(Bloomberg) -- AQR Capital Management is riding the market’s latest bout of interest-rate fright to extend a spirited comeback from the pandemic rout.
The Greenwich, Connecticut-based firm’s absolute return strategy — which contains a mix of its systematic trades — posted a 9.5% return in September, taking its gain in 2023 to 19.6%, according to a person familiar with the matter who asked not to be identified because the details are private.
The pioneering quant money manager benefitted as growing conviction that rates will stay higher for longer triggered a pullback in bond and equity benchmarks while boosting a slew of systematic strategies.
Read more: AQR’s Cliff Asness Is Finally Winning, But as Grouchy as Ever
In the stock market, the type of value shares beloved by so-called factor investors like AQR soundly beat the opposite category of growth last month as demand for pricey looking companies faded.
Meanwhile, steady declines for Treasuries and gains for the dollar helped trend followers to their best month in a year, a Societe Generale index shows. AQR’s Managed Futures Full Volatility Strategy returned 6.3%, the person said.
The latest leg up builds on gains reaped by AQR earlier this year, when it bucked a broader retreat among quant strategies. The firm, co-founded by Cliff Asness, has posted better returns since the pandemic, as the end of the low-rate era fuels the kind of big market swings that benefit systematic trades.
Factor investors decide what shares to buy and sell based on certain metrics like valuation multiples and profitability. While value rebounded last month, many versions of these factors have struggled this year, though the AQR Equity Market Neutral Fund has bucked the trend to return 17.8% in 2023.
Andrea Frazzini, AQR’s head of global stock selection, said the fund’s return stems from its spread across industries, factor performance abroad and proprietary signals gleaned from the likes of alternative data.
“What we do now is very different from five years ago,” Frazzini said in an interview. “All of those other types of proprietary exposures have been doing fairly well, including those that use alternative data and AI models.”
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