Cliff Asness: The Case for Momentum In Investing

In this interview with Value Investing with Legends, Cliff Asness discussed a number of topics including the case for momentum in investing. Asness has built a reputation as one of the most influential figures in quantitative investing. But behind the data and models lies a fierce intellectual curiosity and a willingness to challenge orthodoxy.

“Anyone who comes on and tells you a life story where it ended up any degree of successful, if they don’t admit there’s a fair amount of luck along the way, I think they’re usually not telling the truth,” he admits.

That humility belies the scale of his contributions. At the University of Chicago, Asness found himself learning from giants. “Gene Fama… is the Gene. Anytime I just say Gene, I know other guys named Gene, but they need a last name.” Yet even as a student under Fama, the high priest of efficient markets, Asness pursued a contrarian path. His dissertation focused on price momentum — a strategy Fama himself was skeptical of. “To this day, I think I mumbled the second part, hoping he just got a nod… [but] he thought about it for a second and he said, ‘If it’s in the data, write the paper.’”

That willingness to follow evidence over ideology became a lifelong principle. “There are always… three possible reasons why a systematic strategy can work… one is the worst possible reason — you’ve overfit the data.” The second is risk, and the third is irrationality. The truth, he suggests, usually lives somewhere in between: “The real world can have multiple explanations that are each partially true.”

For investors, that nuance is key. Take value investing — long considered gospel. “We have needlessly confused the world by calling that value. I think a lot of people… agree on almost everything over what is value investing.” The label, he argues, masks real differences. “Graham and Dodd are not just buying low multiple stocks.”

Asness also pushes back on rigidity in frameworks. While Fama and French famously resisted adding momentum to their factor models, Asness maintained it belonged: “Momentum is the key embarrassment to their three and then five factor model… I think I was their gatekeeper in keeping them a little on the straight and narrow on momentum.”

Even with decades of success, he’s the first to acknowledge how hard investing truly is. “You tortured the data until it confessed… that’s always a worry.” The lesson? No model, strategy, or investor is infallible. But the discipline to follow the evidence — even when it’s inconvenient — is what sets the best apart.

You can listen to the entire interview here: