One of the most interesting conversations Chanticleer had this year was with the brilliant, brash and bear-poking fund manager Cliff Asness, who runs AQR, a New York-based quant fund that manages about $US110 billion ($172 billion).

Asness is famous for many things, but his love of social media brawls is legendary. And there’s nothing he likes arguing about more than the so-called illiquidity premium.