Cliff Asness on Resilience, Rationality, and Why Most Investors Give Up Too Soon

Cliff Asness, co-founder of AQR Capital, offers a refreshingly stubborn perspective on investing: great investing isn’t just about smart strategies—it’s about sticking with them, even when the going gets tough.

During his interview with David Weisburd, Asness didn’t shy away from the emotional toll of underperformance. “During our toughest period, it rounds to zero my concern about my personal losses,” he admitted. “Because I am a believer. I’ve seen this movie several times. I’ve stuck with our strategy and seen it work.” His confidence isn’t blind faith; it’s earned through decades of watching strategies rebound after brutal stretches.

But conviction alone isn’t enough. Asness highlights the delicate balance between rationality and client psychology: “Devising great strategies that have decent, attractive positive sharp ratios and are uncorrelated is only step one. Step two is sticking with and convincing others to stick with those strategies long term.” He acknowledges the harsh reality: “98% of it is when you manage money for others. You feel a responsibility. Bringing people bad news is no fun for anyone.”

The challenge? Human nature. Even sophisticated investors face “agency problems,” where short-term pressures override long-term logic. Asness likens it to hockey coaches refusing to pull the goalie early—even when math says they should—because they fear standing out if it backfires. “An open mind is good,” he quips, channeling his Midwestern mother-in-law, “but not so good that your brains fall out.”

For Asness, surviving downturns requires three things: pre-education (“show clients the hundred-year backtest and those ugly periods”), relentless improvement (“we probably had our best five years of research during our worst performance”), and a refusal to panic. “You’ve researched strategies for 25 years,” he says. “You can’t see a tough period and just throw the baby out with the bathwater.”

Yet he’s no dogmatist. When value investing struggled during the tech bubble, AQR scrutinized every critique, like the argument that book value missed intangible assets. “We took it seriously,” Asness recalls. But after testing, they found the problem wasn’t the metric—it was the market’s irrationality. “At the end of the day, you plant your feet and say, ‘I will not be moved.’”

His final piece of wisdom? Embrace the paradox: “The only way to add value is to do something different than the crowd. But the less it looks like everything else, the harder it is to stick with.” In other words, the best investors aren’t just smart—they’re steadfast.

You can watch the entire interview here: