AQR Managed Futures Hedge Fund Has A Superpower

AQR Capital’s Managed Futures Strategy has a superpower. It is not, alas, the sort that founder Cliff Asness dreams about, and as such anyone who has anything to do with that particular hedge fund has probably not been having a particularly good time over the last four years.

The AQR Managed Futures Strategy fund, a computer-driven mutual fund that tries to profit from market trends, has fallen in size from about $12bn in late 2017 to $1.5bn currently, according to fund documents. While the fund’s bets have often lost money in recent years, most of the drop in assets pertains to client withdrawals.

On the bright side, the non-MFS computer monitors at AQR HQ are as safe as they’ve been in years.

The outflows come even as Connecticut-based AQR has enjoyed a stronger period of performance more broadly across many of its portfolios, after shedding $86bn in assets from its peak.

AQR hedge fund suffers $10bn in outflows [FT]