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Combining both Fama's and French's value insight with Asness's momentum insight, they developed a computer model that grabbed a wealth of up-to-the-minute data to identify the cheapest value stocks (Fama and French), but only those that seemed to have started on an upward swing (Asness).

Asness and his colleagues soon discovered their strategy worked not only with stocks but also with currencies, commodities, and even entire economies. In 1995, Asness's group started an internal hedge fund for Goldman Sachs and a few of its clients using the new model. With just $10 million, the Global Alpha Fund, a market neutral hedge fund, returned 140% in just the first year. The fund did so well that the firm rolled it out and began to market it. Within two years, Asness and his crew had $7 billion in Quantitative Research Group for Goldman Sachs Asset Management (GSAM).

In January 1998, Asness along with Krail, Liew, and several other Goldman Sachs colleagues, resigned and formed AQR (Applied Quantitative Research) Capital Management LLC. By 2007, AQR had built up substantial prestige based on its return-on-equity figures and is now a diversified investment management firm. Asness has gathered the reputation of an intellectual heavyweight in the hedge fund community. He is known for his skeptical approach to Wall Street's perpetual bullishness and frank speaking.