A slew of AQR Capital Management LLC strategies returned more than 10% in the first quarter, riding strong cross-asset trends and bets on companies with stable earnings.
Greenwich, Connecticut-based AQR’s Managed Futures Full Volatility Strategy — a trend-following strategy with $1.1 billion — rose 17.4% in the three months, according to a person familiar with the matter who asked not to be identified discussing private details. The $1.2 billion AQR Delphi Long Short Equity Strategy, which buys less-risky firms with steady cash flows while betting against the opposite, returned 13%. AQR’s Apex Strategy, with $780 million, gained 11%, lifted by directional macro bets and stock selection.
Following a few difficult years culminating in the pandemic market disruption, the $108 billion firm co-founded by Cliff Asness has enjoyed a stretch of strong performance. AQR’s Absolute Return strategy returned 18.5% in 2023 following a record 43.5% the previous year and has scored more gains this year.
The firm’s Full Volatility Strategy — which mainly bets on trends in stocks, bonds, raw materials and currencies — got a boost from strong trends in equities as global markets rallied, as well as traditional commodities momentum bets benefiting from surging cocoa prices. More broadly, trend-following quants have posted their third-best quarterly performance in the past decade, according to Societe Generale.
The Delphi Long Short Equity Strategy notched its best quarterly performance since 2021, driven by the outperformance of low-risk, high-quality stocks over riskier firms year-to-date.
The AQR Apex Strategy — a mix of equity, macro and arbitrage trading — had its best quarter since its April 2020 inception. Sub-strategies including directional macro bets, stock selection and relative value macro boosted the performance. Popular versions of momentum investing, which buys recent stock-market winners and bets against losers, notched its best quarter since 2002, a boon for AQR, which uses the factor in several strategies.
This article was provided by Bloomberg News.