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May 25, 2017 @ 11:13

Billionaire Cliff Asness’ Big Trend Following Fund Is Down 19% Since Its 2015 Peak


Billionaire Cliff Asness’s AQR Capital Management has over the last few years successfully sold investors on a hedge fund lite strategy featuring data-driven approaches. But amid all the investor interest in such computer trading, one of AQR’s largest funds has been posting some poor returns over the last two years.

Asness’ big trend following fund, AQR Managed Futures Fund, is experiencing a 19.5% daily drawdown since its peak in April 2015, according to Morningstar data. Trend following strategies have not performed well in general over the last two years and AQR’s trend following losses have nearly matched the Societe Generale Trend Index, which is down 18.3% over the same period.

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