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AQR Capital

AQR Capital Management
Company typeLLC
Industry
FoundedJanuary 1998; 26 years ago (1998-01)
Founders
Headquarters
Greenwich, Connecticut
,
United States
Area served
Worldwide
Key people
Cliff Asness (Managing Principal)
AUM$99 billion (Q4 2023)[1]
Number of employees
573 (2023)[1]
Websiteaqr.com

AQR Capital Management (short for Applied Quantitative Research) is a global investment management firm based in Greenwich, Connecticut, United States. The firm, which was founded in 1998 by Cliff Asness, David Kabiller, John Liew, and Robert Krail, offers a variety of quantitatively driven alternative and traditional investment vehicles to both institutional clients and financial advisors. The firm is primarily owned by its founders and principals. AQR has additional offices in Boston, Chicago, Los Angeles, Bangalore, Hong Kong, London, Sydney, and Tokyo.[2]

Investment philosophy and strategies

AQR employs a research-based "systematic and consistent approach" to portfolio construction.[3] This disciplined approach of identifying long-term, repeatable sources of return means "having a high conviction in the process, but not a high conviction in any particular stock".[3] The firm is a strong proponent of diversification within portfolios, as well as adding strategies with low correlation to traditional asset classes as a complement to existing portfolios.

AQR was an early adopter of style,[4] or factor, investing given the strategy's academic roots. Although the four styles — value, momentum, defensive and carry[5] — have been well-known and used in quantitative investing for decades, AQR has long advocated for using these styles together, citing their diversifying qualities.

AQR is perhaps best known for its alternative investment strategies, which aim to offer low correlation to traditional, equity-dominated portfolios. AQR was one of the first investment managers to offer a risk parity strategy, which aims to balance allocations based on underlying risk rather than asset classes. The firm also offers managed futures, a trend-following strategy that is “uncorrelated with other asset classes” and supported by over a century of academic evidence.[3]

AQR was one of the first investment management firms to offer alternative mutual funds, launching its family of mutual funds in 2009.[6] The firm's liquid alternative strategies were a “category leader” in Morningstar’s ranking for 2015.[7]

History

Three of AQR's founding principals — Cliff Asness, Robert Krail and John Liew — met in the University of Chicago’s PhD program, where the foundation of the firm's investment philosophy took shape.[8]

While still working on his dissertation, which focused on momentum and value, Asness joined Goldman Sachs, where he was asked to lead a new quantitative research team within the firm's asset management division.[9] Liew and Krail joined him, and the new team applied what they learned in academia to manage both hedge-fund and long-only assets.[8]

In 1998, Asness, David Kabiller, Krail and Liew left Goldman Sachs to establish AQR.[9]

AQR was among the first hedge fund managers to voluntarily register at its inception with the Securities and Exchange Commission. The firm's first product was a hedge fund, though it soon (2000) entered into traditional portfolio management. In 2001, AQR had nearly $750 million assets under management.[10] In 2004, AQR had $12 billion assets under management. The firm opened its first international office in Australia in 2005.[11]

In 2009, AQR became one of the first investment managers to offer alternative mutual funds.[8] In 2011, the firm opened an office in the UK.[11]

After AQR's annual profit plunged 34% in 2018, the firm announced job cuts in January 2019.[12][13]

As of Q3 2019, the firm had $185 billion in assets under management.

Assets under management

Year AUM in billions (USD$)
2009[4] 20
2015[3] 23
2017[14] 224
2018[13] 193
2020[14] 143

Ties to academia

As of 2016, approximately half of the AQR's employees have earned advanced degrees, with 52 holding PhDs.[15]

In 2015, AQR established QUANTA Academy, the firm's learning and development program, which is focused on three core pillars: Technical Skills and Knowledge, Leadership and Management, and Personal Enrichment. With a focus on lifelong learning, the program is designed to help employees reach their full potential through hundreds of courses annually.[16]

AQR's Insight Award (see below), which “recognizes the most significant and innovative academic research that offers practical applications for investors,” awarded its fifth annual slate of winners in 2016.[17]

In 2014, AQR partnered with the London Business School to establish The AQR Asset Management Institute, which focuses on asset management research and thought leadership. The Institute rewards scholars in the field with annual grants and prizes.[18] AQR donated more than $15 million to be spread out over ten years.[19]

The firm is also a sponsor of the AQR Top Finance Graduate Award at Copenhagen Business School, which honors the PhD graduates whose research carries the greatest potential impact.[20]

References

  1. ^ a b Tomkiw, Lydia (15 April 2024). "Millennium, Point72 among hedge funds boosting staff size". Pensions & Investments.
  2. ^ "Office Locations". www.aqr.com. Retrieved 2019-03-01.
  3. ^ a b c d Bary, Andrew (27 February 2016). "How AQR's Liquid Alternative Funds Are Outperforming Competitors" Barron's". United States: Barron's. Dow Jones & Company Inc. Retrieved 3 June 2016.
  4. ^ a b Bary, Andrew (31 August 2009). "Preaching the Gospel of Momentum". No. Interview. United States: Barron's. Dow Jones & Company Inc. Retrieved 5 March 2019.
  5. ^ Wigglesworth, Robin (5 April 2018). "AQR Capital launches first quantitative bond mutual fund". No. Markets. New York, N.Y., United States: Financial Times. Nikkei. Retrieved 5 March 2019.
  6. ^ Stein, Charles (14 January 2016). "Cliff Asness's Alternative Funds Top Rivals With 17% Returns". No. Economics. Bloomberg News. Bloomberg L.P. Retrieved 3 June 2016.
  7. ^ "Morningstar (January 7, 2016) "The Year in Alternative Funds" Morningstar.com". Retrieved 2016-06-03.
  8. ^ a b c "Who We Are – Our History". Archived from the original on 2016-07-15. Retrieved 2016-06-03.
  9. ^ a b "Lindsey, Richard & Schachter, Barry (2007) "How I Became a Quant" John Wiley & Sons, Inc". Retrieved 2016-06-03.
  10. ^ Brown, Ken (22 February 2001). "Hedge Funds Start to Lose Their Fast-Growing Mystique". The Wall Street Journal. Eastern Edition. United States: Wall Street Journal. Dow Jones & Company Inc. ISSN 0099-9660. Retrieved 2 March 2019.
  11. ^ a b "Our Firm". www.aqr.com. Retrieved 2019-03-11.
  12. ^ Stratton, Alexandra (2 April 2019). "AQR Annual Profit Plunges 34% in Rough Environment for Quants". New York: Bloomberg. Retrieved 3 October 2019.
  13. ^ a b Wigglesworth, Robin (8 January 2019). "AQR announces job cuts after disappointing 2018". New York, N.Y., United States: Financial Times. Nikkei. Retrieved 26 March 2019.
  14. ^ a b "Down market slamming AQR but firm keeps faith in future". Pensions & Investments. 2020-06-29. Retrieved 2020-11-28.
  15. ^ ""Who We Are – Academic Engagement" AQR". Archived from the original on 2016-07-15. Retrieved 2016-06-03.
  16. ^ AQR.com
  17. ^ Burr, Barry (13 May 2016). "AQR honors 2 groups of academics for annual Insight Award". Pensions & Investments. Crain Communications Inc. Retrieved 3 June 2016.
  18. ^ ""AQR Asset Management Institute" London Business School". Retrieved 2016-06-03.
  19. ^ Mackintosh, James (4 January 2015). "AQR gives London Business School £10m to build 'Davos of finance'". No. Business school. Financial Times. Nikkei. Retrieved 12 February 2019.
  20. ^ ""AQR Top Finance Graduate Award at CBS" Copenhagen Business School". Retrieved 2016-06-03.
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