In Tough Year, Cliff Asness Channels Seinfeld’s George Costanza

The AQR Capital co-founder examined the firm’s portfolios using the revelation of “perennial loser” George Costanza.

Illustration by II

Illustration by II

Frustrated with poor investment performance, Cliff Asness, co-founder of AQR Capital Management, was moved to consider the life approach taken by sitcom character George Costanza in an episode of Seinfeld.

Costanza, “a perennial loser at all things,” concluded that he should do the opposite of what he would normally in order to find success in life, Asness wrote in a blog post this week on AQR’s website. At the suggestion of two clients, Asness looked at the quantitative investment firm’s portfolios accordingly.

AQR used “Costanza” versions of three portfolios “in pain” this year to examine how performance would look when ignoring the firm’s belief that, when things aren’t working, it should not “suddenly prefer expensive stocks with bad momentum, high risk, low quality, and negative views from informed investors,” Asness said in the blog post. The portfolios evaluated are similar in sharing exposure to AQR’s market-neutral equity strategy.

“The ‘Costanza Portfolio’ is a neat way to see the folly of fighting these, in our belief, very real long-term money makers,” he wrote. “While we know you didn’t doubt this, we, for one, do not intend to do ‘the opposite’ a la George Costanza.”

The historical evidence overwhelmingly favors investing in stocks with good value, good momentum, low risk, high quality, and positive views from investors that AQR considers to be informed, according to the blog post. And it’s “barely nicked by adding in this excruciating year,” Asness wrote.


Systematic value investing has caused much of the firm’s pain this year, despite being only a subset of its individual stock strategies, according to the AQR co-founder.

[II Deep Dive: Cliff Asness: Stick With Liquid Alts]

Last month Asness wrote a long paper on his pain over disappointing performance of liquid alternatives while defending their use as a diversifier in portfolios. He encouraged investors to stick to them on the belief that the strategy, when well-constructed, will pay off over the long term.

“I somehow feel that when I write a cathartic tome that I’m proud of, the universe is supposed to notice and immediately turn things around,” he said in this week’s blog post. “Nope.”