AQR Strategies Vary in Retail Appeal

Chidem Kurdas

The series of mutual funds AQR Capital started  since early last year have raised almost $1.1 billion as of the end of this February. From that perspective the mass market bet – watched by other hedge fund managers interested in starting mutual funds – appears to have worked out.

AQR, founded by a former Goldman Sachs group led by Cliff Asness, had total assets of around $20 billion at the end of 2009, down by more than one-third from the peak in 2007. 

Two international funds account for around 70% of the $1.1 billion mutual fund capital. This January the firm launched a managed futures mutual fund with $10 million of its own money and raised another $30 million or so, even though manages futures has not performed well in the past 14 months.

By contrast, three funds based on quantitative momentum strategies, started last July, have not attracted much money. The largest of these, an international momentum fund, has assets of around $29 million. A small-cap momentum fund has only $3 million. Returns were in the twenties in 2009 but are negative so far this year.

Financial advisors say international funds benefitted from investors moving money into that area but momentum strategies may be less familiar.

AQR’s diversified arbitrage fund grew fast after its launch in 2009 but appears to be stalled now. Some larger investors may have chosen this mutual fund as a way to get arbitrage strategies at a lower fee compared to hedge funds and with daily liquidity. Whether it appeals to the retail market is unclear.

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