RITHOLTZ: Right.
ASNESS: Buybacks also get a little demonized and corporations do this. For some reason I do not understand, they often couple them with the executive stock option grants.
RITHOLTZ: What a coincidence.
ASNESS: We talked about it before. And I think there is a little subterfuge going on there. They don’t want the share count to change a whole lot because questions will be asked.
RITHOLTZ: I think that’s the most valid criticism is, hey, you’re really hiding all this exec compensation by doing expensive buybacks.
ASNESS: And it jives with the lying liars stuff.
RITHOLTZ: Right.
ASNESS: But it is not the buyback per se that’s bad. The buyback is still a neutral. They’re paying a market price for the security.
RITHOLTZ: Right.
ASNESS: So there I wish people would be more precise. So largely on buybacks, and again, maybe in contrast to some of my more aggressive things I’ve tweeted on occasion, I want you to find those tweets.
RITHOLTZ: I think you’ve deleted a bunch there. I don’t know if they’re around where anyone could find that.
ASNESS: Well, I challenge you to find them knowing I’ve deleted them. This is part of my strategy.
RITHOLTZ: Ah.
ASNESS: But regardless, if you look at what we wrote, the derangement we write about is how much people hate them.
RITHOLTZ: Buyback derangement syndrome.
ASNESS: Yeah, we titled both an academic paper in the Journal of Portfolio Management and at Wall Street Journal editorial.
RITHOLTZ: So you know from whence the derangement comes?
ASNESS: Yeah, I know Trump derangement syndrome.
RITHOLTZ: No. Well, no, no, no, I mean that.
ASNESS: That’s what we’re playing.
RITHOLTZ: By the way, it used to go back to Bush derangement syndrome, not just Trump.
ASNESS: Oh, I don’t remember.
RITHOLTZ: Yeah. No. So you know, when you get older, the memory stuff —
ASNESS: Was there a Millard Fillmore derangement syndrome?
RITHOLTZ: I’m not that old. I’m not that much older than you. My two favorites back in the day, Dell was notorious for top ticking the market when announcing their stock buybacks. But now, you have the train derailments —
ASNESS: Yeah.
RITHOLTZ: — and they had a buyback last year. So of course, the buyback is the reason why they didn’t upgrade their brakes. And that example sort of colors everybody’s perspective.
ASNESS: Here, you go back to Modigliani and Miller. I’m not saying the theory is perfect, but as a starting point, firms should pursue all positive net present value projects, and I do think most management tries. I think the short termism can be exaggerated. So if they need the money, they should be investing. They can raise money in debt. A lot of the buybacks, by the way, and you could argue leverage has its own problems, but corporate treasurer is thinking that bonds were more overvalued than stocks. So they should buy back stock and sell bonds.
RITHOLTZ: In other words, during the 2010s, it’s very rational to borrow cheap and buy back stock.
ASNESS: Yes, essentially. And we show this in our more formal paper, there wasn’t room to do it in Wall Street Journal, that investment has really not suffered on that. You can always pick and choose. And in an argument, every side picks and chooses their favorite examples. This is a company that bought back, that then did great.
RITHOLTZ: Right.
ASNESS: And you know, Apple has bought back a ton and sometimes they’re criticized for that. And I’m like, it’s worked out fairly well.
RITHOLTZ: It’s well priced, right? Yeah.
ASNESS: It worked out fairly well for them. They don’t —
RITHOLTZ: Same with Buffett.
ASNESS: They also have a ridiculous amount of cash, Apple, on the books. So it’s not like they needed the money. Buffett is a huge defender of buybacks. So I think I’m mainly yelling into a void, saying this is just not that big a deal. But it’s politically too good for populace of both stripes to yell about, to go away.
RITHOLTZ: Really, really interesting. Last week, actually, I interviewed Maria Vassalou from Goldman Sachs Asset Management, who pointed out that within the small-cap effect really is a micro-cap effect.
ASNESS: Yeah.
RITHOLTZ: Well, first let’s talk about your research. Was there ever truly a small-cap effect?
ASNESS: Yeah. I’ll start out saying I don’t think I’ve met Maria, but she’s right. Was there ever is the right question. There’s a little bit of a Keanu Reeves Matrix thing going on here. Is there really a spoon?
RITHOLTZ: Red pill us.
ASNESS: Yeah.
RITHOLTZ: Tell us what —
RITHOLTZ: Our view is there never really was one. Our view is not that there was one and it got arbitraged away, which is a different way to view it. Essentially, in the early ‘80s, the original capital asset pricing studies looked pretty good, seemed like beta was rewarded and that later got revised also. But then hole started appearing in that pure one factor world. The first major one was that even after accounting for beta, small caps generally have higher betas. They move more. The market goes up 5 percent on average. They might go up 7 percent as a group.
RITHOLTZ: So you’re suggesting it’s just more risk, more return?
ASNESS: They’re more volatile as a rule. And beta is composed of correlation and volatility. I think it’s more of the volatility than the correlation driving, but they’re higher beta. The CAPM are all theory. It says you should make more money if you’re higher beta, but not more than that. And the findings were not that small cap makes more money. That’s not that interesting. The findings were small cap makes more money than implied by their higher beta, so even more.
That over the years, a lot of the work being ours, but not all of it has been revised. Two big revisions, the second one we really were a big part of. The first was simply revisions to the databases, small cap stocks delist more often than large cap stocks. In any study, you need to make an assumption about what people actually got out of that delisting whatnot.
RITHOLTZ: So are you suggesting this whole thing is just survivorship bias?
ASNESS: A little bit, though, with well-intentioned. People had assumptions for delisting returns. The general consensus and my expertise does not lie here, but the general consensus is they underestimated the negativity of those delisting returns. All else equal, making small cap a little less attractive because your data has not accounted for enough. Where we jumped in is again, remember, we’re not talking about the small beat large. We’re talking about does it beat it beyond its beta. And we’re not the only ones to do this too, Scholes and Williams looked at it a while ago.
Those betas are generally underestimated by conventional techniques. If you do a quant geek’s favorite thing, regressed the monthly returns on small versus large on the market, you get a positive beta, small, has a higher beta than large. So if you go long small and short large, you have a positive beta leftover. A lot of small doesn’t trade every day.
RITHOLTZ: Right.
ASNESS: If you look over a few months, those betas increase. If you do statistical work, we include the response of small not just to this month’s cap-weighted market, but to the last few, it tends to get into the small cap prices slowly. But that’s still real. So we’ve underestimated their betas. If their betas are underestimated, meaning we thought they were too low, we’ve overestimated their alphas. Their betas should have been higher. More of their return should be just attributed to the market going up. And basically, between those two things, there’s nothing going on. And this is not a bad thing. Small caps should be priced reasonably efficiently —
RITHOLTZ: Right.
ASNESS: — versus large caps. So one thing I will —
RITHOLTZ: By the way, that’s kind of surprising given how much more coverage there is on the better known big caps, and how often these are orphans.
ASNESS: Well, I think that does show up in something you anticipated me, I’m about to say. These get confused occasionally. I do think many of the factors, anomalies, effects that quants and academics believe in, value being again maybe the poster child, but not the only one, do work better among small caps. So long, cheap, short, expensive and small caps, certainly has a higher gross risk-adjusted return. Net, they’re more expensive to trade. I still think that’s going to be the truth, the case net, but it’s a little more arguable. But I have no problem with someone saying I love small value because I think value probably does work better in small.
RITHOLTZ: That’s very interesting.
ASNESS: But the so-called small-cap effect, it often gets conflated with that. It is not small value. It’s that small is better than large. And just —
RITHOLTZ: And that we’re finding is no longer quantitative being supportive.
ASNESS: We don’t think it’s supported. At least if only adjust for beta, just to make everyone’s head hurt, we have an additional paper showing that using the more modern factors that weren’t even around in the ‘80s when guys like Rolf Banz and a few others we’re looking at the small-cap effects, so I can’t say they should have used them. Small caps tend to be bad on some of the newer factors, betting against beta. Profitability, they tend to be fairly unprofitable.
RITHOLTZ: Right.
ASNESS: If you adjust for that, they should do even worse in a modern sense. And ironically, you get back to a small-cap effect, but only if you adjust for kind of the full panoply of modern factors. Small cap against the market is not a bargain.
RITHOLTZ: What about the micro-cap against the small-cap, why does that seem to have some —
ASNESS: Well, again, even including that, I think we see most of the small-cap effect go away when you adjust for the delisting again and the higher betas from illiquidity. But whatever, if there’s something left, it is disproportionately coming from micro-cap. That’s true.
RITHOLTZ: Let’s talk a little bit about one of the things we haven’t discussed, which is macro. And 2022 was kind of a good year for macro, at least if you’re on the right side of the trade. Why was last year so unique?
ASNESS: Well, it’s interesting. We haven’t talked. We’ve focused largely on stock selection and value. A big part of our business is actually macro. I often say we do less than people think. They think we do all these different things. But a lot of what we do in macro, and an early insight of ours, frankly, about 1995 at Goldman Sachs, was if you look at the factors, again, it was really value, momentum and size at that point, and apply them to macro decisions, what country to be in, what currency to be in.
They had similar efficacy. They worked in a statistical sense. I always say statistical sense. If your car worked like this, you’d fire your mechanic. Right? If your car works 6 out of 10 days, that would be pretty bad, but it’s pretty great as as a strategy. So we’ve been using value momentum, even for market direction trend has become increasingly. It’s probably the most important part of what we do in the macro side, with economic trends, not just price trends, being a relatively recent innovation and super important.
And last year, trend following in particular, which is a subset of macro, I will tell you we also run some, where we consider relative value and carry and other things. But we run some really focused on both economic and price trend factors that we’ve always described as having kind of a dual mandate. Long term, it’s supposed to make money. It’s not a crazy thing for an investment to do.
RITHOLTZ: Right.
ASNESS: But it’s supposed to do particularly well in really bad times. This is a managed futures industry, the CTA industry. Trend following has had that property over time.
RITHOLTZ: Meaning commodities, currencies, anything that you’re buying with futures.
ASNESS: Commodities, currencies, equities, bond futures. And we’ve actually expanded that to what we call alternative trends, more esoteric commodities, yield curve shape, trades, even the equity factors themselves, even though we’re talking macro.
RITHOLTZ: So some derivative.
ASNESS: Yeah, so some tendency to trend. But that dual mandate is a little bit different than most. Most investments, you’d like a low correlation to other things. Sometimes you accept a medium or high correlation, but it’s mostly about the risk-adjusted return of the asset itself. Trend following has always, I think forever, people are looking for both. And it’s not free, you can create a higher risk-adjusted return if you don’t want to hedge giant drawdowns in the equity market. But this combination has always been a nice addition to portfolios and attractive to people. It got very loved after the GFC, when it really did what it was supposed to.
RITHOLTZ: And you had a giant trend that lasted, it felt like forever.
ASNESS: Yeah. And I should say trend following is not a panacea. You have bolts from the blue. Neither of these were very bad for trend following, but it didn’t make a lot of money either. October 19th of ‘87, which we saw a small trend start in about August, but not that much. And obviously, COVID, trend following was not how to protect yourself. There was no trend to follow.
RITHOLTZ: Right.
ASNESS: Out of the blue, a pandemic hit.
RITHOLTZ: Extra genius shots will do that.
ASNESS: Yeah. But most serious bear markets we’ve seen aren’t a day. They are a few years of pent-up crazy or an economic event that leads to a few years the other way, and that’s where trend following really shines. The decade after, ironically, pretty similar to value, well, not as bad. Trend following simply didn’t make a lot of money in the decade after the GFC, unlike value lost money versus growth. Value lost versus growth. But still people started to lose interest in it.
They got excited after the GFC, and then if there is an insurance-like aspect, which I think there is to trend following, 10 years of a wild bull market, a lot of people start going why have I been wasting this money on insurance?
RITHOLTZ: Right.
ASNESS: And I think it started in in parts of 2021 and it’s still continuing a little bit this year. But last year was a blowout year for both trend following and even the more general macro investing that considers relative value. And it’s exactly the year it’s supposed to help in. Consider a rival insurance strategy always owning puts.
RITHOLTZ: It sounds expensive.
ASNESS: It is expensive.
RITHOLTZ: And it sounds like it doesn’t work most of the time.
ASNESS: I’ve had huge Twitter fights with Nassim Taleb about this.
RITHOLTZ: By the way, you and Boaz Weinstein both seem to go at him politely, and you both have the (inaudible) to do it.
ASNESS: I did what I would I always do. I started out politely. It didn’t necessarily end there. And I will say I think Nassim is absolutely brilliant. He’s just also insufferable at times.
RITHOLTZ: It’s a dangerous combination.
ASNESS: You know, I may be less brilliant and less insufferable, but I might have some of the same characteristics which a dangerous mix when you —
RITHOLTZ: The difference is you bring a certain degree of personal humor and charm, with perhaps.
ASNESS: Well, he does not make fun of himself. That is fair.
RITHOLTZ: Right. So, you know, we all exist on a continuum —
ASNESS: Yeah.
RITHOLTZ: — and everybody sort of slots in in different places.
ASNESS: Absolutely.
RITHOLTZ: I find you much more accessible and warm and fuzzy. Listen, his books are groundbreaking.
ASNESS: Yeah.
RITHOLTZ: No one is going to argue that he’s not brilliant. You are more accessible on Twitter than he is.
ASNESS: I do try to be. So a strategy he’s been involved for a long time that kind of corresponds to his Black Swan book.
RITHOLTZ: Sure.
ASNESS: It’s a very good book.
RITHOLTZ: Yeah.
ASNESS: It’s basically a one liner, giant things happen more often than —
RITHOLTZ: Than we expect.
ASNESS: — quote, “normal model,” normal distribution say. But it’s important message. He got very lucky that he wrote a timeless message about an hour and a half before the GFC. Right? But my colleague Antti Ilmanen is getting very lucky and that same, he wrote a book called Investing in a Low Expected Return Environment —
RITHOLTZ: Right.
ASNESS: — before 2022. So you can write something that’s absolutely right and correct, but timing luck.
RITHOLTZ: Dow 36,000, we’re almost there. When did that come out likely? ’99?
ASNESS: At least one of the co-authors —
RITHOLTZ: The difference between Antti and Nassim’s books, they’re actually real and meaningful.
ASNESS: Yeah.
RITHOLTZ: And that book was just nothing but non —
ASNESS: For pure fun at the end, you can ask me about that again. But the strategy Nassim favors is buying insurance through the options market. Tests of the simplest form as my colleague Antti has done, say that loses a boatload of money, including its huge victories in crashes. I have no problem with someone like Nassim saying actually, whoever he works with does this much smarter.
RITHOLTZ: Right.
ASNESS: If you’re rolling puts —
RITHOLTZ: It’s not equal size every year.
ASNESS: — that’s a form of alpha.
RITHOLTZ: I bet there’s a million other ways to spin that.
ASNESS: But he doesn’t like the basic finding. He wants both and I won’t give him both. Puts work really well in crashes.
RITHOLTZ: Yeah.
ASNESS: Right? March of 2020, October 19th of ’87, huge. There are leakages in terms of premium over the long haul that doesn’t have crashes is larger than what they make. And there are some bear markets that they failed to help with. They did not particularly help in 2022. There was no crash.
RITHOLTZ: Too quick.
ASNESS: Well, no, too slow for the puts. In 2020 —
RITHOLTZ: Down 34 percent, and then you snapped right back.
ASNESS: Oh, that was March of ‘20.
RITHOLTZ: Of ’20, I’m sorry.
ASNESS: No. You had it right given your time period.
RITHOLTZ: Yeah.
ASNESS: The puts help like crazy then and managed futures didn’t. In 2022, managed futures helped like crazy because it was a long —
RITHOLTZ: Yeah, six months to the low in June about.
ASNESS: And puts I don’t think really helped at all. The premiums got very high —
RITHOLTZ: Yeah.
ASNESS: — and there was no big crash. And that’s not an environment. If you like puts more than I do, you think the cost is lower, a portfolio of the two as an insurance product could make a lot of sense because they hedge different things, puts hedge both from the blue crashes and trend following hedges long slow crashes. I will make the self-serving claim that long slow crashes tend to be more deleterious to your wealth long term. A lot of short-term crashes reversed soon afterwards. They’re really about surviving.
RITHOLTZ: Right.
ASNESS: So I will make a small commercial for how we do it. But if someone a little bit more reasonable than Nassim, wanted to go, all right, it is costly, but it’s less costly than you think and maybe we should combine these two.
RITHOLTZ: Right.
ASNESS: I’m wide open to that. But in 2022, and frankly, you know, going forward, I’m mildly, I don’t do a lot of timing of our own strategies. I said it’s a sin. Most of what I recommend is always having some allocation to trend following. There’ll be long boring periods where I hopefully won’t lose you a ton, but won’t make you a ton. That’s usually a pretty good time for the rest of your portfolio. Over time, it should add up to a positive which it has, and it should help a lot in these one, two-year gigantic events.
If I had to time it, I’m a little more bullish than normal. It tends to do better when there’s great macro vol, when people don’t know what’s going to happen. Boring times where nothing is really going on, it’s not your time for puts. You know, I’m a little leery of saying this because I laugh when people are always saying now is special. So it’s dangerous to go. We have more uncertainty now than normal, but I do think I’m going to do it. I do think we have more macro uncertainty now than normal. So I like it a little more than normal.
But mostly, our argument is you don’t know when this is going to happen. You don’t know if we’re going to have another two years of this. And by the way, if we don’t have another two years of disaster, you’re pretty happy everywhere else.
RITHOLTZ: So let me push back on the more uncertainty —
ASNESS: Okay.
RITHOLTZ: — because I cringe every time I see someone on TV say that.
ASNESS: Me too.
RITHOLTZ: When —
ASNESS: I gave you a long caveat saying —
RITHOLTZ: You did. You did. And yet you still jumped right in the hole you dug —
ASNESS: I did go there.
RITHOLTZ: — which is, you know, when do we ever know what’s going to happen in the future? When do we have a high degree of confidence? I take the behavioral side, which is when people are talking about uncertainty, what they’re really saying is, hey, we’re having a hard time lying to ourselves about how little we know what’s going to happen and we’re starting to get nervous. So macro vol might be the good descriptor for that, where you can pretend you know what’s going to happen because it’s so, I want to say uncertain, but that’s the wrong word. You just lose yourself confidence in knowing what might happen.
ASNESS: Yeah. We’re directionally the same. And I did also, as part of my caveat, said I still wouldn’t time this —
RITHOLTZ: Right.
ASNESS: — very much. I do and I admit, I explicitly want to counter the belief that people might think we’ve missed it. Manage futures is one in a decade, huge positive, it adds up to good over the whole decade. But it may revert now. We see no tendency for that —
RITHOLTZ: Really?
ASNESS: — historically. No, it’s a trend following strategy. If it starts to get it wrong, it’ll switch its mind pretty quickly, actually. The fundamental trends that we’ve added in the last five to getting closer to seven or eight years, we think have made the strategy materially better. It’s no longer just your grandfather’s trend following strategy.
RITHOLTZ: Right.
ASNESS: We follow price. We think that always has a role in a portfolio. We don’t know if crazy stuff will continue or we’ll go back to normal. Again, if things do go back to normal, yeah, maybe your managed futures don’t help you very much. But everything else goes back to helping you.
RITHOLTZ: Right.
ASNESS: So we think the case is, at least let me just be more mild, at least as strong as it normally is, and we think it’s pretty strong.
RITHOLTZ: That’s really —
ASNESS: I will back slightly off my sin there of forecasting.
ASNESS: So given the fact that you’ve been investing now for 35 years, something along those lines, in your lifetime, have you ever seen a 10 percent spike in inflation or a 5 percent rise in rates as an investor?
ASNESS: 5 percent rise in rates over long periods, we’ve seen that, but not anything like the recent period, and maybe not even. It’s been a downtrend in rates over my career.
RITHOLTZ: Right.
ASNESS: I’m trying to do this in my head.
RITHOLTZ: Since ‘81.
ASNESS: I know for a fact, because I looked at it recently that I’ve not seen, you know, 5, 6 percent inflation in my career. Now, I do think, you know, I’d be happy to share with you, quants have some disadvantages. There’s less we can know about any one individual situation than a more discretionary manager. But we do have one advantage. Sometimes they’re maligned correctly, but sometimes they’re overmaligned. Back tests can be really helpful because just because I haven’t lived through inflationary periods doesn’t mean we can’t look at inflationary periods.
RITHOLTZ: Right.
ASNESS: And that is a quant advantage. And frankly, with the exception of the trend following strategy, which I think when giants stuff happens, it does tend to do better. The core stock selection strategies and Antti, again, I keep quoting Antti. You should have him on instead of —
RITHOLTZ: I did.
ASNESS: I know you did. I know you did. But if I’m going to quote him all the time, why not just go to him. He has done a lot of our work on showing the environments that factor investing tends to do better or worse by factor and as a group. This is for stock selection. If you want to make it a tautology, yeah, when the spreads between cheap and expensive go way wider, value does lousy. But that’s a tautology.
Macrowise, there’s very little relation. There’s very little consistency to it. That’s actually I think a good thing. It means if you do this for asset classes, there’s obviously correlations. Higher growth and lower inflation is good for stocks and good for bonds. As they mix up, you can get different results. Low growth, low inflation is dynamite for bonds. How it comes out for stocks is a little bit more iffy. But when it comes to factors, it doesn’t mean there aren’t some big factor events, but they occur in all environments without a great pattern. So again, we do think we’re pretty good diversifier to a lot of the rest of the world that is much more linked to the macro cycle.
RITHOLTZ: So when you’re looking at back tests and you’re heading into ‘21 and ‘22, how are you thinking about the risks? And do you make changes? Did you just suffer through ‘20 and ’21, waiting for ‘22? Or are you gradually shifting the portfolio mix before you make it to the Promised Land?
ASNESS: Again, you and I have been bouncing back in a great way between quantitative stock selection and the more macro trend following, and the stories aren’t precisely the same.
RITHOLTZ: I mean, it’s the six blind men —
ASNESS: Yeah.
RITHOLTZ: — describing the elephant, which is my favorite parable. But we’re really just talking about different aspects of what takes place in risk markets.
ASNESS: For value, yeah, to be honest, when it does look unexplainably after the keeping that open mind attractive and we do that sin a little, we do just wait. Now, Barry, of course, we didn’t sit there in 2020 and say we’re going to have to wait. And in fact —
RITHOLTZ: We’re waiting till March 2022, mark your calendar. I saw that tweet from you.
ASNESS: Well, the funny thing is value actually started turning around in late 2020. Everyone calls it 2022. That value has been coming back since COVID started to ease.
RITHOLTZ: Well, once everything got way crazy by the end of ’20, there’s a little hindsight bias. But it makes sense for people, all right, let’s peel a little off here and rotate it then.
ASNESS: Oh, absolutely. But if you go back a couple years earlier, value spreads were very wide. And yeah, we were saying we don’t know when this will turn around, but it will and importantly on net from here. Saying, you know, one day, it’ll go up again doesn’t really help you. If it’s going to go down more than it’s going to go up in the future, it has to be on net.
RITHOLTZ: No broken clocks at AQR, is that right?
ASNESS: Not this time. I won’t say it didn’t break other things, but that’s just between me and whatever is strewn around my office. So value on its own, yeah, well, sometimes we do wait. Catalysts, famously, people look for catalysts, obviously, momentum, both price and fundamental. You could lump into the catalyst camp. So we do look for some of that.
But some of the things, when the absolute peak occurs, which is a timing level that I think is beyond any of our ability. Somebody always nails that ex post, but only anyone can consistently do that. You look at the peak of the tech bubble in March of 2000. You look at the peak of the valuation bubble in stocks, which was kind of October of 2020. Why it peaked there, not three months earlier, or six months later? Even with the benefit of hindsight, I don’t think we have great stories. I think when things get egregiously valued, the odds get more and more on your side. Again, good catalysts will help you more and bad will help you less. And sometimes our job is to plant our feet and say we will not move.
Now, on the macro trend following strategy, it was a better timing story. Again, it didn’t make money for a long time, but didn’t lose a lot. And both from some price trends, but I think even more from fundamental trends, we started to see the fundamental trends that could lead to a more inflationary environment. Again, it’s not us sitting around making inflation forecasts. We’re not macro economists.
RITHOLTZ: Right.
ASNESS: Fundamental trends are things like those actual economists revising up their inflation forecasts. Growth trends are things like GDP surprises aggregated for the whole world, if you’re doing that all of equities country by country. Those did a really good job of getting ahead of the inflation that came. So there I’ll say on the value side, I’ll say we didn’t do a very good job on the catalysts, but we did a really good job on sticking with it and it has paid off. On the trend following and macro side, I will say I’ll give us higher grades on the catalyst side as to the timing. But that’s naturally what it’s trying to do.
RITHOLTZ: Right, by definition, really fascinating. So the past couple of years, we’ve seen a huge outperformance of value over growth. What does that mean looking forward? How much persistency does that value advantage have, especially following a decade of growth advantage?
ASNESS: It’s funny. It takes a much longer time for excesses to get squeezed out of the market than people think. Particularly if you’re on the wrong side of it, like, if you’re a growth stock investor, the last two years I’m in such pain. This has to be extreme. No, again, we start with measures that don’t look at returns, that look at the actual valuation ratios of stocks.
And at the peak of the bubble in 2020, a few months after COVID, it got to by far the widest ever, north of the tech bubble. After two-plus phenomenal years, the last time I looked just a couple days ago, it was at the 89th percentile.
RITHOLTZ: So still wildly —
ASNESS: Yeah. Also, tactically, I said I tilt it a little too early because I went on just value not on trend. The trend is now at its back. You know, nothing is a certainty. That can be huge reversals in any trend interim. I don’t want to predict the next quarter, but we are still very excited. We’re seeing still a mispricing that prior to COVID, I would have considered almost close to tied with the most extreme ever.
RITHOLTZ: Wow.
ASNESS: And we’re seeing the wind at its back. So again, I don’t want to overpromise, the short term can always make anyone look silly. But on a few year horizon, we are super excited about value.
RITHOLTZ: So the Goldman Sachs non-profitable tech basket, and there’s another basket of low quality stocks, they’ve crushed it in 2023. Is this just a dead cat bounce? What does this mean? Is the cycle changing, or what’s happening in your least favorite part of the market?
ASNESS: This is going to be a hard one because it’s confusing.
RITHOLTZ: Yeah.
ASNESS: I’ll tell you that in advance. But it’s confusing in a different way I think even than you’re thinking. Breakup, what’s going on into pure measures of junk, no valuation here, low profitability as Goldman does against high profitability. And Goldman is not wrong about that. They’re not surprisingly, the results are right. Low beta against high beta, that we often consider part of quality. All else equal, you’d prefer a low beta. All else is not always equal, but if you can have less vol and less sensitivity, it’s a good thing.
Profitability, choosing more profitable and underweighting or selling low profitable. And beta, choosing low beta and underweighting or selling high beta. Together as a group and individually have had a really bad start to this year, for the exact reasons you’re talking about. It has been a junk rally. Now here, I’m hoping to blow your mind a little bit.
RITHOLTZ: Go ahead.
ASNESS: The way we measure value, and keep in mind, everybody does it a little different.
RITHOLTZ: Sure.
ASNESS: You can have 10 great people here, and they’re all going to have their own favorite ways. One thing we do since 1995, when we wrote a paper on this, we don’t allow value to take an industry bet. We tried to make it apples to apples.
RITHOLTZ: Okay.
ASNESS: Everyone talks about value in terms of like tech versus textiles. You can’t fully remove it in a bubble. These are all correlated. But we think value can be hard to compare. Valuation ratios can mean very different things in different industries. But broadly speaking, compliance gets nervous when I talk about performance to the public. But I will tell you value alone has had a very strong start to this year, which you would not guess if I told you it’s a junk rally.
RITHOLTZ: Now, they can happen simultaneously —
ASNESS: Yeah.
RITHOLTZ: — and perhaps for different reasons.
ASNESS: Now, this is actually much more normal.
RITHOLTZ: Oh, really?
ASNESS: Historically, when profitability and value are often negatively correlated, because the cheap stocks are often unprofitable. So when the profitability factor, if you will, is doing well, it has at least a decent negative correlation. It’s been stronger in the U.S. than globally, but it’s negatively correlated value. So what’s going on this year is more normal. But that is not what was going on for the prior few years.
Value and profitability, in particular, were highly correlated, because in a bubble, remember, in a rational loss for value, we can do well. Profitability does well. In a bubble, it’s not the profitable stocks that are soaring to the moon. It’s the story stocks.
RITHOLTZ: So let me take the other side —
]
ASNESS: Sure.
RITHOLTZ: — of the bubble claim and say, hey, stocks got overvalued in 2021. But was it really a bubble? We’re down what? 20 percent on the S&P, 30 percent on the Nasdaq. That seems like a run of the mill drawdown —
ASNESS: Sure.
RITHOLTZ: — and are not a full-on crash.
ASNESS: One of the hard parts is in a fun way, because they’re all relevant, we’re mixing a few different things. There is the level of the overall stock market and the overall bond market, and then there’s internal to the stock market. How cheap stocks did against expensive stocks —
RITHOLTZ: Right.
ASNESS: — how profitable stocks did against unprofitable stocks, hedged without a market exposure.
RITHOLTZ: Right.
ASNESS: People have used the term everything bubble —
RITHOLTZ: Right. Which is really wrong.
ASNESS: Everything can’t be in a bubble at once. By definition, by the way, the opposite, you can short the values. And we were in a depression, not a bubble. But there were some correlated things going on. For the market as a whole, the move in the stock market in one year was big, not something we don’t see occasionally. This is not a —
]
RITHOLTZ: 28 percent is not —
ASNESS: This is not on Nassim Taleb’s Black Swan —
RITHOLTZ: Right.
ASNESS: — moment. The move in the bond market was very big, closer, but still not a black swan. The move in 60/40 maybe not still black swan, but was far more extreme than either alone because they happen at the same time.
RITHOLTZ: Forty years. ‘81 was the last time you saw that.
ASNESS: Yeah. Again, Antti will be the first to admit, he looks like his timing is better than it really was because he’s been saying this for a while. But that was the core of his work. He does a 10-year forecast on the outlook for 60/40. What current valuations, it’s more complicated than this. We called it the Shiller CAPE for stocks. Lower expected real returns when the Shiller CAPE is high, and just really yields on bond. Yields versus economists’ forecast of inflation.
Antti takes 60 percent. He’s the genius in math. To get the 60/40, he takes 60 percent of the stock forecasts, adds the 40 percent of the bond forecasts. That number hit the low ever, at least as we can monitor it. I won’t say the wrong —
RITHOLTZ: In ’21?
ASNESS: Yeah, at the end of ’21, call it.
RITHOLTZ: Yeah. That’s pretty good time.
ASNESS: Well, I always feel guilty when I say ever. Maybe in the Roman Empire, it was worse, but we can’t measure it.
RITHOLTZ: Right. Just towards the end.
ASNESS: In the measurable universe that we have, and 60/40, I’m going to try to get this right. Sometimes we talk global. Sometimes we talk U.S. Call it, it’s made about four and a half percent real. Meaning over inflation —
RITHOLTZ: Right.
ASNESS: — over the long term. That’s actually quite a nice real return. We’re used to talking about nominal returns and almost half bonds. So four and a half percent real is very —
RITHOLTZ: Low risk, that’s a good number.
ASNESS: It’s very nice. Antti’s forecast, which I think is quite useful, obviously, got down to below 2. It was in the high 1s at the end of 2021. Just looking at current valuations, and saying how does that usually play out over 10 years? By the end of 2022, after all the pain, I think it got into just about 3.
RITHOLTZ: Really? Which is surprising given that we’re now looking at rates in the 4 to 5 percent range.
ASNESS: Well, remember, this is real.
RITHOLTZ: But inflation is (inaudible).
ASNESS: Right now, it just gets back to you challenging me on there’s more uncertainty. It’s pretty hard to come up with a really good 10-year forecast of inflation right now. But certainly positive is forecasted. So cash is interesting again. I’ll say that.
RITHOLTZ: That’s really interesting.
ASNESS: But how interesting it is, depends a lot on what your actual inflation outlook. Bonds are interesting again. So basically, the fairly massive trade-off was still only one-year trade-off. After a 13-year bull market and not all that bull market was bubbly. A lot of that was fundamentals. But a lot of that was repricing, things getting more expensive. You don’t fix 13 years of getting more expensive, in general, in one year. I’m not sure you want to because you got to go down a lot more than we did.
So Antti’s numbers, which I agree with, instead of four and a half, he’d probably use in the low threes. Now, if you’re sitting there saying, what do I need to retire? What’s that number? By no means are we certain that 3 is irrational, that we need to get four and a half. Four and a half, and I know you’ve heard these arguments, may have been just too good of a deal, historically. For instance, for much of the —
RITHOLTZ: Are you saying 60/40 has been arbitraged away, or is it just the environment we’re in?
ASNESS: It may have been repriced —
RITHOLTZ: That’s better.
ASNESS: — higher price to a lower expected return. Here’s my favorite argument for that and it’s not a complicated one. Very few people actually got the four and a half percent.
RITHOLTZ: That’s always true.
ASNESS: The costs of investing in various ways were far higher today. And almost all portfolios were not like index funds today. You know, you had a broker who bought —
RITHOLTZ: Right.
ASNESS: — 10 stocks.
RITHOLTZ: There’s a lot of friction.
ASNESS: So a lot of friction and the effect of volatility of your portfolio was double the markets because you owned a handful of stocks. So both the top line was lower because you didn’t really get it. And second, you are facing higher risks by choice. But the index fund concept didn’t exist for much of this time.
RITHOLTZ: Right.
ASNESS: So —
RITHOLTZ: And even when the concept existed, you couldn’t execute on it.
ASNESS: Yeah. So basically, I think the 3 today, this is very arguable, but maybe it’s good as the four and a half historically in terms of what you get to keep and what risks you have to take to get it. At below 2 and this is art, not science. Nobody can tell you what this number should be.
RITHOLTZ: Right.
ASNESS: At below 2, I and Antti, and a lot of people did think that’s too low.
RITHOLTZ: Yeah, doesn’t make any sense.
ASNESS: But above 3, maybe I think PIMCO is a super firm, but I hate to give competitors any credit anytime.
RITHOLTZ: But?
ASNESS: But we may have a new normal of lower than normal, lower than historically normal.
RITHOLTZ: That’s really, really interesting. All right. So now I have you for five minutes which means this is our speed round and these answers have to be less than 60 seconds. Are you ready?
ASNESS: I am.
RITHOLTZ: All right. So first, we’ll do a quick three-part curveball, one minute. How early do you pull a goalie when you’re down one, two or three goals?
ASNESS: When you pull a goalie, if you’re down one at about five and a half, six minutes —
RITHOLTZ: In the last period.
ASNESS: — in the last period, all this can be situational. Our model is simple, right?
RITHOLTZ: Right.
ASNESS: If it’s in your own zone, you put the goalie back in for a while.
RITHOLTZ: Right.
ASNESS: Well, the two goal result is the one that always shocks people. You pull about 11 minutes to go.
RITHOLTZ: You’re essentially playing the last period.
ASNESS: Yeah. You’re playing half, more than the last period.
RITHOLTZ: Right.
ASNESS: And the idea is you’re not at the money option. Losing by 3, 4, or 5 —
RITHOLTZ: It’s the same.
ASNESS: — it may have pride issues, which is not in our model, but it doesn’t have standings issues. And three, I actually forget the number, but I think it may be before the third period.
RITHOLTZ: Got it. MfA Poker Tournament in April, are you participating this year?
ASNESS: Since the GFC —
RITHOLTZ: Yeah.
ASNESS: — which really had nothing to do with it, it’s just coincidental timing, I have only played poker in every third year in that charitable tournament. My skills to the extent I ever (inaudible).
RITHOLTZ: The atrophy.
ASNESS: I was never a great poker player because I have a short attention span.
RITHOLTZ: Right.
ASNESS: And a lot of poker is —
RITHOLTZ: Being patient and —
ASNESS: — willing to stare at somebody for seven hours so you can remember what they did six hours ago.
RITHOLTZ: Right.
ASNESS: I had fun with poker. I think I was pretty intuitive. I didn’t lose a ton, but I probably lost money in my poker career. First time I learned poker to play in this Math for America Tournament, I didn’t know a whole of them. I didn’t know how to play.
RITHOLTZ: Arguably —
ASNESS: And my second year I played and I came in second.
RITHOLTZ: Right. I’m going to say there’s so much random chance in it.
ASNESS: Oh, yeah. In one tournament, over time, poker is pure skill.
RITHOLTZ: Right.
ASNESS: Over anything, it’s very similar to investing.
RITHOLTZ: Of course.
ASNESS: On short horizons, it’s really not —
RITHOLTZ: Anything can happen.
ASNESS: But one of the worst things that can happen to you as an investor or a gambler is to get lucky early.
RITHOLTZ: Yup. Yup, absolutely. The best thing for you is to walk into a casino and lose.
ASNESS: Then no matter how smart you think you are, you think you’re smarter than you really are.
RITHOLTZ: You’re always looking for that hit of dopamine.
ASNESS: Yeah.
RITHOLTZ: I don’t know if I’ll be able to get you to answer this in under a minute. Marvel or DC and what’s your favorite Marvel film?
ASNESS: I do like both. I’m a comic book fan. It’s how I learned to read. I’m more of a Marvel guy. Though, sometimes DC is great. It varies who the current right or crop is better.
RITHOLTZ: Right.
ASNESS: Favorite movie is hard and what I’m saying is if you go find other people have asked me this, I’m not claiming full consistency. It varies over time.
RITHOLTZ: Okay.
ASNESS: I think the original first Ironman that kicked off the MCU —
RITHOLTZ: Yeah.
ASNESS: — is an underrated movie. It’s a damn good movie.
RITHOLTZ: No, it’s a great movie.
ASNESS: And not in the MCU, before the MCU, the first X-Men movie. I don’t remember even how great it was.
RITHOLTZ: It was great.
ASNESS: But it was the first time we saw maybe Michael Keaton is Batman in ’89.
RITHOLTZ: Right.
ASNESS: But for me, certainly with Marvel, it was the first time I saw a superhero movie or TV show that didn’t look ridiculous. The CGI and the effects caught up.
RITHOLTZ: Right.
ASNESS: That was good. So I think that was a milestone. So those two.
RITHOLTZ: I’m going to throw it to you because I think they both have a —
ASNESS: Such a lightning round, but you’re disagreeing.
RITHOLTZ: Oh, no, I’m not disagreeing with you.
ASNESS: It’s not a lightning round. Okay.
RITHOLTZ: I’m appending.
ASNESS: All right.
RITHOLTZ: Deadpool and Guardians of the Galaxy both have a certain sense of humor. Always —
ASNESS: Thor: Ragnarok too.
RITHOLTZ: That’s right. Always seem to be missing from the rest of the Marvel world.
ASNESS: I love those. Some people want to be purist and say, that’s not how the comic books were. They’re wrong. If you’re really —
RITHOLTZ: They make sense to you.
ASNESS: They were wisecracking during every fight. So I do love those for the combination of humor. X-Men didn’t have much humor, I’ll admit that. Ironman 1 did mainly because Robert Downey Jr. is just hilarious.
RITHOLTZ: He’s great. Right. He was so good.
ASNESS: So I do like the ones with humor.
RITHOLTZ: So let’s talk about favorite books. What are you reading and what are some of your old time faves?
ASNESS: Can I rant one more second about Marvel movie?
RITHOLTZ: Sure.
ASNESS: You didn’t ask me what my least favorites are.
RITHOLTZ: Oh, go ahead.
ASNESS: They should find every copy which is hard digitally these days of Doctor Strange in the Multiverse of Madness.
RITHOLTZ: Yeah.
ASNESS: And they should bury it in the sun. Let’s move on. That’s all I want to say about that one.
RITHOLTZ: All right. So you’re not a fan of Doctor Strange.
ASNESS: Terrible. I’m a big fan of the character, it makes me even angrier.
RITHOLTZ: Let’s talk about favorite books. What are you reading now? What are some of your favorites?
ASNESS: My all-time favorites tend to be in the sci-fi fantasy world, not surprising, given our comic discussion.
RITHOLTZ: Are you a big Dickhead?
ASNESS: I’ve read a bunch by him. That’s one of the (inaudible) questions I’ll get.
RITHOLTZ: By the way. I am a self-professed Dickhead. When I say that, people who don’t know Philip K. Dick —
ASNESS: In my career of going to comic book conventions, I’ve not heard that term.
RITHOLTZ: Oh, really? It’s very common on the Internet and it’s really —
ASNESS: The one thing fun about him is he’s written a lot of things that became like famous movies, but no one knows him.
RITHOLTZ: Blade Runner, Minority Report.
ASNESS: And no one knows that guy.
RITHOLTZ: The Schwarzenegger movie, they did two of them.
ASNESS: Yeah. Total Recall.
RITHOLTZ: Total Recall. Right. We Can Remember It for You Wholesale was the short story.
ASNESS: My all-time choice, one is very cliché.
RITHOLTZ: Go ahead.
ASNESS: Dune. I loved Dune. I read it.
RITHOLTZ: There are a couple of Frank Herbert books that are just amazing beyond the Dune. It’s amazing.
ASNESS: Yeah. The first two Dune books I thought were great. The first one much better than the second one. Then they got totally weird.
RITHOLTZ: Right.
ASNESS: Very messianic, religious —
RITHOLTZ: Right.
ASNESS: — odd.
RITHOLTZ: That was always the thread throughout.
ASNESS: Yeah, there was a thread.
RITHOLTZ: It could be crazy.
ASNESS: But it became all that. But I love Dune, complex —
RITHOLTZ: Yeah. Amazing.
ASNESS: — rich book. You know, sci-fi or fantasy sometimes gets a simplistic childish label. Dune —
RITHOLTZ: Right.
ASNESS: — blows that away. The last movie was the first time I’ve seen Dune reasonable —
RITHOLTZ: Yeah.
ASNESS: — on TV. Don’t even start me on Sting dueling with these —
RITHOLTZ: Got it. Got that.
ASNESS: — made-up swords that were in the book. Also, I’m a big fan of some of the old pulps like the original Conan stories by Robert E. Howard —
RITHOLTZ: How far is that? Oh, okay.
ASNESS: — in the ‘30s. I’m not against him. I’m not talking about Arnold Schwarzenegger’s Conan. I’m talking about —
RITHOLTZ: Right. The book.
ASNESS: — stuff that appeared in like weird tales —
RITHOLTZ: Right.
ASNESS: — serialized and then became books. I think Robert E. Howard, he unfortunately killed himself very young and no one remembers him. But he created —
RITHOLTZ: And he didn’t see his own success.
ASNESS: No, he didn’t. He created Conan. And his writing was so rich, like dripped with feeling and color. So I was a big fan of that. This actually segues nicely into what I’m reading now.
RITHOLTZ: Go on.
ASNESS: Because I am rereading the original basic Lord of the Rings, which you use the term table stakes before.
RITHOLTZ: Yeah.
ASNESS: That’s table stakes for a fantasy, right?
RITHOLTZ: I read it like every other summer, The Hobbit, anyway.
ASNESS: I liked The Hobbit. I never liked the full Lord of the Rings.
RITHOLTZ: And now?
ASNESS: I’m liking it more.
RITHOLTZ: Okay.
ASNESS: I have found historically, I have a small tolerance for 12 pages of Elven poetry, which I think Tom Bombadil, for some reason, the character scared me as a kid, even though he’s not very scary.
RITHOLTZ: Really? So let me ask you this question.
ASNESS: But I like him more now.
RITHOLTZ: So I love both The Hobbit and The Lord of the Rings. And while everybody loved Peter Jackson’s —
ASNESS: Yeah.
RITHOLTZ: — I thought it was way too dark. Within The Lord of the Rings, within the original, there’s a balance —
ASNESS: Yeah.
RITHOLTZ: — between the hope and the fear.
ASNESS: I think that’s fair and ultimately hope wins. So —
RITHOLTZ: Right.
ASNESS: — it is a positive choice.
RITHOLTZ: So they take you to this really dark place. It’s almost like the ending is tucked on.
ASNESS: By the way, going over a minute is completely your fault. So —
RITHOLTZ: I own it.
ASNESS: — if you go through Tolkien’s experience of World War I and then writing in World War II, he really had that light and dark —
RITHOLTZ: Right.
ASNESS: — going on.
RITHOLTZ: But it was balanced.
ASNESS: But I did enjoy the movies because part of it is —
RITHOLTZ: The same.
ASNESS: — even a fan your whole life, seen it come to life.
RITHOLTZ: In such a glorious way.
ASNESS: I do not recommend the extended versions —
RITHOLTZ: I’ve steered clear of that for the same reason.
ASNESS: — because they were already a little too long and the extended versions basically like Bilbo says goodbye 11 times. You have like 11 elegiac, I’m not sure I pronounced that right, but he’s going away. So I don’t recommend that. But I do love those movies. I’m reading that now. I’m reading David Rubenstein’s book on investing, largely because in May, April, or May, he’s going to interview me —
RITHOLTZ: Oh, great.
ASNESS: — which I’m terrified of because he may have seen some of the things I’ve said about private equity over time. I’m kidding. He knows about those. He still wants to interview me. But I got to be prepared for that one.
RITHOLTZ: He could care less what you think about private equity.
ASNESS: That’s true.
RITHOLTZ: Can I say that? I mean —
ASNESS: Yeah. There are people who are, you know —
RITHOLTZ: And I used the phrase wrong, it’s actually could not care less. But everybody says could care less.
ASNESS: Yeah. No, you’re right.
RITHOLTZ: All right. Our two adult questions we say for the very end, what sort of advice would you give to a recent college grad interested in a career in value investing, quantitative finance, or even academia?
ASNESS: In broad, general, financial career, I’ll go with, I don’t like either and if someone tries to only steer you to lucrative careers, that’s not a happy life. If people only steer you to find your bliss, well, if you’re not the best in the world that your bliss, and the bliss doesn’t actually pay you anything, it’s not such a great thing. I got into finance because I liked it. Because I worked for these professors, I found it interesting, thought I’d be a professor. Not everyone has to follow that route. But you want to blend those two things.
The only concrete advice I’ll give people, young people and I say this all the time, is try very hard not to chase what’s currently hot. Particularly starting out your career, don’t try to be suicidal. But going into what’s currently hot, you’re going to be five years off every time.
RITHOLTZ: Right.
ASNESS: So I would back off that. And if someone is really considering a career in value investing, I recommend investing, as I said earlier, at least half your time in building up your psychological endurance level.
RITHOLTZ: Because you’re going to need it.
ASNESS: You think it’s all about balance sheet and income statement analysis? No. About half of it is the right personality and the right emotional makeup, and the right partners.
RITHOLTZ: Our final question, what do you know about the world of investing today you wish you knew 40 years ago when you were first getting your feet wet?
ASNESS: Going back, there’s always been this tension in academic finance and in applied quantitative finance, in why these things worked and we talked about it very briefly earlier. If someone shows you a great back test, there are really three possibilities. One is it’s diverse data mining. And let’s assume it’s not that, they’ve just tortured the data, let’s assume you think it’s real. It can work because you’re taking an actual rational risk and being compensated for it, or it’s often called behavioral finance, some people are making errors.
I often take two Nobel laureates, my Gene Fama as one end, and Dick Thaler, also in Chicago, as the behavioral guy. There are a lot of other great people in this field. I don’t mean to make it to these two. But I would —
RITHOLTZ: Yeah, you could do worse than those two.
ASNESS: Yeah, absolutely, and I’m a fan of both. If you ask me who I think is more right, now, like, I think Gene’s contributions are actually the biggest in the entire world of finance because a lot of the field wouldn’t exist without him. But that’s a different question of who’s right. I think I would have been 75/25 in the Gene camp, when I left Chicago, even finding momentum.
RITHOLTZ: And now, you flipped?
ASNESS: And now, I think it’d be 75/25. And all that means is more of why our stuff works I think is taking the other side of behavioral biases than a rational risk premium, than I used to. And we’re all a prisoner of our lived experience, right? Living through both the tech bubble and those last five years; two and change, terrible; two and change, very good. All that may have over-influenced me. And you know, sometimes you see more crazy events in a career than the average.
RITHOLTZ: Right.
ASNESS: But I’ve definitely moved. I still vote Gene, the MVP of academic finance. Again, I’m impugning the Roman Empire throughout all of history. But I probably have moved more towards the behavioral side.
RITHOLTZ: But someone got to be on the wrong side of the trade and a few quantitatively identify who that is. They seem to work very well in harmony.
ASNESS: Absolutely.
RITHOLTZ: Cliff, thank you for being so generous with your time. We have been speaking with Cliff Asness. He is the co-founder, and just general all about town managing principal at AQR Capital Management.
If you enjoy this conversation, well, check out any of the previous ones we’ve done over the past nine years. We’re coming up on almost 500 and you can find those at YouTube, iTunes, Spotify, wherever you find your favorite podcasts. Sign up for my daily reading list at results.com. Follow me on Twitter @ritholtz. Follow Clifford Asness on Twitter @cliffordasness, and you could check out all of the Bloomberg podcasts @podcasts.
I would be remiss if I did not thank the crack team that helps put these conversations together each week. Justin Milner is my audio engineer. Atika Valbrun is our project manager. Paris Wald is my producer. Sean Russo is my head of Research.
我是巴里·里索尔茨。您正在收听的是彭博电台的《商业硕士》节目。
结尾
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