Key Takeaways
- • AQR Capital Management delivered double-digit returns across 10 strategies in Q1 2022, with its absolute return multi-strategy fund posting a net-of-fees return of 19.8 percent, achieving its highest one-month gain ever in January.
- • The firm's managed futures strategies significantly outperformed, with the standard managed futures mutual fund returning 18.3 percent and the higher-volatility managed futures HV fund generating 27.8 percent net-of-fees in the quarter.
- • AQR's equity market neutral global value strategy delivered 21.7 percent net-of-fees, while the alternative trends strategy returned 23.6 percent, demonstrating strength across diversified factor-based approaches.
- • Commodities strategies proved exceptional performers, with the risk-balanced commodities fund returning 28 percent quarterly and 63.6 percent on a one-year basis, ranking first in Morningstar's commodities category—benefiting from geopolitical supply disruptions following Russia's invasion of Ukraine.
- • The strong Q1 performance validates AQR's systematic, quantitative approach, particularly as broad equity and bond markets both declined for the quarter while value outperformed growth by over 14 percentage points.
Summary
AQR Capital Management, the $128 billion quantitative hedge fund founded by Cliff Asness, delivered near-double-digit returns across its strategy suite in the first quarter of 2022, marking a significant vindication for the firm following periods of underperformance in value-oriented strategies. According to sources familiar with the funds, 10 AQR strategies generated double-digit returns during the quarter, demonstrating the breadth and resilience of the firm's systematic investment approach.
The firm's flagship absolute return strategy, its broadest and longest-running multi-strategy vehicle, delivered a net-of-fees return of 19.8 percent in Q1, punctuated by the fund's highest one-month gain on record in January 2022. The managed futures strategies were among the strongest performers, with AQR's managed futures mutual fund returning 18.3 percent and the higher-volatility managed futures HV fund generating 27.8 percent net-of-fees. The equity market neutral global value strategy also posted exceptional results with a 21.7 percent return, while the alternative trends strategy returned 23.6 percent for the quarter.
Commodities exposure proved particularly valuable during the volatile first quarter. AQR's risk-balanced commodities fund generated a 28 percent return for the quarter and 63.6 percent on a one-year basis, with three-year and five-year annualized returns of 29.1 percent and 15.2 percent respectively. The fund ranked first in Morningstar's commodities category across all three longer-term timeframes. These results reflected broader market dynamics, as sanctions imposed on Russia following its invasion of Ukraine drove commodities prices sharply higher overall.
The strong performance occurred during an unusual market environment in which both stocks and bonds posted losses for the quarter—the first simultaneous decline since 2018—while value factors significantly outperformed growth by over 14 percentage points. AQR's quantitative, systematic approach to diversification across asset classes, factors, and geographies positioned the firm to capture these market dislocations effectively.
The firm's flagship absolute return strategy, its broadest and longest-running multi-strategy vehicle, delivered a net-of-fees return of 19.8 percent in Q1, punctuated by the fund's highest one-month gain on record in January 2022. The managed futures strategies were among the strongest performers, with AQR's managed futures mutual fund returning 18.3 percent and the higher-volatility managed futures HV fund generating 27.8 percent net-of-fees. The equity market neutral global value strategy also posted exceptional results with a 21.7 percent return, while the alternative trends strategy returned 23.6 percent for the quarter.
Commodities exposure proved particularly valuable during the volatile first quarter. AQR's risk-balanced commodities fund generated a 28 percent return for the quarter and 63.6 percent on a one-year basis, with three-year and five-year annualized returns of 29.1 percent and 15.2 percent respectively. The fund ranked first in Morningstar's commodities category across all three longer-term timeframes. These results reflected broader market dynamics, as sanctions imposed on Russia following its invasion of Ukraine drove commodities prices sharply higher overall.
The strong performance occurred during an unusual market environment in which both stocks and bonds posted losses for the quarter—the first simultaneous decline since 2018—while value factors significantly outperformed growth by over 14 percentage points. AQR's quantitative, systematic approach to diversification across asset classes, factors, and geographies positioned the firm to capture these market dislocations effectively.
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