Professional Planner|Zenith Fund Awards 2015 – alternative strategies (CTA/macro, multi strategy, FoHF, agribusiness, commodities, private equity, other)
Winner: AQR
Zenith says: The AQR Managed Futures Fund is managed by AQR’s Connecticut-based investment team, with key portfolio managers Brian Hurst and Yao Hua Ooi responsible for the day-to-day operation of the strategy. Zenith highlights that AQR offers a quality exposure to the managed futures sector, supported by a strong research team and impressive trading infrastructure. Of the managed futures funds available, AQR offers the purest exposure to trend following, which underpins its attractive diversification properties.
– Rodney Sebire, senior investment analyst
Zenith sector review: The alternatives sector was dominated by the performance of the managed futures sub-category, with some of Zenith’s rated managers delivering returns in excess of 50 per cent. Trends in bonds, currencies and energies provided a rich opportunity set for managed futures managers to apply trend-following strategies. The alternatives sector continues to enjoy solid growth, both in terms of the number of high-quality funds offered and the level of investor acceptance.
Brian Hurst, principal, AQR Capital Management: We find that trying to make money by predicting future market movements is quite difficult. We rely instead on attempting to exploit time-tested inefficiencies we find in markets, based on known, observable data and tendencies. We believe trends exist and are exploitable in markets due to investor behavioural biases, and because of rational, but constrained and price-insensitive market participants. We find, based on long-term evidence, the strategy can perform well across weak and poor macroeconomic environments. The strategy tends to generate particularly strong outcomes when the markets we trade go from good-to-great, or from bad-to-worse – in other words during more prolonged extreme market outcomes. To the extent investors believe markets can exhibit such outcomes across any asset class – for example, equities, fixed income, commodities or currencies – a trend–following strategy can provide a way to benefit from those scenarios.
(Pictured: Jeff Dunn, head of institutional business, Australasia, AQR Capital Management.)
