When Cliff Asness walked away from Goldman Sachs to co-found AQR Capital Management, he gave up a partnership at one of Wall Street's most prestigious firms, just before it went public. AQR launched its first fund in August 1998, straight into the Russian debt default and the collapse of Long-Term Capital Management. Then came the dot-com bubble. For a firm built on buying cheap stocks and selling expensive ones, it was close to the worst environment imaginable, as value investing suffered one of its most brutal stretches on record. In this episode of War Stories over Board Games, Asness tells Institutional Investor's Kip McDaniel about AQR's years in purgatory, what it felt like to be proven wrong by the market every single day, and the lessons that carried the firm through later storms, including the quant crisis of August 2007.