Cliff Asness is a man who is angry today.
And really, who can blame him?
After all, wouldn’t you be angry if you woke up every morning and your last name was still “Asness?”
Think about having to live with that day in and day out. If you add an “s” to it, Cliff’s last name quite literally means “this is the essence of an ass.”
But that’s not the only reason why Cliff is always mad.
He’s also mad because every time he looks in the mirror he sees a bald version of Philip Seymour Hoffman’s pale corpse:
Recapping, here’s a guy (Cliff) who walks out of the house everyday looking like Sandy from “Along Came Polly” and signs his checks with a last name that might as well be “butt cheeks.”
So yeah, Cliff is always irritated. God bless him.
Let me tell you something else about Cliff.
Cliff is a guy who isn’t scared to put women in their place when they try to talk about “quant stuff.”
Just ask Stephanie Ruhle, to whom Cliff said the following (on live television):
So yeah, you’re giving me that look that I get when I talk to women about quant stuff.
Kinda makes you think Cliff might subscribe to the old Trump/O’Reilly theory of how to treat members of the opposite sex.
So that’s Cliff.
And earlier this month, Cliff didn’t really appreciate it when Bloomberg’s Dani Burger effectively called bullshit (although she probably wouldn’t put it that way) on quants in general by designing a factor-based strat based on the word “cat” which, when back-tested, returned 850,000%.
Specifically, here’s what a laughably condescending Cliff told Dani about her “cats”:
Everything you can sort on can be a factor, but not all factors are interesting. Factors need some economics, theory or intuition even, to be at all interesting to us. Thus the cat factor fails as we have no story for why it should matter at all. Now, in contrast, we are active traders of the dog and parakeet factors, which are based on hard neo-classical economics married to behavioral finance and machine learning. But the cat factor is just silly.
Right. In other words, Cliff really put the “ass” in “As(s)ness.”
Well on Tuesday, Burger wrote something called “Ex-Bridgewater Quant Says Smart Beta ETFs Use Factors All Wrong.” Here are some excerpts:
The smart beta exchange-traded fund you just bought may not have been the wisest idea — at least according to an upstart quantitative investing shop with ties to the world’s biggest hedge fund.
That’s because the utility of investing exclusively based on factors like momentum, value and low volatility is exaggerated by most providers, according to Maneesh Shanbhag, who co-founded $500 million Greenline Partners LLC after five years at Bridgewater Associates LP. In fact, he says, factors only work as a way to find stocks to bet against.
“There is a tiny bit that is good, but a lot in the space where the benefits are oversold,” said Shanbhag, who runs what he calls “factor inspired” risk parity portfolios. “All of them are better at predicting losers than selecting winners. Yet most products are long only.”
This is a frightening proposition, considering how ETFs that exclusively bet on stocks rising have ballooned in popularity.
The issue comes down whether factors good at picking stocks that are primed to rise. At its core, factor investing targets shares with characteristics shown to beat the market over time. The logic has been applied to countless smart beta ETFs that, say, buy the 100 least volatile stocks in the S&P 500 Index, like the $7 billion PowerShares S&P 500 Low Volatility ETF, symbol SPLV.
Now irrespective of whether you agree with that, what you don’t do if you don’t want someone to subject you to the kind of merciless ridicule that we just subjected Cliff to, is post this on Twitter:
Right, so there’s Cliff calling Burger “silly and ignorant” (although because Asness is “ball-less” he’ll pretend like he’s blaming the graph).
And as if that wasn’t enough, he went on to say this about Maneesh Shanbhag:
Yes, “the standards for getting an article written about you” are getting pretty low.
Fortunately for Cliff, we have really low standards.
Otherwise we wouldn’t give this “Ass
ness” the time of day.
You’re welcome Cliff,