AQR Capital Management had mixed results in 2013, with the firm’s managed futures and arbitrage funds posting gains while its commodity fund found difficulty, according to an investor’s letter reviewed by ValueWalk.
AQR: Managed futures shining star
The AQR managed futures program, up just over 9% in 2013, significantly outpaced the benchmark Newedge CTA index, which was up just -0.73% on the year. The fourth quarter was the key for the fund, generating nearly 7.4%. Breaking down the fund’s fourth quarter performance by asset class, equities contributed +2.73%, commodities contributed +0.21%, currencies contributed +4.74%, and fixed income detracted -0.26%. By signal, short-term trend-following contributed +0.50%, long-term trend-following contributed +8.37%, and overextended trend signals detracted -1.45%, the investor letter said.
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