Following a strong first quarter, AQR Capital Management posted monthly gains across more than 11 strategies in April.
The hedge fund firm’s equity market neutral global value strategy was the top performer during a month marked by inflation and rising rates, inking an 11.2 percent return net of fees. Year-to-date the strategy has posted a 35 percent gain, according to a source familiar with the matter.
Hedge funds generally have benefitted from the market’s more volatile environment in 2022. AQR has reaped the rewards, benefiting especially from value factors in its equities book, the source said. Institutional Investor previously reported that value investments outperformed growth stocks in the first quarter.
AQR’s longest-running multistrategy fund, Absolute Return, also outperformed last month, posting an 8.3 percent gain net of fees during April. Year-to-date, that strategy has returned 29.7 percent net of fees.
The quant firm’s global macro strategy posted a 4.5 percent gain net of fees during April, for a total net return of 21 percent year to date. Meanwhile, AQR’s alternatives trend strategy, which uses a trend-following strategy within alternative asset classes, inked gains of 5.9 percent for the month net of fees, and a total of 30.9 percent net for the year to date.
As for managed futures, AQR’s managed futures strategy mutual fund returned 7.1 percent, while a similar strategy that employs higher volatility (managed futures strategy HV fund) returned 10.7 percent.
Year-to-date, the higher volatility strategy has returned 41.4 percent.
In addition, AQR’s style premia alternative mutual fund posted a 10 percent gain in April, bringing its year-to-date earnings to 22.5 percent year. The fund ranks first for year-to-date returns in Morningstar’s multistrategy category.
AQR’s other mutual funds have also had a positive month: diversifying strategies returned 3.8 percent, the equity market neutral fund returned 7 percent, and the long-short equity fund returned 3.6 percent.
The equity market neutral fund ranked first in its Morningstar category, while the long-short equity fund ranked second.
AQR’s newest fund — a sustainable long-short equity strategy — returned 2.9 percent for the month, and is up 14 percent year to date.