Thinking Alternative
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AQR Long-Short Equity Fund June 30, 2021
AQR Long-Short Equity Fund June 30, 2021 Portfolio Exposures NAV: $285,388,574 Asset Class Security Description Exposure Quantity Equity 10x Genomics Ord Shs Class A (1,119,895) (5,719) Equity 2U Ord Shs (1,390,820) (33,377) Equity 3M Ord Shs 625,287 3,148 Equity A O Smith Ord Shs 345,888 4,800 Equity A P Moller Maersk Ord Shs Class B 2,911,918 1,013 Equity A2A Ord Shs 165,115 80,761 Equity AAK Ord Shs 113,885 5,078 Equity Aalberts Ord Shs (91,796) (1,708) Equity Abb Ord Shs (208,203) (6,131) Equity Abbott Laboratories Ord Shs 1,423,736 12,281 Equity AbbVie Ord Shs 373,852 3,319 Equity ABC Mart Ord Shs 183,656 3,200 Equity Abcam Ord Shs (676,557) (35,463) Equity Abiomed Ord Shs 74,594 239 Equity Abrdn Ord Shs 1,120,165 299,211 Equity Acadia Healthcare Company Ord Shs (287,144) (4,576) Equity Acceleron Pharma Ord Shs (610,885) (4,868) Equity Accenture Ord Shs Class A 824,528 2,797 Equity Acciona Ord Shs (330,764) (2,191) Equity Accor Ord Shs (105,683) (2,830) Equity Acerinox Ord Shs 990,597 82,014 Equity ACI Worldwide Ord Shs 656,152 17,667 Equity Acom Ord Shs (501,051) (114,900) Equity Acs Actividades De Construccion Y Servicios Ord Shs (378,803) (14,140) Equity Activision Blizzard Ord Shs 1,054,039 11,044 Equity Acuity Brands Ord Shs (290,645) (1,554) Equity Adaptive Biotechnologies Ord Shs (1,124,712) (27,526) Equity Adecco Group Ord Shs 1,615,380 23,754 Equity Adevinta Ord Shs (986,947) (51,472) Equity Adidas N Ord Shs (682,342) (1,833) Equity Adient Ord Shs 31,414 695 Equity Admiral Group Ord Shs (1,950,914) (44,918) Equity Adobe Ord -
Explanations for the Momentum Premium
CAPITAL MANAGEMENT Tobias Moskowitz, Ph.D. Summer 2010 Fama Family Professor of Finance University of Chicago Booth School of Business EXPLANATIONS FOR THE MOMENTUM PREMIUM Momentum is a well established empirical fact whose premium is evident in over 83 years of U.S. data, in 20 years of out of sample evidence from its original discovery, in 40 other countries, and in more than a dozen other asset classes. Its presence and robustness are remarkably stable and, along with the size and value premia, these investment styles have become the preeminent empirical regularities studied by academics and practitioners. And, like size and value, there is much debate and little consensus regarding the explanation driving this premium, though there are some compelling theories. In this short note, we summarize briefly the risk-based and non-risk based explanations for momentum. While the jury is still out on which of these explanations better fit the data, we emphasize that similar uncertainty regarding the explanation behind the size and value premium also exists. Much like momentum, stories for the size and value premium range from risk-based to behavioral and there is a healthy debate over which of these theories is most consistent with the facts. These debates are likely to continue for the foreseeable future, but as we discuss below there are many viable candidate theories for their existence—and the truth behind the source of these premia probably contains elements from several explanations. Non Risk-Based Explanations Some argue that the momentum premium is driven by non-risk factors, many of which have a behavioral flavor. -
Ideas for a Low-Expected-Return World
A S S E T A L L O C A T I O N Ideas for a Low-Expected-Return World 1Q 2012 The No. 1 challenge for investors is: How can we achieve 4%–5% medium-term real return targets (or 7%–8% nominal) if the expected return of a 60/40 equities/bonds portfolio is below 3%? Investors’ responses vary. Wishful thinking has been one approach (witness nominal return assumptions still near 8% for many pension funds), and increasing allocations to equities another. However, poor results and growing awareness of forward-looking valuations — their relevance in predicting returns and their still-uninspiring message about prospective returns — have led investors to look elsewhere. Over the past decade, many investors adopted the “endowment model” and diversified into various alternative asset classes, combining reliance on the equity premium with faith in an illiquidity premium and in hedge fund alpha. The experience has been mixed. There were some successes but many investors were disappointed in both their return and diversification realizations, as alternative investments moved in synch with the 60/40 portfolio and the true costs of private equity investments were revealed as commitments paralyzed many investors and forced them to sell liquid holdings. We think that risk-balanced diversification across well-chosen return sources is the most reliable strategic approach to achieving ambitious real return targets. AQR Capital Management, LLC, (“AQR”) provide links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites. -
ALTERNATIVE BETA MATTERS Quarterly Newsletter - Q4 2017
Alt Beta Newsletter 30th October 2017 ALTERNATIVE BETA MATTERS Quarterly newsletter - Q4 2017 Introduction Welcome to CFM’s Alternative Beta Matters Quarterly Newsletter. Within this report we recap major developments in the Alternative Industry, Equities, Fixed Income / Credit, FX and Commodities as well as Trading Regulations. All discussion is agnostic to particular approaches or techniques, and where alternative benchmark strategy results are presented, the exact methodology used is given. We have also included one white paper and an extended academic abstract from a paper published during the quarter. Our hope is that these publications, which convey our views on topics related to Alternative Beta that have arisen in our many discussions with clients, can be used as a reference for our readers, and can stimulate conversations on these topical issues. Contact details Call us +33 1 49 49 59 49 Email us [email protected] www.cfm.fr CFM Alternative Beta Matters Total return for Equity Market Neutral (EMN) and CTA Quarterly review hedge fund indices over the past year1 Quantitative overview of key developments in Q3 2017 Alternative industry performance The principal implied volatility indices across four asset classes over the past year2 After a challenging Q2, Commodity trading advisors (CTAs) posted a relatively neutral quarter. Whilst the HFRX Equity Market Neutral index put in a solid showing, increasing 2.1%, the Equity Hedge index was the best performer in the HFRX universe with a 3.2% gain. At the other end of the scale, the Event Driven Distressed Restructuring index fared the worst, losing 0.1%. CTAs clawed back some of the losses in Q2, with the The log of the dollar risk weighted average daily volume 3 benchmark SG CTA index gaining 0.7% over the period. -
Commodity Asset Management / MAP Accepting New
Ascent Capital Management CTA Report Report Start Date: Jan-2017 - Report End Date: Sep-2020 Commodity Asset Management / MAP Discretionary / Fundamental / Diversified Accepting New Investors: Yes 4.7 Exempt - QEP Investors Only Performance Since January 2017 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2017 0.23% -1.17% 0.40% -2.11% -2.47% 2.60% 4.03% 7.54% -3.79% 6.14% -5.73% 12.50% 2018 1.28% -2.65% -8.30% 7.12% 8.77% -5.08% -0.02% 0.88% 0.06% -2.17% -0.65% -0.58% 2019 6.24% 5.49% -2.60% -4.93% -2.66% 2.18% 0.71% 3.31% 0.34% 0.76% -1.10% 1.15% 2020 -0.05% 5.43% 0.39% -5.54% -3.59% 2.85% -0.33% 3.09% -2.27% 2017 2018 2019 2020 YTD ROR 18.03% -2.49% 8.62% -0.50% Max DD -5.73% -10.73% -9.86% -8.93% The Notes Below Are An Integral Part of this Report | Track Record Compiled By: KPMG Program Description: Commodity Asset Management ("CAM") is a specialized industrial commodities focused asset manager, founded by alumni of AQR Capital Management and Marc Rich & Co. CAM invests in lesser covered, but still liquid, exchange traded industrial commodities, where it believes it has a distinct fundamental edge. CAM sources its alpha from proprietary relationships across the industrial commodities value chain, as well as alternative data. CAM dampens the volatility inherent in commodities through active hedging and risk management, and has low correlation to traditional indexes. -
Investor Guide
AN INVESTOR’S GUIDE Managed Futures A DIVERSIFYING SOURCE OF RETURNS OPPORTUNITY TO PERFORM IN BULL AND BEAR MARKETS POTENTIAL TO MANAGE DOWNSIDE RISK The AQR Investor Guides are designed to help investors develop a clearer understanding of how certain investment strategies work, and how AQR’s distinctive approach to managing them may help investors achieve their long-term investment objectives. What is Managed Futures? Buy (“Go Long”) Contracts that Equity Indices have been Managed Futures involves trading futures contracts — increasing Fixed Income agreements to buy or sell a particular asset in the future at in price a price set in advance. The assets could be equity indices, Currencies Sell (“Go Short”) fixed income, currencies or commodities, all of which are Contracts that traded on liquid markets around the world. Investors who have been Commodities decreasing pursue Managed Futures generally buy (“go long”) assets in price that have been rising in price and sell (“go short”) assets Source: AQR. Past performance is not indicative of future results. that have been falling in price, betting that these trends will continue. Managed Futures relies on a systematic, This approach, also referred to as trend following, is not rules-based process to identify trends as they new. Hedge funds and Commodity Trading Advisors develop. In doing so, the strategy eliminates (CTAs)1 have been pursuing trends in futures markets human emotion from the decision-making since the 1970s. process of when to buy and sell. 1 A commodity trading advisor (CTA) is an individual or firm who provides individualized advice regarding the buying and selling of futures contracts, options on futures or certain foreign exchange contracts. -
Alternative Beta
What a CAIA Member Should Know Alternative Beta: Redefining Alpha and Beta Soheil Galal Alternative beta (alt beta) strategies extend These strategies can complement traditional, Managing Director the concept of “beta investing” from long-only actively managed hedge fund allocations and Global Investment Management traditional strategies to strategies that include provide more discriminating tools to support Solutions, J.P. Morgan Asset Management both long and short investing. Although alt alternative manager due diligence. beta approaches have relevance for different Alternative beta (alt beta) strategies have Rafael Silveira categories of alternatives, this article focuses opened a new avenue for accessing the Executive Director and Portfolio on hedge fund-related strategies, currently the investment characteristics for which hedge Strategist, most prevalent form. Institutional Solutions & Advisory funds have become highly valued. J.P. Morgan Asset Management Alt beta strategies are rules-based strategies These strategies provide ready access to designed to provide access to the portion of Alison Rapaport uncorrelated returns that can help improve hedge fund returns attributable to systematic Associate and Client Portfolio portfolio diversification, risk-return efficiency, risks (beta) vs. idiosyncratic manager skill Manager, and volatility management—without the high Multi-Asset Solutions, (alpha). As a result of these new strategies, a fees, lock-ups, and limited transparency often J.P. Morgan Asset Management component of hedge fund returns previously associated with hedge funds.1 viewed as alpha has been redefined as beta. A passive, rules-based approach gives alt beta We see this redefinition of alpha as beta to be a strategies the ability to provide liquid, low- transformational trend in hedge fund investing: cost, and transparent access to the beta (vs. -
Thinking Alternative
Alternative Thinking Style Investing in Fixed Income Systematic style investing is increasingly popular in equity markets but much less frequently applied in fixed income markets. In this paper, we show that the classic style premia that have been applied to stock selection and equity country allocation — value, momentum, carry, and defensive — could have also performed well in fixed income markets, whether in selecting government bonds or corporate bonds. Fixed income may be the next frontier for style investing. AQR Capital Management, LLC Two Greenwich Plaza Greenwich, CT 06830 p: +1.203.742.3600 f: +1.203.742.3100 Third Quarter 2016 w: aqr.com Alternative Thinking | Style Investing in Fixed Income 1 Executive Summary Introduction Systematic style investing has become Style premia, or factor-based, investing has been increasingly popular in stock selection and has applied in equity markets for over 20 years and has also gained followers in market-neutral, multi- become increasingly popular, mainly in long-only asset-class applications. The most pervasive applications (i.e., “smart beta”). Style investing has styles with positive long-run historical track also been extended to long/short, market-neutral records in many asset classes include value, applications in several asset classes, including momentum, carry and defensive (based on bonds, currencies and commodities. Still, style evidence we’ve provided in other papers that investing appears to have a smaller footprint in FI cheap, recently improving, high-yielding and than in equities, both in academic literature and in boring low risk or high quality assets tend investment practice (see Brooks and Moskowitz to outperform in the long run).1 (2016, forthcoming) and Israel, Palhares and Richardson (“IPR” 2016)). -
Tracking Problems, Hedge Fund Replication, and Alternative Beta
PART 1 Tracking Problems, Hedge Fund Replication, and Alternative Beta Thierry Roncalli — Professor of Finance, University of Evry, and Head of Research and Development, Lyxor Asset Management 1 Guillaume Weisang — Doctoral Candidate, Bentley University Abstract (2008), we detail how the Kalman !lter tracks changes in As hedge fund replication based on factor models has en- exposures, and show that it provides a replication methodol- countered growing interest among professionals and aca- ogy with a satisfying economic interpretation. Finally, we ad- demics, and despite the launch of numerous products (in- dress the problem of accessing the pure alpha by proposing dexes and mutual funds) in the past year, it has faced many a core/satellite approach of alternative investments between critics. In this paper, we consider two of the main critiques, high-liquid alternative beta and less liquid investments. Non- namely the lack of reactivity of hedge fund replication, its normality and non-linearities documented on hedge fund de!ciency in capturing tactical allocations, and the lack of returns are investigated using the same framework in a com- access to the alpha of hedge funds. To address these prob- panion paper [Roncalli and Weisang (2009)]. lems, we consider hedge fund replication as a general track- ing problem which may be solved by means of Bayesian !l- 1 The views expressed in this paper are those of the authors and do not nec- ters. Using the example provided by Roncalli and Teiletche essarily represent those of Lyxor Alternative Investments. 19 Over the past decade, hedge fund replication has encountered a growing tracking problems and Bayesian !lters and their associated algorithms, interest both from an academic and a practitioner perspective. -
Aqr Capital Management (Europe) Llp Uk Modern
AQR CAPITAL MANAGEMENT (EUROPE) LLP UK MODERN SLAVERY ACT STATEMENT 2020 1. OPENING STATEMENT 1.1 This statement is made voluntarily by AQR Capital Management (Europe) LLP (“AQR Europe”, “we”, “us” and “our”), to be transparent about our efforts to ensure that, in so far as we can, modern slavery does not take place in our business or supply chains. 1.2 AQR Europe is a subsidiary of AQR Capital Management, LLC (together “AQR”). To the extent applicable, AQR is committed to eliminating modern slavery from its business and supply chains. 1.3 This statement relates to the financial year ending 31 December 2020. In this statement, we use the term “modern slavery” to include slavery, servitude and forced or compulsory labour and human trafficking, all of which are abuses of a person’s freedoms and rights. 2. OUR BUSINESS AND ORGANISATION 2.1 AQR is an employee-owned, global investment management firm. We invest in alternative and long-only strategies in commingled vehicles as well as segregated managed accounts. All investment decisions are made using a series of systematic global asset allocation, arbitrage and security selection models and are implemented using proprietary trading and risk-management systems. 2.2 AQR carries out business in the United Kingdom through AQR Europe which is an alternative investment fund manager (“AIFM”) regulated by the Financial Conduct Authority (“FCA”). 2.3 AQR Europe employs approximately 40 skilled professionals in its London office. 2.4 Given the nature of AQR’s business (asset management services), and our workforce (skilled labour), we believe that there is no material risk of modern slavery in our workforce. -
Capital Market Assumptions Expected Real Returns for Major Asset Classes As of March 31, 2020
Capital Market Assumptions Expected real returns for major asset classes as of March 31, 2020 Private and Confidential For One-on-One and Institutional Investor Use Only Q2 2020 For Institutional Investors Use Only Disclosures The information set forth herein has been obtained or derived from sources believed by AQR Capital Management, LLC (“AQR”) to be reliable. However, AQR does not make any representation or warranty, express or implied, as to the information’s accuracy or completeness, nor does AQR recommend that the attached information serve as the basis of any investment decision. This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. This document is intended exclusively for the use of the person to whom it has been delivered by AQR and it is not to be reproduced or redistributed to any other person. Please refer to the Appendix for more information on risks and fees. For one-on-one presentation use only. Past performance is not a guarantee of future performance. This presentation is not research and should not be treated as research. This presentation does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the speaker nor AQR undertakes to advise you of any changes in the views expressed herein. -
Aqr Ucits Funds
PROSPECTUS ___________________________________________________________________________ AQR UCITS FUNDS Société d’Investissement à Capital Variable established in Luxembourg AQR CAPITAL MANAGEMENT, LLC (INVESTMENT MANAGER) FUNDROCK MANAGEMENT COMPANY S.A. (MANAGEMENT COMPANY) _____________________________________________________________________________ FEBRUARY 2016 IMPORTANT INFORMATION IMPORTANT: IF YOU ARE IN ANY DOUBT AS TO THE CONTENTS OF THIS PROSPECTUS YOU SHOULD CONSULT YOUR STOCKBROKER, BANK MANAGER, SOLICITOR ACCOUNTANT OR OTHER FINANCIAL ADVISER. The Directors, whose names appear below, accept responsibility for the information contained in this document. The Directors have taken all reasonable care to ensure that the facts stated herein are true and accurate in all material respects at the date hereof and that there are no other material facts, the omission of which would make misleading any statement herein whether of fact or opinion. The Directors accept responsibility accordingly. AQR UCITS Funds (the “Company”) is an investment company organised under the laws of the Grand Duchy of Luxembourg as a société d’investissement à capital variable, is governed by Part I of the UCI Law and qualifies as a UCITS. No person has been authorised by the Company to give any information or make any representations in connection with the offering of Shares other than those contained in this Prospectus or any other document approved by the Company or the Management Company, and, if given or made, such information or representations must not be relied on as having been made by the Company. The distribution of this Prospectus and the offering of Shares in certain jurisdictions may be restricted. Persons into whose possession this Prospectus comes are required by the Company to inform themselves about and to observe any such restrictions.