AQR Posts Strong First-Quarter Gains

Several of its main funds boasted double-digit returns.

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AQR Capital Management is off to another strong start this year.

Several of the quant-driven giant’s main hedge fund strategies had double-digit gains in the first quarter after strong performances in March. The firm also posted very good results in 2023.

AQR’s multistrategy offering continues to lead most of its peers. The AQR Apex Strategy, now the firm’s main multistrat fund, gained 4.7 percent in March and was up 11 percent for the quarter, according to someone familiar with the results. Apex jumped 16 percent in 2023.

In March, all four of Apex’s main strategies were profitable: stock selection, directional macro, relative-value macro, and arbitrage, led by the first two, says the source. For the quarter, directional macro, stock selection, and relative-value macro were profitable, with stock selection the most significant driver of performance.

Most other high-profile multistrat funds posted single-digit gains for the quarter. For example, Citadel’s Wellington Fund gained 5.75 percent and Millennium Management’s Millennium International rose 3.6 percent.

Meanwhile, the AQR Delphi Long Short Equity Strategy was up 13 percent for the quarter after tacking on 2.1 percent in March. It climbed 17.2 percent last year. It goes long in lower-risk, higher-quality stocks and shorts higher-risk, lower-quality stocks. According to the source, the strategy benefited in March from market exposure as well as from outperformance of low-risk stocks over riskier ones. For the quarter, it was mostly driven by outperformance of those low-risk, high-quality stocks.

The AQR Managed Futures Full Volatility Strategy rose 5.8 percent for the month and 17.4 percent for the quarter. It was up just 0.7 percent in 2023. March gains were driven by bullish trends in equities and in traditional commodities, particularly a surge in cocoa prices, according to the source. Alternative markets also contributed positively, especially as equity factors produced gains from bullishness in investor sentiment, the source notes. First-quarter performance was driven by equities, traditional commodities, and alternative markets, the source says. In addition, in harder-to-access alternative markets, trends in equity factors generated gains owing to sustained bullish momentum.

The AQR Helix Strategy climbed 1.8 percent in March and 8.6 percent for the quarter. It was up 14 percent in 2023. The alternative trend-following strategy pursues a diverse set of harder-to-access alternative assets. March gains were driven by trends in equity factors as investor sentiment themes performed favorably, according to the source. The strategy also benefited from flattening trends across developed market yield curves.

Gains for the quarter were based on bearish trends in several alternative commodities, such as European power markets and milling wheat, as well as trends in equity factors as momentum themes have performed favorably, says the source. Trends in digital assets also contributed.

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