An Interview with Cliff Asness: The Illusion of Safety in Private Assets

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March 31, 2026 - Cliff Asness Topics - Alternative Investing Portfolio Construction Portfolio Risk and Performance In an interview with the editor of The Journal of Private Markets Investing, Cliff Asness reiterates his views on the numerous flaws embedded in private assets – including artificially smoothed returns (and investors taking on more equity risk as a result), performance during drawdowns compared to equities, and correlation risks with public assets – and what investors should keep in mind when assessing the role of privates in their own portfolios. Published In The Journal of Private Markets Investing An Interview with Jordan Brooks: Multi-Asset Strategies and Asset Allocation Journal Article - March 10, 2026 Journal Article - March 10, 2026 I Did Not Predict What Is Going on in Privates Perspective - March 25, 2026 Perspective - March 25, 2026 Demystifying Illiquid Assets: Expected Returns for Private Equity Journal Article - January 31, 2019 Journal Article - January 31, 2019 This document is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and AQR Capital Management, LLC (“AQR”) to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. This document is not to be reproduced or redistributed to any other person. The information set forth herein has been provided to you as secondary information and should not be the primary source for any investment or allocation decision. Past performance is not a guarantee of future performance. Diversification does not eliminate the risk of experiencing investment losses. This material is not research and should not be treated as research. This paper does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the author nor AQR undertakes to advise you of any changes in the views expressed herein. The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. The information in this presentation has been developed internally and/or obtained from sources believed to be reliable; however, neither AQR nor the author guarantees the accuracy, adequacy or completeness of such information. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such. Diversification does not eliminate the risk of experiencing investment losses. The information in this paper may contain projections or other forward-looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein, and is only cur

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