Cliff Ashness.
Chris Goodney | Bloomberg | Getty Images
Cliff Asness's longest-running multi-strategy fund at AQR Capital Management returned 18.5% after fees last year, according to a person familiar with its performance.
The AQR Absolute Return strategy, created in 1998, is the biggest beneficiary of profitable picks among value stocks in 2023, said the person, who spoke anonymously because the performance data is private. The fund had its best year in 2022, with an increase of 43.5%.
The company's dedicated value strategy, the AQR Equity Market Neutral Global Value strategy, rose 20.6% in 2023, the person said. This reflects AQR's superior stock selection, as the broader Russell 1000 value index returned just 8.8% last year.
Asness co-founded AQR in 1998 after a stint at Goldman Sachs. He and his partners captured the quantitatively driven company's investment philosophy at the Ph.D. program, focused on value and momentum strategies.
AQR has $99 billion in assets under management as of December 31. AQR declined to comment.
The company's alternative trend-following strategy, the AQR Helix Strategy, posted a net return of 14.3% in 2023, the person said. The gains were fueled by alternative commodity markets such as iron ore and European natural gas and energy prices, the person said.
The AQR Apex Strategy, a new multi-strategy fund launched in 2020, gained 16.2% last year, the person said.
Still, AQR's various funds weren't the best in the broader market last year. The S&P500 rose 24% in 2023, boosted by mega-cap tech names. The tech-heavy Nasdaq Composite ended the year up 43.4%, its best year since 2020.
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