(Bloomberg) — AQR Capital Management’s longest-running strategy had its best year since its inception in 1998, posting a gain of 43.5% net of fees, as a range of its funds achieved record performance.
(Bloomberg) — AQR Capital Management’s longest-running strategy had its best year since its inception in 1998, posting a gain of 43.5% net of fees, as a range of its funds achieved record performance.
Before fees, the Absolute Return strategy surged 55%, according to a person with knowledge of the matter who asked not to be identified discussing performance. At least a dozen AQR funds had record years, including a strategy dedicated to value that rose 44.7% net of fees last year, and a Style Premia Alternative Fund that climbed 30.6% by the same measure. AQR’s global macro strategy also had its best year, with a 42% increase.
Cliff Asness, the firm’s co-founder and chief investment officer, has benefited from a focus on value investing and trend following in what has been a historic rebound for quantitative investors. Macro investors and those focused on commodities have bounced back after tough stretches for their strategies.
Asness continued to bet on certain quantitative strategies even in tough years. For value investing in particular, he has warned that the strategy could be volatile, but is still in its early innings as markets correct.
After a big year for macro and a volatile market, AQR’s Managed Futures Full Volatility Strategy surged 57.5% net of fees. The firm’s assets under management totaled about $100 billion as of November.
A representative for AQR declined to comment.
It’s been a banner year for many macro funds, with traders including Said Haidar and Michael Platt producing some of the top returns.
Scott Bessent, a former Soros Fund Management investing chief, posted a 30% gain in his macro hedge fund, and Chris Rokos produced his best-ever gains last year in a dramatic change of fortunes for the hedge fund manager. The $15.5 billion Rokos Macro Fund he leads surged 51% in 2022, according to people with knowledge of the matter. The return was his best since 2015, when he began trading for his eponymous firm in London.
One exception has been Bridgewater Associates, the giant firm founded by Ray Dalio, which gave up much of its gains after losing money in October and November.
(Adds assets under management in fifth paragraph.)
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