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Cliff Asness AQR Capital Management
AUM
$287B
Turnover
8.35%
1-Year Est. Return
42.33%
Cliff Asness is a co-founder of AQR Capital Management, a leading quantitative investment firm spanning equities, alternatives, and factor strategies. He is known for academic-informed research on value, momentum, and other systematic premia, as well as candid market commentary. Asness’s work bridges academic finance and large-scale institutional portfolio management.
This Fund
S&P 500
This Quarter Est. Return
+6.33%
1 Year Est. Return
+42.33%
3 Year Est. Return
+119.89%
5 Year Est. Return
+147.33%
10 Year Est. Return
+543.74%
AUM
$37.1B
AUM Growth
+$3.97B
(+12%)
Cap. Flow
+$591M
Cap. Flow % of AUM
Cap. Flow %
1.59%
Top 10 Holdings %
Top 10 Hldgs %
8.58%
Holding
2,714
New
178
Increased
1,030
Reduced
953
Closed
205
Avg Time Held
Equity + Options
0.8
years
Top 10 Avg Time Held
Equity + Options
0.5
years
Top 20 Avg Time Held
Equity + Options
0.6
years
Avg Time Held Equity only
0.8
years
Top 10 Avg Time Held Equity only
0.5
years
Top 20 Avg Time Held Equity only
0.6
years
Top Buys
| Rank | Stock | Value |
|---|---|---|
| 1 |
EOG Resources
EOG
|
+$143M |
| 2 |
WNR
Western Refining Inc
WNR
|
+$142M |
| 3 |
DTV
DIRECTV COM STK (DE)
DTV
|
+$137M |
| 4 |
BHI
Baker Hughes
BHI
|
+$135M |
| 5 |
POM
PEPCO HOLDINGS, INC.
POM
|
+$113M |
Top Sells
| Rank | Stock | Value |
|---|---|---|
| 1 |
BEAM INC COM STK (DE)
BEAM
|
+$215M |
| 2 |
LSI
LSI CORPORATION
LSI
|
+$185M |
| 3 |
Omnicom Group
OMC
|
+$165M |
| 4 |
BRE
BRE PROPERTIES INC CL A
BRE
|
+$95M |
| 5 |
JOSB
JOS A BANK CLOTHIERS INC
JOSB
|
+$83M |
Sector Composition
| Rank | Sector | Weight |
|---|---|---|
| 1 | Healthcare | 14.95% |
| 2 | Technology | 13.55% |
| 3 | Miscellaneous | 11.08% |
| 4 | Financials | 10.47% |
| 5 | Energy | 10.29% |
| Name | Market Value | Portfolio Weight | Shares or Principal |
Change in Stake | Capital Flow | Held Since | |
|---|---|---|---|---|---|---|---|
1
Apple
AAPL
$5.2T
| $460M | 1.24% |
19,783,652
+4,919,600
| +33% | +$105M |
2013 Q2
4 quarters
|
|
2
Johnson & Johnson
JNJ
$682B
| $381M | 1.03% |
3,644,848
+38,100
| +1% | +$3.85M |
2013 Q2
4 quarters
|
|
3
Alphabet (Google) Class C
GOOG
$3.58T
| $327M | 0.88% |
11,291,536
-1,904,943
| -14% | -$51.7M |
2013 Q2
4 quarters
|
|
4
Pfizer
PFE
$167B
| $309M | 0.83% |
10,956,643
+997,986
| +10% | +$28.4M |
2013 Q2
4 quarters
|
|
5
Wells Fargo
WFC
$259B
| $305M | 0.82% |
5,795,928
+257,500
| +5% | +$12.9M |
2013 Q2
4 quarters
|
|
6
Meta Platforms (Facebook)
META
$1.59T
| $288M | 0.78% |
4,285,959
+912,600
| +27% | +$56.1M |
2013 Q3
3 quarters
|
|
|
TWC
7
DELISTED
TIME WARNER CABLE INC NEW COM STK
TWC
| $287M | 0.77% |
1,949,761
+150,425
| +8% | +$21.1M |
2013 Q2
4 quarters
|
|
8
Western Digital
WDC
$114B
| $283M | 0.76% |
4,054,523
+71,839
| +2% | +$4.82M |
2013 Q2
4 quarters
|
|
9
ExxonMobil
XOM
$686B
| $277M | 0.75% |
2,749,534
+18,000
| +0.7% | +$1.82M |
2013 Q2
4 quarters
|
|
|
10
EOG Resources
EOG
$80.4B
| $266M | 0.72% |
2,273,344
+1,364,000
| +150% | +$143M |
2013 Q2
4 quarters
|
|
11
Microsoft
MSFT
$3.9T
| $261M | 0.7% |
6,267,209
-1,770,700
| -22% | -$71.7M |
2013 Q2
4 quarters
|
|
12
Biogen
BIIB
$37.2B
| $250M | 0.67% |
791,724
+64,600
| +9% | +$19.4M |
2013 Q2
4 quarters
|
|
|
FRX
13
DELISTED
FOREST LABORATORIES INC
FRX
| $243M | 0.66% |
2,455,366
+166,878
| +7% | +$15.6M |
2013 Q2
4 quarters
|
|
14
McKesson
MCK
$125B
| $233M | 0.63% |
1,252,033
-41,200
| -3% | -$7.33M |
2013 Q2
4 quarters
|
|
15
CVS Health
CVS
$114B
| $230M | 0.62% |
3,044,976
-281,200
| -8% | -$21.3M |
2013 Q2
4 quarters
|
|
16
Archer Daniels Midland
ADM
$33.7B
| $228M | 0.61% |
5,168,988
+104,834
| +2% | +$4.63M |
2013 Q2
4 quarters
|
|
17
Humana
HUM
$52.6B
| $227M | 0.61% |
1,777,389
+509,900
| +40% | +$60.4M |
2013 Q2
4 quarters
|
|
|
YHOO
18
DELISTED
Yahoo Inc
YHOO
| $225M | 0.61% |
6,403,822
+205,675
| +3% | +$7.18M |
2013 Q2
4 quarters
|
|
19
Northrop Grumman
NOC
$78B
| $215M | 0.58% |
1,793,518
+69,400
| +4% | +$8.39M |
2013 Q2
4 quarters
|
|
20
Elevance Health
ELV
$93.1B
| $209M | 0.56% |
1,946,639
+95,400
| +5% | +$9.8M |
2013 Q2
4 quarters
|
|
|
HCBK
21
DELISTED
HUDSON CITY BANCORP INC
HCBK
| $198M | 0.53% |
20,148,963
| – | – |
2013 Q2
4 quarters
|
|
22
Merck
MRK
$365B
| $197M | 0.53% |
3,566,008
+541,188
| +18% | +$29.5M |
2013 Q2
4 quarters
|
|
|
CELG
23
DELISTED
Celgene Corp
CELG
| $197M | 0.53% |
2,289,818
-274,000
| -11% | -$20.8M |
2013 Q2
4 quarters
|
|
24
Phillips 66
PSX
$102B
| $195M | 0.53% |
2,426,676
+512,100
| +27% | +$42.2M |
2013 Q2
4 quarters
|
|
25
Halliburton
HAL
$27.1B
| $195M | 0.53% |
2,745,094
+1,088,200
| +66% | +$69.7M |
2013 Q2
4 quarters
|
|
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Cliff Asness's Q2 2014 Portfolio in Review
As of Q2 2014, Cliff Asness held 2,714 positions worth $37.1B, up 12% from $33.1B the previous quarter. Its ten largest holdings account for 8.6% of the portfolio.
Cliff Asness's Q2 2014 filing shows 178 new, 1,030 increased, 953 reduced and 205 closed positions. Its largest new stake was AstraZeneca: 1,186,418 shares worth $88.2M. The largest sale was BEAM INC COM STK (DE), an estimated $215M.
By sector, the portfolio is most concentrated in Healthcare at 15% of assets, up from 15% a quarter earlier, followed by Technology and Miscellaneous.
- Cliff Asness's largest Q2 2014 buy was AstraZeneca: 1,186,418 shares worth $88.2M.
- Cliff Asness added most to EOG Resources in Q2 2014, an estimated $143M increase.
- Cliff Asness's biggest Q2 2014 reduction was Omnicom Group, cutting an estimated $165M.
- Cliff Asness fully exited BEAM INC COM STK (DE) in Q2 2014, selling an estimated $215M.
- Cliff Asness's ten largest holdings make up 8.6% of its $37.1B portfolio in Q2 2014.
- Cliff Asness opened 178 new positions and closed 205 in Q2 2014.
- Cliff Asness's portfolio value rose 12% quarter-over-quarter to $37.1B.
Based on AQR Capital Management's 13F filing for Q2 2014, filed 14 Aug 2014.