AQR has lost more than a third of its assets since the end of 2017, but Cliff Asness' firm had a big first quarter

  • Quant giant AQR has lost more than a third of it assets since the end of 2017.
  • A report prepared by Callan states the firm’s AUM dropped from $224 billion to $140 billion.
  • Since last summer though, the firm has seen banner performances from several funds.
  • See more stories on Insider’s business page.

Quants had a tough 2020, but Cliff Asness’ AQR has been struggling longer than that owing to a long drought for its value-focused strategies. But a person close to the firm said the money manager is turning things around this year.

The Greenwich-based systematic manager, which runs a number of hedge funds and mutual funds, has lost more than a third of its assets — nearly 38% — since the end of 2017, according to a report prepared by consultant Callan for the Marin County Employees’ Retirement Association. AQR’s assets dropped from $224 billion at the end of 2017 to $140 billion at the end of 2020, the report said. A source familiar with the firm told Insider that assets are still at $140 billion after the first quarter of 2021. 

Performance in several funds has bounced back this year, however. The Absolute Return fund, which is AQR’s longest-running strategy, returned 21.6% through March this year, this person said. Since the start of the fourth quarter of last year, the fund has returned more than 34%.

Other funds, such as the Corporate Arbitrage and Global Macro strategies, have also had big first quarters, returning 7.8% and 11.8%, respectively. The average hedge fund has returned more than 6% in the first quarter of 2021, according to Hedge Fund Research.

The struggles of the quant manager have been constant over the past few years. Until recently, value investing — AQR’s specialty, which Asness defends vigorously — has not been able to keep up with growth investors who have plowed money into tech stocks that have soared despite their lofty valuations. Last year was hellacious for many quant managers as well, including Jim Simons’ Renaissance Technologies, as the pandemic-induced market volatility threw models off-kilter. 

In the fourth quarter of last year, AQR liquidated two mutual funds and merged seven others into similar strategies, according to Institutional Investor. 

The Callan report detailing AQR’s asset decline was compiled as the pension was searching for an emerging markets equity manager, and AQR did not progress to the next round of the search, according to Jeff Wickman, the retirement administrator for the California county. He told Insider in an email that the current size of its emerging markets portfolio is $112 million. Callan declined to comment.

Affiliated Managers Group, which owns a sizable minority stake in AQR, said in its most recent earnings call in February that quant strategies accounted for 95% of the firm’s outflows in the fourth quarter. While AMG executives did not say how much of the $15.8 billion in outflows came from AQR, the firm is AMG’s biggest affiliate. 

“The business is still highly profitable. Several segments are growing, lots of good momentum in fixed income, the tax-managed business, and the ESG capabilities at AQR,” said Jay Horgen, CEO of AMG, in an earnings call in October. 

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