BIG BRAIN AQR Capital Management Keeps Getting Smoked by its Own Benchmarks

Posted on 01/13/2021


AQR Capital Management LLC which originally stood for “Applied Quantitative Research” keeps failing to beat its benchmark for a number of funds. AQR Capital has also witnessed a number of large U.S. public pension plans dropping AQR mandates over poor performance and allocation changes. For example in 2020, Kansas City Employees’ Retirement System redeemed its US$ 19 million investment in a diversifying hedge fund (AQR Delta XN Offshore fund) managed by AQR Capital. The fund manager has engaged in layoffs as assets under management fell. AQR’s multi-style and defensive style funds continue to struggle in performance. Cliff Asness is the co-founder of AQR Capital. Which investment consultants have been recommending AQR products to public pension plans and endowments?

AQR Global Equity Fund
1-year period returns (ended September 30, 2020), Fund return of 6.48% vs. MSCI Daily TR Net World index of 10.41%
Since inception (December 31, 2009) Fund-Class I:AQGIX return of fund 8.35% vs. benchmark return of 8.95%

AQR Large Cap Multi-Style Fund
1-year period returns (ended September 30, 2020), Fund return of 10.3% vs. Russell 1000 Total Return index of 16.01%
Since inception (March 26, 2013) Fund-Class I:QSMLX return of fund 10.56% vs. benchmark return of 12.95%

AQR Small Cap Multi-Style Fund
1-year period returns (ended September 30, 2020), Fund return of 1.13% vs. Russell 2000 Total Return index of 0.39%
Since inception (March 26, 2013) Fund-Class I:QSMLX return of fund 6.91% vs. benchmark return of 7.81%

AQR International Multi-Style Fund
1-year period returns (ended September 30, 2020), Fund return of -0.51% vs. MSCI Daily TR Net World Ex USA Index of 0.16%
Since inception (March 26, 2013) Fund-Class I:QICLX return of fund 3.11% vs. benchmark return of 3.94%

AQR Emerging Multi-Style Fund
1-year period returns (ended September 30, 2020), Fund return of 10.69% vs. MSCI Daily TR Net Emerging Markets Index of 10.54%
Since inception (May 13, 2014) Fund-Class I:QEELX return of fund 2.23% vs. benchmark return of 3.38%

AQR TM Large Cap Multi-Style Fund
1-year period returns (ended September 30, 2020), Fund return of 11.76% vs. Russell 1000 Total Return index of 16.01%
Since inception (February 11, 2015) Fund-Class I:QTLLX return of fund 7.84% vs. benchmark return of 11.15%

One silver lining is that AQR’s momentum funds beat their benchmarks in 2020 (September 30, 2020 end).

Source: SEC Filings, AQR Prospectus.

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