Cliff Asness’ longest running multistrategy fund at AQR Capital Management achieved an impressive return of 18.5% in the previous year, net of fees, according to a reliable source familiar with the performance data.

The AQR Absolute Return strategy, which has been active since 1998, largely attributed its success in 2023 to profitable investments in value stocks, as disclosed by the same source speaking anonymously, respecting the confidentiality surrounding performance details. The fund experienced its most prosperous year in 2022, delivering a remarkable rally of 43.5%.

Moreover, AQR’s dedicated value strategy, known as the AQR Equity Market Neutral Global Value strategy, generated a substantial gain of 20.6% in 2023, surpassing the broader Russell 1000 value index by a significant margin, which only returned 8.8% during the same period, according to the aforementioned source.

Cliff Asness co-founded AQR in 1998, following his time at Goldman Sachs. He, along with his partners, established the firm’s investment philosophy in quantitative strategies at the Ph.D. program of the University of Chicago, with a specific focus on value and momentum.

As of December 31, AQR manages a total of $99 billion in assets under management. With regards to the recent performance of its funds, AQR declined to provide any comment.

The person familiar with AQR’s performance data also noted that the AQR Helix Strategy, the firm’s alternative trend following strategy, achieved a net return of 14.3% in 2023. The strategy’s gains were primarily driven by alternative commodity markets like iron ore, European natural gas, and power prices, as reported by the same source.

Additionally, the AQR Apex Strategy, a recently established multistrategy fund created in 2020, recorded a gain of 16.2% in the previous year, according to the same person.

However, it is worth mentioning that AQR’s various funds did not outperform the broader market in 2023. The S&P 500, boosted by mega-cap technology companies, rallied by 24% during the year. The Nasdaq Composite, with its heavy concentration of technology stocks, ended the year with a substantial gain of 43.4%, marking its best performance since 2020.

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