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Investment management firm AQR books best year in several strategies

07 Tháng Giêng 2023
Investment management firm AQR books best year in several strategies © Reuters. Cliff Asness, Co-Founder, Managing Principal and Chief Investment Officer of AQR Capital Management, speaks at the Milken Institute Global Conference in Beverly Hills, California, U.S., May 2, 2016. REUTERS/Lucy Nicholson/File Photo

By Nell Mackenzie

(Reuters) - Investment management firm AQR's Absolute Return Strategy in 2022 saw its best year since its inception since 1998, a source with knowledge of the matter said on Friday.

The $100 billion firm AQR reaped top performances from several of its strategies, taking advantage of strong trends across futures and markets moved by macro-economic factors, added the source, who did not want to be named discussing performance.

Global equities saw some $14 trillion wiped off their value last year, while nearly 300 interest rate hikes and a trio of 10%-plus rallies exacerbated market volatility.

AQR's Absolute Return Strategy, a multi-strategy fund, returned 43.5% last year net of fees, the source said. It benefited from careful portfolio selection, the source said.

Its Equity Market Neutral Global Value and its Global Macro strategies both posted record years at 44.7% and 42.0% net of fees. Its Alternative Trend Strategy also had its best year ever, with a 48.9% net of fees, the source added.

An index by Hedge Fund Research (HFR), which tracks the performance of the biggest global hedge fund performances, posted a year to date decline of 2.78% through November 2022, whereas a larger index tracking the total industry fell by 3.87% to the end of November 2022.

AQR is an investment firm that has hedge fund strategies but also includes long-only and mutual funds.

Trend strategies would continue to succeed for AQR during sustained downturns and persistent macro volatility, the source told Reuters.

AQR founder Cliff Asness meanwhile published a blog this week, titled "The Bubble Has Not Popped", which referred to his writing in 2001 about expensive stock market valuations.

"Like in 2022, there's sure to be nasty reversals along the way, but as Wile E. Coyote always finds out, gravity is inescapable," Asness wrote in the blog post.

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31-03-2024 10:19:50 (UTC+7)

EUR/USD

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EUR/USD

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 EUR/USD1.0793Sell
 GBP/USD1.2624Sell
 USD/JPY151.38↑ Buy
 AUD/USD0.6522Sell
 USD/CAD1.3543Buy
 EUR/JPY163.37↑ Sell
 EUR/CHF0.9738↑ Buy
 Gold2,254.80Buy
 Silver25.100↑ Buy
 Copper4.0115↑ Buy
 Crude Oil WTI83.11↑ Buy
 Brent Oil86.99Neutral
 Natural Gas1.752↑ Sell
 US Coffee C188.53↑ Sell
 Euro Stoxx 505,082.85↑ Sell
 S&P 5005,254.35↑ Sell
 DAX18,504.51↑ Buy
 FTSE 1007,952.62↑ Sell
 Hang Seng16,541.42Neutral
 Small Cap 20002,120.15Neutral
 IBEX 3511,074.60↑ Sell
 BASF52.930↑ Buy
 Bayer28.43Buy
 Allianz277.80↑ Buy
 Adidas207.00↑ Buy
 Lufthansa7.281↑ Sell
 Siemens AG176.96↑ Buy
 Deutsche Bank AG14.582↑ Buy
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