As you may remember, I (and a couple other readers) have posted some frustration with the lack of timely commentary for AQR's Risk Parity Fund AQRIX. Here is link to that thread:
AQRIX RISK PARITY.
To this day, AQR's website still reflects only the 1Q2013 quarterly, before the April/May swoon by all holders of EM bonds and commodities, especially those employing leverage, like AQRIX.
So, I wrote them a note complaining about it and today received a prompt and professional response from Marco Hanig, President, AQR Funds. "You are right on all counts."
He absolutely agreed that:
1) During periods of under-performance, it is critical to keep shareholders informed, so of all the times to not post a commentary, 6/30 was a particularly unfortunate time.
2) Obsolete or outdated links should be removed routinely.
He went on to explain that AQR funds are sold only through financial advisors. Its advisors are kept informed through a quarterly review book and conference calls, which are open exclusively to investment professionals. AQR began thinking this communication was enough and was considering discontinuing the written commentaries.
But then he wrote: "What your message made me realize is that the only way the ultimate shareholder can get an update is via the written commentary. That is a compelling reason to continue to write the quarterly commentary."
What I remain interested in is:
1) How did AQRIX PMs adjust strategy to volatility in EM bond and commodity markets, beginning in April/May?
2) What drawdown controls were exercised, if any.
3) Has the model been improved based on its recent bout with what I expect was out-of-sample behavior?
4) Will it be able to thrive in an environment of raising rates going forward?
Hopefully, we will get some insight soon.
Will try to keep you posted on any progress.
Comments
AQR Long-Short (QLENX) top in category in the last mo (+5.37%). New fund, but getting going after a slow start.
http://finance.yahoo.com/echarts?s=QLENX+Interactive#symbol=qlenx;range=1m;compare=^gspc;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined;
Of course that is absolutely incorrect. I've never owned one of their funds, but test trades through Fidelity go through without a hitch on QLENX, with a TF and no advisor input whatsoever.
How can they be so clueless about who their investors are?
My guess is that the intent is that the company "intends" to sell and focus their product towards financial advisors. However, at the brokerage level things may be handled differently and if the funds are "open" and not $1M minimum they're going to attract who they're going to attract? The minimums appear to vary from brokerage to brokerage.
If the company truly believes that funds are ONLY sold via financial advisors, well, then they aren't aware.
I'd guess the majority of AUM is advisors.
For the 3Q, AQRIX returned 3.03% versus 3.38% for the 60/40 balanced.
They do write: Year to date, the fund is -2.44% versus 10.74% for balanced.
See post below for link to AQR website with 3Q commentary.
I'm completely exiting AQRNX position. I sold ARCNX already. Now M* will be writing my obituary in hindsight since funds are bound to go up as soon as I sell. Only I know I have to make decision NOW based on facts in evidence, while M* gets paid voicing opinions in hindsight.
I have right to chose my kind of joker. I chose Husstlerman over Assness and Co.
https://www.aqrfunds.com/OurFunds/GlobalAllocationFunds/RiskParityFund/Overview.aspx
Disappointingly, the firm never did publish a 2Q commentary, when the fund terribly under-performed.