Hedge funds had a good month during October. After a summer of fear and losses, the aggregate average index of hedge fund returns measured by HedgeFund.net rose by 3.32% in October. But not all hedge funds fared so well.
AQR, a hedge fund company run by former Goldman quant Cliff Asness, was ground up in the Wall Street rumor mill last week, and eventually found itself blasted across the headlines of the New York Post. Although some of the details were disputed by the spokesman for the fund, AQR’s $4 billion flagship quant fund, called Absolute Return, was down 2.99% in October, according to AQR’s letter to investors. (This was obtained by DealBreaker at great personal expense. You have no idea that sort of things Bess had to do to get our hands on it.) The more aggressive, highly leveraged strategy employed by the fund was down 6.58% for the year. These losses come after AQR’s Absolute Return was reported to have recovered from similarly dramatic set-backs this summer.
Of course, AQR manages 34 funds and we lack information on most of them. According to AQR, most of its hedge funds are doing well. “In our long-only funds, all funds are up, in the single digits or double,” said AQR in a statement. “Among our hedge funds, some are up in the double digits, while are few are down but only in the single digits, though one hedge fund, which represents less than 1 percent of our AUM, is for the moment down in the double digits.”
It should be noted, however, that long only strategies outperformed the S&P 500 in October by the largest margin in almost two years, according the the HFN index. So being up in your long funds for October is not exactly shocking news.
Hedge Funds See Best Average Performance In 5 Years [hedgeco.net]
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AQR
AQR’s Absolute Return Fund Down Even Further Than Reported
Flagship Quant Fund Down A Bit During Otherwise Good Month For Hedge Funds
By John Carney — Advertisement —
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- Use the Bloomberg command
NH BLG_DEALBREAKER <GO>
to access Dealbreaker
John,
Where’s the letter that Bess got at “great personal expense”? Please post a pdf link of the letter. I love to read Mr. Asness’ prose.
hahaha. morons. i’ll be pulling in 600k this year… any of you aqr need a job after this, give ubs a call… heard they’re paying stocks for top talent
Seriously guys, this is getting old. An alpha strategy, which is supposed to have zero correlation to equity markets, being down 3% when the market is up is not news worthy.
And to the 600k DE Shaw guy…wasn’t Valance down 25% in August and then de-levered? That was pure genius.
Agreed. Actually I think what gave this story legs was the confusion caused by the weird denial by AQR. Otherwise we would have moved on long ago.
WTF. Any major hedge fund being down and liquidating is news no matter if the market is up or down.
To add to Anonymous@5:03′s sentiments, could you post the letter John?
not sure how they managed to screw up but i heard rumors that lehman shutdown thier quant prop and they might be liqudating? I believe prop desks get a huge leverage as they do not have same Reg T requirement as HF’s.
As you know, we love posting investor letters. Unfortunately our copy is not legible when scanned into a pdf file. If we can get a better version, we’ll definitely post that.
Oh come on, John! Please try posting even the illegible copy, just for the sake of it. I just love AQR’s letters.
DE Shaw Trader:
Is $600K supposed to be good? Honestly I know so many people making 7 figures that aren’t even partners at their firms. I’ve got a friend who’s a CBOE market maker – he and his friends are going to make 2-3 million (each) this year. They’re not even in the asset management business. You’re pathetic. STFU and quit cheering on layoffs at firm like AQR. What did they do to you anyway, turn you down for a job in the past?
DE Shaw Trader:
Is $600K supposed to be good? Honestly I know so many people making 7 figures that aren’t even partners at their firms. I’ve got a friend who’s a CBOE market maker – he and his friends are going to make 2-3 million (each) this year. They’re not even in the asset management business. You’re pathetic. STFU and quit cheering on layoffs at firm like AQR. What did they do to you anyway, turn you down for a job in the past?
Please post a link to the pdf file. Would be highly appreciated.