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CLIPPED HEDGE FUND AQR PULLS OFFERING

By
Roddy Boyd
Published Nov. 8, 2007, 10:00 a.m. ET

AQR Capital Management, the giant Greenwich-based hedge fund, has been forced to shelve its planned initial public offering after a dismal performance caused several large investors to pull their cash from the firm’s $38 billion fund, The Post has learned.

AQR Capital Management, run by former Goldman Sachs trader Cliff Asness, saw its flagship fund drop 3 percent in October, according to the fund’s investors.

The performance leaves the AQR Absolute Return fund down roughly 6 percent for the year, compared with a 4 percent return for the Standard & Poor’s 500 index.

Recent performance has caused several large investors to begin withdrawing their capital, which could force AQR to start selling positions to raise cash.

AQR, which helped pioneer the statistical arbitrage trading, is not alone.

Quantitative trading powerhouse Renaissance Technologies, run by billionaire Jim Simons, was down 1 percent in October, according to an investor.

Ironically, Asness helped launch Goldman Sachs Global Alpha fund, which was pummeled by the summer’s credit crunch and is now slowly winding down.

Long a prolific author on hedge fund risk management topics, Asness is known for being blunt.

A spokesman for AQR declined to comment.

Affiliated Managers Group, a publicly traded money manager, owns a 25 percent interest in AQR.

At one point in early August, as the subprime crisis took hold, one of AQR’s main funds dropped 13 percent; just a week later, though, the fund had gained more than half that back and was down only 7 percent.

Despite the unprecedented volatility and losses, Asness vocally defended AQR and its computer-driven trading strategies in a letter to investors this summer.

“I occasionally hear broad statements like, ‘This just shows computer models don’t always work.’ That’s true, of course, they don’t. Nothing always works,” Asness wrote.

“However, this isn’t about models, this is about a strategy getting too crowded, as other successful strategies both quantitative and non-quantitative have gotten many times in the past, and then suffering when too many try to get out the same door.” [email protected]