Cliff Asness’ AQR Absolute Return fund returns 18.5% in 2023, boosted by value picks

Cliff Asness’ longest running multistrategy fund at AQR Capital Management returned 18.5% last year, net of fees, according to a person familiar with the performance.

The AQR Absolute Return strategy, which was created in 1998, benefited the most from profitable picks among value stocks in 2023, according to the person, who spoke anonymously because the performance details are private. The fund enjoyed its best year in 2022, rallying 43.5%.

The firm’s dedicated value strategy, the AQR Equity Market Neutral Global Value strategy, gained 20.6% in 2023, the person said. This reflects AQR’s superior stock selection as the broader Russell 1000 value index only returned 8.8% last year.

Asness co-founded AQR in 1998 after a stint at Goldman Sachs. He and his partners established the quant-driven firm’s investment philosophy at University of Chicago’s Ph.D. program, focusing on value and momentum strategies.

AQR has $99 billion in assets under management as of Dec. 31. AQR declined to comment.

The firm’s alternative trend following strategy, 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 as well as European natural gas and power prices, the person said.

The AQR Apex Strategy, a new multistrategy fund created in 2020, gained 16.2% last year, the person said.

Still, AQR’s various funds didn’t top the broader market last year. The S&P 500 rallied 24% in 2023, boosted by mega-cap technology names. The tech-heavy Nasdaq Composite ended the year up 43.4% for its best year since 2020.