Factor Investing Explicitly Tries To Look Lousy On Active Share: Cliff Asness

There has already been much ink, and maybe even some blood, spilled debating the merits of “Active Share” for judging an investment fund. There was the original paper, a critique of that paper written by some of my colleagues, a reasonable (which doesn’t mean I agree with it) response to AQR’s piece, and even a seriously deranged¹ response to my colleagues’ work (thankfully I’m known for a certain aplomb and even sangfroid in such tense situations and have helped calm everyone down). I don’t seek to re-open this debate but, rather, to focus on one aspect of it. Admittedly it’s an aspect near and dear to my heart and wallet. I believe (hope) this aspect...