AQR Hedge Fund Suffered from $10 Billion Outflow


AQR Capital Management Co., Ltd. update

In the past four years, the assets of hedge funds operated by AQR have shrunk by more than US$10 billion, as long-term low returns have persuaded many clients to withdraw their cash.

According to fund documents, the AQR Managed Futures Strategy Fund is a computer-driven mutual fund trying to profit from market trends. Its size has dropped from approximately US$12 billion at the end of 2017 to the current US$1.5 billion. Although the fund’s bets have often lost money in recent years, most of the decline in assets is related to customer withdrawals.

Even in AQR in Connecticut, I enjoyed Strong period After reducing $86 billion in assets from the peak period, many of its investment portfolios have performed more broadly.

AQR manages approximately US$140 billion in total assets, led by former Goldman Sachs managing director Cliff Asness, and is known for its academic investment collapse Before building relatively low-cost investment portfolios to try to take advantage of these characteristics, hedge funds return to their basic components.

AQR declined to comment.

AQR Managed Futures Strategic Fund is one of the most famous funds in the field of trend tracking. These funds use algorithms to try to identify and capture continued upward or downward trends in the global futures market.

However, the fund often struggles to make money. According to fund documents, although it gained 5.4% during the stock market sell-off in March last year, it has fallen by 3.9% in the past five years and has remained roughly flat for the past ten years.

The fund fell 2.7% in the first eight months of 2021, even though many of its peers are profitable.

Among these peers, there is Man Group’s $1.4 billion AHL Diversified fund, which rose 10.3% as of the middle of the month. According to data sent to investors and people familiar with the matter, Aspect Capital’s $3 billion diversified fund has risen 10.5% this year, while GSA’s Trend fund has risen 7.2%.

According to data from the data group HFR, as of the end of August, managed futures funds rose by an average of 7.8% this year. With the relaxation of the coronavirus lockdown and the central bank’s continued stimulus measures pushing up riskier financial markets, many of these funds have already made profits.

The S&P 500 index rose 19% this year, close to a straight line, while Brent crude oil rose 44%.

AQR’s fund tries to profit from short-term and long-term market trends and finds when the trend has gone too far and is about to reverse. The fund has been betting on the rise of oil futures prices, but according to fund documents, it also has more than a quarter of its assets in currency, and there is less trend to use.

This year AQR benefited from the rebound of low-priced goods, the so-called value stock. Its stock market neutral global value fund rose 12.3% from early January to the end of August, while its absolute return strategy rose 13.3%.

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