Key Takeaways
- • AQR delivered double-digit returns across 10 strategies in Q1 2022, with its flagship absolute return strategy posting a net-of-fees return of 19.8%, including its highest single-month gain ever in January.
- • The equity market neutral global value strategy generated a net-of-fees return of 21.7% in Q1, while the managed futures HV fund posted 27.8%, capitalizing on a quarter in which value outperformed growth by over 14 percentage points.
- • AQR's commodities strategies significantly outperformed, with the risk-balanced commodities fund returning 28% in Q1 and 63.6% over one year, ranking first in Morningstar's commodities category for all timeframes measured—driven partly by Russia-related sanctions elevating commodity prices.
- • The managed futures mutual fund returned 18.3% in Q1, and the alternative trends strategy returned 23.6%, demonstrating broad-based strength across AQR's multi-strategy platform during a period when stocks and bonds both posted losses.
- • These results represent vindication for AQR following prior underperformance driven by weakness in the value factor, positioning the firm competitively as market dynamics shifted in favor of value-oriented and systematic strategies.
Summary
AQR Capital Management posted exceptional first-quarter 2022 returns across a diversified range of investment strategies, with 10 separate funds delivering double-digit performance. The results mark a significant recovery for the prominent alternative asset manager following periods of value factor headwinds and demonstrate the breadth of its systematic investing approach across multiple strategy types.
The firm's absolute return strategy—its broadest and longest-running multi-strategy offering—generated a net-of-fees return of 19.8% for the quarter, capping a remarkable January that produced the fund's highest single-month gain on record. The equity market neutral global value strategy performed even more strongly, delivering 21.7% net-of-fees returns. These results are particularly noteworthy given that the first quarter of 2022 saw both stocks and bonds post losses simultaneously—the first concurrent decline since 2018—while value equity factors outperformed growth by over 14 percentage points, according to Morningstar data.
AQR's managed futures offerings capitalized on market volatility and trend dynamics during the quarter. The managed futures mutual fund returned 18.3%, while a higher-volatility variant of the strategy generated 27.8% net-of-fees returns. The firm's alternative trends strategy added to the strong showing with a 23.6% return for the three-month period.
Commodities strategies emerged as particular standouts, benefiting from geopolitical disruption following Russia's invasion of Ukraine and resulting international sanctions. The risk-balanced commodities fund delivered 28% returns in Q1 and 63.6% over the trailing one-year period. On a three-year annualized basis, the fund returned 29.1%, and on a five-year basis 15.2%, ranking first in Morningstar's commodities category across all three timeframes.
These results provide AQR a meaningful rebound after facing headwinds from value factor underperformance in prior periods, demonstrating that its systematic, diversified approach across strategies spanning absolute return, equity market neutral, managed futures, and commodities can generate compelling returns when market conditions align with the firm's positioning.
The firm's absolute return strategy—its broadest and longest-running multi-strategy offering—generated a net-of-fees return of 19.8% for the quarter, capping a remarkable January that produced the fund's highest single-month gain on record. The equity market neutral global value strategy performed even more strongly, delivering 21.7% net-of-fees returns. These results are particularly noteworthy given that the first quarter of 2022 saw both stocks and bonds post losses simultaneously—the first concurrent decline since 2018—while value equity factors outperformed growth by over 14 percentage points, according to Morningstar data.
AQR's managed futures offerings capitalized on market volatility and trend dynamics during the quarter. The managed futures mutual fund returned 18.3%, while a higher-volatility variant of the strategy generated 27.8% net-of-fees returns. The firm's alternative trends strategy added to the strong showing with a 23.6% return for the three-month period.
Commodities strategies emerged as particular standouts, benefiting from geopolitical disruption following Russia's invasion of Ukraine and resulting international sanctions. The risk-balanced commodities fund delivered 28% returns in Q1 and 63.6% over the trailing one-year period. On a three-year annualized basis, the fund returned 29.1%, and on a five-year basis 15.2%, ranking first in Morningstar's commodities category across all three timeframes.
These results provide AQR a meaningful rebound after facing headwinds from value factor underperformance in prior periods, demonstrating that its systematic, diversified approach across strategies spanning absolute return, equity market neutral, managed futures, and commodities can generate compelling returns when market conditions align with the firm's positioning.
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