AQR has put up strong performance numbers for a wide range of investments in the first quarter.
The returns come after an optimistic start to 2022 with record-breaking performance in January. The positive track records also come as stocks and bonds both posted losses for the quarter, the first time the two were down since 2018. At the same time, according to Morningstar, value outperformed growth by more than 14 percentage points.
According to a person familiar with the funds, 10 AQR strategies turned in double-digit returns. Take AQR’s broadest and longest-running multi-strategy — the absolute return strategy: it delivered a net-of-fees return of 19.8 percent in the first quarter. In January, the fund posted its highest one-month gain ever. Additionally, the equity market neutral global value strategy had a net-of-fees return of 21.7 percent in the first quarter.
AQR’s managed futures mutual fund returned 18.3 percent in the first quarter. A version of the fund with higher volatility — called the managed futures strategy HV fund — generated a net-of-fees return of 27.8 percent.
The strong returns are a vindication for the high-profile firm, which has been sideswiped, in part, by the underperformance of the value factor.
The firm’s commodities strategies also saw a strong quarter with its risk-balanced commodities fund returning 28 percent and generating a 63.6 percent return on a one-year basis. On a three-year annualized basis, the risk-balanced commodities mutual fund returned 29.1 percent, and on a five-year basis, it returned 15.2 percent. For all these timeframes, the fund ranked first in Morningstar’s commodities category. With sanctions imposed on Russia after the invasion of Ukraine, commodities funds surged overall.
AQR’s alternative trends strategy also did well, returning 23.6 percent for the first three months of 2022.
Despite macroeconomic uncertainty surrounding rising rates of inflation and the Russian-Ukrainian conflict, AQR’s macro strategies had a strong first quarter. For one, AQR’s macro opportunities fund returned 10.7 percent and ranked second in Morningstar’s macro trading category at the end of March. The firm’s global macro strategy returned 15.7 percent during the same time period.
