Cliff Asness
Systematic Factors
Cliff Asness co-founded AQR Capital Management in 1998 after a PhD under Eugene Fama and a spell running quantitative research at Goldman Sachs. His work argues that a small number of persistent factors — cheapness, momentum, quality and safety — explain most of what active managers are paid for, and that they can be harvested systematically and combined, because value and momentum are negatively correlated and each covers the other's worst periods. The "Quality Minus Junk" line of research adds that profitable, stable, low-leverage companies have historically been underpriced relative to their characteristics. Asness is equally insistent on the discipline half of the claim: the factors work over long horizons but suffer long drawdowns, and the edge lies in continuing to apply the rules through them rather than in overriding the model on conviction.
Methodology fidelity
Faithful adaptationSources reviewed 2026-08-24This rebuild uses true fiscal-year cross-sectional ranks rather than the former one-company absolute cutoffs. Value, 12-1 momentum and quality definitions follow AQR research; components are combined within factor groups and the factor groups receive equal weight. The app’s top-30% pass cohort, long-only public-company universe, annual observation schedule, omission of risk balancing/short portfolios, and narrower public-data quality set are disclosed implementation choices. No current rank is substituted into a historical year.
Valuation Method
No AQR per-share intrinsic value
No investor formulaAQR research defines relative factor portfolios, not a one-company intrinsic value. The rebuilt framework therefore stores rank certificates and criterion scores without producing a per-share value.
Screening implementation (7 criteria)
| # | Criterion | Metric | Threshold | Data Source |
|---|---|---|---|---|
| 1 | Earnings-to-Price Rank | Net Income / Market Capitalization | Top 30% of the eligible cross-section | Income Statement: Net Income; point-in-time Market Capitalization |
| 2 | Book-to-Price Rank | Positive Book Equity / Market Capitalization | Top 30% of the eligible cross-section | Balance Sheet: Shareholders' Equity; point-in-time Market Capitalization |
| 3 | 12-1 Momentum Rank | 12-month return excluding the most recent month | Top 30% of the split-certified eligible cross-section | Point-in-time monthly market data: the current live window or the historical archive for backtests. Any window whose return basis cannot be certified is excluded rather than assigned a weak rank. |
| 4 | Gross Profitability Rank | Gross Profit / Total Assets | Top 30% of the eligible cross-section | Income Statement: Gross Profit; Balance Sheet: Total Assets |
| 5 | Return on Equity Rank | Net Income / Positive Book Equity | Top 30% of the eligible cross-section | Income Statement: Net Income; Balance Sheet: Shareholders' Equity |
| 6 | Low Leverage Rank | Negative Debt-to-Equity (higher means less debt) | Top 30% of the eligible cross-section | Balance Sheet: Total Debt and Shareholders' Equity |
| 7 | Earnings Stability Rank | Negative 5-Year Standard Deviation of Return on Assets | Top 30% of the eligible cross-section | Income Statement: Net Income; Balance Sheet: Total Assets, 5-year history |
Verdict Logic
Every measurable component is ranked within the same point-in-time universe; a component passes in the top 30%. Component strengths are averaged inside value, momentum and quality, then those three factor groups receive equal weight in the combined rank. Missing inputs leave the relevant universe rather than becoming zeros.
What Would Cliff Asness Buy Today?
Sources
Value and Momentum Everywhere
primary2013Cliff Asness, Tobias Moskowitz and Lasse Pedersen
Journal of Finance. Documents value and momentum premia across eight markets and asset classes, and shows the two are negatively correlated so that combining them beats either alone.
View source →Quality Minus Junk
primary2019Cliff Asness, Andrea Frazzini and Lasse Pedersen
Review of Accounting Studies. Defines quality as profitability, growth and safety, and shows that high-quality companies command a price premium smaller than their characteristics justify.
View source →The Devil in HML’s Details
primary2013Cliff Asness and Andrea Frazzini
Journal of Portfolio Management. Shows how the construction details of a value factor — in particular using a current rather than lagged price — materially change the measured premium.
View source →