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AQR hedge fund suffers $10bn in outflows

AQR Capital Administration LLC updates

Belongings in a hedge fund run by AQR have tumbled greater than $10bn over the previous 4 years, as a prolonged interval of poor returns has persuaded many purchasers to tug out their money.

The AQR Managed Futures Technique fund, a computer-driven mutual fund that tries to revenue from market traits, has fallen in dimension from about $12bn in late 2017 to $1.5bn at present, in accordance with fund paperwork. Whereas the fund’s bets have typically misplaced cash lately, a lot of the drop in belongings pertains to shopper withdrawals.

The outflows come whilst Connecticut-based AQR has loved a stronger period of efficiency extra broadly throughout a lot of its portfolios, after shedding $86bn in belongings from its peak.

AQR, which manages about $140bn in whole belongings and is headed by former Goldman Sachs managing director Cliff Asness, is well-known for its tutorial method to investing. It breaks down hedge fund returns into their fundamental parts earlier than constructing comparatively low-cost portfolios to try to exploit these traits.

AQR declined to remark.

The AQR Managed Futures Technique fund is likely one of the best-known funds within the trend-following sector. Such funds use algorithms to attempt to establish after which latch on to persistent up or down traits in world futures markets.

Nevertheless, the fund has typically struggled to generate profits. Whereas it gained 5.4 per cent final March in the course of the inventory market’s large sell-off, it’s down 3.9 per cent over the previous 5 years and is roughly flat over the previous decade in accordance with fund documentation.

The fund has slipped 2.7 per cent within the first eight months of 2021, whilst a lot of its friends are profiting.

Amongst these friends sits Man Group’s $1.4bn AHL Diversified fund, which is up 10.3 per cent to mid-month. Side Capital’s $3bn Diversified fund has gained 10.5 per cent this yr, whereas GSA’s Pattern fund is up 7.2 per cent, in accordance with numbers despatched to traders and folks aware of the efficiency.

Managed futures funds are up 7.8 per cent on common this yr to the tip of August, in accordance with information group HFR. Many such funds have profited because the easing of coronavirus lockdowns and continued central financial institution stimulus have pushed riskier monetary markets greater.

The S&P 500 index has risen 19 per cent in a near-straight line this yr, whereas Brent crude is up 44 per cent. 

AQR’s fund tries to revenue from each quick and long-term market traits, and to identify when traits have run too far and are about to reverse. The fund has been operating bets on the rising worth of oil futures, nevertheless it additionally has greater than 1 / 4 of its belongings in currencies, in accordance with fund documentation, the place there have been fewer traits to take advantage of.

AQR has this yr benefited from a rebound in lowly-priced, so-called value shares. Its Fairness Market Impartial International Worth fund gained 12.3 per cent between the beginning of January and the tip of August, whereas its Absolute Return technique is up 13.3 per cent.

laurence.fletcher@ft.com

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