Source: Bloomberg
Author: Sam Potter, Justina Lee
CLIFF ASNESS said it sounded like "a complaint old man", but this did not prevent him from writing the latest papers of 23 pages, explaining that the financial market is not the same as before.
The co -founder of the AQR Capital Management has just published the latest research, which details the arguments he has repeatedly mentioned recently, that is, in his career for more than 30 years, market efficiency has declined.
The billionaire admits that this article written by the 50th anniversary of the 50th anniversary of the investment portfolio management magazine is both a column and a quantitative study.But he said that his conclusion is of great significance for any investor who wants to win on Wall Street.
"I think the market efficiency has declined in the 34 years since my papers data," ASNESS, 57, wrote. "I think it will be greater in duration and duration.People who persist will make more money, but the difficulty will be more difficult. "
In a sense, this is also a major forecast from the hedge fund executive.His doctorate instructor at the University of Chicago proposed Eugen Fama, which was valid for a valid market.
According to this worldview, trying to predict that the market is stupid, but choosing stocks based on the characteristics of providing compensation based on the so -called factors or assignment of specific risks, you can earn additional returns.This is the core concept of companies such as AQR and Dimensional Fund Advisors, and the latter is another company founded by Fama's disciples.
If ASNESS's statement on market efficiency is correct, this actually means that factor investment methods are becoming more and more difficult.AQR's favorite strategy may take longer to work.
As for the cause of this change, ASNESS said that index investment, ultra -low interest rates and social media may have suspicions.He eventually believed that the latter and the following trading "gaming" may have the greatest impact because it made many irrational participants enter the investment field.
"I said it would continue," I wrote in the paper that ASNESS was in the paper entitled that the less-eFFICient Market Hypothesis was written, "from a historical point of view, new technologies seem to ultimately ultimately ultimately ultimateIt will be adapted, maybe one day this adaptation will make this article outdated.
Investment strategy
So what should investors do?Asness said that some market participants should adapt to the new normal.He said that investors should have as long as possible investment period.He said investors should try their best to lengthen the investment period.
In addition, he also encouraged investors to learn lessons from market historical behaviors.Follow the changing valuation.Don't just stare at every single item in the investment portfolio, focus on the overall situation.Don't mistake the trend of three to five years as permanent trend.Avoid those private equity assets that "wash off" risks by covering up the real volatility.Constantly strive to improve the process.
In the final analysis, if you have no confidence in following his strategy, then steering indexing is a "very reasonable choice."
Asness believes that decline in market efficiency also means that new methods such as machine learning, alternative data, and self -adaptation models that change factor configuration over time are valuable.
