Liew and Robert Krail, fellow University of Chicago classmates, joined him. Fama’s research is also at the core of factor-based investing and Fama is a director of one of AQR’s biggest competitors, Dimensional Fund Advisors.Īsness landed on Wall Street in the mid 1990s, working on innovative computer models and quantitative trading at Goldman Sachs Asset Management. After graduating with degrees in economics and engineering from the University of Pennsylvania, Asness studied finance at the University of Chicago under Nobel Prize winner Eugene Fama, whose research helped kick off the idea of passive index investing popularized by Vanguard and Jack Bogle. Born in Queens, Asness grew up on New York’s Long Island. What is undeniable is that Asness has built a thriving business, challenging a hedge fund model that looks increasingly broken and barreling ahead into new areas of expansion.Īsness’ story is well known and has been written about extensively. People at AQR argue that from the start Asness, Kabiller and Liew envisioned AQR as a global investment management firm that would be much more than a hedge fund, which was just the easiest place for the AQR partners to start-the firm was offering a long-only product 18 months into its existence. Some quant hedge fund types think Asness pivoted away from hedge funds because of the problems the firm had in 20. Generally a media-friendly guy, Asness declined to comment for this article. How much of AQR’s evolution has been by design is debated on Wall Street. So much money has flowed into AQR and other asset managers pursuing so-called smart-beta strategies that some market players are worried these strategies could backfire. Many trend-following funds like it have also performed poorly in the last 12 months. AQR’s biggest mutual fund, AQR Managed Futures Strategy, has struggled in the last year, returning -8.12% and returned 2.98% annualized over the last five years. AQR’s longest-running long-only equity strategy, International Equity, has returned 4.3% annualized since its inception, 1.7% over its benchmark. The $18.2 billion AQR Style Premia strategy returned -1.5% in 2016 and has returned 9.4% annualized since its September 2012 inception. The strategy charges a 0.4% management fee. With $26.2 billion, one of AQR’s biggest strategies, its Global Risk Premium, returned 10.8% in 2016 and 5.6% annualized since its 2007 inception. “They were early in this commoditization process that coincided with hedge funds struggling and put together the right packet for investors that were looking for something like this and AQR just hit it.”ĪQR has many funds and strategies. “AQR has brought alternative strategies to the mainstream not by trying to outperform everyone, but by trying to provide the inherent average return in the alternative space,” says Tayfun Icten, an analyst who covers AQR’s funds at Morningstar.
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