“It’s not as simple as opening a fund and having people flock in,” said Josh Charney, an analyst with Morningstar. “To be successful in this field you have to make a real effort to market your funds and educate the clients.”

Blackstone Group LP is another liquid alt success story. The Blackstone Alternative Multi-Manager Fund returned 4 percent last year, ranking 13th on the list. The firm collected $3 billion in deposits in its liquid alt funds last year, Morningstar data show, bringing their assets to $5.1 billion.

Factor Investing

Asness earned his doctorate in finance at the University of Chicago, where he studied under Eugene Fama, who later won the Nobel Prize in economics for his work on efficient markets.

Like Fama, Asness and his colleagues don’t pick individual securities. Instead they use a quantitative approach to identify certain factors, such as momentum, value and quality that they believe create outperformance in asset classes over time. Last year, momentum, the notion that rising securities keep rising and falling ones keep falling, was the key driver of returns, said Ronen Israel, a principal at AQR.

“What happens to traditional markets shouldn’t tell you what happens in our portfolios,” he said in a telephone interview from the firm’s Greenwich, Connecticut-based headquarters. “We should be able to do well in different market environments.”

Charney at Morningstar said the 2015 gains at AQR funds may not be repeatable and that three of its four top performers have only been operating since 2013. In the world of liquid alts, investors have shown they will bail out quickly when performance sours.

The MainStay Marketfield Fund, a long-short strategy, saw assets climb to $19.3 billion in 2013 from $882 million in 2011 on the strength of strong returns. The fund lost 12 percent in 2014 and 8.3 percent in 2015, triggering redemptions of $13.8 billion over the two-year period, according to Bloomberg data. The fund had $2.4 billion in assets as of Dec. 31.

Uncorrelated Bets

Israel said educating investors is crucial in making them stick with the funds. AQR writes research papers to explain the role of alternatives, which can provide returns that are uncorrelated with stocks and bonds.