AQR Capital Management is among the pioneers of quantitative hedge funds. As such, you’ll not be surprised to learn that it has an exceedingly complex and multidimensional system for choosing the investments that are losing it money hand over fist.

"In many of our strategies we pursue a multifactor investment approach, which means we select investments based on multiple factors, one of which is value. Notably, multifactor stock selection has seen a challenging environment, with the value factor as the primarily culprit for underperformance," the email said.

Down market slamming AQR but firm keeps faith in future [P&I]