Monday, May 27, 2024

AQR funds surge on September’s ‘higher-for-longer’ shift

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AQR Capital Management posted banner returns across its range in September, capitalising on the market’s shift to a higher-for-longer outlook on rates.

Its hedge fund range is on course for a second consecutive year of strong gains after its long-held value thesis and systematic approach paid off in 2022.

Many systematic strategies flourished in September as equity and bond markets sold off on fears that rates may stay elevated for longer and recession fears increased.

Cliff Asness’s firm, the eleventh-largest in hedge fund asset terms globally, was a leading beneficiary. Absolute Return, AQR’s longest running multi-strategy fund, was up 9.5% in September, sending it up 19.6% for the year with a quarter remaining.

Its dedicated value strategy, the AQR Equity Market Neutral Global Value, was up 11.4% in September and 18.4% YTD.

The Connecticut manager’s value and momentum-driven Global Stock Selection Strategy, which targets low to zero correlation to global markets, made 5.4% last month and 14.6% YTD.

AQR Alternative Trends Strategy made 2%, now up 13.1% YTD. And the AQR Managed Futures Full Volatility Strategy advanced 6.3%, putting it up 8.3% YTD. (Related: Managed futures turn positive for year in strong September).

AQR increased hedge fund assets by roughly 75% to about $42bn last year thanks to strong performance across trend-following, multi-strategy, global macro and stock selection.

The systematic specialist ended the year with about $100bn across its range. Performance was confirmed by a source, the firm had no comment.

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