With last night’s Golden Globes and tonight’s NCAA College Football Championship, the awards season is officially underway. Although we are unsure of when Morningstar and Lipper will announce their fund family of the year, we will go out on a limb and call it now. For our money, and thankfully more and more of our advisors, AQR is the hands down winner.
In what has been an extremely difficult year for investors (other than those in domestic large growth only), and especially hard on the hedges, note closures, re-orgs and money returned to investors, the Connecticut based Think Tank disguised as a fund firm has put on a show. Some examples of their offerings:
AQR Long Short Equity
This strategy, with a structure similar to our own Three Mandate process, divides its strategy into three sleeves.
- One – Targeted beta of .5 to MSCI World
- Two – Tactical beta between .3 and .7 to MSCI World
- Three – A sleeve of long/short managed by their stock picking team using their factor analysis; target a beta of 0
The strategy finished the year +17.04.
AQR Equity Market Neutral
This strategy is meant to be an absolute return focused portfolio running a beta neutral long/short approach utilizing the firm’s systematic approach of looking at individual securities on a value, momentum and quality basis. Again, there is a target beta of 0.
The strategy finished the year +17.43.
AQR Managed Futures
While having its share of volatility this year, this strategy worked best when needed the most; it showed its usual low correlation to the equity markets and rising during the months of January, August and September – the three worst months for the Index. The strategy finished with a strong effort of +2.00 following up on the dreaded Morningstar Fund of year curse.
In the more mundane large cap arena AQR divides the world not by growth and value, but between Defensive and Momentum. While we all know the story of 2015 was large cap growth’s dominance over value, somehow both of the firm’s models were positive; with a Defensive large cap growth number of +6.35 and Momentum a healthy +2.35 there was excellence again.
Like all very large managers we are sure they had a few disappointments last year, but on balance AQR folks would likely be very happy with 2016 as satisfying as last year.
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