The Fed’s Famous Chili! AQR’s Quant Funds Having A Bad Year (But So Are Other Funds Like Pimco And Janus-Henderson)

Bloomberg has an interesting story about a former University of Chicago student of mine, Cliff Asness, head of AQR Capital in New York. 

Yes, AQR and Cliff Asness are having a bad year with their “quant” strategies.  Here is Cliff’s explanation: Liquid Alt Ragnarok

In short, “This has been a long post-GFC (call it near a decade) strong period for beta and a weak period for systematic value (and trend following). Most diversified liquid alts, particularly market-neutral stock selection, have not suffered until this year. Basically, factors that made up for value’s multiyear slack in the past have not done so this year. Moreover, value measures we think are superior to the academic price-to-book ratio, which have indeed helped since the GFC, have not been better this year.”

Yes, quant strategies are prone to changing market conditions and investor sentiment.


But in defense of AQR, other funds like Pimco and Janus-Henderson are having a miserable year too.


Seemingly, the lack of performance of these funds is related to The Fed’s interest rate “normalization.” And the surprising growth of the US economy allowing The Fed more room to “raise and unwind.”

Bernanke/Yellen/Powell’s famous chili (aka, Fed Chili) is throwing investment strategies a big curve ball.






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