AQR’s Comeback Came Too Late for Florida SBA

Florida’s $245.8 billion state investment office has terminated another of its investments with AQR Capital Management, despite the quant firm’s improving performance.

The Florida State Board of Administration shared its first-quarter manager commitments and terminations on Tuesday, revealing that had it ended a commitment of $375 million to AQR at the beginning of February. This follows the investment office’s 2019 decision to terminate a separate U.S. equity investment with AQR worth $163 million.  

AQR would go on to post strong performance for the first quarter, as Institutional Investor recently reported. Through April 23, the firm’s AQR Style Premia Alternative Fund has gained 19.3 percent for the year. This is compared to 2020 when the fund fell 19.23 percent.  

Still, the risk premium strategy hasn’t outperformed in the long term: Since its inception in 2013, the annualized return is just 0.55 percent.  

AQR wasn’t the only fund Florida SBA terminated during the quarter. The state fund axed a total of three investments over the three-month period, all from firms that specialize in quantitative or factor-based investments.

In February, SBA pulled its $366.8 million commitment from Dimensional Fund Advisors, adding to a wave of recent outflows from the quantitative manager. In November, Institutional Investor reported that Dimensional experienced $3.6 billion of outflows in the month prior, marking the eighth consecutive month of at least $2.6 billion in net redemptions.  

Florida SBA also pulled capital from Quantitative Management Associates — a total of $834.2 million, per its announcement.

Spokespeople for Dimensional and QMA did not return emails seeking comment on Tuesday. A spokesperson for AQR declined to comment.

New Year, New Commitments 

The Florida investment office also made $2.52 billion in new commitments during the first quarter. Roughly a third of those commitments were made in the equity markets, under the advisement of consulting firm Mercer, including three international small-cap commitments totaling $400 million each.  

The managers receiving the international small-cap investments were Global Alpha Capital Management, Clarivest Asset Management, and Wells Capital Management. Global Alpha was the only manager that was new to SBA. The investment office also committed $420 million to a U.S. large-cap core fund run by Wellington Management Company.

On the private side, Florida SBA made two distressed private equity commitments: $125 million to Peak Rock Capital’s third fund, and $75 million to Atlas Capital Resources IV.

Cambridge Associates advised SBA on these two investments, as well as strategic investments in Levine Leichtman’s third lower-middle markets fund, Highbridge’s SPAC opportunity fund, Grain Communications’ third opportunity fund, and BlackRock U.S. CRE Debt Fund ‐ C7.

Finally, consulting firm Townsend Group advised Florida SBA on its $100 million real estate investment in CBRE’s Japan logistics co-investment vehicle.