Bloomberg- AQR Capital Management LLC’s largest hedge fund fell almost 15 percent this year through Feb. 15 as market swings tripped up computer models the managers use to make trades, two people with knowledge of the matter said.
The assets of AQR’s Absolute Return fund dropped to $2.9 billion last month from $4 billion in the fourth quarter, said the people, who declined to be identified because the Greenwich, Connecticut-based firm doesn’t publicly disclose the data. AQR’s smaller Asset Allocation fund lost 16 percent of value.
Quantitative managers who rely on computers to make trades have struggled as global equity markets declined. Assets managed by AQR, co-founded in 1998 by former Goldman Sachs Group Inc. managing director Clifford Asness, slipped more than 20 percent to $8.6 billion in the past six months because of investment losses and client redemptions.
