Hedge fund AQR suffers $ 10 billion in cash outflows
Updates from AQR Capital Management LLC
Sign up for myFT Daily Digest to be the first to hear about the latest news from AQR Capital Management LLC.
The assets of a hedge fund managed by AQR have fallen by more than $ 10 billion in the past four years, as a long period of poor performance has persuaded many clients to withdraw their money.
The AQR Managed Futures Strategy fund, a computer-based mutual fund that tries to take advantage of market trends, has grown from around $ 12 billion at the end of 2017 to $ 1.5 billion today, according to the fund’s documents. While the fund’s bets have often lost money in recent years, most of the decline in assets has been in customer withdrawals.
The exits come even as Connecticut-based AQR has seen a period of stronger performance in many of its portfolios, having lost $ 86 billion in assets from its peak.
AQR, which manages around $ 140 billion in total assets and is headed by former Goldman Sachs chief executive Cliff Asness, is well known for its academic approach to investing. He breaks down hedge fund returns into their basic components before putting together relatively inexpensive portfolios to try to exploit these characteristics.
AQR declined to comment.
The AQR Managed Futures Strategy fund is one of the best-known funds in the trend following industry. These funds use algorithms to try to identify and adapt to persistent upward or downward trends in global futures markets.
However, the fund has often struggled to make money. While it gained 5.4% last March during the huge sell-off in the stock market, it is down 3.9% over the past five years and has been roughly stable over the past decade. according to the fund documentation.
The fund has lost 2.7% in the first eight months of 2021, even as many of its peers are profiting.
Among those peers is Man Group’s $ 1.4 billion AHL Diversified fund, which is up 10.3% as of mid-month. Aspect Capital’s $ 3 billion diversified fund is up 10.5% this year, while GSA’s Trend fund is up 7.2%, according to figures sent to investors and those familiar with the performance .
Managed term funds are up 7.8% on average this year at the end of August, according to data group HFR. Many such funds have benefited as the easing of coronavirus lockdowns and continued central bank stimulus measures have pushed riskier financial markets up.
The S&P 500 Index has risen 19% in a straight line this year, while Brent crude is up 44%.
The AQR fund tries to take advantage of short and long term market trends and detect trends that have gone too far and are about to reverse. The fund has bet on rising oil futures prices, but it also has more than a quarter of its assets in currencies, according to the fund’s documentation, where there have been fewer trends to exploit.
AQR benefited this year from a rebound in values at low prices, known as value. Its Equity Market Neutral Global Value fund gained 12.3% between the beginning of January and the end of August, while its Absolute Return strategy is up 13.3%.