Value manager AQR Capital Management is experiencing its worst drawdown since the global financial crisis as markets continue to pummel value managers.
AQR's assets under management fell 23.1% to $143 billion in the quarter ended March 31 and were down 36.2% from $224 billion as of Dec. 31, 2017, the previous peak provided to Pensions & Investments, from a combination of performance losses and client withdrawals.
AQR Capital Management LLC, Greenwich, Conn., said in emailed comments that the firm's value focus was a significant contributing factor in the decline.
"In many of our strategies we pursue a multifactor investment approach, which means we select investments based on multiple factors, one of which is value. Notably, multifactor stock selection has seen a challenging environment, with the value factor as the primarily culprit for underperformance," the email said.
AQR added: "Especially in tough periods, we consider and test whether returns are indicative of the strategies being impaired. If they pass all tests we can come up with, as they do today, we then rely on very long-term evidence and on the economic motivations behind them. It is important to note that we have seen difficult periods of performance in our history before and while recent results do not impact our overall investment philosophy or change our fundamental process, we continually innovate, enhance and improve our process and strategies."
AQR's overall decline in the first quarter was "due to market losses, not outflows. The majority of our assets — nearly 60% — are in traditional long-only strategies. When global markets across geographies and asset classes suffer such unprecedented sharp declines, it is to be expected that long-only strategies decline," according to the email.
The MSCI ACWI Value Net Total Return USD index was down 27.1% in the quarter and down 18% year-to-date through June 25, while the MSCI ACWI index was down 21.4% over the three-month period and down 6.5% year-to-date.