BIG BRAIN AQR Capital Management Keeps Getting Smoked by its Own Benchmarks
Posted on 01/13/2021
AQR Capital Management LLC which originally stood for “Applied Quantitative Research” keeps failing to beat its benchmark for a number of funds. AQR Capital has also witnessed a number of large U.S. public pension plans dropping AQR mandates over poor performance and allocation changes. For example in 2020, Kansas City Employees’ Retirement System redeemed its US$ 19 million investment in a diversifying hedge fund (AQR Delta XN Offshore fund) managed by AQR Capital. The fund manager has engaged in layoffs as assets under management fell. AQR’s multi-style and defensive style funds continue to struggle in performance. Cliff Asness is the co-founder of AQR Capital. Which investment consultants have been recommending AQR products to public pension plans and endowments?