Cliff Asness Says Value Revival Has Become Quant ‘Gut Punch’
- Gains for cheap stocks are failing to change AQR’s fortunes
- Quality, momentum, low beta equities have been faring poorly
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A rebound in the performance of long-suffering value shares in the past few weeks has done little to help quantitative investors who utilize a variety of factors, according to Cliff Asness.
The co-founder of systematic investment giant AQR Capital Management LLC said the market’s rotation into value shares since the end of October has turned out to be a “gut punch” for firms like his. That’s because losses for quality stocks, the momentum factor, and low-beta names -- shares less sensitive to moves in the benchmark -- have effectively offset the rebound for inexpensive counterparts.