• 06 Dec 2007 at 9:06 AM
  • AQR

Bloody November: AQR Losses 5.8%

We’ve noted more than once around here that November’s market volatility was likely to have hit quant funds particularly hard, although there’s no evidence that it caused the kind of cascading losses and sell-offs we saw this summer.
More evidence for this call comes this morning from the New York Post’s Roddy Boyd, who reports that AQR Capital Management’s$4 billion AQR Absolute Return fund dropped an additional 5.8 percent in November after a 3.17 percent loss in October.
November was a rough month for most fund strategies, although several are said to have recovered from steep losses early in the month thanks to the post-Thanksgiving market rally.
AQR’s Quant Loses Muster [New York Post]

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 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 []