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]
Posted by , Nov 13, 2007 5:03PM
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.