AQR’s managed futures offering has garnered quite a bit of assets in the Liquid Alt section of managed futures “40 Act” funds (aka mutual funds) over the past two years. Since the inception of AQR’s Managed Futures Strategy I ($AQMIX) in Jan ’10, they’ve gone from $0 to $6.6 Billion in assets as they’ve canvassed the country with wholesalers pitching famous quant Cliff Asness’ products. It doesn’t hurt, either, that Cliff is everywhere… Connie Mack interviews, Investment News conferences, CNBC appearances, etc.)
One investment advisor we talked to invested in $AQMIX said he invested because he liked the story about Cliff Asness in “The Quants” punching his computer. That’s one way to pick investments… just don’t tell your clients.
Now, whenever we see popular liquid alts like this gaining steam (see 361 Capital’s here), we wonder just how well they stack up against real managed futures managers, you know, the one’s doing separately managed accounts and privately offered funds. High Net Worth Individuals can invest directly in such managers through folks like Attain, while advisors typically need to access through privately offered funds (CPO), as once it’s a fund, it becomes a security, making them licensed to sell it and it able to show up on the client’s statements. PS – There’s a little group we know doing some good stuff in the privately offered fund space, see here.
But all this leads to the question of how do the Liquid Alts like the gorilla of a fund, AQMIX, stack up against the privately offered stuff.
We know there is a liquidity premium in private equity and some other hedge fund categories (to the benefit of the privately offered stuff), but does that hold in the world of exchange traded futures. What if there was a website (we’re working on it!) that listed the public options right alongside the ‘private’ – how would AQR’s Managed Futures Strategy I asset raising machine look alongside its sorta-peers on that side:
We went to work ‘adding’ the AQR managed futures mutual fund (AQMIX) into our database as if they were a privately offered option, and then seeing how their performance stacks up against the top tier performers in the privately offered space. Bear in mind our database doesn’t include all possible programs in the managed futures universe, we pare down the publicly available lists to get rid of programs which aren’t investable, offshore funds, and others which aren’t valid business concerns; so our database may have a bit of a skew towards better managers.
So… they raise money like a top quartile fund, but are they performing like one? Here’s what we found:
(Disclaimer: past performance is not necessarily indicative of future results. Programs that make up “Top Decile Average” consist of those with at least a 3 year track record tracked by Attain Capital Management for investment by clients via managed accounts and do not represent all available programs in the managed futures universe. Performance as of 10/31/2014)
We found they are definitely in the top decile in terms of assets, where they would be the 3rd largest privately offered managed futures program, behind Winton and Man AHL. But they lag the top decile of performers in most metrics by quite a bit… which begs the question… why are you doing Liquid Alts in the first place? If it’s because you only have $5,000 to invest into managed futures – we agree, you shouldn’t be trying to do a managed accounts and commodity pools. But if you have a few extra zeroes at the end of your alternatives allocation (say $50,000 to $500,000), basing your allocation choice on ease of use and access (no K1, daily liquidity, etc.) might be a case of stepping over dollars to pick up pennies.
Maybe it isn’t fair to compare AQMIX to the best performers in every category, but with large assets comes large expectations….