Our Three Takeaways From Meb Faber's Interview With AQR

Every time I revisit AQR’s research or listen to one of their leaders speak, I’m reminded why their work stands out in our industry. They bring a disciplined, systematic, and deeply evidence-based approach to investing—one that matches much of what we talk about here on Rusty’s Bridge: staying invested, staying diversified, and staying disciplined. This conversation with AQR was no exception. Below are my three biggest takeaways.

1. Discipline Isn’t Just a Process—It’s a Culture

AQR has always been known for its quantitative rigor, but what truly came through in this conversation was how culturally embedded that discipline is. It’s not just about having a model or a rule set. It’s about having an organization that consistently follows it, through good times and bad.

Their philosophy echoes something I’ve said for years: great investment results come from focusing on process, not outcomes. Outcomes are noisy, emotional, and often misleading. But a consistently applied process (especially one grounded in robust data and research) compounds in ways that investors often fail to appreciate in the moment.

AQR’s commitment to rules-based, non-emotional decision-making is a powerful reminder that discipline is a muscle. It has to be trained, reinforced, and protected from the temptations of short-term noise. And it’s one reason why systematic investors tend to weather uncertainty better than those chasing narratives or reacting to headlines.

2. Clear, Honest Expectation-Setting Is a Superpower

Another major theme, and one that I personally admire about AQR, is their willingness to manage expectations upfront. They don’t oversell. They don’t promise smooth rides. Instead, they articulate in plain language what’s likely to happen, what might not happen, and what long-term investors should prepare for.

We talk about this a lot on the podcast: good investing isn’t just about capturing returns—it’s about preparing investors for the journey. When firms fail to set expectations, investors fill the void with their own assumptions, which usually aren’t realistic.

AQR’s honesty about factor cyclicality, return dispersion, and the potential for long stretches of underperformance isn’t pessimism - it’s responsible stewardship. And when advisors adopt that same mindset, it should dramatically improves client behavior and long-term outcomes.

3. Expected Returns (CMAs) Are Essential—Not Optional

I’ve always believed in the importance of building forward-looking capital market assumptions (CMAs), and this conversation reinforced that view. CMAs give investors a roadmap grounded in valuation, yield, growth, and risk assumptions—not wishful thinking.

CMAs also capture what an asset manager believes. If they believe in something, it should be able to be quantified. If they don't generate expected returns, even in-house without a public face, it's a fair question if they even have a belief system on how markets work over time.

AQR does this exceptionally well: blending historical research, current market data, and structural trends to build realistic expectations across asset classes and factors. And importantly, they use CMAs not to make short-term forecasts, but to guide long-term portfolio construction and risk budgeting.

In a world where investors often anchor to recent returns, CMAs are an anchor to reality. They help investors understand what’s plausible, what’s stretched, and where disciplined diversification continues to pay off over time.

In Closing

AQR’s work exemplifies what we emphasize here at Rusty’s Bridge: disciplined process, honest expectations, and thoughtful long-term planning. These are the foundations of wiser investing - and they’re timeless.

Invest Well, Be Well.