The $100 billion firm AQR reaped top performances from several of its strategies, taking advantage of strong trends across futures and markets moved by macro-economic factors, added the source, who did not want to be named discussing performance. Global equities saw some $14 trillion wiped off their value last year, while nearly 300 interest rate hikes and a trio of 10%-plus rallies exacerbated market volatility. AQR's Absolute Return Strategy, a multi-strategy fund, returned 43.5% last year net of fees, the source said.
It benefited from careful portfolio selection, the source said. Its Equity Market Neutral Global Value and its Global Macro strategies both posted record years at 44.7% and 42.0% net of fees. Its Alternative Trend Strategy also had its best year ever, with a 48.9% net of fees, the source added.
An index by Hedge Fund Research (HFR), which tracks the performance of the biggest global hedge fund performances, posted a year to date decline of 2.78% through November 2022, whereas a larger index tracking the total industry fell by 3.87% to the end of November 2022. AQR is an investment firm that has hedge fund strategies but also includes long-only and mutual funds. Trend strategies would continue to succeed for AQR during sustained downturns and persistent macro volatility, the source told Reuters.
AQR founder Cliff Asness meanwhile published a blog this week, titled "The Bubble Has Not Popped", which referred to his writing in 2001 about expensive stock market valuations. "Like in 2022, there's sure to be nasty reversals along the way, but as Wile E. Coyote always finds out, gravity is inescapable," Asness wrote in the blog post.
(Reporting by Nell Mackenzie; editing by Dhara Ranasinghe and David Evans) By Nell Mackenzie