AQR Capital

AQR Capital Management
Employee owned Limited Partnership
Industry Global Investment Management
Founded January 1998
Headquarters Greenwich, Connecticut with offices in Chicago, Illinois, London, England and Sydney, Australia, U.S.
Area served
 Worldwide
Key people
 Cliff Asness, Ph.D.
Founding & Managing Principal
David Kabiller, CFA
Founding Principal
John Liew, Ph.D.
Founding Principal
AUM $122.2 billion (as of December 31, 2014)[1]
Number of employees
 500[1]
Website aqr.com

AQR Capital Management is an investment management firm founded in 1998 by former Goldman Sachs portfolio manager Clifford S. Asness along with partners David Kabiller, John Liew and Robert Krail (all also from Goldman). The firm began with a quantitative equity hedge fund and today offers a variety of quantitatively driven hedge fund and traditional investment vehicles to both institutional clients and financial advisors. The company is based in Greenwich, Connecticut.[2]

Investment style

The firm invests in public equity, public futures and options, public and private bonds and OTC derivatives across the globe, and also operates a reinsurance subsidiary in Bermuda. At the end of 2014, AQR Capital Management had $122.2 billion in assets under management for institutional investors, including pension funds, insurance companies, financial endowments, foundations and sovereign wealth funds, as well as registered investment advisors.[1][3] The firm pursues quantitative investment strategies based on academic studies[4] and economic fundamentals. It breaks its funds down into four categories:[5]

  1. Alternatives.[4] These seek to deliver attractive returns that are uncorrelated to traditional investments like stocks, bonds and real estate. They include traditional hedge fund strategies, like Convertible Bond Arbitrage and Systematic Global Macro, as well as Reinsurance and Real Return products. Alternative strategies were what the firm began with in 1998.
  2. Risk Parity.[6] These seek to spread risk-taking out equally among asset classes, taking advantage of diversification to deliver market returns at less than traditional market risk. AQR has been offering both standard and tactical versions of this approach since 2005.
  3. Traditional Benchmarked.[7] These are “long-only” strategies that do not employ leverage or short selling, unlike the other three categories. They hold common stocks and seek to beat an index fund in the same investment category. AQR offers funds with US, Global, International, Emerging Markets and Defensive equity benchmarks and has been running them since 2001.
  4. Smart Beta.[8] These funds seek to capture a pure exposure to a style, with no correlation to the stock market as a whole. AQR began this effort in 2006 and offers Value, Momentum, Carry and Defensive styles.

The firm's stated philosophy is:

To beat markets that are nearly efficient, we believe investors must apply a disciplined, thoughtful and economically intuitive approach that creates value at every stage of the investment process. AQR believes that a fundamentally-driven, systematic process is an essential tool to achieve long-term success in investment and risk management. Investment strategies – whether based on academic study or practical experience – must be grounded in solid economic principles, not simply built to fit the past, and should contain as much common sense as analytical firepower.

Description and history

AQR received the 2013 Alternatives Fund Manager of the Year award from Morningstar, Inc.,[9] which cited AQR managers Brian Hurst and Yao Hua Ooi for the AQR Managed Futures fund.

AQR Capital Management was listed as one of the 100 Hedge funds to watch by the Financial Times,[10] which reported that the firm "takes a systematic, computer-assisted approach to investment involving both value and momentum factors applied to various asset classes" and views themselves as "fundamental rather than quantitative as they like to ‘understand the story’ behind their models rather than rely solely on data."[10]

AQR awards a $100,000 annual prize, the AQR Insight Award “to encourage and acknowledge academics whose research promises to be of significant use to institutional investors.” The 2013 award went to Martin Lettau, Michael Weber, and Matteo Maggiori for research in predicting market returns for currencies and other asset classes.[11] The 2012 award went to Bryan Kelly and Seth Pruitt for “their innovative and practical unpublished research in predicting market returns more accurately over one-month and one-year time horizons.”[12]

In 2015, AQR Capital donated £10 million to the London Business School to set up an investment institute, to be named the AQR Institute of Asset Management.[13]

References

  1. ↑ 1.0 1.1 1.2 "AQR Firm Overview". Retrieved 2015-03-13.
  2. ↑ "AMG Website". Retrieved 2012-03-31.
  3. ↑ AQR About
  4. ↑ 4.0 4.1 "AQR puts academic theory into practice". www.risk.net. Retrieved 2013-11-25.
  5. ↑
  6. ↑ "100 Hedge funds to watch". Wall Street Journal. Retrieved 2013-11-25.
  7. ↑ "AQR Capital Management Launches Core Equity Mutual Funds". Reuters. Retrieved 2013-11-25.
  8. ↑ "AQR goes after a smarter smart Beta". Investment News. Retrieved 2013-11-25.
  9. ↑ "Morningstar Website". Retrieved 2014-01-17.
  10. ↑ 10.0 10.1 "100 Hedge funds to watch". www.ft.com. Retrieved 2010-04-19.
  11. ↑ "Market return research wins 2013 AQR Insight Award". Retrieved 2013-11-25.
  12. ↑ "New research wins first annual AQR Insight award". Reuters. Retrieved 2013-11-25.
  13. ↑ "AQR gives London Business School £10m to build 'Davos of finance". The Financial Times. Retrieved 2014-01-05.

External links