According to the New York Post, not only has famed hedge fund AQR, operated by former Goldman trader Cliff Asness, shown a 6% fall in value, but some investors are seeking to redeem funds, which says they have lost faith in the manager’s strategy. As a result, the fund has scuttled its plans for an initial public offering.
The story also reports that some other big-name quants, like James Simon’s Renaissance Technologies, also had a poor October and claims that the Goldman quant fund Global Alpha, is being wound up.
From the Post:
AQR Capital Management, the giant Greenwich-based hedge fund, has been forced to shelve its planned initial public offering after a dismal performance caused several large investors to pull their cash from the firm’s $38 billion fund, The Post has learned.
AQR Capital Management, run by former Goldman Sachs trader Cliff Asness, saw its flagship fund drop 3 percent in October, according to the fund’s investors.
The performance leaves the AQR Absolute Return fund down roughly 6 percent for the year, compared with a 4 percent return for the Standard & Poor’s 500 index.
Recent performance has caused several large investors to begin withdrawing their capital, which could force AQR to start selling positions to raise cash.
AQR, which helped pioneer the statistical arbitrage trading, is not alone.
Quantitative trading powerhouse Renaissance Technologies, run by billionaire Jim Simons, was down 1 percent in October, according to an investor.
Ironically, Asness helped launch Goldman Sachs Global Alpha fund, which was pummeled by the summer’s credit crunch and is now slowly winding down.
The claim that AQR “helped pioneer statistical arbitrage” which presumably came from AQR itself, is ludicrous. AQR was founded in 1998. Derivatives trading firms O’Connor & Associates and CRT were practicing statistical arbritrage in the mid 1980s and I’m not certain even they would consider themselves to have pioneered it, merely to be among its leading practitioners in their heyday.