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AQR Capital Management

PRI reporting framework 2020

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Basic information

OO 01. Signatory category and services

01.1. Select the services and funds you offer

Select the services and funds you offer
% of asset under management (AUM) in ranges
Fund management
Fund of funds, manager of managers, sub-advised products
Other
Total 100%

Further options (may be selected in addition to the above)

01.2. Additional information. [Optional]

AQR has a diversified product line ranging from traditional benchmark-oriented long-only equity and fixed income strategies to absolute-return alternative approaches, which can be tailored to clients’ risk profiles and investment objectives (ESG or otherwise).


OO 02. Headquarters and operational countries

02.1. Select the location of your organisation’s headquarters.

United States

02.2. Indicate the number of countries in which you have offices (including your headquarters).

02.3. Indicate the approximate number of staff in your organisation in full-time equivalents (FTE).

945 FTE

02.4. Additional information. [Optional]

AQR is a global investment management firm built at the intersection of financial theory and practical application. We strive to deliver superior, long-term results for our clients by seeking to filter out market noise to identify and isolate what matters most, and to develop ideas that stand up to rigorous testing. Our focus on practical insights and analysis has made us leaders in alternative and traditional strategies since 1998.

AQR takes a systematic, research-driven approach, applying quantitative tools to process fundamental information and manage risk. The firm has 42 principals and ~940 employees; nearly half of employees hold advanced degrees. We are based in Greenwich, Connecticut, with offices in Bengaluru, Boston, Chicago, Hong Kong, London, Los Angeles, Sydney, and Tokyo. As of December 31, 2019, AQR had approximately $186 billion in assets under management (managed by AQR and its advisory affiliates). Our clients include institutional investors, such as pension funds, defined contribution plans, insurance companies, endowments, foundations, family offices and sovereign wealth funds, as well as RIAs, private banks and financial advisors.

Investment decisions across all funds are made using a series of global asset allocation, arbitrage, and security selection models, and are implemented using proprietary trading and risk-management systems. Both the traditional benchmark and market-neutral strategies are managed by the same portfolio teams and driven by the same underlying research. The research of AQR's portfolio teams is internationally recognized and has resulted in numerous published papers in a variety of professional journals since the early 1990s.

AQR recognizes that ESG factors may have both direct and indirect impacts on corporate profitability, long-term portfolio performance and risk. We seek to understand the broader implications and challenges stemming from ESG issues for our clients, as well as the related impact on their portfolios, and we provide education and investment solutions to help our clients to meet those challenges. It is important to note that we view ESG similarly to other factors, and see best practice in ESG integration similarly to the way we view best practice in responsible investment management. 

AQR has sought to offer its clients solutions to meet their ESG needs. Beyond client-directed exclusions or constraints, this work has included the development of AQR’s Sustainable investment strategies ($5 billion in assets under management at the end of 2019) and carbon-aware portfolios ($10 billion as of the same), and the refinement of our proxy and engagement programs.

AQR is also committed to managing its business activities in a manner which is consistent with sustainability. In this regard, AQR has a number of initiatives to help promote sustainability within its operations – ranging from offsetting 100% of our global carbon footprint internally to promoting an inclusive, diverse workplace – and with respect to its interactions with the community. This has included work performed by AQR’s philanthropic committee as well as AQR’s ESG in the Office Committee, originally designed by AQR employees with the aim of joining together to help create a more sustainable and responsible workplace and now a formal part of our ESG governance structure.


OO 03. Subsidiaries that are separate PRI signatories

03.1. Indicate whether you have subsidiaries within your organisation that are also PRI signatories in their own right.

03.3. Additional information. [Optional]


OO 04. Reporting year and AUM

04.1. Indicate the year end date for your reporting year.

31/12/2019

04.2. Indicate your total AUM at the end of your reporting year.

Include the AUM of subsidiaries, but exclude advisory/execution only assets, and exclude the assets of your PRI signatory subsidiaries that you have chosen not to report on in OO 03.2
Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

04.4. Indicate the assets which are subject to an execution and/or advisory approach. Provide this figure based on the end of your reporting year

Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

04.5. Additional information. [Optional]


OO 06. How would you like to disclose your asset class mix

06.1. Select how you would like to disclose your asset class mix.

Internally managed (%)
Externally managed (%)

 

Listed equity >50% 59 0 0
Fixed income <10% 3 0 0
Private equity 0 0 0 0
Property 0 0 0 0
Infrastructure 0 0 0 0
Commodities 0 0 0 0
Hedge funds 10-50% 38 0 0
Fund of hedge funds 0 0 0 0
Forestry 0 0 0 0
Farmland 0 0 0 0
Inclusive finance 0 0 0 0
Cash 0 0 0 0
Money market instruments 0 0 0 0
Other (1), specify 0 0 0 0
Other (2), specify 0 0 0 0

06.2. Publish asset class mix as per attached image [Optional].

06.3. Indicate whether your organisation has any off-balance sheet assets [Optional].

06.5. Indicate whether your organisation uses fiduciary managers.

06.6. Provide contextual information on your AUM asset class split. [Optional]

AQR’s business began with a multi-strategy hedge fund, and has evolved to a balanced mix of alternative (absolute and total return) and traditional listed equity and fixed income strategies. For the purposes of this report, we combine absolute and total return strategies under the aegis of “hedge fund”; absolute return strategies will typically average a beta of 0 while total return strategies’ beta ranges from 0.1-0.7. Extending the average beta basis for classification to listed equity (which for us represents long-only and relaxed-constraint equity, excluding any market neutral stock selection), we expect an average of beta of ~0.7-1.0, and fixed income portfolios’ beta is typically 1.0.


OO 07. Fixed income AUM breakdown

07.1. Provide to the nearest 5% the percentage breakdown of your Fixed Income AUM at the end of your reporting year, using the following categories.

Internally managed
43 SSA
8 Corporate (financial)
49 Corporate (non-financial)
0 Securitised
Total 100%

OO 08. Segregated mandates or pooled funds (Not Applicable)


OO 09. Breakdown of AUM by market

09.1. Indicate the breakdown of your organisation’s AUM by market.

75 Developed Markets
25 Emerging Markets
0 Frontier Markets
0 Other Markets
Total 100% 100%

09.2. Additional information. [Optional]

This is an approximation, as we manage assets across both developed and emerging universes in equities and fixed income, but also across universes combining developed and emerging markets. Moreover, on the alternatives side, representing ~40% of our business, we manage strategies with large and geographically diversified universes across multiple asset groups.


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