Pod shops, private funds have ‘sucked up a lot of the capital’ — AQR’s Cliff Asness

Cliff Asness isn’t afraid to speak his mind.

The co-founder, managing principal and chief investment officer of AQR Capital Management has a quick wit and can be self-deprecating. But he knows his firm went through a tough performance run between 2018 and 2020. When Asness is asked about that period he quips, with a laugh, “I don’t remember what you’re talking about.”

It has taken several years, but Asness is seeing pension funds and other asset owners again pay more attention to his firm following that rough patch.

AQR, which stands for Applied Quantitative Research, was founded in 1998, and the firm grew to manage over $224 billion in assets at the end of 2017, according to Pensions & Investments data, in a variety of products including hedge funds, long-only and liquid alternatives, before the value-oriented manager experienced a drawdown period.

“We’ve had close to probably three and a half years of fairly lights-out returns that almost everywhere have more than made up for the tough period,” Asness said during an interview at AQR’s office in Greenwich, Conn.

AQR has indeed seen a turnaround. Its hedge fund Absolute Return Strategy was up 18.4% in 2023 and had its best year ever in 2022, returning 43.5%. That fund was down 12.6% in 2018 and down 5.9% in 2019 before it returned to positive territory in 2020, according to figures seen by P&I.

AQR’s Style Premia strategy was down over 15% in 2018, over 9% in 2019 and down over 27% in 2020. The fund also saw a turnaround starting in 2021 when it returned over 23%, then was up over 29% in 2022 and over 12% in 2023, according to figures seen by P&I.

Risk premia funds were in negative territory from January 2018 through December 2020, down 4.4% on average, according to hedge fund research firm PivotalPath’s Risk Premia index. They rebounded in following years, up an annualized 10.2% from January 2021 through April of this year, according to PivotalPath data.

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