AQR's Longest-Operating Fund Achieves 43.5% Return in Record Year

AQR Capital Management's longest-running strategy had its best year yet in 2020, posting a gain of 43.5% net of fees. A number of the firm's funds achieved record performance last year, driving the strong overall results.

According to a person with knowledge of the matter, the Absolute Return strategy surged by 55% before fees. At least a dozen AQR funds had record years, including a strategy dedicated to value that rose by 44.7% net of fees last year, and a Style Premia Alternative Fund that climbed by 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 has continued to bet on certain quantitative strategies, even in tough years. He has warned that the value investing strategy, in particular, could be volatile, but that it is still in its early innings as markets correct.

After a big year for macroeconomic conditions 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.

The AQR representative refused to give a statement.

Many macro funds have had a great year, with traders like Said Haidar and Michael Platt delivering some of the best returns.

Scott Bessent, a former Soros Fund Management investing chief, posted a 30% gain in his macro hedge fund last year. This was a dramatic change of fortunes for the hedge fund manager, who had previously been struggling. 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.

Bridgewater Associates, the giant firm founded by Ray Dalio, was one of the exceptions, giving up much of its gains after losing money in October and November.