Here are some extracts from an interview with Cliff Asness in Lasse Pedersen's (2015) book on Efficiently Inefficient.
Well, the single biggest difference between real world and academia is— this sounds over scientific— time dilation. I’ll explain what I mean. This is not relativistic time dilation as the only time I move at speeds near light is when there is pizza involved. But to borrow the term, your sense of time does change when you are running real money. Suppose you look at a cumulative return of a strategy with a Sharpe ratio of 0.7 and see a three-year period with poor performance. It does not faze you one drop. You go: “Oh, look, that happened in 1973, but it came back by 1976, and that’s what a 0.7 Sharpe ratio does.” But living through those periods takes— subjectively, and in wear and tear on your internal organs— many times the actual time it really lasts. If you have a three-year period where something doesn’t work, it ages you a decade. You face an immense pressure to change your models, you have bosses or clients who lose faith, and I cannot explain the amount of discipline that you need.
.Discipline is important. We do not think we’re more immune to psychological biases than others, but following the models helps. If we followed them with less discipline, we run the serious risk of reintroducing the exact biases we are trying to exploit! For instance, if people run from stocks with any problems, making value stocks too cheap and attractive buys long-term, if we use our judgment to selectively override our models, perhaps we undo precisely the bet we want to make, in order to make ourselves more “comfortable”? Discipline is not always easy, by the way. It’s really hard to stick to a strategy. But when people cave and disregard their models, they seem to usually do this within an hour and a half of the worst possible time to cave. Admittedly, that’s not a quant study, but it’s been my experience. The difficulty of sticking to the models is part of why they work.