Quantitative investment strategies suffered poor performance last year, but there isn’t one intuitive way to pinpoint exactly why it happened, said Cliff Asness, managing principal and chief investment officer at AQR Capital Management.

It’s easier to explain why one individual component of a multifactor strategy underperformed, such as why the value factor lagged, he said. But explaining total performance in down years is difficult, especially over the short to medium term.

He said these questions don’t usually come up on good years, since no one questions why they are making a lot of money. But in a tough year, people ask questions.

“In a tough year, you need intuition,” he said.

Asness spoke Thursday at the Morningstar Investment Conference in Chicago.

When combined into a multifactor strategy, individual factors temper one another to smooth out volatility, limiting an individual factor’s upside and downside. But it’s hard to discern why a particular factor’s outperformance or underperformance can affect total performance, he said.

It’s not unlike a conglomerate company, but instead of owning a basket of different firms, AQR owns baskets of factors. “Conglomerates are good on most of the factors you like. It might not be the cheapest in value, not the best in momentum or have the highest profitability, but together they’re good on all these things,” he said.

While this basket works in the long term, explaining short-term performance is harder. And when short-term performance lags, it leads people to think perhaps the strategy is broken, he said. But he has no plans to change.

“Success is sticking with [the strategy] with its ups and downs. To survive long term, brace for the short term,” he said.

He admits that it’s easier to stick with a strategy that is intuitively easier to understand, “even if it’s not a better strategy.”

AQR’s flagship mutual fund, the AQR Multi-Asset Fund Class I (AQRIX) is up 1.7 percent on an annualized one-year basis, whereas the S&P 500 is up 7.8 percent over the same time frame. He says on a 20-year basis, from December 2000 to March 2019, net of fees, the AQR Global Stock Selection Strategy has a net annual return of 4.3 percent and a minus 0.17 percent correlation to the S&P.

The point of the strategy is to be uncorrelated to the market, he said, adding he’s happy with the strategy’s long run. He said he takes some comfort in the fact that they’ve seen the strategy perform poorly and rebound, during the dot-com era, for example.

Asness admits that when a lot of money comes into certain factors, it can affect performance. For example, if a lot of money came into a value strategy, it would no longer make those value stocks cheap and it would dilute the factor’s effectiveness.

He offered some advice for advisors who might be dealing with their underperformance: Know the process, keep size bets reasonable, check to see if the process is broken and stick with your strategy.

“Human nature wants to change when things are down. In tough times, test every possibility why now might be different. If you’ve kept an open mind, checked for recent poor performance and if all of that passes, stick like grim death to your beliefs,” he said.