AQR - Shareholder Letter(2015)

1. AQR Equity Market Netural Fund
- provide investors with returns from potential gains of its long and short equity.
- Investment thems
  - Investor Sentiment
  - Stability
  - Country-Industry Pairs
  - Momentum-related themes(within industry, across industry and indirect Momentum)
  - Value signals within and across industries underperformed slightly
- 수익률 매우 우수


2. AQR GLOBAL MACRO
- invests four liquid asset classes : Fixed income, currencies, commodities and equities
- Within these asset class, we take both relative value and directional positions
- The strategy is long-term market-neutral, but can take directional views over the short term.
- The Funds' strategy trades predominately on macroeconomic news and trends, usuing a systematic, bottom-up approach that integrates quantitative and discretionary trading signals
- Investment philosophy : the insight that financial markets tend to underreact to macroeconomic news. ( This implies that macroeconomic news tens to have a persistent effect on asset prices. )
- Dax 롱 S&P 숏 쳐서 깨먹었다.

3. AQR Long-Short Equity Fund
- Using three different sources of return
1) the potential gains from its long/short equity positions by entering into Total Return Basket Swaps
2) overall exposure to equity markets, the use of futures contractrs
3) the tactical variation of its net exposure to equity markets
The strategy primarily seek to add alpha via its long/short (market-neutral) stock portfolio.
- 위에 1번 펀드랑 차이를 모르겠네. 수익도 비슷.

4. AQR MANAGED FUTURES STRATEGY FUND
- Cliff Asness 가 운용
- actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets.
- The fund both use long & short trend following signals
- market reversal 에 신경 쓴다는 일반적인 이야기
- We expect that the correlation of this strategy to the equity markets will average close to zero over a full economic cycle.
- 에쿼티에서 2.6% 까먹고 커머디티에서 5.05% 수익(total 2%)
- Central bank 에 주목 (divergence of  policies)
- 보통 CTA들이 2015 1Q 에 유럽주식쪽의 strong rally 로 많은 수익을 냈다가 그리스 이슈로 많이 잃은듯. ( only to give back some of their gains as issues concerning Greece took center stage, and as the prospect for rising rates in the US became tangible in the second quarter)
- long term 시그널과 short term 시그널이 있는데 long term 의 경우 원자재로 인해 수익을 short term 시그널의 경우 손실을 봄
- 그래도 다른 CTA 전략들 보다는 성과가 좋았다고 이야기.
(SG Trend Index - 대형 헤지펀드 CTA전략 10개? 정도 수익률 모아서 만든 Index 인듯)


5. MULTI-STRATEGY ALTERNATIVE FUND
- 9.25% in 2015 & 7.9% annnualized daily vol, 0 correlation to equities
- There are nine strategies
- Three big gain strategies in 2015
1) Stock Selection Strategies
- Dedicated SHort bias(5.1%)
- Equity Market Neutral(+1.7%)
- Sentiment > growth > high-risk > valuation
2) Event Driven
3) Managed Futures - Trend following


6. RISK-BALANCED COMMODITIES STRATEGY FUND
- 망함

7. RISK PARITY FUND
- Risk parity investing involves allocating to investment by risk, which means that instruments with less risk generally be allocated more capital than instruments that are deemed riskers.
- 많이 깨짐. 약 -8%
- Despite a disappointing year, we stand by our conviction in the Fund's underlying premies and believe that it is a better long-term asset allocation strategy than a traditional equity-risk-centric allocation.
- 60/40 전략 대비 너무 무너짐...

8. STYL PREMIA ALTERNATIV EFUND
- 8.76%
-We employ market-neutral long short strategies across these asset groups based on four investment styles : VALUE, MOMENTUM, CARRY, DEFENSIVE
- 2015 Results
1) Defensive was the top contributor
2) Value : contributed with profits in equity indices, commodities, and fixed income
3) Momentum & Carry : detracted from performance
- Momentum : detracted in fixed income, equity indices and commodities
- Carry :detracted in commodities and currencies